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 1 1 6 662
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 2 46 0 0 8 140
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 1 2 77 1 5 12 323
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 1 64 2 2 8 105
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 1 1 2 957 2 2 7 2,263
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 156 0 1 8 301
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 1 6 207 6 11 37 843
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 1 100 2 3 9 146
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 53 0 0 4 125
Comparison of Unit Root Tests for Time Series with Level Shifts 1 1 7 11 3 5 21 38
Comparison of unit root tests for time series with level shifts 0 0 1 117 0 0 5 671
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 1 6 12 93 1 10 23 137
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 0 46 1 1 15 124
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 0 0 54 0 0 7 71
Forecasting Realized Volatility by Decomposition 0 0 0 246 0 0 5 556
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 137 3 4 10 186
GMM Estimation with Noncausal Instruments 0 0 0 45 2 2 4 92
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 2 4 13 295 4 12 51 655
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 1 3 9 87
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 2 98 0 1 8 182
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 176 0 1 8 348
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 196 1 1 10 413
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 13 0 0 5 109
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 1 5 137 0 2 22 197
Joint Modeling of Call and Put Implied Volatility 0 0 0 130 0 1 6 637
Modeling Conditional Skewness in Stock Returns 0 0 0 380 0 1 4 1,117
Modeling Expectations with Noncausal Autoregressions 0 1 3 124 1 3 14 352
Modeling Expectations with Noncausal Autoregressions 0 0 1 49 0 1 6 120
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 10 645
Modeling the US short-term interest rate by mixture autoregressive processes 0 0 0 33 0 1 5 190
Noncausal Bayesian Vector Autoregression 0 0 2 156 0 1 6 136
Noncausal Vector Autoregression 0 0 1 96 0 1 8 196
Noncausal autoregressions for economic time series 1 1 7 81 3 5 21 245
Noncausal vector autoregression 0 0 1 86 0 0 9 228
Noncausality and Inflation Persistence 0 0 1 55 1 3 7 121
Nonlinear GARCH models for highly persistent volatility 0 0 1 85 0 0 3 382
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 1 134 0 0 3 77
Nonlinear dynamics of interest rate and inflation 0 0 0 62 0 0 5 170
Nonlinear dynamics of interest rate and inflation 0 0 1 355 1 2 17 756
Optimal Forecasting of Noncausal Autoregressive Time Series 0 1 2 87 2 3 10 177
Realized volatility and overnight returns 0 1 1 122 1 3 18 284
Reducing size distortions of parametric stationarity tests 0 1 1 8 0 1 4 79
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 1 130 0 0 8 422
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 1 123 0 0 2 379
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 1 172 0 1 6 362
Structural Vector Autoregressions with Markov Switching 0 0 4 285 0 0 12 527
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 1 2 380
Structural Vector Autoregressions with Nonnormal Residuals 0 0 1 238 0 1 13 635
Supplementary appendix to "noncausal vector autoregression" 0 0 2 28 2 2 5 58
TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT 0 0 1 814 0 1 6 3,614
Test procedures for unit roots in time series with level shifts at unknown time 1 1 5 116 3 6 24 542
Testing for Predictability in a Noninvertible ARMA Model 0 0 1 46 1 2 10 176
Testing for predictability in a noninvertible ARMA model 0 0 1 72 0 0 6 137
Testing the Predictability of Stock Returns 0 0 0 1 3 5 8 602
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 3 78
The Effect of a Transaction Tax on Exchange Rate Volatility 0 1 1 81 0 2 3 372
The Properties of Market-Based and Survey Forecasts for Different Data Releases 0 0 0 21 2 3 5 115
The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility 0 0 0 24 0 0 3 131
The effect of a transaction tax on exchange rate volatility 0 0 2 76 1 1 8 287
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 0 5 550
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 38 3 9 26 451
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 0 0 165 1 1 6 617
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 0 11 456
Unit root tests in the presence of innovational outliers 1 1 5 57 1 1 7 296
Total Working Papers 8 23 105 8,416 56 130 637 25,873

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 4 192
A Multivariate Generalized Orthogonal Factor GARCH Model 0 1 1 161 0 1 5 344
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 1 7 1 1 8 34
A comment on ‘on inflation expectations in the NKPC model’ 1 1 3 3 2 4 13 13
A naïve sticky information model of households' inflation expectations 0 0 0 43 1 6 15 165
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 1 2 6 79 2 3 17 245
Autoregression-based estimation of the new Keynesian Phillips curve 3 4 7 77 3 5 24 231
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 0 0 7 69
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 12 0 1 6 39
Comparison of unit root tests for time series with level shifts 0 1 2 2 0 1 10 12
Data†Driven Identification Constraints for DSGE Models 1 1 1 4 1 1 4 48
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 0 0 0 53
Does noncausality help in forecasting economic time series? 0 0 8 66 0 0 12 151
Forecasting realized exchange rate volatility by decomposition 0 0 0 37 1 4 10 129
GMM Estimation with Non‐causal Instruments 0 0 0 17 0 0 2 81
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 1 7 23 1 7 30 103
Has US inflation really become harder to forecast? 0 0 0 12 0 2 7 57
Identification and estimation of non-Gaussian structural vector autoregressions 3 3 4 14 5 7 17 85
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 1 2 4 4 2 4 6 6
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 4 194 1 4 24 467
Joint modeling of call and put implied volatility 0 0 0 31 0 0 3 135
Modeling Conditional Skewness in Stock Returns 0 0 0 51 0 1 4 208
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 0 3 143
NONCAUSAL VECTOR AUTOREGRESSION 0 2 11 67 0 3 24 197
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 0 0 3 171
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 1 1 5 351 1 1 16 1,868
Near unit roots, cointegration, and the term structure of interest rates 0 1 1 382 0 2 12 948
Non-linear GARCH models for highly persistent volatility 0 0 0 261 2 3 7 724
Noncausal Autoregressions for Economic Time Series 2 4 10 102 3 6 29 230
Noncausal Bayesian Vector Autoregression 0 0 0 2 0 1 1 11
Noncausality and inflation persistence 0 0 1 8 0 5 10 46
Nonlinear dynamics of interest rate and inflation 0 0 1 172 0 0 6 433
Optimal forecasting of noncausal autoregressive time series 0 1 7 48 2 6 16 118
Overnight stock returns and realized volatility 0 0 9 19 0 2 59 120
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 20 0 0 8 116
Reducing size distortions of parametric stationarity tests 0 0 0 20 0 0 1 91
Robustness of the risk-return relationship in the U.S. stock market 0 0 1 26 0 0 9 129
Structural Vector Autoregressions With Nonnormal Residuals 0 2 2 70 0 3 18 215
Structural vector autoregressions with Markov switching 0 3 12 337 1 5 31 742
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 1 10 0 0 3 37
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 0 197 0 0 4 530
Testing The Predictability Of Stock Returns 1 1 5 282 3 6 20 647
Testing for Linear and Nonlinear Predictability of Stock Returns 0 1 1 19 0 3 13 76
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 0
The effect of a transaction tax on exchange rate volatility 0 1 3 75 1 4 12 238
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 0 3 206
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 44 0 1 12 260
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 0 6 308
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 1 2 5 85 2 5 17 161
Total Journal Articles 15 35 123 3,680 35 108 571 11,632
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Statistics updated 2020-09-04