Details about Markku Lanne

Access statistics for papers by Markku Lanne.

Last updated 2009-09-22. Update your information in the RePEc Author Service.

Short-id: pla260

Working Papers

2009

1. Noncausal vector autoregression
   Research Discussion Papers, Bank of Finland
2. Structural Vector Autoregressions with Markov Switching
   Economics Working Papers, European University Institute

2008

3. A Naïve Sticky Information Model of Households’ Inflation Expectations
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in Journal of Economic Dynamics and Control (2009)
4. A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
   Economics Working Papers, European University Institute
5. Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times
   MPRA Paper, University Library of Munich, Germany
6. Modeling Expectations with Noncausal Autoregressions
   MPRA Paper, University Library of Munich, Germany View citations
   Also in Economics Working Papers, European University Institute (2008) View citations
7. Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
   CESifo Working Paper Series, CESifo Group Munich
   Also in Economics Working Papers, European University Institute (2008)

2007

8. Joint Modeling of Call and Put Implied Volatility
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in International Journal of Forecasting (2009)
9. Robustness of the Risk-Return Relationship in the U.S. Stock Market
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in Finance Research Letters (2008)
10. The Properties of Market-Based and Survey Forecasts for Different Data Releases
    MPRA Paper, University Library of Munich, Germany

2006

11. A Mixture Multiplicative Error Model for Realized Volatility
    Economics Working Papers, European University Institute View citations
    See also Journal Article in Journal of Financial Econometrics (2006)
12. Forecasting Realized Volatility by Decomposition
    Economics Working Papers, European University Institute View citations
13. Identifying Monetary Policy Shocks via Changes in Volatility
    CESifo Working Paper Series, CESifo Group Munich
    Also in Economics Working Papers, European University Institute (2006)
    See also Journal Article in Journal of Money, Credit and Banking (2008)
14. Structural Vector Autoregressions with Nonnormal Residuals
    CESifo Working Paper Series, CESifo Group Munich
    Also in Economics Working Papers, European University Institute (2005) View citations
15. The effect of a transaction tax on exchange rate volatility
    Research Discussion Papers, Bank of Finland View citations
    Also in Economics Working Papers, European University Institute (2005)

2005

16. Modeling Conditional Skewness in Stock Returns
    Economics Working Papers, European University Institute View citations
    See also Journal Article in European Journal of Finance (2007)

2004

17. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations
18. Nonlinear dynamics of interest rate and inflation
    Macroeconomics, EconWPA View citations
    Also in Research Discussion Papers, Bank of Finland (2002) View citations
    See also Journal Article in Journal of Applied Econometrics (2006)
19. Trading Nokia: The roles of the Helsinki vs the New York stock exchanges
    Research Discussion Papers, Bank of Finland View citations

2003

20. Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028
    Working Papers, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research
    See also Journal Article in The Energy Journal (2004)

2001

21. Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
    CeNDEF Workshop Papers, January 2001, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance
    Also in Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See also Journal Article in Journal of Financial Econometrics (2003)

2000

22. TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT
    Computing in Economics and Finance 2000, Society for Computational Economics
    Also in Research Discussion Papers, Bank of Finland (1999) View citations
    See also Journal Article in Manchester School (2003)
23. Testing the Predictability of Stock Returns
    University of Helsinki, Department of Economics, Department of Economics View citations
    See also Journal Article in The Review of Economics and Statistics (2002)
24. Threshold Autoregression for Strongly Autocorrelated Time Series
    University of Helsinki, Department of Economics, Department of Economics
    See also Journal Article in Journal of Business & Economic Statistics (2002)

Undated

25. Comparison of Unit Root Tests for Time Series with Level Shifts
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
26. Nonlinear GARCH Models for Highly Persistent Volatility
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See also Journal Article in Econometrics Journal (2005)
27. Reducing Size Distortions of Parametric Stationarity Tests
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See also Journal Article in Journal of Time Series Analysis (2003)
28. Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
29. Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations
    See also Journal Article in Economics Letters (2002)
30. Unit Root Tests in the Presence of Innovational Outliers
    Working Papers, Humboldt University, Sonderforschungsbereich 373

Journal Articles

2009

1. A naïve sticky information model of households' inflation expectations
   Journal of Economic Dynamics and Control, 2009, 33, (6), 1332-1344
   See also Working Paper (2008)
2. Joint modeling of call and put implied volatility
   International Journal of Forecasting, 2009, 25, (2), 239-258
   See also Working Paper (2007)

2008

3. Identifying Monetary Policy Shocks via Changes in Volatility
   Journal of Money, Credit and Banking, 2008, 40, (6), 1131-1149 View citations
   See also Working Paper (2006)
4. Robustness of the risk-return relationship in the U.S. stock market
   Finance Research Letters, 2008, 5, (2), 118-127
   See also Working Paper (2007)

2007

5. A Multivariate Generalized Orthogonal Factor GARCH Model
   Journal of Business & Economic Statistics, 2007, 25, 61-75 View citations
6. Forecasting realized exchange rate volatility by decomposition
   International Journal of Forecasting, 2007, 23, (2), 307-320 View citations
7. Modeling Conditional Skewness in Stock Returns
   European Journal of Finance, 2007, 13, (8), 691-704
   See also Working Paper (2005)

2006

8. A Mixture Multiplicative Error Model for Realized Volatility
   Journal of Financial Econometrics, 2006, 4, (4), 594-616 View citations
   See also Working Paper (2006)
9. Nonlinear dynamics of interest rate and inflation
   Journal of Applied Econometrics, 2006, 21, (8), 1157-1168 View citations
   See also Working Paper (2004)
10. Why is it so difficult to uncover the risk-return tradeoff in stock returns?
    Economics Letters, 2006, 92, (1), 118-125 View citations

2005

11. Non-linear GARCH models for highly persistent volatility
    Econometrics Journal, 2005, 8, (2), 251-276 View citations
    See also Working Paper

2004

12. Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028
    The Energy Journal, 2004, 25, (4), 41-66
    See also Working Paper (2003)

2003

13. Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
    Journal of Financial Econometrics, 2003, 1, (1), 96-125 View citations
    See also Working Paper (2001)
14. Reducing size distortions of parametric stationarity tests
    Journal of Time Series Analysis, 2003, 24, (4), 423-439 View citations
    See also Working Paper
15. Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time
    Oxford Bulletin of Economics and Statistics, 2003, 65, (1), 91-115 View citations
    See also Working Paper
16. Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift
    Manchester School, 2003, 71, (Supplement), 54-67 View citations
    See also Working Paper (2000)

2002

17. Testing The Predictability Of Stock Returns
    The Review of Economics and Statistics, 2002, 84, (3), 407-415 View citations
    See also Working Paper (2000)
18. Threshold Autoregressions for Strongly Autocorrelated Time Series
    Journal of Business & Economic Statistics, 2002, 20, (2), 282-89 View citations
    See also Working Paper (2000)
19. Unit root tests for time series with level shifts: a comparison of different proposals
    Economics Letters, 2002, 75, (1), 109-114
    See also Working Paper

2001

20. Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect
    Empirical Economics, 2001, 26, (2), 357-366 View citations

2000

21. Near unit roots, cointegration, and the term structure of interest rates
    Journal of Applied Econometrics, 2000, 15, (5), 513-529 View citations

1999

22. Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates
    The Review of Economics and Statistics, 1999, 81, (3), 393-398 View citations