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 1 8 3 5 17 26
A Mixture Multiplicative Error Model for Realized Volatility 0 0 1 253 1 2 21 691
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 48 0 0 17 174
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 0 1 81 0 0 13 350
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 1 69 0 0 12 129
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 2 8 2,285
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 1 1 159 0 2 13 332
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 1 1 214 0 2 38 922
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 0 0 12 191
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 55 1 3 24 160
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 0 2 18 88
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 1 16 701
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 0 107 0 1 19 201
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 0 50 0 1 15 150
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 0 0 60 0 1 10 93
Forecasting Realized Volatility by Decomposition 0 0 1 251 0 1 19 586
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 0 1 14 207
GMM Estimation with Noncausal Instruments 0 0 0 46 0 1 22 129
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 1 1 2 325 1 4 36 806
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 0 0 12 105
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 0 0 15 220
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 198 0 0 22 450
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 190 1 2 22 396
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 15 0 1 17 136
Inference in Tightly Identified and Large-Scale Sign-Restricted SVARs 0 1 7 7 2 5 11 11
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 0 143 0 0 16 229
Joint Modeling of Call and Put Implied Volatility 0 0 0 135 0 1 19 675
Modeling Conditional Skewness in Stock Returns 0 0 0 384 0 0 11 1,138
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 2 12 141
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 0 11 370
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 13 668
Modeling the US short-term interest rate by mixture autoregressive processes 1 1 1 37 2 2 7 207
Noncausal Bayesian Vector Autoregression 0 0 0 160 1 2 17 169
Noncausal Vector Autoregression 1 1 1 102 2 4 27 255
Noncausal autoregressions for economic time series 0 0 3 100 0 2 26 317
Noncausal vector autoregression 0 0 1 89 0 1 12 258
Noncausality and Inflation Persistence 0 0 0 57 0 2 17 158
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 0 7 400
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 0 1 9 109
Nonlinear dynamics of interest rate and inflation 0 0 0 64 1 1 4 190
Nonlinear dynamics of interest rate and inflation 0 0 0 369 0 0 13 808
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 0 0 14 205
Realized volatility and overnight returns 0 0 0 126 0 0 13 316
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 1 9 94
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 0 132 0 0 12 445
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 1 1 14 383
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 0 0 15 406
Structural Vector Autoregressions with Markov Switching 0 1 3 305 1 5 18 578
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 0 15 412
Structural Vector Autoregressions with Nonnormal Residuals 1 1 3 245 2 3 23 676
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 0 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 2 2 18 3,644
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 1 16 578
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 0 10 197
Testing for predictability in a noninvertible ARMA model 0 0 1 74 1 1 16 163
Testing the Predictability of Stock Returns 0 0 0 1 1 2 11 621
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 5 88
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 0 2 15 393
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 0 8 149
The effect of a transaction tax on exchange rate volatility 0 0 0 77 2 3 16 310
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 1 20 582
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 43 0 2 17 692
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 0 169 0 0 8 636
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 0 10 478
Unit root tests in the presence of innovational outliers 0 0 1 60 0 0 15 320
Total Working Papers 4 8 31 8,687 27 80 1,007 28,205

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 16
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 51 0 0 10 212
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 170 0 2 13 383
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 1 18 0 1 12 71
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 0 1 11 31
A naïve sticky information model of households' inflation expectations 0 0 0 50 0 0 22 219
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 1 1 94 0 1 30 316
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 0 84 2 3 11 271
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 0 1 14 88
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 14 0 1 6 51
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 2 17 45
Data†Driven Identification Constraints for DSGE Models 0 0 0 6 0 1 5 63
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 0 0 8 63
Does noncausality help in forecasting economic time series? 0 0 2 75 0 0 19 194
Forecasting realized exchange rate volatility by decomposition 0 0 0 38 0 0 11 229
GMM Estimation of Non-Gaussian Structural Vector Autoregression 0 0 2 30 1 4 27 118
GMM Estimation with Non‐causal Instruments 1 1 1 21 1 1 14 108
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 2 49 3 7 52 258
Has US inflation really become harder to forecast? 0 0 0 12 0 1 12 72
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 3 56 1 8 34 228
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 0 0 10 0 1 12 33
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 4 4 24 574
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 0 2 15 61
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks 0 0 1 4 1 1 7 14
Joint modeling of call and put implied volatility 0 0 0 31 1 2 12 155
Modeling Conditional Skewness in Stock Returns 0 0 0 56 0 0 15 241
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 10 167
NONCAUSAL VECTOR AUTOREGRESSION 1 1 2 85 1 1 21 265
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 0 0 9 187
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 0 0 1 363 0 1 18 1,925
Near unit roots, cointegration, and the term structure of interest rates 0 0 1 387 0 1 14 973
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 1 10 745
Noncausal Autoregressions for Economic Time Series 0 0 9 157 2 4 45 398
Noncausal Bayesian Vector Autoregression 0 0 0 5 0 0 16 37
Noncausality and inflation persistence 0 0 0 10 0 0 7 76
Nonlinear dynamics of interest rate and inflation 0 0 0 176 0 1 17 467
Nonlinear dynamics of interest rate and inflation 0 0 0 2 0 1 13 23
Optimal forecasting of noncausal autoregressive time series 0 0 0 56 0 2 17 161
Overnight stock returns and realized volatility 0 1 3 35 0 3 41 214
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 2 2 22 147
Reducing size distortions of parametric stationarity tests 0 0 0 21 0 0 9 110
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 0 0 12 144
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors 0 0 2 10 2 3 18 44
Structural Vector Autoregressions With Nonnormal Residuals 0 0 2 77 0 1 16 249
Structural vector autoregressions with Markov switching 0 2 9 413 1 14 62 996
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 0 0 15 57
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 204 0 0 14 569
Testing The Predictability Of Stock Returns 0 0 0 291 0 0 5 681
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 2 27 1 3 19 109
Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift 0 0 0 0 0 0 4 8
The effect of a transaction tax on exchange rate volatility 0 0 0 75 0 3 8 257
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 3 13 228
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 0 0 0 11 15
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 1 17 334
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 0 8 185
Total Journal Articles 2 7 45 4,088 23 92 918 13,885
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 1 7 12
Total Chapters 0 0 1 3 0 1 7 12
1 registered items for which data could not be found
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