Access Statistics for Markku Lanne

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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 4 13 19
A Mixture Multiplicative Error Model for Realized Volatility 0 1 1 253 6 14 17 687
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 48 1 10 16 170
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 0 0 80 5 7 10 345
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 2 68 1 6 12 124
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 5 6 2,282
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 1 7 10 328
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 213 5 13 21 902
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 1 6 8 187
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 55 5 19 21 155
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 2 10 16 82
Comparison of unit root tests for time series with level shifts 0 0 0 118 3 9 13 696
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 0 107 1 8 14 196
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 1 50 1 8 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 1 9 14 580
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 0 7 14 204
GMM Estimation with Noncausal Instruments 0 0 0 46 7 18 18 125
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 0 323 0 8 22 789
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 4 8 14 105
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 0 8 12 216
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 189 0 7 14 387
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 198 1 8 18 444
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 15 4 11 12 131
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 0 143 6 8 13 223
Joint Modeling of Call and Put Implied Volatility 0 0 0 135 7 12 18 669
Modeling Conditional Skewness in Stock Returns 0 0 0 384 0 6 6 1,133
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 4 7 365
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 6 9 137
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 7 11 665
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 0 5 6 205
Noncausal Bayesian Vector Autoregression 0 0 0 160 2 5 7 159
Noncausal Vector Autoregression 0 0 1 101 6 13 21 245
Noncausal autoregressions for economic time series 0 0 5 98 3 13 27 306
Noncausal vector autoregression 0 0 0 88 1 6 9 253
Noncausality and Inflation Persistence 0 0 0 57 0 3 8 149
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 3 4 397
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 1 5 8 107
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 5 12 802
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 1 6 9 199
Realized volatility and overnight returns 0 0 0 126 0 3 8 311
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 2 8 11 443
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 1 7 14 402
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 5 11 11 380
Structural Vector Autoregressions with Markov Switching 0 2 3 304 0 8 12 570
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 4 7 404
Structural Vector Autoregressions with Nonnormal Residuals 1 1 2 243 3 13 21 670
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 7 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 3 8 11 3,637
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 1 7 10 572
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 2 5 6 193
Testing for predictability in a noninvertible ARMA model 0 1 1 74 0 9 12 157
Testing the Predictability of Stock Returns 0 0 0 1 2 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 0 1 1 84
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 1 7 11 388
The Properties of Market-Based and Survey Forecasts for Different Data Releases 0 0 0 22 3 9 12 130
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 4 7 300
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 3 12 15 577
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 43 2 6 10 684
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 1 169 2 6 10 635
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 4 11 475
Unit root tests in the presence of innovational outliers 0 0 1 59 3 11 15 318
Total Working Papers 1 5 23 8,663 114 481 758 27,849

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 5 12 12
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 51 1 5 10 210
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 2 170 1 5 13 378
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 0 17 3 5 8 66
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 0 3 4 23
A naïve sticky information model of households' inflation expectations 0 0 0 50 3 15 17 213
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 93 2 10 15 300
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 0 84 1 3 7 266
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 0 5 9 83
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 14 1 2 5 49
Comparison of unit root tests for time series with level shifts 0 0 0 5 1 10 13 40
Data†Driven Identification Constraints for DSGE Models 0 0 0 6 1 3 6 62
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 0 4 7 61
Does noncausality help in forecasting economic time series? 0 1 2 74 7 15 17 191
Forecasting realized exchange rate volatility by decomposition 0 0 0 38 3 6 8 226
GMM Estimation of Non-Gaussian Structural Vector Autoregression 0 1 6 29 4 12 25 109
GMM Estimation with Non‐causal Instruments 0 0 1 20 1 4 10 100
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 2 3 49 5 23 41 237
Has US inflation really become harder to forecast? 0 0 0 12 0 6 7 67
Identification and estimation of non-Gaussian structural vector autoregressions 0 1 6 55 3 10 31 208
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 0 1 10 1 7 12 30
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 0 6 11 54
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 3 9 16 561
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks 0 0 1 4 0 3 6 12
Joint modeling of call and put implied volatility 0 0 0 31 2 6 9 152
Modeling Conditional Skewness in Stock Returns 0 0 0 56 3 10 13 238
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 1 6 11 165
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 84 8 13 16 259
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 3 14 22 1,923
Near unit roots, cointegration, and the term structure of interest rates 0 0 2 387 1 3 7 965
Non-linear GARCH models for highly persistent volatility 0 0 0 261 2 7 12 743
Noncausal Autoregressions for Economic Time Series 1 2 14 153 5 15 45 379
Noncausal Bayesian Vector Autoregression 0 0 1 5 2 10 15 33
Noncausality and inflation persistence 0 0 0 10 0 3 9 75
Nonlinear dynamics of interest rate and inflation 0 0 0 176 0 4 9 459
Nonlinear dynamics of interest rate and inflation 0 0 0 2 0 7 11 20
Optimal forecasting of noncausal autoregressive time series 0 0 1 56 4 8 13 154
Overnight stock returns and realized volatility 1 1 3 33 1 15 30 198
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 8 14 17 142
Reducing size distortions of parametric stationarity tests 0 0 0 21 0 5 8 108
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 0 5 9 141
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors 0 1 6 10 2 9 19 39
Structural Vector Autoregressions With Nonnormal Residuals 0 0 1 76 4 8 14 246
Structural vector autoregressions with Markov switching 0 3 7 408 4 21 55 968
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 0 7 9 51
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 1 7 14 566
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 1 11 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 1 2 3 7
The effect of a transaction tax on exchange rate volatility 0 0 0 75 1 4 5 254
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 5 9 223
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 0 1 7 11 13
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 45 0 9 16 297
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 2 10 13 330
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 4 5 181
Total Journal Articles 2 12 62 4,112 98 430 766 13,853

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 4 5 10
Total Chapters 0 1 1 3 1 4 5 10
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