Markku Lanne

University of Helsinki - Faculty of Social Sciences

P.O. Box 17 (Arkadiankatu 7)

Helsinki, 00014

Finland

http://https://blogs.helsinki.fi/lanne/

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 20,884

SSRN RANKINGS

Top 20,884

in Total Papers Downloads

3,012

SSRN CITATIONS
Rank 5,461

SSRN RANKINGS

Top 5,461

in Total Papers Citations

63

CROSSREF CITATIONS

186

Scholarly Papers (29)

1.

Nonlinear GARCH Models for Highly Persistent Volatility

Number of pages: 43 Posted: 20 Feb 2002
Markku Lanne and Pentti Saikkonen
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Department of Statistics
Downloads 369 (101,064)
Citation 4

Abstract:

Loading...

nonlinear GARCH models, volatility persistence, exchange rates

2.

Overnight Stock Returns and Realized Volatility

International Journal of Forecasting, Forthcoming
Number of pages: 27 Posted: 19 Oct 2011 Last Revised: 26 Mar 2013
Katja Ahoniemi and Markku Lanne
Imperial College Business School and University of Helsinki - Faculty of Social Sciences
Downloads 344 (109,357)
Citation 9

Abstract:

Loading...

3.

Nonlinear Dynamics of Interest Rate and Inflation

Bank of Finland Working Paper No. 21/2002
Number of pages: 31 Posted: 27 Jan 2003
Markku Lanne
University of Helsinki - Faculty of Social Sciences
Downloads 313 (121,229)
Citation 15

Abstract:

Loading...

nonlinear models, interest rate, inflation, cointegration analysis

4.

Joint Modeling of Call and Put Implied Volatility

Number of pages: 26 Posted: 29 Nov 2007 Last Revised: 27 Jul 2008
Katja Ahoniemi and Markku Lanne
Imperial College Business School and University of Helsinki - Faculty of Social Sciences
Downloads 231 (164,971)
Citation 4

Abstract:

Loading...

5.

Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis

CESifo Working Paper Series No. 2407
Number of pages: 20 Posted: 03 Oct 2008
Markku Lanne and Helmut Luetkepohl
University of Helsinki - Faculty of Social Sciences and European University Institute
Downloads 211 (179,816)
Citation 10

Abstract:

Loading...

cointegration, Markov regime switching model, vector error correction model, structural vector autoregression, mixed normal distribution

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes

Number of pages: 34 Posted: 05 Jul 2001
Markku Lanne and Pentti Saikkonen
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Department of Statistics
Downloads 211 (179,553)
Citation 3

Abstract:

Loading...

mixture model, volatility, interest rate

Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes

Journal of Financial Econometrics, Vol. 1, No. 1, pp. 96-125, 2003
Posted: 29 Feb 2008
Markku Lanne and Pentti Saikkonen
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Department of Statistics

Abstract:

Loading...

7.

The Effect of a Transaction Tax on Exchange Rate Volatility

Bank of Finland Research Discussion Paper No. 11/2006
Number of pages: 25 Posted: 03 Oct 2007
Markku Lanne and Timo Vesala
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Department of Political and Economic Studies
Downloads 204 (185,509)
Citation 19

Abstract:

Loading...

transaction tax, exchange rates, volatility

8.

Structural Vector Autoregressions with Nonnormal Residuals

CESifo Working Paper Series No. 1651
Number of pages: 30 Posted: 23 Feb 2006
Markku Lanne and Helmut Luetkepohl
University of Helsinki - Faculty of Social Sciences and European University Institute
Downloads 148 (244,940)
Citation 2

Abstract:

Loading...

mixture normal distribution, cointegration, vector autoregressive process, vector error correction model, impulse responses

9.

Time-Varying Mixture Multiplicative Error Models for Implied Volatility

Number of pages: 37 Posted: 25 Jul 2008 Last Revised: 07 Jun 2011
Katja Ahoniemi and Markku Lanne
Imperial College Business School and University of Helsinki - Faculty of Social Sciences
Downloads 143 (251,785)
Citation 1

Abstract:

Loading...

10.

Realized Volatility and Overnight Returns

Bank of Finland Research Discussion Paper No. 19/2010
Number of pages: 27 Posted: 17 Feb 2011
Katja Ahoniemi and Markku Lanne
Imperial College Business School and University of Helsinki - Faculty of Social Sciences
Downloads 133 (266,451)
Citation 1

Abstract:

Loading...

realized volatility, forecasting

Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift

Bank of Finland Research Discussion Paper No. 20/1999
Number of pages: 19 Posted: 14 Oct 2007
Markku Lanne
University of Helsinki - Faculty of Social Sciences
Downloads 94 (341,917)
Citation 2

Abstract:

Loading...

peso problem, TAR models, term structure of interest rates

Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift

Number of pages: 14 Posted: 04 Oct 2003
Markku Lanne
University of Helsinki - Faculty of Social Sciences
Downloads 25 (619,839)
  • Add to Cart

Abstract:

Loading...

12.

Identifying Monetary Policy Shocks Via Changes in Volatility

CESifo Working Paper Series No. 1744
Number of pages: 26 Posted: 14 Jul 2006
Markku Lanne and Helmut Luetkepohl
University of Helsinki - Faculty of Social Sciences and European University Institute
Downloads 111 (303,810)
Citation 5

Abstract:

Loading...

monetary policy, structural vector autoregressive analysis, vector autoregressive

13.

Noncausal Vector Autoregression

Bank of Finland Research Discussion Paper No. 18/2009
Number of pages: 66 Posted: 17 Aug 2009
Markku Lanne and Pentti Saikkonen
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Department of Statistics
Downloads 94 (339,285)
Citation 15

Abstract:

Loading...

elliptic distribution, fiscal foresight, maximum likelihood estimation, noncausal, nonfundamentalness, non-Gaussian, term structure of interest rates

14.

Modeling Expectations with Noncausal Autoregressions

Number of pages: 42 Posted: 07 Aug 2008
Markku Lanne and Pentti Saikkonen
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Department of Statistics
Downloads 72 (397,405)
Citation 5

Abstract:

Loading...

Noncausal autoregressive model, forward-looking dynamics, inflation dynamics

15.

Optimal Forecasting of Noncausal Autoregressive Time Series

HEER (Helsinki Center of Economic Research) Discussion Paper No. 286
Number of pages: 30 Posted: 06 Mar 2010
Markku Lanne, Jani Luoto and Pentti Saikkonen
University of Helsinki - Faculty of Social Sciences, University of Helsinki - Faculty of Social Sciences and University of Helsinki - Department of Statistics
Downloads 66 (416,427)
Citation 2

Abstract:

Loading...

Noncausal autoregression, density forecast, inflation

16.

Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models

HECER Discussion Paper No. 273
Number of pages: 31 Posted: 16 Oct 2009
Markku Lanne, Arto Luoma and Jani Luoto
University of Helsinki - Faculty of Social Sciences, Tampere University and University of Helsinki - Faculty of Social Sciences
Downloads 50 (474,618)
Citation 2

Abstract:

Loading...

noncausality, autoregression, Bayesian model selection, forecasting

17.

GMM Estimation with Noncausal Instruments

HECER Discussion Paper No. 274
Number of pages: 16 Posted: 16 Oct 2009
Pentti Saikkonen and Markku Lanne
University of Helsinki - Department of Statistics and University of Helsinki - Faculty of Social Sciences
Downloads 40 (518,723)

Abstract:

Loading...

noncausal autoregression, instrumental variables, test of overidentifying restrictions

18.

A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation

DIW Berlin Discussion Paper No. 1285
Number of pages: 41 Posted: 27 Mar 2013
Markku Lanne and Jani Luoto
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Faculty of Social Sciences
Downloads 39 (523,537)

Abstract:

Loading...

19.

Noncausality and Inflation Persistence

DIW Berlin Discussion Paper No. 1286
Number of pages: 29 Posted: 27 Mar 2013
Markku Lanne
University of Helsinki - Faculty of Social Sciences
Downloads 34 (548,884)

Abstract:

Loading...

20.

Reducing Size Distortions of Parametric Stationarity Tests

Number of pages: 17 Posted: 29 Sep 2003
Markku Lanne and Pentti Saikkonen
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Department of Statistics
Downloads 27 (589,097)
  • Add to Cart

Abstract:

Loading...

21.

Comparison of Unit Root Tests for Time Series with Level Shifts

Number of pages: 19 Posted: 14 Feb 2003
University of Helsinki - Faculty of Social Sciences, European University Institute and University of Helsinki - Department of Statistics
Downloads 25 (602,015)
  • Add to Cart

Abstract:

Loading...

22.

Identifying Structural Vector Autoregression via Large Economic Shocks

Number of pages: 50 Posted: 27 Aug 2021
Markku Lanne, Keyan Liu and Jani Luoto
University of Helsinki - Faculty of Social Sciences, University of Helsinki - Faculty of Social Sciences and affiliation not provided to SSRN
Downloads 15 (672,476)

Abstract:

Loading...

Generalized method of moments, Non-Gaussian time series, Structural vector autoregression, Gasoline tax, Carbon dioxide emissions

23.

Nonparametric Impulse Response Analysis in Changing Macroeconomic Conditions

Number of pages: 29 Posted: 09 Aug 2021
Henri Nyberg and Markku Lanne
University of Turku and University of Helsinki - Faculty of Social Sciences
Downloads 5 (750,555)

Abstract:

Loading...

Nonparametrics, nearest neighbors, generalized impulse response function, similarity, structural vector autoregression

24.

GMM Estimation with Non‐Causal Instruments

Oxford Bulletin of Economics and Statistics, Vol. 73, Issue 5, pp. 581-592, 2011
Number of pages: 12 Posted: 16 Sep 2011
Markku Lanne and Pentti Saikkonen
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Department of Statistics
Downloads 4 (758,283)
  • Add to Cart

Abstract:

Loading...

25.

Statistically identified SVAR model with potentially skewed and fat-tailed errors

Number of pages: 36 Posted: 20 Sep 2021
Jetro Anttonen, Markku Lanne and Jani Luoto
University of Helsinki - Faculty of Social Sciences, University of Helsinki - Faculty of Social Sciences and affiliation not provided to SSRN
Downloads 3 (766,297)

Abstract:

Loading...

Structural vector autoregression, non-Gaussian time series, narrative sign restrictions, monetary policy

26.

Data‐Driven Identification Constraints for DSGE Models

Oxford Bulletin of Economics and Statistics, Vol. 80, Issue 2, pp. 236-258, 2018
Number of pages: 23 Posted: 26 Feb 2018
Markku Lanne and Jani Luoto
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Faculty of Social Sciences
Downloads 1 (787,313)
  • Add to Cart

Abstract:

Loading...

27.

Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression

Oxford Bulletin of Economics and Statistics, Vol. 82, Issue 2, pp. 425-452, 2020
Number of pages: 28 Posted: 02 Jun 2020
Markku Lanne and Jani Luoto
University of Helsinki - Faculty of Social Sciences and affiliation not provided to SSRN
Downloads 0 (804,313)
  • Add to Cart

Abstract:

Loading...

28.

Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

Oxford Bulletin of Economics and Statistics, Vol. 78, Issue 4, pp. 595-603, 2016
Number of pages: 9 Posted: 06 Jul 2016
Markku Lanne and Henri Nyberg
University of Helsinki - Faculty of Social Sciences and University of Turku
Downloads 0 (804,313)
Citation 12
  • Add to Cart

Abstract:

Loading...

29.

Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?

Oxford Bulletin of Economics and Statistics, Vol. 76, Issue 5, pp. 715-726, 2014
Number of pages: 12 Posted: 27 Aug 2014
Markku Lanne and Jani Luoto
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Faculty of Social Sciences
Downloads 0 (804,313)
  • Add to Cart

Abstract:

Loading...