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 1 6 10 15
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 252 1 3 3 673
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 48 2 3 8 160
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 0 0 80 0 1 3 338
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 2 68 1 1 6 118
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 0 2 2,277
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 1 2 4 321
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 213 3 5 9 889
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 2 2 28 181
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 55 0 0 2 136
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 1 2 7 72
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 2 5 687
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 0 107 5 6 7 188
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 1 50 1 3 4 137
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 0 0 60 2 2 3 85
Forecasting Realized Volatility by Decomposition 0 1 1 251 1 4 6 571
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 3 5 7 197
GMM Estimation with Noncausal Instruments 0 0 0 46 0 0 0 107
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 0 323 4 12 16 781
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 3 6 6 97
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 1 3 5 208
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 189 2 7 10 380
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 198 4 8 12 436
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 15 1 1 1 120
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 0 143 2 3 6 215
Joint Modeling of Call and Put Implied Volatility 0 0 0 135 1 2 6 657
Modeling Conditional Skewness in Stock Returns 0 0 1 384 0 0 2 1,127
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 1 2 5 361
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 3 4 131
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 3 8 658
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 0 0 3 200
Noncausal Bayesian Vector Autoregression 0 0 0 160 2 2 2 154
Noncausal Vector Autoregression 0 0 2 101 3 4 11 232
Noncausal autoregressions for economic time series 1 1 5 98 2 2 15 293
Noncausal vector autoregression 0 0 0 88 1 1 4 247
Noncausality and Inflation Persistence 0 0 0 57 4 5 5 146
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 1 1 2 394
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 1 2 3 102
Nonlinear dynamics of interest rate and inflation 0 0 2 369 1 2 8 797
Nonlinear dynamics of interest rate and inflation 0 0 0 64 1 2 5 188
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 2 2 4 193
Realized volatility and overnight returns 0 0 0 126 2 5 6 308
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 0 1 85
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 0 132 2 3 3 435
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 1 5 7 395
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 0 0 369
Structural Vector Autoregressions with Markov Switching 0 0 1 302 1 2 5 562
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 2 3 6 400
Structural Vector Autoregressions with Nonnormal Residuals 0 0 1 242 1 4 8 657
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 2 3 4 68
TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT 0 0 0 816 3 3 4 3,629
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 2 3 3 565
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 1 1 1 188
Testing for predictability in a noninvertible ARMA model 0 0 0 73 1 1 3 148
Testing the Predictability of Stock Returns 0 0 0 1 3 4 5 614
Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift 0 0 0 19 0 0 1 83
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 3 3 5 381
The Properties of Market-Based and Survey Forecasts for Different Data Releases 0 0 0 22 1 3 3 121
The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility 0 0 0 25 3 4 5 145
The effect of a transaction tax on exchange rate volatility 0 0 0 77 0 2 4 296
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 3 3 565
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 43 2 3 4 678
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 1 169 1 1 4 629
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 1 3 7 471
Unit root tests in the presence of innovational outliers 0 0 1 59 1 2 7 307
Total Working Papers 1 2 20 8,658 99 181 356 27,368

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 3 7 7 7
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 51 2 3 6 205
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 3 170 3 4 11 373
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 0 17 1 3 3 61
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 0 1 1 20
A naïve sticky information model of households' inflation expectations 0 0 0 50 1 1 3 198
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 93 1 4 5 290
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 1 84 2 3 6 263
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 2 4 5 78
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 14 1 2 3 47
Comparison of unit root tests for time series with level shifts 0 0 0 5 2 2 3 30
Data†Driven Identification Constraints for DSGE Models 0 0 0 6 1 1 4 59
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 2 2 3 57
Does noncausality help in forecasting economic time series? 0 0 1 73 1 1 2 176
Forecasting realized exchange rate volatility by decomposition 0 0 0 38 1 2 2 220
GMM Estimation of Non-Gaussian Structural Vector Autoregression 0 1 8 28 2 7 19 97
GMM Estimation with Non‐causal Instruments 0 0 1 20 1 3 7 96
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 3 47 3 9 24 214
Has US inflation really become harder to forecast? 0 0 0 12 1 1 1 61
Identification and estimation of non-Gaussian structural vector autoregressions 0 3 9 54 2 7 28 198
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 0 1 10 1 2 5 23
Identifying Monetary Policy Shocks via Changes in Volatility 0 1 2 19 0 2 8 48
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 2 2 13 552
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks 0 1 1 4 1 2 5 9
Joint modeling of call and put implied volatility 0 0 0 31 2 3 4 146
Modeling Conditional Skewness in Stock Returns 0 0 0 56 0 2 3 228
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 2 2 9 159
NONCAUSAL VECTOR AUTOREGRESSION 0 1 1 84 0 2 7 246
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 1 2 6 180
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 1 1 2 363 2 2 13 1,909
Near unit roots, cointegration, and the term structure of interest rates 0 1 2 387 2 3 4 962
Non-linear GARCH models for highly persistent volatility 0 0 0 261 1 1 5 736
Noncausal Autoregressions for Economic Time Series 2 5 14 151 7 14 37 364
Noncausal Bayesian Vector Autoregression 0 0 1 5 2 2 5 23
Noncausality and inflation persistence 0 0 0 10 2 4 6 72
Nonlinear dynamics of interest rate and inflation 0 0 0 2 1 4 5 13
Nonlinear dynamics of interest rate and inflation 0 0 0 176 2 5 6 455
Optimal forecasting of noncausal autoregressive time series 0 0 1 56 1 2 6 146
Overnight stock returns and realized volatility 0 0 2 32 5 10 17 183
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 1 3 3 128
Reducing size distortions of parametric stationarity tests 0 0 0 21 1 2 4 103
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 2 4 4 136
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors 1 2 5 9 3 6 13 30
Structural Vector Autoregressions With Nonnormal Residuals 0 1 1 76 2 5 7 238
Structural vector autoregressions with Markov switching 0 1 6 405 9 13 43 947
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 2 2 3 44
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 3 4 8 559
Testing The Predictability Of Stock Returns 0 0 0 291 2 2 2 678
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 1 25 2 3 5 92
Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift 0 0 0 0 1 1 1 5
The effect of a transaction tax on exchange rate volatility 0 0 0 75 1 1 2 250
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 2 3 4 218
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 45 3 5 9 288
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 0 2 2 5 6
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 1 3 3 320
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 0 3 177
Total Journal Articles 4 19 67 4,100 103 192 426 13,423

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 0 0 2 1 1 1 6
Total Chapters 0 0 0 2 1 1 1 6
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