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 2 5 13 19
A Mixture Multiplicative Error Model for Realized Volatility 0 1 1 253 6 9 11 681
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 48 8 11 16 169
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 0 0 80 2 2 5 340
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 2 68 5 6 11 123
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 2 5 7 2,282
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 6 7 10 327
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 213 7 11 17 897
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 4 7 33 186
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 55 13 14 16 150
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 4 9 15 80
Comparison of unit root tests for time series with level shifts 0 0 0 118 4 7 11 693
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 0 107 5 12 13 195
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 1 50 6 8 11 144
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 0 0 60 3 5 5 88
Forecasting Realized Volatility by Decomposition 0 0 1 251 6 9 13 579
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 7 10 14 204
GMM Estimation with Noncausal Instruments 0 0 0 46 10 11 11 118
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 0 323 5 12 24 789
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 4 7 10 101
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 8 9 12 216
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 189 4 9 16 387
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 198 5 11 18 443
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 15 7 8 8 127
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 0 143 0 4 7 217
Joint Modeling of Call and Put Implied Volatility 0 0 0 135 1 6 11 662
Modeling Conditional Skewness in Stock Returns 0 0 1 384 4 6 8 1,133
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 1 5 8 365
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 5 6 8 136
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 3 7 10 663
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 1 36 3 5 7 205
Noncausal Bayesian Vector Autoregression 0 0 0 160 3 5 5 157
Noncausal Vector Autoregression 0 0 1 101 6 10 16 239
Noncausal autoregressions for economic time series 0 1 5 98 8 12 24 303
Noncausal vector autoregression 0 0 0 88 4 6 9 252
Noncausality and Inflation Persistence 0 0 0 57 3 7 8 149
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 2 4 5 397
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 2 5 7 106
Nonlinear dynamics of interest rate and inflation 0 0 2 369 3 6 12 802
Nonlinear dynamics of interest rate and inflation 0 0 0 64 1 2 5 189
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 0 92 4 7 9 198
Realized volatility and overnight returns 0 0 0 126 3 5 8 311
Reducing size distortions of parametric stationarity tests 0 0 0 8 6 6 7 91
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 0 132 5 8 9 441
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 5 7 13 401
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 5 6 6 375
Structural Vector Autoregressions with Markov Switching 2 2 3 304 7 9 13 570
Structural Vector Autoregressions with Nonnormal Residuals 0 0 1 242 5 11 18 667
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 1 6 9 404
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 5 9 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 1 8 8 3,634
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 5 8 9 571
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 3 4 4 191
Testing for predictability in a noninvertible ARMA model 1 1 1 74 7 10 12 157
Testing the Predictability of Stock Returns 0 0 0 1 1 4 6 615
Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift 0 0 0 19 1 1 1 84
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 2 9 10 387
The Properties of Market-Based and Survey Forecasts for Different Data Releases 0 0 0 22 3 7 9 127
The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility 0 0 0 25 1 4 6 146
The effect of a transaction tax on exchange rate volatility 0 0 0 77 2 2 5 298
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 7 10 12 574
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 43 3 6 8 682
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 1 169 2 5 8 633
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 4 5 11 475
Unit root tests in the presence of innovational outliers 0 0 1 59 7 9 13 315
Total Working Papers 3 5 23 8,662 277 466 695 27,735

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 8 12 12
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 51 4 6 10 209
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 3 170 4 7 14 377
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 0 17 2 3 5 63
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 3 3 4 23
A naïve sticky information model of households' inflation expectations 0 0 0 50 9 13 15 210
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 93 5 9 13 298
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 0 84 1 4 6 265
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 2 7 9 83
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 14 1 2 4 48
Comparison of unit root tests for time series with level shifts 0 0 0 5 6 11 12 39
Data†Driven Identification Constraints for DSGE Models 0 0 0 6 2 3 5 61
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 4 6 7 61
Does noncausality help in forecasting economic time series? 0 1 2 74 5 9 10 184
Forecasting realized exchange rate volatility by decomposition 0 0 0 38 3 4 5 223
GMM Estimation of Non-Gaussian Structural Vector Autoregression 1 1 8 29 7 10 24 105
GMM Estimation with Non‐causal Instruments 0 0 1 20 3 4 9 99
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 1 2 3 49 13 21 38 232
Has US inflation really become harder to forecast? 0 0 0 12 4 7 7 67
Identification and estimation of non-Gaussian structural vector autoregressions 1 1 8 55 7 9 33 205
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 0 1 10 5 7 11 29
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 19 4 6 12 54
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 1 8 15 558
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks 0 0 1 4 2 4 8 12
Joint modeling of call and put implied volatility 0 0 0 31 3 6 8 150
Modeling Conditional Skewness in Stock Returns 0 0 0 56 5 7 10 235
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 3 7 11 164
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 84 4 5 9 251
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 3 4 9 183
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 0 1 1 363 10 13 23 1,920
Near unit roots, cointegration, and the term structure of interest rates 0 0 2 387 2 4 6 964
Non-linear GARCH models for highly persistent volatility 0 0 0 261 4 6 10 741
Noncausal Autoregressions for Economic Time Series 0 3 13 152 7 17 42 374
Noncausal Bayesian Vector Autoregression 0 0 1 5 8 10 13 31
Noncausality and inflation persistence 0 0 0 10 3 5 9 75
Nonlinear dynamics of interest rate and inflation 0 0 0 176 4 6 10 459
Nonlinear dynamics of interest rate and inflation 0 0 0 2 6 8 12 20
Optimal forecasting of noncausal autoregressive time series 0 0 1 56 4 5 9 150
Overnight stock returns and realized volatility 0 0 2 32 7 19 29 197
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 5 7 9 134
Reducing size distortions of parametric stationarity tests 0 0 0 21 3 6 8 108
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 4 7 9 141
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors 0 2 6 10 3 10 19 37
Structural Vector Autoregressions With Nonnormal Residuals 0 0 1 76 3 6 11 242
Structural vector autoregressions with Markov switching 2 3 9 408 10 26 57 964
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 4 9 10 51
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 5 9 14 565
Testing The Predictability Of Stock Returns 0 0 0 291 2 4 4 680
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 25 8 12 15 102
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 2 6
The effect of a transaction tax on exchange rate volatility 0 0 0 75 3 4 4 253
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 4 7 9 223
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 0 4 8 11 12
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 45 8 12 17 297
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 6 9 11 328
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 4 4 5 181
Total Journal Articles 5 14 67 4,110 250 435 713 13,755

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 1 1 1 3 3 4 4 9
Total Chapters 1 1 1 3 3 4 4 9
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