Markku Lanne : Citation Profile


Are you Markku Lanne?

Helsingin Yliopisto (98% share)
Aarhus Universitet (1% share)
Helsinki Center for Economic Research (HECER) (1% share)

18

H index

25

i10 index

1053

Citations

RESEARCH PRODUCTION:

45

Articles

63

Papers

RESEARCH ACTIVITY:

   22 years (1995 - 2017). See details.
   Cites by year: 47
   Journals where Markku Lanne has often published
   Relations with other researchers
   Recent citing documents: 79.    Total self citations: 44 (4.01 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla260
   Updated: 2018-06-16    RAS profile: 2017-12-15    
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Relations with other researchers


Works with:

Luoto, Jani (6)

Nyberg, Henri (4)

Saikkonen, Pentti (4)

Meitz, Mika (3)

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 (79)

Netšunajev, Aleksei (51)

Saikkonen, Pentti (19)

Lof, Matthijs (18)

Hecq, Alain (18)

McAleer, Michael (17)

Telg, Sean (17)

Boschi, Melisso (16)

Weber, Enzo (15)

Migiakis, Petros (14)

Nyberg, Henri (13)

Cites to:

Saikkonen, Pentti (40)

Diebold, Francis (27)

Bollerslev, Tim (24)

Engle, Robert (20)

Andersen, Torben (19)

Campbell, John (19)

Luoto, Jani (19)

Shiller, Robert (17)

Watson, Mark (17)

Hansen, Peter (17)

Mankiw, N. Gregory (15)

Main data


Where Markku Lanne has published?


Journals with more than one article published# docs
International Journal of Forecasting4
Oxford Bulletin of Economics and Statistics4
Journal of Financial Econometrics3
Economics Letters3
Journal of Economic Dynamics and Control3
Journal of Business & Economic Statistics3
Studies in Nonlinear Dynamics & Econometrics2
Journal of Applied Econometrics2
Economics Bulletin2
The Review of Economics and Statistics2
Journal of Applied Econometrics2

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
CESifo Working Paper Series / CESifo Group Munich3
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research2

Recent works citing Markku Lanne (2018 and 2017)


YearTitle of citing document
2017Volatility Spillovers and Heavy Tails: A Large t-Vector AutoRegressive Approach. (2017). Barbaglia, Luca ; Wilms, Ines ; Croux, Christophe. In: Papers. RePEc:arx:papers:1708.02073.

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2017Identification of Small Open Economy SVARs via Markov-Switching Heteroskedasticity. (2017). Turnip, Guido. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:302:p:465-483.

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2017Price and Volatility Transmission and Market Power in the German Fresh Pork Supply Chain. (2017). Assefa, Tsion Taye ; Gardebroek, Cornelis. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:68:y:2017:i:3:p:861-880.

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2017Local explosion modelling by non-causal process. (2017). Zakoian, Jean-Michel ; Gourieroux, Christian. In: Journal of the Royal Statistical Society Series B. RePEc:bla:jorssb:v:79:y:2017:i:3:p:737-756.

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2017On the Identification of Interdependence and Contagion of Financial Crises. (2017). Bacchiocchi, Emanuele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:6:p:1148-1175.

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2017Estimating the real effects of uncertainty shocks at the zero lower bound. (2017). Castelnuovo, Efrem ; Caggiano, Giovanni ; Pellegrino, Giovanni. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_006.

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2017Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound. (2017). Castelnuovo, Efrem ; Caggiano, Giovanni ; Pellegrino, Giovanni. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6622.

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2017Parallel Bayesian Inference for High Dimensional Dynamic Factor Copulas. (2017). san Miguel, Pedro Galeano ; Nguyen, Hoang ; Ausin, Maria Concepcion. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24552.

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2017Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis. (2017). Lütkepohl, Helmut ; Schlaak, Thore ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1672.

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2017Bayesian Inference for Structural Vector Autoregressions Identified by Markov-Switching Heteroskedasticity. (2017). Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1707.

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2018Nonlinear Intermediary Pricing in the Oil Futures Market. (2018). Bierbaumer, Daniel ; Velinov, Anton ; Rieth, Malte. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1722.

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2018The Relation between Monetary Policy and the Stock Market in Europe. (2018). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1729.

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2017Causality between Defence Spending and Economic Growth in Sub-Saharan Africa: Evidence on a Controversial Empirical Issue. (2017). Masih, Zahra Naoar. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-20.

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2017DSGE pileups. (2017). Morris, Stephen D. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:74:y:2017:i:c:p:56-86.

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2017Structural vector autoregressions with smooth transition in variances. (2017). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Netunajev, Aleksei ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:84:y:2017:i:c:p:43-57.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2018The impact of setting negative policy rates on banking flows and exchange rates. (2018). Khayat, Guillaume A. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:1-10.

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2017Semiparametric Bayesian inference for time-varying parameter regression models with stochastic volatility. (2017). Dimitrakopoulos, Stefanos . In: Economics Letters. RePEc:eee:ecolet:v:150:y:2017:i:c:p:10-14.

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2017Economic policy uncertainty and unemployment in the United States: A nonlinear approach. (2017). Figueres, Juan ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Economics Letters. RePEc:eee:ecolet:v:151:y:2017:i:c:p:31-34.

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2017Statistical inference for independent component analysis: Application to structural VAR models. (2017). Renne, Jean-Paul ; Monfort, Alain ; gourieroux, christian. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:111-126.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation. (2017). Jasiak, Joann ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:118-134.

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2018Bayesian nonparametric vector autoregressive models. (2018). Kalli, Maria ; Griffin, Jim E. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:267-282.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Darolles, Serge ; Laurent, Sebastien ; Francq, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:223-247.

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2017Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Lutkepohl, Helmut ; Netunajev, Aleksei . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18.

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2017Estimating the real effects of uncertainty shocks at the Zero Lower Bound. (2017). Castelnuovo, Efrem ; Caggiano, Giovanni ; Pellegrino, Giovanni. In: European Economic Review. RePEc:eee:eecrev:v:100:y:2017:i:c:p:257-272.

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2017Stock markets response to real output shocks in Eastern European frontier markets: A VARwAL model. (2017). Ulku, Numan ; Kuzmicheva, Olga ; Kuruppuarachchi, Duminda . In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:140-154.

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2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

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2018Stochastic convergence in per capita CO2 emissions. An approach from nonlinear stationarity analysis. (2018). Presno, Maria Jose ; Gonzalez, Paula Fernandez ; Landajo, Manuel . In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:563-581.

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2018Does government ideology affect environmental pollutions? New evidence from instrumental variable quantile regression estimations. (2018). Chang, Chun-Ping ; Hao, YU ; Dong, Minyi ; Wen, Jun. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:386-400.

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2017Exchange rate volatility response to macroeconomic news during the global financial crisis. (2017). Savaser, Tanseli ; Savaer, Tanseli ; ben Omrane, Walid . In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:130-143.

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2017The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?. (2017). Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi ; Mohamad, Nurul Sima . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:36-51.

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2018Is stock return predictability time-varying?. (2018). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:152-172.

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2017Evidence of persistence in U.S. short and long-term interest rates. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Cuñado, Juncal ; Cunado, Juncal. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:39:y:2017:i:5:p:775-789.

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2017What drives carbon dioxide emissions in the long-run? Evidence from selected South Asian Countries. (2017). Ozturk, Ilhan ; Ahmed, Khalid. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:70:y:2017:i:c:p:1142-1153.

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2017Convergence of per capita CO2 emissions across the globe: Insights via wavelet analysis. (2017). Khan, Atif ; Zakaria, Muhammad ; Bibi, Salma ; Ahmed, Mumtaz . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:75:y:2017:i:c:p:86-97.

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2017Did the Bundesbank react to the US dollar exchange rate?. (2017). Eleftheriou, Maria. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:235-244.

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2017Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets. (2017). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Koulakiotis, Athanasios . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:150-168.

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2017Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis. (2017). Welch, Robert ; Tao, Yusi ; ben Omrane, Walid . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:9-30.

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2017Disagreement in inflation forecasts and inflation risk premia in Brazil. (2017). Fernandes, Marcelo ; de Azevedo, Clemens V ; Doi, Jonas Takayuki . In: Textos para discussão. RePEc:fgv:eesptd:453.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_01.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Fiorentini, Gabriele ; Sentana, Enrique. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_05.

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2017Structural Breaks, Inflation and Interest Rates: Evidence from the G7 Countries. (2017). Montañés, Antonio ; Gadea, María ; Clemente Lopez, Jesus ; Reyes, Marcelo ; Montaes, Antonio. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:11-:d:90640.

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2017Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2017). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:48-:d:117025.

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2017Households’ Mortgage-Rate Expectations: More Realistic than at First Glance?. (2017). Österholm, Pär ; Osterholm, Par ; Hjalmarsson, Erik. In: Working Papers. RePEc:hhs:oruesi:2017_009.

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2017Estimating the Real Effects of Uncertainty Shocks at the Zero Lower Bound. (2017). Castelnuovo, Efrem ; Caggiano, Giovanni ; Pellegrino, Giovanni. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2017n01.

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2017Economic Policy Uncertainty Spillovers in Booms and Busts. (2017). Figueres, Juan ; Castelnuovo, Efrem ; Caggiano, Giovanni. In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2017n13.

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2017Variance Decomposition Networks; Potential Pitfalls and a Simple Solution. (2017). Chan-Lau, Jorge A. In: IMF Working Papers. RePEc:imf:imfwpa:17/107.

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2017The dynamic evolution of the Greek regional net fixed capital time series. (2017). varelas, erotokritos ; Zikos, Spyros ; Karpetis, Christos ; Emmanouilidis, Kyriakos . In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:3:d:10.1007_s10644-017-9209-2.

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2017Persistence, Mean-Reversion and Non-linearities in $$\hbox {CO2}$$ CO2 Emissions: Evidence from the BRICS and G7 Countries. (2017). GUPTA, RANGAN ; Gil-Alana, Luis ; Cuñado, Juncal ; Cunado, Juncal. In: Environmental & Resource Economics. RePEc:kap:enreec:v:67:y:2017:i:4:d:10.1007_s10640-016-0009-3.

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2017Identification of Structural Vector Autoregressions by Stochastic Volatility. (2017). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1711.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:1803.

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2017Detecting Co-Movements in Noncausal Time Series. (2017). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca. In: MPRA Paper. RePEc:pra:mprapa:77254.

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2017Are linear models really unuseful to describe business cycle data?. (2017). Silva Lopes, Artur ; Zsurkis, Gabriel Florin . In: MPRA Paper. RePEc:pra:mprapa:79413.

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2017Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors. (2017). Telg, Sean ; Issler, João ; Hecq, Alain. In: MPRA Paper. RePEc:pra:mprapa:80767.

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2017Evidence on News Shocks under Information Deficiency. (2017). Nelimarkka, Jaakko. In: MPRA Paper. RePEc:pra:mprapa:80850.

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2017Residual-based diagnostic tests for noninvertible ARMA models. (2017). Nyholm, Juho. In: MPRA Paper. RePEc:pra:mprapa:81033.

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2017The effects of government spending under anticipation: the noncausal VAR approach. (2017). Nelimarkka, Jaakko. In: MPRA Paper. RePEc:pra:mprapa:81303.

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2017Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles. (2017). Zakoian, Jean-Michel ; Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:81345.

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2017News, Noise, and Tests of Present Value Models. (2017). Hamidi Sahneh, Mehdi. In: MPRA Paper. RePEc:pra:mprapa:82715.

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2018Asymptotics of Cholesky GARCH models and time-varying conditional betas. (2018). Laurent, Sébastien ; Francq, Christian ; darolles, serge. In: MPRA Paper. RePEc:pra:mprapa:83988.

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2017Modeling Macro-Financial Linkages: Combined Impulse Response Functions in SVAR Models. (2017). Serwa, Dobromi ; Wdowiski, Piotr. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:9:y:2017:i:4:p:323-357.

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2017Level and Volatility Shocks to Fiscal Policy: Term Structure Implications. (2017). Bretscher, Lorenzo ; Tamoni, Andrea ; Hsu, Alex . In: 2017 Meeting Papers. RePEc:red:sed017:258.

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2018Consistent non-Gaussian pseudo maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:18-06.

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2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Fiorentini, Gabriele ; Sentana, Enrique. In: Working Paper series. RePEc:rim:rimwps:18-22.

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2018Actual and Expected Inflation in the U.S.: A Time-Frequency View. (2018). Xu, Yingying ; Ortiz, Jaime ; Liu, Zhixin. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:1:p:42-62.

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2018Detecting Co-Movements in Noncausal Time Series. (2018). Telg, Sean ; Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:430.

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2017Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil. (2017). Fernandes, Marcelo ; Doi, Jonas ; Nunes, Clemens Vinicius . In: Brazilian Review of Econometrics. RePEc:sbe:breart:v:37:y:2017:i:1:a:57700.

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2017Real interest rates: nonlinearity and structural breaks. (2017). Omay, Tolga ; Çorakcı Eruygur, Aysegul ; Emirmahmutoglu, Furkan ; Orakci, Ayegul . In: Empirical Economics. RePEc:spr:empeco:v:52:y:2017:i:1:d:10.1007_s00181-015-1065-1.

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2018Revisiting carbon Kuznets curves with endogenous breaks modeling: evidence of decoupling and saturation (but few inverted-Us) for individual OECD countries. (2018). Messinis, George ; liddle, brantley. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:2:d:10.1007_s00181-016-1209-y.

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2017Applying a Ruggiero three-stage super-efficiency DEA model to gauge regional carbon emission efficiency: evidence from China. (2017). Dong, Feng ; Wang, Ying ; Yu, Bolin ; Xu, Xihui ; Bian, Zhengfu ; Long, Ruyin. In: Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards. RePEc:spr:nathaz:v:87:y:2017:i:3:d:10.1007_s11069-017-2826-2.

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2017Stock market prediction and Portfolio selection models: a survey. (2017). Rather, Akhter Mohiuddin ; Agarwal, Arun ; Sastry, V N. In: OPSEARCH. RePEc:spr:opsear:v:54:y:2017:i:3:d:10.1007_s12597-016-0289-y.

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2017In the Nick of Time: A Heteroskedastic SVAR Model and Its Application to the Crude Oil Futures Market. (2017). Sun, Hang ; Li, Zhuo . In: Research Memorandum. RePEc:unm:umagsb:2017019.

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2017HETEROGENEOUS OR HOMOGENEOUS INFLATION EXPECTATION FORMATION MODELS: A CASE STUDY OF CHINESE HOUSEHOLDS AND FINANCIAL PARTICIPANTS. (2017). Xu, Yingying ; Zhang, Xing ; Liu, Zhixin. In: The Singapore Economic Review (SER). RePEc:wsi:serxxx:v:62:y:2017:i:04:n:s0217590817400306.

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2017Are linear models really unuseful to describe business cycle data?. (2017). Lopes, Artur Silva ; Zsurkis, Gabriel Florin . In: Economics Discussion Papers. RePEc:zbw:ifwedp:20175.

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2017The Anchoring of Inflation Expectations in the Short and in the Long Run. (2017). Nautz, Dieter ; Strohsal, Till ; Netsunajew, Aleksei. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168075.

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2017Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2017). Podstawski, Maximilian ; Große Steffen, Christoph. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168101.

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2017Interest Rates and Exchange Rates in Normal and Crisis Times. (2017). Rieth, Malte ; Grazzini, Caterina Forti. In: Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking. RePEc:zbw:vfsc17:168281.

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2018Inference for structural impulse responses in SVAR-GARCH models. (2018). Bruder, Stefan. In: ECON - Working Papers. RePEc:zur:econwp:281.

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Works by Markku Lanne:


YearTitleTypeCited
2014Noncausal Bayesian Vector Autoregression In: CREATES Research Papers.
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paper8
2016Noncausal Bayesian Vector Autoregression.(2016) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 8
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2014Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models In: CREATES Research Papers.
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paper18
2016Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models.(2016) In: Oxford Bulletin of Economics and Statistics.
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This paper has another version. Agregated cites: 18
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2014Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? In: CREATES Research Papers.
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paper0
2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
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paper14
2017Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 14
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2015Nonlinear dynamic interrelationships between real activity and stock returns In: CREATES Research Papers.
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paper2
2015Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints In: CREATES Research Papers.
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paper5
2016Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression In: CREATES Research Papers.
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paper1
2004Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 In: The Energy Journal.
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article29
2001Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001.
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paper22
2003Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.(2003) In: Journal of Financial Econometrics.
[Citation analysis]
This paper has another version. Agregated cites: 22
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2000Modeling the US short-term interest rate by mixture autoregressive processes.(2000) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 22
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2002Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics.
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article7
2000Threshold Autoregression for Strongly Autocorrelated Time Series..(2000) In: University of Helsinki, Department of Economics.
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2007A Multivariate Generalized Orthogonal Factor GARCH Model In: Journal of Business & Economic Statistics.
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article48
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