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 0 0 4 9
A Mixture Multiplicative Error Model for Realized Volatility 0 0 0 252 0 0 0 670
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 0 48 0 1 5 157
A Naïve Sticky Information Model of Households’ Inflation Expectations 0 0 0 80 0 1 2 337
A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation 0 0 2 68 0 0 5 117
A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns 0 0 0 961 0 0 3 2,277
A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks 0 0 0 158 0 1 2 319
Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 1 213 0 1 5 884
Autoregression-Based Estimation of the New Keynesian Phillips Curve 0 0 0 102 0 0 26 179
Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models 0 0 0 55 0 1 2 136
Comparison of Unit Root Tests for Time Series with Level Shifts 0 0 0 16 0 0 7 70
Comparison of unit root tests for time series with level shifts 0 0 0 118 0 1 3 685
Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression 0 0 0 107 0 0 1 182
Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? 0 0 1 50 1 1 2 135
Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 0 0 0 60 0 0 1 83
Forecasting Realized Volatility by Decomposition 0 0 1 250 0 1 3 567
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison 0 0 0 138 1 1 3 193
GMM Estimation with Noncausal Instruments 0 0 0 46 0 0 0 107
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 0 323 1 3 5 770
Has U.S. Inflation Really Become Harder to Forecast? 0 0 0 11 2 2 2 93
Identification and estimation of non-Gaussian structural vector autoregressions 0 0 0 103 0 0 2 205
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 189 1 1 5 374
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 198 0 0 4 428
Implied Volatility with Time-Varying Regime Probabilities 0 0 0 15 0 0 0 119
Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? 0 0 0 143 1 2 4 213
Joint Modeling of Call and Put Implied Volatility 0 0 0 135 1 1 5 656
Modeling Conditional Skewness in Stock Returns 0 0 1 384 0 0 2 1,127
Modeling Expectations with Noncausal Autoregressions 0 0 0 125 0 0 3 359
Modeling Expectations with Noncausal Autoregressions 0 0 0 50 1 1 2 129
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 5 655
Modeling the US short-term interest rate by mixture autoregressive processes 0 1 1 36 0 1 3 200
Noncausal Bayesian Vector Autoregression 0 0 0 160 0 0 0 152
Noncausal Vector Autoregression 0 0 2 101 0 2 8 228
Noncausal autoregressions for economic time series 0 0 4 97 0 0 15 291
Noncausal vector autoregression 0 0 0 88 0 2 3 246
Noncausality and Inflation Persistence 0 0 0 57 0 0 0 141
Nonlinear GARCH models for highly persistent volatility 0 0 0 85 0 0 1 393
Nonlinear dynamic interrelationships between real activity and stock returns 0 0 0 137 0 0 2 100
Nonlinear dynamics of interest rate and inflation 0 0 0 64 0 0 3 186
Nonlinear dynamics of interest rate and inflation 0 2 3 369 0 3 7 795
Optimal Forecasting of Noncausal Autoregressive Time Series 0 0 1 92 0 0 3 191
Realized volatility and overnight returns 0 0 0 126 0 0 1 303
Reducing size distortions of parametric stationarity tests 0 0 0 8 0 0 1 85
Robustness of the Risk-Return Relationship in the U.S. Stock Market 0 0 0 132 1 1 1 433
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 172 0 0 1 369
Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis 0 0 0 123 1 2 4 391
Structural Vector Autoregressions with Markov Switching 0 1 1 302 0 2 3 560
Structural Vector Autoregressions with Nonnormal Residuals 0 0 0 171 0 0 3 397
Structural Vector Autoregressions with Nonnormal Residuals 0 0 1 242 0 1 4 653
Supplementary appendix to "noncausal vector autoregression" 0 0 0 29 0 0 1 65
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 1 3,626
Test procedures for unit roots in time series with level shifts at unknown time 0 0 0 119 0 0 1 562
Testing for Predictability in a Noninvertible ARMA Model 0 0 0 47 0 0 0 187
Testing for predictability in a noninvertible ARMA model 0 0 0 73 0 0 2 147
Testing the Predictability of Stock Returns 0 0 0 1 0 1 1 610
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 2 83
The Effect of a Transaction Tax on Exchange Rate Volatility 0 0 0 81 0 1 2 378
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 25 0 0 1 141
The effect of a transaction tax on exchange rate volatility 0 0 0 77 0 0 2 294
Threshold Autoregression for Strongly Autocorrelated Time Series 0 0 0 0 0 0 0 562
Trading Nokia: the roles of the Helsinki vs the New York stock exchanges 0 0 0 43 0 0 2 675
Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 0 1 1 169 0 3 4 628
Unit root tests for time series with level shifts: A comparison of different proposals 0 0 0 109 0 3 4 468
Unit root tests in the presence of innovational outliers 0 0 1 59 0 1 5 305
Total Working Papers 0 5 23 8,656 11 43 204 27,198

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 3 202
A Multivariate Generalized Orthogonal Factor GARCH Model 0 0 3 170 1 2 8 370
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations 0 0 0 17 1 1 1 59
A comment on ‘on inflation expectations in the NKPC model’ 0 0 0 3 1 1 2 20
A naïve sticky information model of households' inflation expectations 0 0 0 50 0 1 2 197
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times 0 0 0 93 0 0 2 286
Autoregression-based estimation of the new Keynesian Phillips curve 0 0 1 84 0 0 3 260
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS 0 0 0 0 0 0 1 74
Co-integration and the term structure of Finnish short-term interest rates 0 0 0 14 0 0 1 45
Comparison of unit root tests for time series with level shifts 0 0 0 5 0 0 2 28
Data†Driven Identification Constraints for DSGE Models 0 0 0 6 0 1 3 58
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? 0 0 0 10 0 1 1 55
Does noncausality help in forecasting economic time series? 0 0 1 73 0 0 3 175
Forecasting realized exchange rate volatility by decomposition 0 0 0 38 0 0 1 218
GMM Estimation of Non-Gaussian Structural Vector Autoregression 1 1 10 28 1 1 18 91
GMM Estimation with Non‐causal Instruments 0 0 1 20 1 1 5 94
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models 0 0 4 47 1 4 26 206
Has US inflation really become harder to forecast? 0 0 0 12 0 0 1 60
Identification and estimation of non-Gaussian structural vector autoregressions 2 3 8 53 3 8 25 194
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression 0 1 1 10 0 3 3 21
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 1 18 0 1 7 46
Identifying Monetary Policy Shocks via Changes in Volatility 0 0 0 194 0 0 14 550
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks 0 0 1 3 0 0 4 7
Joint modeling of call and put implied volatility 0 0 0 31 0 0 2 143
Modeling Conditional Skewness in Stock Returns 0 0 0 56 0 0 1 226
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes 0 0 0 0 0 1 7 157
NONCAUSAL VECTOR AUTOREGRESSION 0 0 1 83 0 1 6 244
Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates 0 0 0 31 0 2 4 178
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect 0 0 1 362 0 3 13 1,907
Near unit roots, cointegration, and the term structure of interest rates 0 0 1 386 0 0 2 959
Non-linear GARCH models for highly persistent volatility 0 0 0 261 0 0 4 735
Noncausal Autoregressions for Economic Time Series 2 5 11 148 3 7 26 353
Noncausal Bayesian Vector Autoregression 0 0 1 5 0 2 3 21
Noncausality and inflation persistence 0 0 0 10 1 1 3 69
Nonlinear dynamics of interest rate and inflation 0 0 0 176 0 0 3 450
Nonlinear dynamics of interest rate and inflation 0 0 1 2 1 1 3 10
Optimal forecasting of noncausal autoregressive time series 0 0 1 56 0 1 4 144
Overnight stock returns and realized volatility 0 1 2 32 0 3 9 173
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases 0 0 0 22 0 0 0 125
Reducing size distortions of parametric stationarity tests 0 0 0 21 0 1 2 101
Robustness of the risk-return relationship in the U.S. stock market 0 0 0 27 0 0 0 132
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors 1 3 4 8 2 4 14 26
Structural Vector Autoregressions With Nonnormal Residuals 0 0 0 75 0 1 2 233
Structural vector autoregressions with Markov switching 0 1 6 404 0 4 33 934
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY 0 0 0 11 0 0 1 42
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time 0 0 1 204 0 0 5 555
Testing The Predictability Of Stock Returns 0 0 0 291 0 0 0 676
Testing for Linear and Nonlinear Predictability of Stock Returns 1 1 1 25 1 2 3 90
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 2 249
Threshold Autoregressions for Strongly Autocorrelated Time Series 0 0 0 0 0 1 1 215
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 45 0 1 4 283
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 0 0 0 0 0 1 3 4
Unit root tests for time series with level shifts: a comparison of different proposals 0 0 0 154 0 0 1 317
Why is it so difficult to uncover the risk-return tradeoff in stock returns? 0 0 0 88 0 0 4 177
Total Journal Articles 7 16 62 4,088 17 62 301 13,248

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 0 2 0 0 0 5
Total Chapters 0 0 0 2 0 0 0 5
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