Markku Lanne : Citation Profile

Are you Markku Lanne?

Helsingin Yliopisto

23

H index

34

i10 index

1817

Citations

RESEARCH PRODUCTION:

52

Articles

63

Papers

RESEARCH ACTIVITY:

   26 years (1995 - 2021). See details.
   Cites by year: 69
   Journals where Markku Lanne has often published
   Relations with other researchers
   Recent citing documents: 168.    Total self citations: 48 (2.57 %)

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   Permalink: http://citec.repec.org/pla260
   Updated: 2023-03-25    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Markku Lanne.

Is cited by:

Lütkepohl, Helmut (111)

Netšunajev, Aleksei (55)

Hecq, Alain (45)

Weber, Enzo (27)

Sentana, Enrique (26)

Tiwari, Aviral (20)

Fiorentini, Gabriele (20)

Braun, Robin (20)

Telg, Sean (19)

Saikkonen, Pentti (19)

Milunovich, George (19)

Cites to:

Saikkonen, Pentti (52)

Diebold, Francis (32)

Geweke, John (27)

Bollerslev, Tim (27)

Bauwens, Luc (25)

Campbell, John (24)

Engle, Robert (23)

Luoto, Jani (21)

Koop, Gary (21)

Shiller, Robert (19)

Andersen, Torben (18)

Main data

Where Markku Lanne has published?

Journals with more than one article published# docs
Oxford Bulletin of Economics and Statistics6
International Journal of Forecasting4
The Journal of Financial Econometrics3
Economics Letters3
Journal of Economic Dynamics and Control3
Journal of Applied Econometrics3
Journal of Business & Economic Statistics3
Studies in Nonlinear Dynamics & Econometrics2
Journal of Money, Credit and Banking2
The Review of Economics and Statistics2
Journal of Time Series Analysis2
Empirical Economics2
Journal of Applied Econometrics2
Economics Bulletin2

Working Papers Series with more than one paper published# docs
MPRA Paper / University Library of Munich, Germany21
Economics Working Papers / European University Institute10
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes7
Bank of Finland Research Discussion Papers / Bank of Finland6
CESifo Working Paper Series / CESifo3
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research2

Recent works citing Markku Lanne (2022 and 2021)

YearTitle of citing document
2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07.

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2022Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2021Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

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2021A Bayesian Time-Varying Autoregressive Model for Improved Short- and Long-Term Prediction. (2020). Rugamer, David ; Stocker, Almond ; Berninger, Christoph. In: Papers. RePEc:arx:papers:2006.05750.

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2022Structural Gaussian mixture vector autoregressive model. (2020). Virolainen, Savi. In: Papers. RePEc:arx:papers:2007.04713.

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2021Nonparametric prediction with spatial data. (2020). Hidalgo, Javier ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:2008.04269.

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2022Inference in mixed causal and noncausal models with generalized Students t-distributions. (2020). Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2012.01888.

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2021Dynamic Structural Impact of the COVID-19 Outbreak on the Stock Market and the Exchange Rate: A Cross-country Analysis Among BRICS Nations. (2021). Kumar, Atul ; Banerjee, Indrajit ; Rama, Sheo ; Bhattacharyya, Rupam. In: Papers. RePEc:arx:papers:2102.05554.

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2021State Heterogeneity Analysis of Financial Volatility Using High-Frequency Financial Data. (2021). Kim, Donggyu ; Chun, Dohyun. In: Papers. RePEc:arx:papers:2102.13404.

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2022A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263.

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2021Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.10455.

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2022Gaussian and Students $t$ mixture vector autoregressive model. (2021). Virolainen, Savi. In: Papers. RePEc:arx:papers:2109.13648.

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2021Decoding Causality by Fictitious VAR Modeling. (2021). Hu, Xingwei. In: Papers. RePEc:arx:papers:2111.07465.

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2022Efficiently Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2022). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

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2022Macroeconomic Effect of Uncertainty and Financial Shocks: a non-Gaussian VAR approach. (2022). Palmén, Olli. In: Papers. RePEc:arx:papers:2202.10834.

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2022Evaluation of the credibility of the Brazilian inflation targeting system using mixed causal-noncausal models. (2022). Hecq, Alain ; Voisin, Elisa ; Issler, Joao. In: Papers. RePEc:arx:papers:2205.00924.

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2022Is climate change time reversible?. (2022). Morana, Claudio ; Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2205.07579.

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2022Detecting common bubbles in multivariate mixed causal-noncausal models. (2022). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: Papers. RePEc:arx:papers:2207.11557.

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2022Non-maturing deposits modelling in a Ornstein-Uhlenbeck framework. (2022). Semeraro, Patrizia ; Romeo, Andrea ; Marena, Marina. In: Papers. RePEc:arx:papers:2209.13314.

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2022Spectral estimation for mixed causal-noncausal autoregressive models. (2022). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2211.13830.

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2022Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263.

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2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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2023Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808.

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2021Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798.

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2022Non-Independent Components Analysis. (2022). Zwiernik, Piotr ; Mesters, Geert. In: Working Papers. RePEc:bge:wpaper:1358.

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2022Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367.

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2022Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693.

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2021The relation between municipal and government bond yields in an era of unconventional monetary policy. (2021). Österholm, Pär ; Nordstrom, Martin ; Knezevic, David ; Osterholm, Par. In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:1:n:e12176.

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2021The nonlinear causal relationship between short? and long?term interest rates: An empirical assessment of the United States, the United Kingdom, and Japan. (2021). Su, Yang ; Li, Huiqing. In: International Finance. RePEc:bla:intfin:v:24:y:2021:i:3:p:332-355.

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2022State Heterogeneity Analysis of Financial Volatility using high?frequency Financial Data. (2022). Kim, Donggyu ; Chun, Dohyun. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:105-124.

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2022Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29.

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2022On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196.

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2021The Impact of Pessimistic Expectations on the Effects of COVID?19?Induced Uncertainty in the Euro Area. (2021). Zullig, Gabriel ; Ravenna, Federico ; Pellegrino, Giovanni. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:83:y:2021:i:4:p:841-869.

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2021The importance of supply and demand for oil prices: evidence from non-Gaussianity. (2021). Braun, Robin. In: Bank of England working papers. RePEc:boe:boeewp:0957.

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2022Identification of SVAR models by combining sign restrictions with external instruments. (2022). Braun, Robin ; Bruggemann, Ralf. In: Bank of England working papers. RePEc:boe:boeewp:0961.

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2022Rise of NBFIs and the Global Structural Change in the Transmission of Market Shocks. (2022). Shinozaki, Yuji ; Koide, Yoshiyasu ; Hogen, Yoshihiko. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp22e14.

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2022Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171.

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2021Selecting between causal and noncausal models with quantile autoregressions. (2021). Hecq, Alain ; Li, Sun. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:5:p:393-416:n:3.

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2022Exponential High-Frequency-Based-Volatility (EHEAVY) Models. (2022). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2022/5.

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2022Nonparametric prediction with spatial data. (2022). Hidalgo, Javier ; Gupta, Abhimanyu. In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:621.

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2021Moment tests of independent components. (2021). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2021_2102.

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2022Heteroskedastic Proxy Vector Autoregressions: Testing for Time-Varying Impulse Responses in the Presence of Multiple Proxies. (2022). Lutkepohl, Helmut ; Bruns, Martin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2005.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2022Markov-switching state-space models with applications to neuroimaging. (2022). Ombao, Hernando ; Ting, Chee-Ming ; Degras, David. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:174:y:2022:i:c:s0167947322001050.

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2021The Jacobian of the exponential function. (2021). Sentana, Enrique ; Henk, ; Magnus, Jan R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000579.

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2021Under the same (Chole)sky: DNK models, timing restrictions and recursive identification of monetary policy shocks. (2021). Sorge, Marco ; Angelini, Giovanni. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921002001.

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2022Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations. (2022). Skrobotov, Anton ; Karamysheva, Madina. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:138:y:2022:i:c:s016518892200063x.

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2022Directed acyclic graph based information shares for price discovery. (2022). Zema, Sebastiano Michele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001397.

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2022Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US. (2022). Rohloff, Hannes ; Herwartz, Helmut ; Wang, Shu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:139:y:2022:i:c:s0165188922001622.

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2022Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study. (2022). Pallante, Gianluca ; Moneta, Alessio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002342.

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2021Fiscal stance and the sovereign risk pass-through. (2021). Tancioni, Massimiliano ; Patella, Valeria ; Beqiraj, Elton. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001620.

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2021Price convergence: Representation and testing. (2021). Garcia-Hiernaux, Alfredo ; Guerrero, David E. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002303.

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2022Do realized higher moments have information content? - VaR forecasting based on the realized GARCH-RSRK model. (2022). Yan, Hong ; Huang, Zhuo ; Liang, Fang ; Wang, Tianyi. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s026499932200027x.

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2021Quantifying sovereign risk in the euro area. (2021). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta ; Singh, Manish K. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:76-96.

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2021Sharing is caring: Spillovers and synchronization of business cycles in the European Union. (2021). Škrinjarić, Tihana ; Arčabić, Vladimir ; Arabi, Vladimir. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:25-39.

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2021Innovation dynamics and fiscal policy: Implications for growth, asset prices, and welfare. (2021). Grüning, Patrick ; Donadelli, Michael ; Gruning, Patrick. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000607.

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2022Exchange rate misalignments, capital flows and volatility. (2022). Orlov, Alexei G ; Grossmann, Axel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s106294082200002x.

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2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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2021Autoregressive models for matrix-valued time series. (2021). Yang, Dan ; Xiao, Han ; Chen, Rong. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:539-560.

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2021Testing for observation-dependent regime switching in mixture autoregressive models. (2021). Saikkonen, Pentti ; Meitz, Mika. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:601-624.

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2021Identification of structural vector autoregressions through higher unconditional moments. (2021). Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:27-46.

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2021Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:47-73.

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2022Identification of structural multivariate GARCH models. (2022). Hafner, Christian ; Maxand, Simone ; Herwartz, Helmut. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:212-227.

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2022Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models. (2022). Petrova, Katerina. In: Journal of Econometrics. RePEc:eee:econom:v:230:y:2022:i:1:p:154-182.

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2021Forecasting bubbles with mixed causal-noncausal autoregressive models. (2021). Hecq, Alain ; Voisin, Elisa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:29-45.

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2021Oil and the U.S. stock market: Implications for low carbon policies. (2021). Panagiotidis, Theodore ; Dergiades, Theologos ; Arampatzidis, Ioannis ; Kaufmann, Robert K. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004564.

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2022Do energy efficiency improvements reduce energy use? Empirical evidence on the economy-wide rebound effect in Europe and the United States. (2022). Stern, David ; Moneta, Alessio ; Bruns, Stephan ; Berner, Anne. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s014098832200113x.

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2023Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953.

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2021The threat of oil market turmoils to food price stability in Sub-Saharan Africa. (2021). Lange, Alexander ; Herwartz, Helmut ; Dalheimer, Bernhard. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988320303698.

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2021Investigating the effect of climate uncertainty on global commodity markets. (2021). Nam, Kyungsik. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000281.

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2021Estimating the economy-wide rebound effect using empirically identified structural vector autoregressions. (2021). Stern, David ; Moneta, Alessio ; Bruns, Stephan B. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321000633.

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2021Moving out of the linear rut: A period-specific and regime-dependent exchange rate and oil price pass-through in the BRICS countries. (2021). USMAN, OJONUGWA ; Balcilar, Mehmet ; Wohar, Mark E ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:98:y:2021:i:c:s0140988321001547.

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2021Global equity market volatilities forecasting: A comparison of leverage effects, jumps, and overnight information. (2021). Wei, YU ; Ma, Feng ; Li, Yan ; Liang, Chao. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000922.

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2022Detecting signed spillovers in global financial markets: A Markov-switching approach. (2022). Kangogo, Moses ; Volkov, Vladimir. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001259.

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2022A volatility model based on adaptive expectations: An improvement on the rational expectations model. (2022). Li, Yan ; Zhao, Yang ; Yao, Yuan. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001636.

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2022Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX: Evidence using Markov-switching copulas. (2022). Gil-Alana, Luis Alberiko ; Alagidede, Imhotep Paul ; Tiwari, Aviral Kumar ; Aikins, Emmanuel Joel. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321004980.

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2021Wood market cartel in Finland 1997–2004: Analyzing price effects using the indicator approach. (2021). Toppinen, Anne ; Wang, Lanhui ; Korhonen, Jaana ; Kuuluvainen, Jari. In: Forest Policy and Economics. RePEc:eee:forpol:v:124:y:2021:i:c:s1389934120307061.

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2022The information content of ETF options. (2022). Yang, Dongxiao ; Ramchander, Sanjay ; Miao, Hong ; Lockwood, Larry . In: Global Finance Journal. RePEc:eee:glofin:v:53:y:2022:i:c:s1044028322000278.

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2021Market efficiency in the art markets using a combination of long memory, fractal dimension, and approximate entropy measures. (2021). Krištoufek, Ladislav ; Demir, Ender ; Mitra, Subrata Kumar ; Assaf, Ata. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000317.

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2021Forecasting annual inflation in Suriname. (2021). Franses, Philip Hans ; Bhaghoe, Sailesh ; Ooft, Gavin. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000767.

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2021Was a deterioration in ‘connectedness’ a leading indicator of the European sovereign debt crisis?. (2021). Li, Youwei ; Waterworth, James ; Vigne, Samuel A ; Pantelous, Athanasios A ; Hamill, Philip A. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121000196.

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2022Asset prices, financial amplification and monetary policy: Structural evidence from an identified multivariate GARCH model. (2022). Roestel, Jan ; Herwartz, Helmut. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000531.

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2021Observation-driven models for realized variances and overnight returns applied to Value-at-Risk and Expected Shortfall forecasting. (2021). Lucas, Andre ; Opschoor, Anne. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:622-633.

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2022Forecasting: theory and practice. (2022). Shang, Han Lin ; Rubaszek, Michał ; Martinez, Andrew ; Grossi, Luigi ; Franses, Philip Hans ; Fiszeder, Piotr ; Clements, Michael ; Castle, Jennifer ; Carnevale, Claudio ; Kolassa, Stephan ; Thorarinsdottir, Thordis ; Guo, Xiaojia ; Reade, James J ; Petropoulos, Fotios ; Nikolopoulos, Konstantinos ; Koehler, Anne B ; Thomakos, Dimitrios ; Browell, Jethro ; Rapach, David E ; Modis, Theodore ; Kang, Yanfei ; Tashman, Len ; Boylan, John E ; Gunter, Ulrich ; Ramos, Patricia ; Ellison, Joanne ; Meeran, Sheik ; Richmond, Victor ; Talagala, Thiyanga S ; Bijak, Jakub ; Guidolin, Massimo ; Pinson, Pierre ; Dokumentov, Alexander ; Jeon, Jooyoung ; Bessa, Ricardo J ; Pedregal, Diego J ; de Baets, Shari ; Ziel, Florian ; Syntetos, Aris A ; Bergmeir, Christoph
2021A non-elliptical orthogonal GARCH model for portfolio selection under transaction costs. (2021). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000042.

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2021A new unique information share measure with applications on cross-listed Chinese banks. (2021). Shi, Yanlin ; Li, Hong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:128:y:2021:i:c:s0378426621000996.

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2022A geometric framework for covariance dynamics. (2022). Park, Frank C ; Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002703.

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2021Forecast heuristics, consumer expectations, and New-Keynesian macroeconomics: A Horse race. (2021). Sacht, Stephen ; Jang, Tae-Seok. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:182:y:2021:i:c:p:493-511.

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2021The state-dependent trading behavior of banks in the oil futures market. (2021). Rieth, Malte ; Velinov, Anton ; Bierbaumer, Daniel. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:1011-1024.

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2021Macro risks and the term structure of interest rates. (2021). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:479-504.

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2021Exchange rates, foreign currency exposure and sovereign risk. (2021). Bernoth, Kerstin ; Herwartz, Helmut. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:117:y:2021:i:c:s0261560621001054.

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2021Cross-stock market spillovers through variance risk premiums and equity flows. (2021). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:119:y:2021:i:c:s0261560621001315.

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2022ECB monetary policy and bank default risk?. (2022). Vander Vennet, Rudi ; Soenen, Nicolas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002229.

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2023Cross-country uncertainty spillovers: Evidence from international survey data. (2023). Schussler, Rainer ; Koop, Gary ; Davidson, Sharada Nia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001632.

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2021The role of macroeconomic and policy uncertainty in density forecast dispersion. (2021). Tay, Anthony ; Li, You. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:67:y:2021:i:c:s0164070420301907.

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2021Asymmetric effects of uncertainty shocks: Normal times and financial disruptions are different. (2021). Nalban, Valeriu ; Smdu, Andra. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:69:y:2021:i:c:s0164070421000379.

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2021What drives oil prices? — A Markov switching VAR approach. (2021). Fu, Chengbo ; Liu, Tangyong ; Chen, Liqing ; Guan, Keqin ; Gong, XU. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003263.

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2022Nexus between oil price volatility and inflation: Mediating nexus from exchange rate. (2022). Qian, Chong ; Baloch, Zulfiqar Ali ; Hyder, Mansoor ; Zhang, Yong Gang ; Saydaliev, Hayot Berk. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722004202.

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2022Time-varying monetary policy shocks and the dynamics of Chinese commodity prices. (2022). Yang, MO ; Cao, Jin ; Yi, Heling ; Lyu, Yongjian. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:75:y:2022:i:c:s0927538x22001317.

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2021Government spending multipliers in (un)certain times. (2021). Rieth, Malte ; Klein, Mathias ; Fritsche, Jan Philipp. In: Journal of Public Economics. RePEc:eee:pubeco:v:203:y:2021:i:c:s0047272721001493.

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2021Impact of energy intensity, renewable energy, and economic growth on CO2 emissions: Evidence from Africa across regions and income levels. (2021). Wu, Q ; Namahoro, J P ; Xue, S ; Zhou, N. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:147:y:2021:i:c:s1364032121005207.

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More than 100 citations found, this list is not complete...

Works by Markku Lanne:

YearTitleTypeCited
2014Noncausal Bayesian Vector Autoregression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
2016Noncausal Bayesian Vector Autoregression.(2016) In: Journal of Applied Econometrics.
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2014Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models In: CREATES Research Papers.
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2016Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models.(2016) In: Oxford Bulletin of Economics and Statistics.
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2014Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper74
2017Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics.
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2015Nonlinear dynamic interrelationships between real activity and stock returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2015Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2016Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
2004Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 In: The Energy Journal.
[Full Text][Citation analysis]		article38
2001Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper27
2003Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.(2003) In: The Journal of Financial Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 27		article
2000Modeling the US short-term interest rate by mixture autoregressive processes.(2000) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2002Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]		article14
2000Threshold Autoregression for Strongly Autocorrelated Time Series..(2000) In: University of Helsinki, Department of Economics.
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This paper has another version. Agregated cites: 14		paper
2007A Multivariate Generalized Orthogonal Factor GARCH Model In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article70
2005A Multivariate Generalized Orthogonal Factor GARCH Model.(2005) In: MPRA Paper.
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2010Structural Vector Autoregressions With Nonnormal Residuals In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article150
2006Structural Vector Autoregressions with Nonnormal Residuals.(2006) In: CESifo Working Paper Series.
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2005Structural Vector Autoregressions with Nonnormal Residuals.(2005) In: Economics Working Papers.
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2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
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2002Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper.
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1999Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers.
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2003Reducing size distortions of parametric stationarity tests In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article6
2000Reducing size distortions of parametric stationarity tests.(2000) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
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2003Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift In: Manchester School.
[Full Text][Citation analysis]		article7
2000TESTING THE EXPECTATIONS HYPOTHESIS OF THE TERM STRUCTURE OF INTEREST RATES IN THE PRESENCE OF A POTENTIAL REGIME SHIFT.(2000) In: Computing in Economics and Finance 2000.
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2003Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article84
2001Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers.
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2011GMM Estimation with Non?causal Instruments In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article4
2009GMM Estimation with Noncausal Instruments.(2009) In: MPRA Paper.
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2014Does Output Gap, Labours Share or Unemployment Rate Drive Inflation? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article2
2012Does Output Gap, Labors Share or Unemployment Rate Drive Inflation?.(2012) In: MPRA Paper.
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2018Data†Driven Identification Constraints for DSGE Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article0
2020Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article5
2011Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article52
2010Noncausal autoregressions for economic time series.(2010) In: MPRA Paper.
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2009Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article20
2008Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times.(2008) In: MPRA Paper.
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This paper has another version. Agregated cites: 20		paper
2015Noncausality and inflation persistence In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article1
2013Noncausality and Inflation Persistence.(2013) In: Discussion Papers of DIW Berlin.
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2006Identifying Monetary Policy Shocks via Changes in Volatility In: CESifo Working Paper Series.
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2006Identifying Monetary Policy Shocks via Changes in Volatility.(2006) In: Economics Working Papers.
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2008Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking.
[Citation analysis]
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2008Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking.
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2008Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper7
2008Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis.(2008) In: Economics Working Papers.
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2013NONCAUSAL VECTOR AUTOREGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article39
2010Noncausal Vector Autoregression.(2010) In: MPRA Paper.
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.() In: .
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2013A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]		paper0
2009Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases In: Economics Bulletin.
[Full Text][Citation analysis]		article5
2012Does noncausality help in forecasting economic time series? In: Economics Bulletin.
[Full Text][Citation analysis]		article19
2004A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper3
2005Non-linear GARCH models for highly persistent volatility In: Econometrics Journal.
[Full Text][Citation analysis]		article25
2002Nonlinear GARCH models for highly persistent volatility.(2002) In: SFB 373 Discussion Papers.
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2009A naïve sticky information model of households inflation expectations In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article38
2008A Naïve Sticky Information Model of Households’ Inflation Expectations.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
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2010Structural vector autoregressions with Markov switching In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article151
2009Structural Vector Autoregressions with Markov Switching.(2009) In: Economics Working Papers.
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This paper has another version. Agregated cites: 151		paper
2013Autoregression-based estimation of the new Keynesian Phillips curve In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article14
2011Autoregression-Based Estimation of the New Keynesian Phillips Curve.(2011) In: MPRA Paper.
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This paper has another version. Agregated cites: 14		paper
2012Has US inflation really become harder to forecast? In: Economics Letters.
[Full Text][Citation analysis]		article2
2010Has U.S. Inflation Really Become Harder to Forecast?.(2010) In: MPRA Paper.
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This paper has another version. Agregated cites: 2		paper
2002Unit root tests for time series with level shifts: a comparison of different proposals In: Economics Letters.
[Full Text][Citation analysis]		article129
2001Unit root tests for time series with level shifts: A comparison of different proposals.(2001) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 129		paper
2006Why is it so difficult to uncover the risk-return tradeoff in stock returns? In: Economics Letters.
[Full Text][Citation analysis]		article28
2008Robustness of the risk-return relationship in the U.S. stock market In: Finance Research Letters.
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2007Robustness of the Risk-Return Relationship in the U.S. Stock Market.(2007) In: MPRA Paper.
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2007Forecasting realized exchange rate volatility by decomposition In: International Journal of Forecasting.
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2009Joint modeling of call and put implied volatility In: International Journal of Forecasting.
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2007Joint Modeling of Call and Put Implied Volatility.(2007) In: MPRA Paper.
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2012Optimal forecasting of noncausal autoregressive time series In: International Journal of Forecasting.
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2010Optimal Forecasting of Noncausal Autoregressive Time Series.(2010) In: MPRA Paper.
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2013Overnight stock returns and realized volatility In: International Journal of Forecasting.
[Full Text][Citation analysis]		article28
2005Modeling Conditional Skewness in Stock Returns In: Economics Working Papers.
[Full Text][Citation analysis]		paper14
2007Modeling Conditional Skewness in Stock Returns.(2007) In: The European Journal of Finance.
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2005The Effect of a Transaction Tax on Exchange Rate Volatility In: Economics Working Papers.
[Full Text][Citation analysis]		paper13
2010The effect of a transaction tax on exchange rate volatility.(2010) In: International Journal of Finance & Economics.
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2006Forecasting Realized Volatility by Decomposition In: Economics Working Papers.
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2006A Mixture Multiplicative Error Model for Realized Volatility In: Economics Working Papers.
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2006A Mixture Multiplicative Error Model for Realized Volatility.(2006) In: The Journal of Financial Econometrics.
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2008Modeling Expectations with Noncausal Autoregressions In: Economics Working Papers.
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2008Modeling Expectations with Noncausal Autoregressions.(2008) In: MPRA Paper.
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2008A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks In: Economics Working Papers.
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1995Co-integration and the term structure of Finnish short-term interest rates In: Finnish Economic Papers.
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2000Testing the Predictability of Stock Returns. In: University of Helsinki, Department of Economics.
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2002Testing The Predictability Of Stock Returns.(2002) In: The Review of Economics and Statistics.
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2000Near unit roots, cointegration, and the term structure of interest rates In: Journal of Applied Econometrics.
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2006Nonlinear dynamics of interest rate and inflation In: Journal of Applied Econometrics.
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2006Nonlinear dynamics of interest rate and inflation.(2006) In: Journal of Applied Econometrics.
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2004Nonlinear dynamics of interest rate and inflation.(2004) In: Macroeconomics.
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2012Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2012Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper.
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2013Testing for Linear and Nonlinear Predictability of Stock Returns In: The Journal of Financial Econometrics.
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2009Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models In: MPRA Paper.
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2012BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS.(2012) In: Journal of Applied Econometrics.
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2009The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility In: MPRA Paper.
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2008Implied Volatility with Time-Varying Regime Probabilities In: MPRA Paper.
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2011Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison In: MPRA Paper.
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2012Supplementary appendix to noncausal vector autoregression In: MPRA Paper.
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2007The Properties of Market-Based and Survey Forecasts for Different Data Releases In: MPRA Paper.
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2001Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect In: Empirical Economics.
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2019A comment on ‘on inflation expectations in the NKPC model’ In: Empirical Economics.
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2021GMM Estimation of Non-Gaussian Structural Vector Autoregression In: Journal of Business & Economic Statistics.
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1999Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates In: The Review of Economics and Statistics.
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2013THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY In: International Journal of Finance & Economics.
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2017A New Time?Varying Parameter Autoregressive Model for U.S. Inflation Expectations In: Journal of Money, Credit and Banking.
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