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

30

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3,412

SSRN CITATIONS
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Top 6,127

in Total Papers Citations

63

CROSSREF CITATIONS

152

Scholarly Papers (30)

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 371 (115,326)
Citation 4

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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 369 (116,012)
Citation 9

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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 317 (136,658)
Citation 15

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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 236 (184,029)
Citation 4

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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 219 (197,415)
Citation 3

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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

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6.

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 217 (199,353)
Citation 10

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

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 210 (205,498)
Citation 19

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transaction tax, exchange rates, volatility

8.

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 156 (265,768)
Citation 1

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realized volatility, forecasting

9.

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 153 (269,837)
Citation 2

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

10.

Statistically Identified SVAR Model With Potentially Skewed and Fat-Tailed Errors

Number of pages: 44 Posted: 20 Sep 2021 Last Revised: 09 Mar 2022
Jetro Anttonen, Markku Lanne, Jani Luoto and Jani Luoto
University of Helsinki - Faculty of Social Sciences, University of Helsinki - Faculty of Social Sciences and University of Helsinki - Faculty of Social Sciencesaffiliation not provided to SSRN
Downloads 150 (274,236)

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

11.

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 147 (280,264)
Citation 1

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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 (386,007)
Citation 2

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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 (695,686)

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13.

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 117 (330,954)
Citation 5

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monetary policy, structural vector autoregressive analysis, vector autoregressive

14.

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 96 (377,842)
Citation 15

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

15.

Identifying Structural Vector Autoregression via Large Economic Shocks

Number of pages: 50 Posted: 27 Aug 2021
Markku Lanne, Keyan Liu, Jani Luoto and Jani Luoto
University of Helsinki - Faculty of Social Sciences, University of Helsinki - Faculty of Social Sciences and University of Helsinki - Faculty of Social Sciencesaffiliation not provided to SSRN
Downloads 82 (416,041)

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

16.

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 77 (434,552)
Citation 5

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Noncausal autoregressive model, forward-looking dynamics, inflation dynamics

17.

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
University of Helsinki - Faculty of Social Sciences, University of Helsinki - Faculty of Social Sciencesaffiliation not provided to SSRN and University of Helsinki - Department of Statistics
Downloads 68 (461,171)
Citation 2

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Noncausal autoregression, density forecast, inflation

18.

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, Jani Luoto and Jani Luoto
University of Helsinki - Faculty of Social Sciences, Tampere University and University of Helsinki - Faculty of Social Sciencesaffiliation not provided to SSRN
Downloads 52 (524,216)
Citation 2

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noncausality, autoregression, Bayesian model selection, forecasting

19.

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 43 (566,473)

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noncausal autoregression, instrumental variables, test of overidentifying restrictions

20.

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, Jani Luoto and Jani Luoto
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Faculty of Social Sciencesaffiliation not provided to SSRN
Downloads 41 (576,847)

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21.

Similarity-Augmented Structural Vector Autoregression: The Effects of Forward Guidance Shocks in Different Monetary Policy Conditions

Number of pages: 27 Posted: 16 Jun 2022 Last Revised: 28 Jul 2022
Visa Kuntze, Markku Lanne and Henri Nyberg
University of Turku, University of Helsinki - Faculty of Social Sciences and University of Turku
Downloads 40 (582,068)

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Similarity, structural vector autoregression, nearest neighbours, time-varying parameters

22.

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 40 (582,068)

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23.

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 (661,028)

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24.

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 26 (668,306)

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25.

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 22 (698,986)

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

26.

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 8 (826,944)
Citation 12

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27.

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 7 (837,646)

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28.

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, Jani Luoto and Jani Luoto
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Faculty of Social Sciencesaffiliation not provided to SSRN
Downloads 1 (912,649)

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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, Jani Luoto and Jani Luoto
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Faculty of Social Sciencesaffiliation not provided to SSRN
Downloads 1 (912,649)

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30.

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, Jani Luoto and Jani Luoto
University of Helsinki - Faculty of Social Sciences and University of Helsinki - Faculty of Social Sciencesaffiliation not provided to SSRN
Downloads 0 (928,315)

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