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 1 1 1 8 1 2 12 21
A Mixture Multiplicative Error Model for Realized Volatility 0 0 1 253 0 1 19 689
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 48 1 3 18 174
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 1 1 81 0 4 14 350
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 1 1 1 69 1 5 12 129
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 1 6 2,283
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 1 2 12 330
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 213 0 10 37 920
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 2 4 12 191
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 55 0 2 22 157
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 1 4 16 86
Comparison of unit root tests for time series with level shifts 0 0 0 118 1 3 16 700
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 0 107 0 1 18 200
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 0 50 0 4 15 149
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 0 0 60 2 4 9 92
Forecasting Realized Volatility by Decomposition 0 0 1 251 0 3 19 585
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 0 1 14 206
GMM Estimation with Noncausal Instruments 0 0 0 46 0 3 21 128
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 1 1 324 0 9 35 802
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 0 0 14 105
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 1 3 15 220
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 198 0 6 22 450
Identifying Monetary Policy Shocks via Changes in Volatility 0 1 1 190 0 6 21 394
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 15 0 1 16 135
Inference in Tightly Identified and Large-Scale Sign-Restricted SVARs 1 6 6 6 1 6 6 6
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 0 143 1 6 18 229
Joint Modeling of Call and Put Implied Volatility 0 0 0 135 0 4 19 674
Modeling Conditional Skewness in Stock Returns 0 0 0 384 0 5 11 1,138
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 1 5 11 370
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 2 11 139
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 2 13 667
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 0 0 6 205
Noncausal Bayesian Vector Autoregression 0 0 0 160 0 7 15 167
Noncausal Vector Autoregression 0 0 0 101 0 4 25 251
Noncausal autoregressions for economic time series 0 1 3 100 0 5 24 315
Noncausal vector autoregression 0 1 1 89 0 3 13 257
Noncausality and Inflation Persistence 0 0 0 57 1 4 15 156
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 3 7 400
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 0 0 8 108
Nonlinear dynamics of interest rate and inflation 0 0 2 369 2 6 16 808
Nonlinear dynamics of interest rate and inflation 0 0 0 64 0 0 3 189
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 1 4 14 205
Realized volatility and overnight returns 0 0 0 126 0 2 13 316
Reducing size distortions of parametric stationarity tests 0 0 0 8 1 2 8 93
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 0 132 0 2 13 445
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 1 13 382
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 0 3 17 406
Structural Vector Autoregressions with Markov Switching 0 0 3 304 1 3 15 573
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 1 7 15 412
Structural Vector Autoregressions with Nonnormal Residuals 0 1 2 244 0 1 21 673
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 2 12 77
TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT 0 0 0 816 1 3 16 3,642
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 4 15 577
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 3 10 197
Testing for predictability in a noninvertible ARMA model 0 0 1 74 0 4 15 162
Testing the Predictability of Stock Returns 0 0 0 1 0 2 10 619
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 5 88
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 1 3 14 391
The Properties of Market-Based and Survey Forecasts for Different Data Releases 0 0 0 22 0 0 13 131
The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility 0 0 0 25 0 3 8 149
The effect of a transaction tax on exchange rate volatility 0 0 0 77 0 5 13 307
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 3 19 581
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 43 1 6 15 690
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 1 169 0 1 11 636
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 1 13 478
Unit root tests in the presence of innovational outliers 0 1 1 60 0 2 16 320
Total Working Papers 3 15 28 8,679 26 212 970 28,125

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 2 14 14
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 51 0 2 10 212
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 170 1 2 13 381
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 1 1 1 18 1 2 12 70
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 0 6 11 30
A naïve sticky information model of households' inflation expectations 0 0 0 50 0 4 23 219
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 93 0 7 29 315
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 0 84 0 1 8 268
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 0 2 13 87
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 14 0 1 5 50
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 3 15 43
Data†Driven Identification Constraints for DSGE Models 0 0 0 6 0 0 5 62
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 0 0 9 63
Does noncausality help in forecasting economic time series? 1 1 2 75 1 3 19 194
Forecasting realized exchange rate volatility by decomposition 0 0 0 38 0 2 11 229
GMM Estimation of Non-Gaussian Structural Vector Autoregression 0 1 3 30 0 3 24 114
GMM Estimation with Non‐causal Instruments 0 0 0 20 0 6 14 107
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 2 49 2 11 49 251
Has US inflation really become harder to forecast? 0 0 0 12 0 4 11 71
Identification and estimation of non-Gaussian structural vector autoregressions 0 1 6 56 2 9 34 220
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 0 1 10 0 1 14 32
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 0 7 20 570
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 0 4 14 59
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks 0 0 1 4 0 1 6 13
Joint modeling of call and put implied volatility 0 0 0 31 0 1 10 153
Modeling Conditional Skewness in Stock Returns 0 0 0 56 0 3 15 241
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 10 166
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 84 1 2 21 264
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 0 4 11 187
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 0 0 1 363 0 0 20 1,924
Near unit roots, cointegration, and the term structure of interest rates 0 0 1 387 2 7 13 972
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 1 9 744
Noncausal Autoregressions for Economic Time Series 1 2 14 157 3 9 48 394
Noncausal Bayesian Vector Autoregression 0 0 0 5 0 4 18 37
Noncausality and inflation persistence 0 0 0 10 0 0 8 76
Nonlinear dynamics of interest rate and inflation 0 0 0 2 0 2 13 22
Nonlinear dynamics of interest rate and inflation 0 0 0 176 0 5 16 466
Optimal forecasting of noncausal autoregressive time series 0 0 0 56 2 5 16 159
Overnight stock returns and realized volatility 0 1 3 34 2 10 41 211
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 1 3 20 145
Reducing size distortions of parametric stationarity tests 0 0 0 21 0 2 10 110
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 0 2 12 144
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors 0 0 5 10 0 1 19 41
Structural Vector Autoregressions With Nonnormal Residuals 0 1 2 77 0 2 16 248
Structural vector autoregressions with Markov switching 1 2 8 411 2 9 52 982
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 0 6 15 57
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 204 0 2 14 569
Testing The Predictability Of Stock Returns 0 0 0 291 0 1 5 681
Testing for Linear and Nonlinear Predictability of Stock Returns 1 1 2 26 1 3 18 106
Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift 0 0 0 0 0 1 4 8
The effect of a transaction tax on exchange rate volatility 0 0 0 75 0 0 5 254
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 1 2 11 225
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 0 0 2 12 15
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 1 16 333
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 4 8 185
Total Journal Articles 5 11 54 4,081 22 177 889 13,793
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 0 1 3 0 0 6 11
Total Chapters 0 0 1 3 0 0 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 2026-07-10