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)

Access statistics for papers by Markku Lanne.

Last updated 2024-02-06. Update your information in the RePEc Author Service.

Short-id: pla260

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Working Papers

2025

1. A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks
   Papers, arXiv.org

2016

2. Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)

2015

3. Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
4. Identification and estimation of non-Gaussian structural vector autoregressions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)
   See also Journal Article Identification and estimation of non-Gaussian structural vector autoregressions, Journal of Econometrics, Elsevier (2017) View citations (100) (2017)
5. Nonlinear dynamic interrelationships between real activity and stock returns
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)

2014

6. Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
   See also Journal Article Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2016) View citations (103) (2016)
7. Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
8. Noncausal Bayesian Vector Autoregression
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
   See also Journal Article Noncausal Bayesian Vector Autoregression, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2016) View citations (3) (2016)

2013

9. 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
10. Noncausality and Inflation Persistence
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    See also Journal Article Noncausality and inflation persistence, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2015) View citations (2) (2015)

2012

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

2011

14. Autoregression-Based Estimation of the New Keynesian Phillips Curve
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Autoregression-based estimation of the new Keynesian Phillips curve, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (14) (2013)
15. Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison
    MPRA Paper, University Library of Munich, Germany View citations (4)

2010

16. Has U.S. Inflation Really Become Harder to Forecast?
    MPRA Paper, University Library of Munich, Germany View citations (1)
    See also Journal Article Has US inflation really become harder to forecast?, Economics Letters, Elsevier (2012) View citations (5) (2012)
17. Noncausal Vector Autoregression
    MPRA Paper, University Library of Munich, Germany View citations (4)
    Also in Bank of Finland Research Discussion Papers, Bank of Finland (2009) View citations (4)
    See also Journal Article NONCAUSAL VECTOR AUTOREGRESSION, Econometric Theory, Cambridge University Press (2013) View citations (52) (2013)
18. Noncausal autoregressions for economic time series
    MPRA Paper, University Library of Munich, Germany View citations (7)
    See also Journal Article Noncausal Autoregressions for Economic Time Series, Journal of Time Series Econometrics, De Gruyter (2011) View citations (75) (2011)
19. Optimal Forecasting of Noncausal Autoregressive Time Series
    MPRA Paper, University Library of Munich, Germany View citations (11)
    See also Journal Article Optimal forecasting of noncausal autoregressive time series, International Journal of Forecasting, Elsevier (2012) View citations (45) (2012)
20. Realized volatility and overnight returns
    Bank of Finland Research Discussion Papers, Bank of Finland

2009

21. Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models
    MPRA Paper, University Library of Munich, Germany View citations (5)
    See also Journal Article BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2012) View citations (23) (2012)
22. GMM Estimation with Noncausal Instruments
    MPRA Paper, University Library of Munich, Germany View citations (4)
    See also Journal Article GMM Estimation with Non‐causal Instruments, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2011) View citations (3) (2011)
23. Structural Vector Autoregressions with Markov Switching
    Economics Working Papers, European University Institute View citations (10)
    See also Journal Article Structural vector autoregressions with Markov switching, Journal of Economic Dynamics and Control, Elsevier (2010) View citations (187) (2010)
24. The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility
    MPRA Paper, University Library of Munich, Germany View citations (1)

2008

25. A Naïve Sticky Information Model of Households’ Inflation Expectations
    MPRA Paper, University Library of Munich, Germany View citations (9)
    See also Journal Article A naïve sticky information model of households' inflation expectations, Journal of Economic Dynamics and Control, Elsevier (2009) View citations (28) (2009)
26. A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks
    Economics Working Papers, European University Institute View citations (7)
27. Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times
    MPRA Paper, University Library of Munich, Germany View citations (8)
    See also Journal Article Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2009) View citations (15) (2009)
28. Implied Volatility with Time-Varying Regime Probabilities
    MPRA Paper, University Library of Munich, Germany
29. Modeling Expectations with Noncausal Autoregressions
    Economics Working Papers, European University Institute View citations (11)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (11)
30. Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis
    CESifo Working Paper Series, CESifo View citations (7)
    Also in Economics Working Papers, European University Institute (2008) View citations (7)

2007

31. Joint Modeling of Call and Put Implied Volatility
    MPRA Paper, University Library of Munich, Germany View citations (2)
    See also Journal Article Joint modeling of call and put implied volatility, International Journal of Forecasting, Elsevier (2009) View citations (7) (2009)
32. Robustness of the Risk-Return Relationship in the U.S. Stock Market
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Journal Article Robustness of the risk-return relationship in the U.S. stock market, Finance Research Letters, Elsevier (2008) View citations (5) (2008)
33. The Properties of Market-Based and Survey Forecasts for Different Data Releases
    MPRA Paper, University Library of Munich, Germany

2006

34. A Mixture Multiplicative Error Model for Realized Volatility
    Economics Working Papers, European University Institute View citations (38)
    See also Journal Article A Mixture Multiplicative Error Model for Realized Volatility, Journal of Financial Econometrics, Oxford University Press (2006) View citations (38) (2006)
35. Forecasting Realized Volatility by Decomposition
    Economics Working Papers, European University Institute View citations (5)
36. Identifying Monetary Policy Shocks via Changes in Volatility
    Economics Working Papers, European University Institute View citations (4)
    Also in CESifo Working Paper Series, CESifo (2006) View citations (3)
    See also Journal Article Identifying Monetary Policy Shocks via Changes in Volatility, Journal of Money, Credit and Banking, Blackwell Publishing (2008) View citations (53) (2008)
37. Structural Vector Autoregressions with Nonnormal Residuals
    CESifo Working Paper Series, CESifo View citations (3)
    Also in Economics Working Papers, European University Institute (2005) View citations (11)
    See also Journal Article Structural Vector Autoregressions With Nonnormal Residuals, Journal of Business & Economic Statistics, American Statistical Association (2010) View citations (180) (2010)
38. The effect of a transaction tax on exchange rate volatility
    Bank of Finland Research Discussion Papers, Bank of Finland
    Also in Economics Working Papers, European University Institute (2005)
    See also Journal Article The effect of a transaction tax on exchange rate volatility, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2010) View citations (14) (2010)

2005

39. A Multivariate Generalized Orthogonal Factor GARCH Model
    MPRA Paper, University Library of Munich, Germany View citations (6)
    See also Journal Article A Multivariate Generalized Orthogonal Factor GARCH Model, Journal of Business & Economic Statistics, American Statistical Association (2007) View citations (79) (2007)
40. Modeling Conditional Skewness in Stock Returns
    Economics Working Papers, European University Institute View citations (2)
    See also Journal Article Modeling Conditional Skewness in Stock Returns, The European Journal of Finance, Taylor & Francis Journals (2007) View citations (15) (2007)

2004

41. A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
    Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (3)
42. Nonlinear dynamics of interest rate and inflation
    Macroeconomics, University Library of Munich, Germany View citations (6)
    Also in Bank of Finland Research Discussion Papers, Bank of Finland (2002)
    See also Journal Article Nonlinear dynamics of interest rate and inflation, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2006) View citations (30) (2006)
43. Trading Nokia: the roles of the Helsinki vs the New York stock exchanges
    Bank of Finland Research Discussion Papers, Bank of Finland

2003

44. 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 Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028, The Energy Journal (2004) View citations (2) (2004)

2002

45. Comparison of Unit Root Tests for Time Series with Level Shifts
    MPRA Paper, University Library of Munich, Germany View citations (221)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (1999) View citations (6)
    See also Journal Article Comparison of unit root tests for time series with level shifts, Journal of Time Series Analysis, Wiley Blackwell (2002) View citations (146) (2002)
46. 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 View citations (1)
    See also Journal Article Non-linear GARCH models for highly persistent volatility, Econometrics Journal, Royal Economic Society (2005) View citations (27) (2005)

2001

47. 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)
    See also Journal Article Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes, Journal of Financial Econometrics, Oxford University Press (2003) View citations (29) (2003)
48. 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 View citations (28)
    See also Journal Article Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2003) View citations (65) (2003)
49. 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 View citations (3)
    See also Journal Article Unit root tests for time series with level shifts: a comparison of different proposals, Economics Letters, Elsevier (2002) View citations (137) (2002)
50. 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 View citations (1)

2000

51. 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 View citations (1)
    See also Journal Article Reducing size distortions of parametric stationarity tests, Journal of Time Series Analysis, Wiley Blackwell (2003) View citations (5) (2003)
52. 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 View citations (2)
    Also in Bank of Finland Research Discussion Papers, Bank of Finland (1999)
    See also Journal Article Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift, Manchester School, University of Manchester (2003) View citations (5) (2003)
53. Testing the Predictability of Stock Returns
    University of Helsinki, Department of Economics, Department of Economics View citations (7)
    See also Journal Article Testing The Predictability Of Stock Returns, The Review of Economics and Statistics, MIT Press (2002) View citations (52) (2002)
54. Threshold Autoregression for Strongly Autocorrelated Time Series
    University of Helsinki, Department of Economics, Department of Economics
    See also Journal Article Threshold Autoregressions for Strongly Autocorrelated Time Series, Journal of Business & Economic Statistics, American Statistical Association (2002) View citations (16) (2002)

Journal Articles

2024

1. Statistically identified structural VAR model with potentially skewed and fat‐tailed errors
   Journal of Applied Econometrics, 2024, 39, (3), 422-437

2023

2. Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
   Journal of Business & Economic Statistics, 2023, 41, (4), 1341-1351 View citations (2)

2021

3. GMM Estimation of Non-Gaussian Structural Vector Autoregression
   Journal of Business & Economic Statistics, 2021, 39, (1), 69-81 View citations (29)

2020

4. Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression
   Oxford Bulletin of Economics and Statistics, 2020, 82, (2), 425-452 View citations (15)

2019

5. A comment on ‘on inflation expectations in the NKPC model’
   Empirical Economics, 2019, 57, (6), 1865-1867

2018

6. Data†Driven Identification Constraints for DSGE Models
   Oxford Bulletin of Economics and Statistics, 2018, 80, (2), 236-258

2017

7. A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations
   Journal of Money, Credit and Banking, 2017, 49, (5), 969-995 View citations (3)
8. Identification and estimation of non-Gaussian structural vector autoregressions
   Journal of Econometrics, 2017, 196, (2), 288-304 View citations (100)
   See also Working Paper Identification and estimation of non-Gaussian structural vector autoregressions, CREATES Research Papers (2015) View citations (13) (2015)

2016

9. Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models
   Oxford Bulletin of Economics and Statistics, 2016, 78, (4), 595-603 View citations (103)
   See also Working Paper Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models, CREATES Research Papers (2014) View citations (14) (2014)
10. Noncausal Bayesian Vector Autoregression
    Journal of Applied Econometrics, 2016, 31, (7), 1392-1406 View citations (3)
    See also Working Paper Noncausal Bayesian Vector Autoregression, CREATES Research Papers (2014) View citations (6) (2014)

2015

11. Noncausality and inflation persistence
    Studies in Nonlinear Dynamics & Econometrics, 2015, 19, (4), 469-481 View citations (2)
    See also Working Paper Noncausality and Inflation Persistence, Discussion Papers of DIW Berlin (2013) (2013)

2014

12. Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?
    Oxford Bulletin of Economics and Statistics, 2014, 76, (5), 715-726 View citations (3)
    See also Working Paper Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation?, MPRA Paper (2012) View citations (1) (2012)

2013

13. Autoregression-based estimation of the new Keynesian Phillips curve
    Journal of Economic Dynamics and Control, 2013, 37, (3), 561-570 View citations (14)
    See also Working Paper Autoregression-Based Estimation of the New Keynesian Phillips Curve, MPRA Paper (2011) View citations (2) (2011)
14. NONCAUSAL VECTOR AUTOREGRESSION
    Econometric Theory, 2013, 29, (3), 447-481 View citations (52)
    See also Working Paper Noncausal Vector Autoregression, MPRA Paper (2010) View citations (4) (2010)
15. Overnight stock returns and realized volatility
    International Journal of Forecasting, 2013, 29, (4), 592-604 View citations (35)
16. THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY
    International Journal of Finance & Economics, 2013, 18, (4), 339-351 View citations (5)
17. Testing for Linear and Nonlinear Predictability of Stock Returns
    Journal of Financial Econometrics, 2013, 11, (4), 682-705 View citations (4)

2012

18. BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS
    Journal of Applied Econometrics, 2012, 27, (5), 812-830 View citations (23)
    See also Working Paper Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models, MPRA Paper (2009) View citations (5) (2009)
19. Does noncausality help in forecasting economic time series?
    Economics Bulletin, 2012, 32, (4), 2849-2859 View citations (19)
20. Has US inflation really become harder to forecast?
    Economics Letters, 2012, 115, (3), 383-386 View citations (5)
    See also Working Paper Has U.S. Inflation Really Become Harder to Forecast?, MPRA Paper (2010) View citations (1) (2010)
21. Optimal forecasting of noncausal autoregressive time series
    International Journal of Forecasting, 2012, 28, (3), 623-631 View citations (45)
    See also Working Paper Optimal Forecasting of Noncausal Autoregressive Time Series, MPRA Paper (2010) View citations (11) (2010)

2011

22. GMM Estimation with Non‐causal Instruments
    Oxford Bulletin of Economics and Statistics, 2011, 73, (5), 581-592 View citations (3)
    See also Working Paper GMM Estimation with Noncausal Instruments, MPRA Paper (2009) View citations (4) (2009)
23. Noncausal Autoregressions for Economic Time Series
    Journal of Time Series Econometrics, 2011, 3, (3), 32 View citations (75)
    See also Working Paper Noncausal autoregressions for economic time series, MPRA Paper (2010) View citations (7) (2010)

2010

24. Structural Vector Autoregressions With Nonnormal Residuals
    Journal of Business & Economic Statistics, 2010, 28, (1), 159-168 View citations (180)
    See also Working Paper Structural Vector Autoregressions with Nonnormal Residuals, CESifo Working Paper Series (2006) View citations (3) (2006)
25. Structural vector autoregressions with Markov switching
    Journal of Economic Dynamics and Control, 2010, 34, (2), 121-131 View citations (187)
    See also Working Paper Structural Vector Autoregressions with Markov Switching, Economics Working Papers (2009) View citations (10) (2009)
26. The effect of a transaction tax on exchange rate volatility
    International Journal of Finance & Economics, 2010, 15, (2), 123-133 View citations (14)
    See also Working Paper The effect of a transaction tax on exchange rate volatility, Bank of Finland Research Discussion Papers (2006) (2006)

2009

27. A naïve sticky information model of households' inflation expectations
    Journal of Economic Dynamics and Control, 2009, 33, (6), 1332-1344 View citations (28)
    See also Working Paper A Naïve Sticky Information Model of Households’ Inflation Expectations, MPRA Paper (2008) View citations (9) (2008)
28. Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times
    Studies in Nonlinear Dynamics & Econometrics, 2009, 14, (1), 38 View citations (15)
    See also Working Paper Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times, MPRA Paper (2008) View citations (8) (2008)
29. Joint modeling of call and put implied volatility
    International Journal of Forecasting, 2009, 25, (2), 239-258 View citations (7)
    See also Working Paper Joint Modeling of Call and Put Implied Volatility, MPRA Paper (2007) View citations (2) (2007)
30. Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases
    Economics Bulletin, 2009, 29, (3), 2231-2240 View citations (5)

2008

31. Identifying Monetary Policy Shocks via Changes in Volatility
    Journal of Money, Credit and Banking, 2008, 40, (6), 1131-1149 View citations (53)
    Also in Journal of Money, Credit and Banking, 2008, 40, (6), 1131-1149 (2008) View citations (140)
    See also Working Paper Identifying Monetary Policy Shocks via Changes in Volatility, Economics Working Papers (2006) View citations (4) (2006)
32. Robustness of the risk-return relationship in the U.S. stock market
    Finance Research Letters, 2008, 5, (2), 118-127 View citations (5)
    See also Working Paper Robustness of the Risk-Return Relationship in the U.S. Stock Market, MPRA Paper (2007) View citations (3) (2007)

2007

33. A Multivariate Generalized Orthogonal Factor GARCH Model
    Journal of Business & Economic Statistics, 2007, 25, 61-75 View citations (79)
    See also Working Paper A Multivariate Generalized Orthogonal Factor GARCH Model, MPRA Paper (2005) View citations (6) (2005)
34. Forecasting realized exchange rate volatility by decomposition
    International Journal of Forecasting, 2007, 23, (2), 307-320 View citations (16)
35. Modeling Conditional Skewness in Stock Returns
    The European Journal of Finance, 2007, 13, (8), 691-704 View citations (15)
    See also Working Paper Modeling Conditional Skewness in Stock Returns, Economics Working Papers (2005) View citations (2) (2005)

2006

36. A Mixture Multiplicative Error Model for Realized Volatility
    Journal of Financial Econometrics, 2006, 4, (4), 594-616 View citations (38)
    See also Working Paper A Mixture Multiplicative Error Model for Realized Volatility, Economics Working Papers (2006) View citations (38) (2006)
37. Nonlinear dynamics of interest rate and inflation
    Journal of Applied Econometrics, 2006, 21, (8), 1157-1168 View citations (30)
    Also in Journal of Applied Econometrics, 2006, 21, (8), 1157-1168 (2006) View citations (4)
    See also Working Paper Nonlinear dynamics of interest rate and inflation, Macroeconomics (2004) View citations (6) (2004)
38. Why is it so difficult to uncover the risk-return tradeoff in stock returns?
    Economics Letters, 2006, 92, (1), 118-125 View citations (33)

2005

39. Non-linear GARCH models for highly persistent volatility
    Econometrics Journal, 2005, 8, (2), 251-276 View citations (27)
    See also Working Paper Nonlinear GARCH models for highly persistent volatility, SFB 373 Discussion Papers (2002) View citations (1) (2002)

2004

40. Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028
    The Energy Journal, 2004, 25, (4), 41-65 View citations (2)
    Also in The Energy Journal, 2004, Volume 25, (Number 4), 41-66 (2004) View citations (47)
    See also Working Paper Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028, Working Papers (2003) (2003)

2003

41. Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
    Journal of Financial Econometrics, 2003, 1, (1), 96-125 View citations (29)
    See also Working Paper Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes, CeNDEF Workshop Papers, January 2001 (2001) (2001)
42. Reducing size distortions of parametric stationarity tests
    Journal of Time Series Analysis, 2003, 24, (4), 423-439 View citations (5)
    See also Working Paper Reducing size distortions of parametric stationarity tests, SFB 373 Discussion Papers (2000) View citations (1) (2000)
43. 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 (65)
    See also Working Paper Test procedures for unit roots in time series with level shifts at unknown time, SFB 373 Discussion Papers (2001) View citations (28) (2001)
44. Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift
    Manchester School, 2003, 71, (s1), 54-67 View citations (5)
    See also Working Paper 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 (2000) View citations (2) (2000)

2002

45. Comparison of unit root tests for time series with level shifts
    Journal of Time Series Analysis, 2002, 23, (6), 667-685 View citations (146)
    See also Working Paper Comparison of Unit Root Tests for Time Series with Level Shifts, MPRA Paper (2002) View citations (221) (2002)
46. Testing The Predictability Of Stock Returns
    The Review of Economics and Statistics, 2002, 84, (3), 407-415 View citations (52)
    See also Working Paper Testing the Predictability of Stock Returns, University of Helsinki, Department of Economics (2000) View citations (7) (2000)
47. Threshold Autoregressions for Strongly Autocorrelated Time Series
    Journal of Business & Economic Statistics, 2002, 20, (2), 282-89 View citations (16)
    See also Working Paper Threshold Autoregression for Strongly Autocorrelated Time Series, University of Helsinki, Department of Economics (2000) (2000)
48. Unit root tests for time series with level shifts: a comparison of different proposals
    Economics Letters, 2002, 75, (1), 109-114 View citations (137)
    See also Working Paper Unit root tests for time series with level shifts: A comparison of different proposals, SFB 373 Discussion Papers (2001) View citations (3) (2001)

2001

49. 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 (29)

2000

50. Near unit roots, cointegration, and the term structure of interest rates
    Journal of Applied Econometrics, 2000, 15, (5), 513-529 View citations (37)

1999

51. 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 (23)

1995

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

Chapters

2022

1. Statistical Identification of Economic Shocks by Signs in Structural Vector Autoregression
   A chapter in Essays in Honour of Fabio Canova, 2022, vol. 44A, pp 165-175