1

Structural Vector Autoregressions With Nonnormal Residuals

Lanne, Markku, Lütkepohl, Helmut
Journal:
Journal of Business and Economic Statistics
Year:
2010
Language:
english
File:
PDF, 241 KB
english, 2010
3

The effect of a transaction tax on exchange rate volatility

Markku Lanne, Timo Vesala
Journal:
International Journal of Finance & Economics
Year:
2010
Language:
english
File:
PDF, 139 KB
english, 2010
4

Nonlinear dynamics of interest rate and inflation

Markku Lanne
Journal:
Journal of Applied Econometrics
Year:
2006
Language:
english
File:
PDF, 142 KB
english, 2006
5

Identifying Monetary Policy Shocks via Changes in Volatility

MARKKU LANNE, HELMUT LÜTKEPOHL
Journal:
Journal of Money, Credit and Banking
Year:
2008
Language:
english
File:
PDF, 272 KB
english, 2008
6

A Multivariate Generalized Orthogonal Factor GARCH Model

Lanne, Markku, Saikkonen, Pentti
Journal:
Journal of Business and Economic Statistics
Year:
2007
Language:
english
File:
PDF, 502 KB
english, 2007
8

Reducing size distortions of parametric stationarity tests

MARKKU LANNE, PENTTI SAIKKONEN
Journal:
Journal of Time Series Analysis
Year:
2003
Language:
english
File:
PDF, 143 KB
english, 2003
11

BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS

Markku Lanne, Arto Luoma, Jani Luoto
Journal:
Journal of Applied Econometrics
Year:
2012
Language:
english
File:
PDF, 199 KB
english, 2012
12

A Multivariate Generalized Orthogonal Factor GARCH Model

Markku Lanne and Pentti Saikkonen
Journal:
Journal of Business and Economic Statistics
Year:
2007
Language:
english
File:
PDF, 2.08 MB
english, 2007
15

Noncausal Autoregressions for Economic Time Series

Lanne, Markku, Saikkonen, Pentti
Journal:
Journal of Time Series Econometrics
Year:
2011
Language:
english
File:
PDF, 621 KB
english, 2011
20

Near unit roots, cointegration, and the term structure of interest rates

Markku Lanne
Journal:
Journal of Applied Econometrics
Year:
2000
Language:
english
File:
PDF, 180 KB
english, 2000
24

Non-linear GARCH models for highly persistent volatility

Markku Lanne, Pentti Saikkonen
Journal:
The Econometrics Journal
Year:
2005
Language:
english
File:
PDF, 398 KB
english, 2005
25

GMM Estimation with Non-causal Instruments

Markku Lanne, Pentti Saikkonen
Journal:
Oxford Bulletin of Economics and Statistics
Year:
2011
Language:
english
File:
PDF, 598 KB
english, 2011
26

Forecasting realized exchange rate volatility by decomposition

Markku Lanne
Journal:
International Journal of Forecasting
Year:
2007
Language:
english
File:
PDF, 851 KB
english, 2007
27

Joint modeling of call and put implied volatility

Katja Ahoniemi, Markku Lanne
Journal:
International Journal of Forecasting
Year:
2009
Language:
english
File:
PDF, 3.37 MB
english, 2009
28

Optimal forecasting of noncausal autoregressive time series

Markku Lanne, Jani Luoto, Pentti Saikkonen
Journal:
International Journal of Forecasting
Year:
2012
Language:
english
File:
PDF, 291 KB
english, 2012
29

Why is it so difficult to uncover the risk–return tradeoff in stock returns?

Markku Lanne, Pentti Saikkonen
Journal:
Economics Letters
Year:
2006
Language:
english
File:
PDF, 265 KB
english, 2006
30

Has US inflation really become harder to forecast?

Markku Lanne, Jani Luoto
Journal:
Economics Letters
Year:
2012
Language:
english
File:
PDF, 192 KB
english, 2012
31

Robustness of the risk–return relationship in the U.S. stock market

Markku Lanne, Jani Luoto
Journal:
Finance Research Letters
Year:
2008
Language:
english
File:
PDF, 135 KB
english, 2008
32

Unit root tests for time series with level shifts: a comparison of different proposals

Markku Lanne, Helmut Lütkepohl
Journal:
Economics Letters
Year:
2002
Language:
english
File:
PDF, 49 KB
english, 2002
33

Modeling Conditional Skewness in Stock Returns

Lanne, Markku, Pentti, Saikkonen
Journal:
European Journal of Finance
Year:
2007
Language:
english
File:
PDF, 215 KB
english, 2007
34

Overnight stock returns and realized volatility

Ahoniemi, Katja, Lanne, Markku
Journal:
International Journal of Forecasting
Year:
2013
Language:
english
File:
PDF, 454 KB
english, 2013
36

Autoregression-based estimation of the new Keynesian Phillips curve

Lanne, Markku, Luoto, Jani
Journal:
Journal of Economic Dynamics and Control
Year:
2013
Language:
english
File:
PDF, 316 KB
english, 2013
39

Testing the Predictability of Stock Returns

Lanne, Markku
Journal:
Review of Economics and Statistics
Year:
2002
Language:
english
File:
PDF, 103 KB
english, 2002
41

Noncausality and inflation persistence

Lanne, Markku
Journal:
Studies in Nonlinear Dynamics and Econometrics
Year:
2014
Language:
english
File:
PDF, 541 KB
english, 2014
42

Testing the Predictability of Stock Returns

Markku Lanne
Journal:
Review of Economics and Statistics
Year:
2002
Language:
english
File:
PDF, 451 KB
english, 2002
43

NONCAUSAL VECTOR AUTOREGRESSION

Lanne, Markku, Saikkonen, Pentti
Journal:
Econometric Theory
Year:
2013
Language:
english
File:
PDF, 304 KB
english, 2013
44

Identifying Monetary Policy Shocks via Changes in Volatility

Markku Lanne and Helmut Lütkepohl
Journal:
Journal of Money, Credit and Banking
Year:
2008
Language:
english
File:
PDF, 2.56 MB
english, 2008
45

Noncausal Bayesian Vector Autoregression

Lanne, Markku, Luoto, Jani
Journal:
Journal of Applied Econometrics
Year:
2016
Language:
english
File:
PDF, 190 KB
english, 2016
46

Nonlinear Dynamics of Interest Rate and Inflation

Markku Lanne
Journal:
Journal of Applied Econometrics
Year:
2006
Language:
english
File:
PDF, 1.66 MB
english, 2006
47

Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028

Markku Lanne and Matti Liski
Journal:
The Energy Journal
Year:
2004
Language:
english
File:
PDF, 2.00 MB
english, 2004
49

Non-linear GARCH models for highly persistent volatility

Markku Lanne and Pentti Saikkonen
Journal:
The Econometrics Journal
Year:
2005
Language:
english
File:
PDF, 2.35 MB
english, 2005
50

Near Unit Roots, Cointegration, and the Term Structure of Interest Rates

Markku Lanne
Journal:
Journal of Applied Econometrics
Year:
2000
Language:
english
File:
PDF, 506 KB
english, 2000