Access Statistics for Markku Lanne

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks 0 0 0 7 0 2 13 19
A Mixture Multiplicative Error Model for Realized Volatility 0 0 1 253 1 13 18 688
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 48 1 10 17 171
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 0 0 80 1 8 11 346
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 1 68 0 6 9 124
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 2 5 2,282
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 0 7 10 328
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 213 8 20 29 910
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 0 5 8 187
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 55 0 18 21 155
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 0 6 15 82
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 8 14 697
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 0 107 3 9 17 199
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 1 50 0 7 12 145
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 0 0 60 0 3 5 88
Forecasting Realized Volatility by Decomposition 0 0 1 251 2 9 16 582
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 1 8 14 205
GMM Estimation with Noncausal Instruments 0 0 0 46 0 17 18 125
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 0 323 4 9 26 793
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 0 8 14 105
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 1 9 12 217
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 189 1 5 15 388
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 198 0 6 18 444
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 15 3 14 15 134
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 0 143 0 6 13 223
Joint Modeling of Call and Put Implied Volatility 0 0 0 135 1 9 19 670
Modeling Conditional Skewness in Stock Returns 0 0 0 384 0 4 6 1,133
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 1 7 365
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 0 6 9 137
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 5 11 665
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 0 3 6 205
Noncausal Bayesian Vector Autoregression 0 0 0 160 1 6 8 160
Noncausal Vector Autoregression 0 0 1 101 2 14 23 247
Noncausal autoregressions for economic time series 1 1 5 99 4 15 30 310
Noncausal vector autoregression 0 0 0 88 1 6 10 254
Noncausality and Inflation Persistence 0 0 0 57 3 6 11 152
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 2 4 397
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 1 4 9 108
Nonlinear dynamics of interest rate and inflation 0 0 0 64 0 1 5 189
Nonlinear dynamics of interest rate and inflation 0 0 2 369 0 3 11 802
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 2 7 11 201
Realized volatility and overnight returns 0 0 0 126 3 6 11 314
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 6 6 91
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 0 132 0 7 11 443
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 1 7 14 403
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 1 11 12 381
Structural Vector Autoregressions with Markov Switching 0 2 3 304 0 7 12 570
Structural Vector Autoregressions with Nonnormal Residuals 0 1 2 243 2 10 23 672
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 1 2 8 405
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 5 11 75
TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT 0 0 0 816 2 6 13 3,639
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 1 7 11 573
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 1 6 7 194
Testing for predictability in a noninvertible ARMA model 0 1 1 74 1 8 13 158
Testing the Predictability of Stock Returns 0 0 0 1 0 3 8 617
Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift 0 0 0 19 3 4 4 87
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 0 3 11 388
The Properties of Market-Based and Survey Forecasts for Different Data Releases 0 0 0 22 1 7 13 131
The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility 0 0 0 25 0 1 6 146
The effect of a transaction tax on exchange rate volatility 0 0 0 77 2 6 9 302
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 11 16 578
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 43 0 5 10 684
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 1 169 0 4 10 635
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 2 6 13 477
Unit root tests in the presence of innovational outliers 0 0 1 59 0 10 15 318
Total Working Papers 1 5 22 8,664 64 455 812 27,913

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks 0 0 0 0 0 3 12 12
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 51 0 5 10 210
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 2 170 1 6 14 379
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 0 17 2 7 10 68
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 1 4 5 24
A naïve sticky information model of households' inflation expectations 0 0 0 50 2 14 19 215
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 93 8 15 23 308
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 0 84 1 3 8 267
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 2 4 11 85
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 14 0 2 5 49
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 7 12 40
Data†Driven Identification Constraints for DSGE Models 0 0 0 6 0 3 6 62
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 2 6 9 63
Does noncausality help in forecasting economic time series? 0 0 2 74 0 12 17 191
Forecasting realized exchange rate volatility by decomposition 0 0 0 38 1 7 9 227
GMM Estimation of Non-Gaussian Structural Vector Autoregression 0 1 5 29 2 13 25 111
GMM Estimation with Non‐causal Instruments 0 0 1 20 1 5 9 101
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 1 3 49 3 21 41 240
Has US inflation really become harder to forecast? 0 0 0 12 0 4 7 67
Identification and estimation of non-Gaussian structural vector autoregressions 0 1 6 55 3 13 33 211
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 0 1 10 1 7 13 31
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 2 6 17 563
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 1 5 12 55
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks 0 0 1 4 0 2 5 12
Joint modeling of call and put implied volatility 0 0 0 31 0 5 9 152
Modeling Conditional Skewness in Stock Returns 0 0 0 56 0 8 13 238
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 5 12 166
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 84 3 15 19 262
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 0 3 8 183
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 0 0 1 363 1 14 23 1,924
Near unit roots, cointegration, and the term structure of interest rates 0 0 2 387 0 3 7 965
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 6 12 743
Noncausal Autoregressions for Economic Time Series 2 3 15 155 6 18 49 385
Noncausal Bayesian Vector Autoregression 0 0 1 5 0 10 15 33
Noncausality and inflation persistence 0 0 0 10 1 4 10 76
Nonlinear dynamics of interest rate and inflation 0 0 0 2 0 6 11 20
Nonlinear dynamics of interest rate and inflation 0 0 0 176 2 6 11 461
Optimal forecasting of noncausal autoregressive time series 0 0 1 56 0 8 13 154
Overnight stock returns and realized volatility 0 1 3 33 3 11 33 201
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 0 13 17 142
Reducing size distortions of parametric stationarity tests 0 0 0 21 0 3 8 108
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 1 5 10 142
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors 0 0 5 10 1 6 18 40
Structural Vector Autoregressions With Nonnormal Residuals 0 0 1 76 0 7 14 246
Structural vector autoregressions with Markov switching 1 3 7 409 5 19 59 973
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 0 4 9 51
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 1 7 15 567
Testing The Predictability Of Stock Returns 0 0 0 291 0 2 4 680
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 25 0 9 15 103
Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift 0 0 0 0 0 2 3 7
The effect of a transaction tax on exchange rate volatility 0 0 0 75 0 4 5 254
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 4 9 223
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 0 0 5 11 13
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 2 10 15 332
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 4 4 181
Total Journal Articles 3 10 61 4,070 60 400 793 13,616
1 registered items for which data could not be found

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Statistical Identification of Economic Shocks by Signs in Structural Vector Autoregression 0 1 1 3 1 5 6 11
Total Chapters 0 1 1 3 1 5 6 11
1 registered items for which data could not be found
logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-04-09