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 Mixture Multiplicative Error Model for Realized Volatility 0 0 0 252 0 0 0 669
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 1 47 0 0 1 148
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 0 0 80 0 0 0 332
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 0 66 0 1 1 111
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 1 960 0 0 2 2,273
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 1 158 0 0 2 315
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 1 212 0 2 6 877
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 0 0 3 153
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 54 0 0 0 131
Comparison of Unit Root Tests for Time Series with Level Shifts 1 1 1 15 2 3 5 58
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 0 0 682
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 3 107 1 3 8 176
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 1 1 2 49 1 2 3 133
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 1 2 60 1 3 4 81
Forecasting Realized Volatility by Decomposition 0 0 0 248 0 0 0 562
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 0 0 0 189
GMM Estimation with Noncausal Instruments 0 0 0 46 0 1 6 107
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 1 2 7 318 1 4 25 756
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 0 0 0 91
Identification and estimation of non-Gaussian structural vector autoregressions 1 2 2 102 1 2 3 199
Identifying Monetary Policy Shocks via Changes in Volatility 0 2 4 186 0 2 4 364
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 197 0 0 2 422
Implied Volatility with Time-Varying Regime Probabilities 0 0 1 15 0 0 2 118
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 3 143 1 1 4 209
Joint Modeling of Call and Put Implied Volatility 0 1 2 135 0 1 2 650
Modeling Conditional Skewness in Stock Returns 0 0 1 383 0 0 1 1,122
Modeling Expectations with Noncausal Autoregressions 0 0 0 49 0 0 3 126
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 0 1 356
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 0 649
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 0 34 0 0 0 196
Noncausal Bayesian Vector Autoregression 0 0 0 158 0 0 0 148
Noncausal Vector Autoregression 0 0 2 99 0 0 6 219
Noncausal autoregressions for economic time series 0 0 1 89 0 0 4 272
Noncausal vector autoregression 0 0 0 87 0 0 4 242
Noncausality and Inflation Persistence 0 0 0 57 0 0 4 141
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 1 1 2 391
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 1 1 3 97
Nonlinear dynamics of interest rate and inflation 0 0 4 365 0 1 7 786
Nonlinear dynamics of interest rate and inflation 0 0 1 63 0 2 5 182
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 1 90 0 0 3 187
Realized volatility and overnight returns 0 0 1 126 0 0 4 299
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 0 0 84
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 0 132 0 0 0 428
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 0 0 2 387
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 0 1 368
Structural Vector Autoregressions with Markov Switching 1 3 5 299 2 4 7 554
Structural Vector Autoregressions with Nonnormal Residuals 0 0 1 240 1 1 2 647
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 0 1 394
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 0 1 63
TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT 0 0 0 816 0 0 0 3,623
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 0 1 560
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 1 2 187
Testing for predictability in a noninvertible ARMA model 0 0 0 73 0 0 1 145
Testing the Predictability of Stock Returns 0 0 0 1 1 2 3 608
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 0 81
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 0 0 0 376
The Properties of Market-Based and Survey Forecasts for Different Data Releases 0 0 0 22 0 0 0 118
The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility 0 0 0 24 0 0 1 138
The effect of a transaction tax on exchange rate volatility 0 0 0 76 0 0 1 291
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 1 1 4 561
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 42 0 0 2 672
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 1 167 0 0 1 623
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 0 0 463
Unit root tests in the presence of innovational outliers 0 0 0 58 0 0 0 300
Total Working Papers 5 13 49 8,594 15 39 160 26,890


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 51 0 0 0 198
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 1 164 0 0 4 356
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 2 14 0 1 7 54
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 0 0 1 17
A naïve sticky information model of households' inflation expectations 1 1 2 49 1 1 4 188
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 2 93 0 1 9 282
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 0 83 1 3 4 253
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 0 1 1 73
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 13 0 0 0 42
Comparison of unit root tests for time series with level shifts 0 0 0 4 1 1 1 25
Data†Driven Identification Constraints for DSGE Models 0 1 1 6 0 1 2 54
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 0 0 0 54
Does noncausality help in forecasting economic time series? 0 1 1 70 0 1 2 165
Forecasting realized exchange rate volatility by decomposition 0 0 0 37 0 0 35 215
GMM Estimation of Non-Gaussian Structural Vector Autoregression 1 2 5 13 5 13 23 60
GMM Estimation with Non‐causal Instruments 0 1 2 19 0 2 3 88
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 5 38 1 3 19 161
Has US inflation really become harder to forecast? 0 0 0 12 0 0 0 59
Identification and estimation of non-Gaussian structural vector autoregressions 1 4 9 34 1 6 22 148
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 1 1 8 0 1 2 16
Identifying Monetary Policy Shocks via Changes in Volatility 0 1 6 13 0 2 11 30
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 1 2 17 520
Joint modeling of call and put implied volatility 0 0 0 31 0 0 0 141
Modeling Conditional Skewness in Stock Returns 0 0 0 55 1 1 3 223
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 0 148
NONCAUSAL VECTOR AUTOREGRESSION 0 1 5 81 0 1 6 233
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 0 0 0 174
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 0 1 1 359 0 1 3 1,891
Near unit roots, cointegration, and the term structure of interest rates 0 1 2 385 0 1 3 957
Non-linear GARCH models for highly persistent volatility 0 0 0 261 1 1 3 731
Noncausal Autoregressions for Economic Time Series 0 1 6 125 1 4 22 299
Noncausal Bayesian Vector Autoregression 0 0 1 3 0 0 3 16
Noncausality and inflation persistence 0 0 0 10 2 2 3 64
Nonlinear dynamics of interest rate and inflation 0 0 0 174 0 1 2 445
Nonlinear dynamics of interest rate and inflation 0 0 1 1 0 0 1 7
Optimal forecasting of noncausal autoregressive time series 0 0 2 55 0 0 4 139
Overnight stock returns and realized volatility 0 1 2 27 0 2 7 158
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 2 3 4 124
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 1 1 96
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 0 0 0 131
Structural Vector Autoregressions With Nonnormal Residuals 1 1 1 75 1 1 1 230
Structural vector autoregressions with Markov switching 1 2 16 387 5 9 41 876
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 0 1 1 41
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 202 1 2 3 548
Testing The Predictability Of Stock Returns 0 1 1 289 0 3 8 674
Testing for Linear and Nonlinear Predictability of Stock Returns 0 0 1 21 1 1 2 83
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 0 4
The effect of a transaction tax on exchange rate volatility 0 0 0 75 0 0 2 247
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 2 2 2 213
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 45 0 0 2 278
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 0 0 316
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 0 1 172
Total Journal Articles 5 21 77 3,942 28 76 295 12,717


Chapter File Downloads Abstract Views
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Total Chapters 0 0 0 0 0 0 0 0
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Statistics updated 2023-12-04