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Details about Markku Lanne

E-mail:
Homepage:http://blogs.helsinki.fi/lanne/
Workplace:Politiikan ja Talouden Tutkimuksen Laitos (Department of Political and Economic Studies), Valtiotieteellinen tiedekunta (Faculty of Social Sciences), Helsingin Yliopisto (University of Helsinki), (more information at EDIRC)
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)
Helsinki Center for Economic Research (HECER), (more information at EDIRC)

Access statistics for papers by Markku Lanne.

Last updated 2017-02-22. Update your information in the RePEc Author Service.

Short-id: pla260


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Working Papers

2016

  1. Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2015

  1. Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
  2. Identification and estimation of non-Gaussian structural vector autoregressions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2017)
  3. Nonlinear dynamic interrelationships between real activity and stock returns
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2014

  1. Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2016)
  2. Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  3. Noncausal Bayesian Vector Autoregression
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)

2013

  1. A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
  2. Noncausality and Inflation Persistence
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2015)

2012

  1. Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2014)
  2. Supplementary appendix to "noncausal vector autoregression"
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Testing for Predictability in a Noninvertible ARMA Model
    Koç University-TUSIAD Economic Research Forum Working Papers, Koc University-TUSIAD Economic Research Forum Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads

2011

  1. Autoregression-Based Estimation of the New Keynesian Phillips Curve
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Journal of Economic Dynamics and Control (2013)
  2. Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)

2010

  1. Has U.S. Inflation Really Become Harder to Forecast?
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in Economics Letters (2012)
  2. Noncausal Vector Autoregression
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    Also in Research Discussion Papers, Bank of Finland (2009) Downloads View citations (4)

    See also Journal Article in Econometric Theory (2013)
  3. Noncausal autoregressions for economic time series
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    See also Journal Article in Journal of Time Series Econometrics (2011)
  4. Optimal Forecasting of Noncausal Autoregressive Time Series
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
    See also Journal Article in International Journal of Forecasting (2012)
  5. Realized volatility and overnight returns
    Research Discussion Papers, Bank of Finland Downloads View citations (1)

2009

  1. Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)
    See also Journal Article in Journal of Applied Econometrics (2012)
  2. GMM Estimation with Noncausal Instruments
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2011)
  3. Structural Vector Autoregressions with Markov Switching
    Economics Working Papers, European University Institute Downloads View citations (10)
    See also Journal Article in Journal of Economic Dynamics and Control (2010)
  4. The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

2008

  1. A Naïve Sticky Information Model of Households’ Inflation Expectations
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
    See also Journal Article in Journal of Economic Dynamics and Control (2009)
  2. A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
    Economics Working Papers, European University Institute Downloads View citations (3)
  3. Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2009)
  4. Implied Volatility with Time-Varying Regime Probabilities
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Modeling Expectations with Noncausal Autoregressions
    Economics Working Papers, European University Institute Downloads View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2008) Downloads View citations (1)
  6. Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
    Economics Working Papers, European University Institute Downloads View citations (3)
    Also in CESifo Working Paper Series, CESifo Group Munich (2008) Downloads View citations (3)

2007

  1. Joint Modeling of Call and Put Implied Volatility
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
    See also Journal Article in International Journal of Forecasting (2009)
  2. Robustness of the Risk-Return Relationship in the U.S. Stock Market
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    See also Journal Article in Finance Research Letters (2008)
  3. The Properties of Market-Based and Survey Forecasts for Different Data Releases
    MPRA Paper, University Library of Munich, Germany Downloads

2006

  1. A Mixture Multiplicative Error Model for Realized Volatility
    Economics Working Papers, European University Institute Downloads View citations (21)
    See also Journal Article in Journal of Financial Econometrics (2006)
  2. Forecasting Realized Volatility by Decomposition
    Economics Working Papers, European University Institute Downloads View citations (3)
  3. Identifying Monetary Policy Shocks via Changes in Volatility
    Economics Working Papers, European University Institute Downloads View citations (2)
    Also in CESifo Working Paper Series, CESifo Group Munich (2006) Downloads

    See also Journal Article in Journal of Money, Credit and Banking (2008)
  4. Structural Vector Autoregressions with Nonnormal Residuals
    CESifo Working Paper Series, CESifo Group Munich Downloads View citations (1)
    Also in Economics Working Papers, European University Institute (2005) Downloads View citations (11)

    See also Journal Article in Journal of Business & Economic Statistics (2010)
  5. The effect of a transaction tax on exchange rate volatility
    Research Discussion Papers, Bank of Finland Downloads
    Also in Economics Working Papers, European University Institute (2005) Downloads

    See also Journal Article in International Journal of Finance & Economics (2010)

2005

  1. A Multivariate Generalized Orthogonal Factor GARCH Model
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article in Journal of Business & Economic Statistics (2007)
  2. Modeling Conditional Skewness in Stock Returns
    Economics Working Papers, European University Institute Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2007)

2004

  1. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (2)
  2. Nonlinear dynamics of interest rate and inflation
    Macroeconomics, EconWPA Downloads View citations (5)
    Also in Research Discussion Papers, Bank of Finland (2002) Downloads View citations (9)

    See also Journal Article in Journal of Applied Econometrics (2006)
  3. Trading Nokia: the roles of the Helsinki vs the New York stock exchanges
    Research Discussion Papers, Bank of Finland Downloads

2003

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

2002

  1. Comparison of Unit Root Tests for Time Series with Level Shifts
    MPRA Paper, University Library of Munich, Germany Downloads View citations (145)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) Downloads View citations (6)
  2. Nonlinear GARCH models for highly persistent volatility
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
    See also Journal Article in Econometrics Journal (2005)

2001

  1. 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 SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads

    See also Journal Article in Journal of Financial Econometrics (2003)
  2. Test procedures for unit roots in time series with level shifts at unknown time
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (12)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2003)
  3. Unit root tests for time series with level shifts: A comparison of different proposals
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (2)
    See also Journal Article in Economics Letters (2002)
  4. Unit root tests in the presence of innovational outliers
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)

2000

  1. Reducing size distortions of parametric stationarity tests
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)
    See also Journal Article in Journal of Time Series Analysis (2003)
  2. 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 Downloads View citations (1)
    Also in Research Discussion Papers, Bank of Finland (1999) Downloads View citations (3)

    See also Journal Article in Manchester School (2003)
  3. Testing the Predictability of Stock Returns
    University of Helsinki, Department of Economics, Department of Economics View citations (7)
    See also Journal Article in The Review of Economics and Statistics (2002)
  4. 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)

Journal Articles

2017

  1. Identification and estimation of non-Gaussian structural vector autoregressions
    Journal of Econometrics, 2017, 196, (2), 288-304 Downloads
    See also Working Paper (2015)

2016

  1. Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models
    Oxford Bulletin of Economics and Statistics, 2016, 78, (4), 595-603 Downloads View citations (2)
    See also Working Paper (2014)

2015

  1. Noncausality and inflation persistence
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (4), 469-481 Downloads View citations (1)
    See also Working Paper (2013)

2014

  1. Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?
    Oxford Bulletin of Economics and Statistics, 2014, 76, (5), 715-726 Downloads
    See also Working Paper (2012)

2013

  1. Autoregression-based estimation of the new Keynesian Phillips curve
    Journal of Economic Dynamics and Control, 2013, 37, (3), 561-570 Downloads View citations (3)
    See also Working Paper (2011)
  2. NONCAUSAL VECTOR AUTOREGRESSION
    Econometric Theory, 2013, 29, (03), 447-481 Downloads View citations (12)
    See also Working Paper (2010)
  3. Overnight stock returns and realized volatility
    International Journal of Forecasting, 2013, 29, (4), 592-604 Downloads View citations (3)
  4. THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY
    International Journal of Finance & Economics, 2013, 18, (4), 339-351 Downloads View citations (1)
  5. Testing for Linear and Nonlinear Predictability of Stock Returns
    Journal of Financial Econometrics, 2013, 11, (4), 682-705 Downloads View citations (1)

2012

  1. BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS
    Journal of Applied Econometrics, 2012, 27, (5), 812-830 View citations (11)
    See also Working Paper (2009)
  2. Does noncausality help in forecasting economic time series?
    Economics Bulletin, 2012, 32, (4), 2849-2859 Downloads View citations (5)
  3. Has US inflation really become harder to forecast?
    Economics Letters, 2012, 115, (3), 383-386 Downloads View citations (1)
    See also Working Paper (2010)
  4. Optimal forecasting of noncausal autoregressive time series
    International Journal of Forecasting, 2012, 28, (3), 623-631 Downloads View citations (18)
    See also Working Paper (2010)

2011

  1. GMM Estimation with Non‐causal Instruments
    Oxford Bulletin of Economics and Statistics, 2011, 73, (5), 581-592 Downloads
    See also Working Paper (2009)
  2. Noncausal Autoregressions for Economic Time Series
    Journal of Time Series Econometrics, 2011, 3, (3), 1-32 Downloads View citations (32)
    See also Working Paper (2010)

2010

  1. Structural Vector Autoregressions With Nonnormal Residuals
    Journal of Business & Economic Statistics, 2010, 28, (1), 159-168 Downloads View citations (50)
    See also Working Paper (2006)
  2. Structural vector autoregressions with Markov switching
    Journal of Economic Dynamics and Control, 2010, 34, (2), 121-131 Downloads View citations (60)
    See also Working Paper (2009)
  3. The effect of a transaction tax on exchange rate volatility
    International Journal of Finance & Economics, 2010, 15, (2), 123-133 Downloads View citations (8)
    See also Working Paper (2006)

2009

  1. A naïve sticky information model of households' inflation expectations
    Journal of Economic Dynamics and Control, 2009, 33, (6), 1332-1344 Downloads View citations (6)
    See also Working Paper (2008)
  2. Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times
    Studies in Nonlinear Dynamics & Econometrics, 2009, 14, (1), 1-38 Downloads View citations (2)
    See also Working Paper (2008)
  3. Joint modeling of call and put implied volatility
    International Journal of Forecasting, 2009, 25, (2), 239-258 Downloads View citations (6)
    See also Working Paper (2007)
  4. Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases
    Economics Bulletin, 2009, 29, (3), 2231-2240 Downloads View citations (5)

2008

  1. Identifying Monetary Policy Shocks via Changes in Volatility
    Journal of Money, Credit and Banking, 2008, 40, (6), 1131-1149 Downloads View citations (55)
    See also Working Paper (2006)
  2. Robustness of the risk-return relationship in the U.S. stock market
    Finance Research Letters, 2008, 5, (2), 118-127 Downloads View citations (5)
    See also Working Paper (2007)

2007

  1. A Multivariate Generalized Orthogonal Factor GARCH Model
    Journal of Business & Economic Statistics, 2007, 25, 61-75 Downloads View citations (38)
    See also Working Paper (2005)
  2. Forecasting realized exchange rate volatility by decomposition
    International Journal of Forecasting, 2007, 23, (2), 307-320 Downloads View citations (12)
  3. Modeling Conditional Skewness in Stock Returns
    The European Journal of Finance, 2007, 13, (8), 691-704 Downloads View citations (6)
    See also Working Paper (2005)

2006

  1. A Mixture Multiplicative Error Model for Realized Volatility
    Journal of Financial Econometrics, 2006, 4, (4), 594-616 Downloads View citations (20)
    See also Working Paper (2006)
  2. Nonlinear dynamics of interest rate and inflation
    Journal of Applied Econometrics, 2006, 21, (8), 1157-1168 Downloads View citations (14)
    See also Working Paper (2004)
  3. Why is it so difficult to uncover the risk-return tradeoff in stock returns?
    Economics Letters, 2006, 92, (1), 118-125 Downloads View citations (25)

2005

  1. Non-linear GARCH models for highly persistent volatility
    Econometrics Journal, 2005, 8, (2), 251-276 Downloads View citations (15)
    See also Working Paper (2002)

2004

  1. Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028
    The Energy Journal, 2004, Volume 25, (Number 4), 41-66 Downloads View citations (23)
    See also Working Paper (2003)

2003

  1. Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
    Journal of Financial Econometrics, 2003, 1, (1), 96-125 View citations (22)
    See also Working Paper (2001)
  2. Reducing size distortions of parametric stationarity tests
    Journal of Time Series Analysis, 2003, 24, (4), 423-439 Downloads View citations (4)
    See also Working Paper (2000)
  3. 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 Downloads View citations (55)
    See also Working Paper (2001)
  4. 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 Downloads View citations (4)
    See also Working Paper (2000)

2002

  1. Testing The Predictability Of Stock Returns
    The Review of Economics and Statistics, 2002, 84, (3), 407-415 Downloads View citations (32)
    See also Working Paper (2000)
  2. Threshold Autoregressions for Strongly Autocorrelated Time Series
    Journal of Business & Economic Statistics, 2002, 20, (2), 282-89 View citations (6)
    See also Working Paper (2000)
  3. Unit root tests for time series with level shifts: a comparison of different proposals
    Economics Letters, 2002, 75, (1), 109-114 Downloads View citations (27)
    See also Working Paper (2001)

2001

  1. Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect
    Empirical Economics, 2001, 26, (2), 357-366 Downloads View citations (17)

2000

  1. Near unit roots, cointegration, and the term structure of interest rates
    Journal of Applied Econometrics, 2000, 15, (5), 513-529 Downloads View citations (25)

1999

  1. 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 Downloads View citations (18)

1995

  1. Co-integration and the term structure of Finnish short-term interest rates
    Finnish Economic Papers, 1995, 8, (1), 3-16 Downloads

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Page updated 2017-03-27