Markku Lanne
Names
| first: |
Markku |
| last: |
Lanne |
Identifer
Contact
Affiliations
-
Helsingin Yliopisto
/ Valtiotieteellinen tiedekunta
/ Politiikan ja Talouden Tutkimuksen Laitos
Research profile
author of:
- Noncausal Bayesian Vector Autoregression (RePEc:aah:create:2014-07)
by Markku Lanne & Jani Luoto - Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models (RePEc:aah:create:2014-17)
by Markku Lanne & Henri Nyberg - Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? (RePEc:aah:create:2014-26)
by Markku Lanne & Jani Luoto & Henri Nyberg - Identification and estimation of non-Gaussian structural vector autoregressions (RePEc:aah:create:2015-16)
by Markku Lanne & Mika Meitz & Pentti Saikkonen - Nonlinear dynamic interrelationships between real activity and stock returns (RePEc:aah:create:2015-36)
by Markku Lanne & Henri Nyberg - Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints (RePEc:aah:create:2015-37)
by Markku Lanne & Jani Luoto - Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression (RePEc:aah:create:2016-04)
by Markku Lanne & Jani Luoto - Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 (RePEc:aen:journl:2004v25-04-a03)
by Markku Lanne and Matti Liski - Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes (RePEc:ams:cdws01:po5)
by Markku Lanne & Pentti Saikkonen - A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks (RePEc:arx:papers:2403.14216)
by Markku Lanne & Savi Virolainen - Threshold Autoregressions for Strongly Autocorrelated Time Series (RePEc:bes:jnlbes:v:20:y:2002:i:2:p:282-89)
by Lanne, Markku & Saikkonen, Pentti - A Multivariate Generalized Orthogonal Factor GARCH Model (RePEc:bes:jnlbes:v:25:y:2007:p:61-75)
by Lanne, Markku & Saikkonen, Pentti - Structural Vector Autoregressions With Nonnormal Residuals (RePEc:bes:jnlbes:v:28:i:1:y:2010:p:159-168)
by Lanne, Markku & Lütkepohl, Helmut - Comparison of unit root tests for time series with level shifts (RePEc:bla:jtsera:v:23:y:2002:i:6:p:667-685)
by Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen - Reducing size distortions of parametric stationarity tests (RePEc:bla:jtsera:v:24:y:2003:i:4:p:423-439)
by Markku Lanne & Pentti Saikkonen - Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift (RePEc:bla:manchs:v:71:y:2003:i:s1:p:54-67)
by Markku Lanne - Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time (RePEc:bla:obuest:v:65:y:2003:i:1:p:91-115)
by Markku Lanne & Helmut Lütkepohl & Pentti Saikkonen - GMM Estimation with Non‐causal Instruments (RePEc:bla:obuest:v:73:y:2011:i:5:p:581-592)
by Markku Lanne & Pentti Saikkonen - Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation? (RePEc:bla:obuest:v:76:y:2014:i:5:p:715-726)
by Markku Lanne & Jani Luoto - Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models (RePEc:bla:obuest:v:78:y:2016:i:4:p:595-603)
by Markku Lanne & Henri Nyberg - Data†Driven Identification Constraints for DSGE Models (RePEc:bla:obuest:v:80:y:2018:i:2:p:236-258)
by Markku Lanne & Jani Luoto - Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression (RePEc:bla:obuest:v:82:y:2020:i:2:p:425-452)
by Markku Lanne & Jani Luoto - Noncausal Autoregressions for Economic Time Series (RePEc:bpj:jtsmet:v:3:y:2011:i:3:n:2)
by Lanne Markku & Saikkonen Pentti - Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times (RePEc:bpj:sndecm:v:14:y:2009:i:1:n:5)
by Laakkonen Helinä & Lanne Markku - Noncausality and inflation persistence (RePEc:bpj:sndecm:v:19:y:2015:i:4:p:469-481:n:2)
by Lanne Markku - Structural Vector Autoregressions with Nonnormal Residuals (RePEc:ces:ceswps:_1651)
by Markku Lanne & Helmut Lütkepohl - Identifying Monetary Policy Shocks via Changes in Volatility (RePEc:ces:ceswps:_1744)
by Markku Lanne & Helmut Lütkepohl - Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis (RePEc:ces:ceswps:_2407)
by Markku Lanne & Helmut Lütkepohl - Noncausal Vector Autoregression (RePEc:cup:etheor:v:29:y:2013:i:03:p:447-481_00)
by Lanne, Markku & Saikkonen, Pentti - A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation (RePEc:diw:diwwpp:dp1285)
by Markku Lanne & Jani Luoto - Noncausality and Inflation Persistence (RePEc:diw:diwwpp:dp1286)
by Markku Lanne - Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases (RePEc:ebl:ecbull:eb-08e00021)
by Markku Lanne - Does noncausality help in forecasting economic time series? (RePEc:ebl:ecbull:eb-12-00360)
by Henri Nyberg & Markku Lanne & Erkka Saarinen - A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns (RePEc:ecm:nasm04:469)
by Pentti Saikkonen & Markku Lanne - Non-linear GARCH models for highly persistent volatility (RePEc:ect:emjrnl:v:8:y:2005:i:2:p:251-276)
by Markku Lanne & Pentti Saikkonen - A naïve sticky information model of households' inflation expectations (RePEc:eee:dyncon:v:33:y:2009:i:6:p:1332-1344)
by Lanne, Markku & Luoma, Arto & Luoto, Jani - Structural vector autoregressions with Markov switching (RePEc:eee:dyncon:v:34:y:2010:i:2:p:121-131)
by Lanne, Markku & Lütkepohl, Helmut & Maciejowska, Katarzyna - Autoregression-based estimation of the new Keynesian Phillips curve (RePEc:eee:dyncon:v:37:y:2013:i:3:p:561-570)
by Lanne, Markku & Luoto, Jani - Has US inflation really become harder to forecast? (RePEc:eee:ecolet:v:115:y:2012:i:3:p:383-386)
by Lanne, Markku & Luoto, Jani - Unit root tests for time series with level shifts: a comparison of different proposals (RePEc:eee:ecolet:v:75:y:2002:i:1:p:109-114)
by Lanne, Markku & Lutkepohl, Helmut - Why is it so difficult to uncover the risk-return tradeoff in stock returns? (RePEc:eee:ecolet:v:92:y:2006:i:1:p:118-125)
by Lanne, Markku & Saikkonen, Pentti - Identification and estimation of non-Gaussian structural vector autoregressions (RePEc:eee:econom:v:196:y:2017:i:2:p:288-304)
by Lanne, Markku & Meitz, Mika & Saikkonen, Pentti - Robustness of the risk-return relationship in the U.S. stock market (RePEc:eee:finlet:v:5:y:2008:i:2:p:118-127)
by Lanne, Markku & Luoto, Jani - Forecasting realized exchange rate volatility by decomposition (RePEc:eee:intfor:v:23:y:2007:i:2:p:307-320)
by Lanne, Markku - Joint modeling of call and put implied volatility (RePEc:eee:intfor:v:25:y:2009:i:2:p:239-258)
by Ahoniemi, Katja & Lanne, Markku - Optimal forecasting of noncausal autoregressive time series (RePEc:eee:intfor:v:28:y:2012:i:3:p:623-631)
by Lanne, Markku & Luoto, Jani & Saikkonen, Pentti - Overnight stock returns and realized volatility (RePEc:eee:intfor:v:29:y:2013:i:4:p:592-604)
by Ahoniemi, Katja & Lanne, Markku - Unknown item RePEc:eme:aeco11:s0731-90532022000044a006 (chapter)
- Statistical Identification of Economic Shocks by Signs in Structural Vector Autoregression (RePEc:eme:aecozz:s0731-90532022000044a006)
by Markku Lanne & Jani Luoto - Modeling Conditional Skewness in Stock Returns (RePEc:eui:euiwps:eco2005/14)
by Markku Lanne & Pentti Saikkonen - The Effect of a Transaction Tax on Exchange Rate Volatility (RePEc:eui:euiwps:eco2005/19)
by Markku Lanne & Timo Vesalay - Structural Vector Autoregressions with Nonnormal Residuals (RePEc:eui:euiwps:eco2005/25)
by Markku Lanne & Helmut Luetkepohl - Forecasting Realized Volatility by Decomposition (RePEc:eui:euiwps:eco2006/20)
by Markku Lanne - Identifying Monetary Policy Shocks via Changes in Volatility (RePEc:eui:euiwps:eco2006/23)
by Markku Lanne, Helmut Luetkepohl - A Mixture Multiplicative Error Model for Realized Volatility (RePEc:eui:euiwps:eco2006/3)
by Markku Lanne - Modeling Expectations with Noncausal Autoregressions (RePEc:eui:euiwps:eco2008/20)
by Markku Lanne & Pentti Saikkonen - A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks (RePEc:eui:euiwps:eco2008/23)
by Markku Lanne & Helmut Luetkepohl - Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis (RePEc:eui:euiwps:eco2008/29)
by Markku Lanne & Helmut Luetkepohl - Structural Vector Autoregressions with Markov Switching (RePEc:eui:euiwps:eco2009/06)
by Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska - Co-integration and the term structure of Finnish short-term interest rates (RePEc:fep:journl:v:8:y:1995:i:1:p:3-16)
by Markku Lanne - Testing the Predictability of Stock Returns (RePEc:fth:helsec:488)
by Lanne, M. - Threshold Autoregression for Strongly Autocorrelated Time Series (RePEc:fth:helsec:489)
by Lanne, M. & Saikkonen, P. - The effect of a transaction tax on exchange rate volatility (RePEc:ijf:ijfiec:v:15:y:2010:i:2:p:123-133)
by Markku Lanne & Timo Vesala - Near unit roots, cointegration, and the term structure of interest rates (RePEc:jae:japmet:v:15:y:2000:i:5:p:513-529)
by Markku Lanne - Nonlinear dynamics of interest rate and inflation (RePEc:jae:japmet:v:21:y:2006:i:8:p:1157-1168)
by Markku Lanne - Testing for Predictability in a Noninvertible ARMA Model (RePEc:koc:wpaper:1225)
by Markku Lanne & Mika Meitz & Pentti Saikkonen - Identifying Monetary Policy Shocks via Changes in Volatility (RePEc:mcb:jmoncb:v:40:y:2008:i:6:p:1131-1149)
by Markku Lanne & Helmut L‹Tkepohl - Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028 (RePEc:mee:wpaper:0302)
by Markku Lanne & Matti Liski - Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes (RePEc:oup:jfinec:v:1:y:2003:i:1:p:96-125)
by Markku Lanne & Pentti Saikkonen - Testing for Linear and Nonlinear Predictability of Stock Returns (RePEc:oup:jfinec:v:11:y:2013:i:4:p:682-705)
by Markku Lanne & Mika Meitz & Pentti Saikkonen - A Mixture Multiplicative Error Model for Realized Volatility (RePEc:oup:jfinec:v:4:y:2006:i:4:p:594-616)
by Markku Lanne - Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models (RePEc:pra:mprapa:23646)
by Lanne, Markku & Luoma, Arto & Luoto, Jani - Optimal Forecasting of Noncausal Autoregressive Time Series (RePEc:pra:mprapa:23648)
by Lanne, Markku & Luoto, Jani & Saikkonen, Pentti - GMM Estimation with Noncausal Instruments (RePEc:pra:mprapa:23649)
by Lanne, Markku & Saikkonen, Pentti - A Multivariate Generalized Orthogonal Factor GARCH Model (RePEc:pra:mprapa:23714)
by Lanne, Markku & Saikkonen, Pentti - Noncausal Vector Autoregression (RePEc:pra:mprapa:23717)
by Lanne, Markku & Saikkonen, Pentti - The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility (RePEc:pra:mprapa:23718)
by Laakkonen, Helinä & Lanne, Markku - Implied Volatility with Time-Varying Regime Probabilities (RePEc:pra:mprapa:23721)
by Lanne, Markku & Ahoniemi, Katja - Autoregression-Based Estimation of the New Keynesian Phillips Curve (RePEc:pra:mprapa:29801)
by Lanne, Markku & Luoto, Jani - Has U.S. Inflation Really Become Harder to Forecast? (RePEc:pra:mprapa:29992)
by Lanne, Markku & Luoto, Jani - Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison (RePEc:pra:mprapa:30254)
by Lanne, Markku & Nyberg, Henri & Saarinen, Erkka - Noncausal autoregressions for economic time series (RePEc:pra:mprapa:32943)
by Lanne, Markku & Saikkonen, Pentti - Testing for predictability in a noninvertible ARMA model (RePEc:pra:mprapa:37151)
by Lanne, Markku & Meitz, Mika & Saikkonen, Pentti - Supplementary appendix to "noncausal vector autoregression" (RePEc:pra:mprapa:37732)
by Lanne, Markku & Saikkonen, Pentti - The Properties of Market-Based and Survey Forecasts for Different Data Releases (RePEc:pra:mprapa:3877)
by Lanne, Markku - Robustness of the Risk-Return Relationship in the U.S. Stock Market (RePEc:pra:mprapa:3879)
by Lanne, Markku & Luoto, Jani - Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation? (RePEc:pra:mprapa:41820)
by Lanne, Markku & Luoto, Jani - Joint Modeling of Call and Put Implied Volatility (RePEc:pra:mprapa:6318)
by Ahoniemi, Katja & Lanne, Markku - Comparison of Unit Root Tests for Time Series with Level Shifts (RePEc:pra:mprapa:76035)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times (RePEc:pra:mprapa:8296)
by Laakkonen, Helinä & Lanne, Markku - Modeling Expectations with Noncausal Autoregressions (RePEc:pra:mprapa:8411)
by Lanne, Markku & Saikkonen, Pentti - A Naïve Sticky Information Model of Households’ Inflation Expectations (RePEc:pra:mprapa:8663)
by Lanne, Markku & Luoma, Arto & Luoto, Jani - Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 (RePEc:sae:enejou:v:25:y:2004:i:4:p:41-65)
by Markku Lanne & Matti Liski - Testing The Expectations Hypothesis Of The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift (RePEc:sce:scecf0:294)
by Markku Lanne - Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect (RePEc:spr:empeco:v:26:y:2001:i:2:p:357-366)
by Markku Lanne - A comment on ‘on inflation expectations in the NKPC model’ (RePEc:spr:empeco:v:57:y:2019:i:6:d:10.1007_s00181-018-1582-9)
by Markku Lanne & Jani Luoto - Modeling Conditional Skewness in Stock Returns (RePEc:taf:eurjfi:v:13:y:2007:i:8:p:691-704)
by Markku Lanne & Saikkonen Pentti - GMM Estimation of Non-Gaussian Structural Vector Autoregression (RePEc:taf:jnlbes:v:39:y:2021:i:1:p:69-81)
by Markku Lanne & Jani Luoto - Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks (RePEc:taf:jnlbes:v:41:y:2023:i:4:p:1341-1351)
by Markku Lanne & Keyan Liu & Jani Luoto - Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates (RePEc:tpr:restat:v:81:y:1999:i:3:p:393-398)
by Markku Lanne - Testing The Predictability Of Stock Returns (RePEc:tpr:restat:v:84:y:2002:i:3:p:407-415)
by Markku Lanne - The Relevance Of Accuracy For The Impact Of Macroeconomic News On Exchange Rate Volatility (RePEc:wly:ijfiec:v:18:y:2013:i:4:p:339-351)
by HelinÄ LaakkOnen & Markku Lanne - Nonlinear dynamics of interest rate and inflation (RePEc:wly:japmet:v:21:y:2006:i:8:p:1157-1168)
by Markku Lanne - Bayesian Model Selection And Forecasting In Noncausal Autoregressive Models (RePEc:wly:japmet:v:27:y:2012:i:5:p:812-830)
by Markku Lanne & Arto Luoma & Jani Luoto - Noncausal Bayesian Vector Autoregression (RePEc:wly:japmet:v:31:y:2016:i:7:p:1392-1406)
by Markku Lanne & Jani Luoto - Statistically identified structural VAR model with potentially skewed and fat‐tailed errors (RePEc:wly:japmet:v:39:y:2024:i:3:p:422-437)
by Jetro Anttonen & Markku Lanne & Jani Luoto - Identifying Monetary Policy Shocks via Changes in Volatility (RePEc:wly:jmoncb:v:40:y:2008:i:6:p:1131-1149)
by Markku Lanne & Helmut Lütkepohl - A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations (RePEc:wly:jmoncb:v:49:y:2017:i:5:p:969-995)
by Markku Lanne & Jani Luoto - Nonlinear dynamics of interest rate and inflation (RePEc:wpa:wuwpma:0405014)
by Markku Lanne - Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift (RePEc:zbw:bofrdp:rdp1999_020)
by Lanne, Markku - Nonlinear dynamics of interest rate and inflation (RePEc:zbw:bofrdp:rdp2002_021)
by Lanne, Markku - Trading Nokia: the roles of the Helsinki vs the New York stock exchanges (RePEc:zbw:bofrdp:rdp2004_026)
by Jokivuolle, Esa & Lanne, Markku - The effect of a transaction tax on exchange rate volatility (RePEc:zbw:bofrdp:rdp2006_011)
by Lanne, Markku & Vesala, Timo - Noncausal vector autoregression (RePEc:zbw:bofrdp:rdp2009_018)
by Lanne, Markku & Saikkonen, Pentti - Realized volatility and overnight returns (RePEc:zbw:bofrdp:rdp2010_019)
by Ahoniemi, Katja & Lanne, Markku - Comparison of unit root tests for time series with level shifts (RePEc:zbw:sfb373:199988)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Reducing size distortions of parametric stationarity tests (RePEc:zbw:sfb373:200012)
by Lanne, Markku & Saikkonen, Pentti - Modeling the US short-term interest rate by mixture autoregressive processes (RePEc:zbw:sfb373:200076)
by Lanne, Markku & Saikkonen, Pentti - Test procedures for unit roots in time series with level shifts at unknown time (RePEc:zbw:sfb373:200139)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Unit root tests for time series with level shifts: A comparison of different proposals (RePEc:zbw:sfb373:20015)
by Lanne, Markku & Lütkepohl, Helmut - Unit root tests in the presence of innovational outliers (RePEc:zbw:sfb373:200182)
by Lanne, Markku & Lütkepohl, Helmut & Saikkonen, Pentti - Nonlinear GARCH models for highly persistent volatility (RePEc:zbw:sfb373:200220)
by Lanne, Markku & Saikkonen, Pentti