23
H index
35
i10 index
1927
Citations
Helsingin Yliopisto | 23 H index 35 i10 index 1927 Citations RESEARCH PRODUCTION: 52 Articles 63 Papers RESEARCH ACTIVITY: 26 years (1995 - 2021). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pla260 |
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: | Cites to: |
Year | Title of citing document |
---|---|
2023 | Efficiently 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. Full description at Econpapers || Download paper |
2023 | Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263. Full description at Econpapers || Download paper |
2023 | Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937. Full description at Econpapers || Download paper |
2023 | Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808. Full description at Econpapers || Download paper |
2023 | A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208. Full description at Econpapers || Download paper |
2023 | Estimating the Effects of Fiscal Policy using a Novel Proxy Shrinkage Prior. (2023). Pruser, Jan ; Klein, Mathias ; Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2302.13066. Full description at Econpapers || Download paper |
2023 | Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281. Full description at Econpapers || Download paper |
2023 | Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2023). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653. Full description at Econpapers || Download paper |
2023 | Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418. Full description at Econpapers || Download paper |
2023 | Non-linear dimension reduction in factor-augmented vector autoregressions. (2023). Klieber, Karin. In: Papers. RePEc:arx:papers:2309.04821. Full description at Econpapers || Download paper |
2023 | Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2310.08173. Full description at Econpapers || Download paper |
2023 | Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543. Full description at Econpapers || Download paper |
2023 | Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402. Full description at Econpapers || Download paper |
2023 | Stock Markets Response to Real Output Shocks in China: A VARwAL Estimation. (2023). Wu, Kexing ; Ulku, Numan. In: China & World Economy. RePEc:bla:chinae:v:31:y:2023:i:5:p:1-25. Full description at Econpapers || Download paper |
2023 | A new unique impulse response function in linear vector autoregressive models. (2023). Shi, Yanlin. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:460-468. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796. Full description at Econpapers || Download paper |
2023 | Global spillovers from multi-dimensional US monetary policy. (2023). Georgiadis, Georgios ; Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20232881. Full description at Econpapers || Download paper |
2023 | Vector autoregression models with skewness and heavy tails. (2023). Karlsson, Sune ; Nguyen, Hoang ; Mazur, Stepan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002834. Full description at Econpapers || Download paper |
2023 | Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles. (2023). Wang, Shu ; Herwartz, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:151:y:2023:i:c:s0165188923000362. Full description at Econpapers || Download paper |
2023 | A hybrid NKPC inflation model for the small Island state of Fiji. (2023). Naivutu, Revoni ; Cirikisuva, Salote ; Narayan, Seema. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:873-886. Full description at Econpapers || Download paper |
2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper |
2023 | Eurozone prices: A tale of convergence and divergence. (2023). Garcia-Hiernaux, Alfredo ; Guerrero, David E ; Gonzalez-Perez, Maria T. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002304. Full description at Econpapers || Download paper |
2023 | Do asset-backed stablecoins spread crypto volatility to traditional financial assets? Evidence from Tether. (2023). Ho, Pak ; Tang, Gabriel Shui. In: Economics Letters. RePEc:eee:ecolet:v:229:y:2023:i:c:s0165176523002380. Full description at Econpapers || Download paper |
2023 | Refining set-identification in VARs through independence. (2023). Wright, Jonathan H ; Drautzburg, Thorsten. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1827-1847. Full description at Econpapers || Download paper |
2023 | Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665. Full description at Econpapers || Download paper |
2023 | Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902. Full description at Econpapers || Download paper |
2023 | The evolution of financial reporting quality for companies listed on the Tadawul Stock Exchange in Saudi Arabia: New emerging markets evidence. (2023). Wang, Daphne ; Houmes, Robert ; Alsuhaibani, Waleed. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000146. Full description at Econpapers || Download paper |
2023 | Co-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. Full description at Econpapers || Download paper |
2023 | Agricultural carbon footprint, energy utilization and economic quality: What causes what, and where?. (2023). Zhao, Minjuan ; Kipperberg, Gorm ; Sauer, Johannes ; Khan, Sufyan Ullah ; Cui, YU. In: Energy. RePEc:eee:energy:v:278:y:2023:i:pa:s036054422301280x. Full description at Econpapers || Download paper |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
2023 | Cross-country uncertainty spillovers: Evidence from international survey data. (2023). Beckmann, Joscha ; Schussler, Rainer ; Koop, Gary ; Davidson, Sharada Nia. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001632. Full description at Econpapers || Download paper |
2023 | Monetary policy and information shocks in a block-recursive SVAR. (2023). Seepe, Andre ; Hetzenecker, Stephan ; Keweloh, Sascha A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000931. Full description at Econpapers || Download paper |
2023 | Economic recovery through multisector management resources in small and medium businesses in China. (2023). Chok, Nyen Vui ; Cheok, Mui Yee ; Ma, Cong. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722006249. Full description at Econpapers || Download paper |
2023 | Asymmetric linkage between copper-cobalt productions and economic growth: Evidence from Republic Democratic of Congo. (2023). Hui, SU ; Wu, Qiaosheng ; Namahoro, Jean Pierre. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s0301420723003410. Full description at Econpapers || Download paper |
2023 | Role of renewable energy investment and geopolitical risk in green finance development: Empirical evidence from BRICS countries. (2023). Chang, Lei ; Lin, Huifang ; Zhou, Jianwen ; Wu, Hao ; Dong, Chunlong. In: Renewable Energy. RePEc:eee:renene:v:207:y:2023:i:c:p:234-241. Full description at Econpapers || Download paper |
2023 | Promoting green investment for renewable energy sources in China: Case study from autoregressive distributed Lagged in error correction approach. (2023). Xie, Guangxiong ; Zhang, Shuzhi. In: Renewable Energy. RePEc:eee:renene:v:214:y:2023:i:c:p:359-368. Full description at Econpapers || Download paper |
2023 | Tail dependence and risk spillover effects between Chinas carbon market and energy markets. (2023). Dong, Xiuliang ; Man, Yuanyuan ; Liu, Jianing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:553-567. Full description at Econpapers || Download paper |
2023 | Does exporting cause productivity growth? Evidence from Chilean firms. (2023). Coad, Alex ; Ciarli, Tommaso ; Moneta, Alessio. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:66:y:2023:i:c:p:228-239. Full description at Econpapers || Download paper |
2023 | Identification Using Higher-Order Moments Restrictions. (2023). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: Working Paper Series. RePEc:fip:fedhwp:96666. Full description at Econpapers || Download paper |
2023 | Detecting Common Bubbles in Multivariate Mixed Causal–Noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: Econometrics. RePEc:gam:jecnmx:v:11:y:2023:i:1:p:9-:d:1092261. Full description at Econpapers || Download paper |
2023 | Is There Any Pattern Regarding the Vulnerability of Smart Contracts in the Food Supply Chain to a Stressed Event? A Quantile Connectedness Investigation. (2023). Paparas, Dimitrios ; Ghosh, Bikramaditya. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:58-:d:1038318. Full description at Econpapers || Download paper |
2023 | Managing Portfolio Risk During the BREXIT Crisis: A Cross-Quantilogram Analysis of Stock Markets and Commodities Across European Countries, the US, and BRICS. (2023). Goutte, Stéphane ; Gana, Marjene ; Ahmed, Ayedi ; Guesmi, Khaled. In: Working Papers. RePEc:hal:wpaper:halshs-04068651. Full description at Econpapers || Download paper |
2023 | Climate risk and investment in equities in Europe: a Panel SVAR approach. (2023). Parla, Fabio ; Cipollini, Andrea. In: Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance). RePEc:mod:wcefin:0093. Full description at Econpapers || Download paper |
2023 | Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555. Full description at Econpapers || Download paper |
2023 | Simultaneous identification of fiscal and monetary policy shocks. (2023). Mansur, Alfan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:2:d:10.1007_s00181-022-02352-z. Full description at Econpapers || Download paper |
2023 | Investment, autonomous demand and long-run capacity utilization: an empirical test for the Euro Area. (2023). Gallo, Ettore ; Barbieri, Maria Cristina. In: Economia Politica: Journal of Analytical and Institutional Economics. RePEc:spr:epolit:v:40:y:2023:i:1:d:10.1007_s40888-022-00291-7. Full description at Econpapers || Download paper |
2023 | Linear and Nonlinear Causal Linkages Between Exports and Growth in Next Eleven Economies. (2023). el Montasser, Ghassen ; Abid, Abir ; Ben-Salha, Ousama. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:14:y:2023:i:2:d:10.1007_s13132-022-00958-3. Full description at Econpapers || Download paper |
2023 | Time changing effects of external shocks on macroeconomic fluctuations in Peru: empirical application using regime-switching VAR models with stochastic volatility. (2023). Rodríguez, Gabriel ; Chavez, Paulo. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:159:y:2023:i:2:d:10.1007_s10290-022-00474-1. Full description at Econpapers || Download paper |
2023 | A non-Normal framework for price discovery: The independent component based information shares measure. (2023). Zema, Sebastiano Michele. In: LEM Papers Series. RePEc:ssa:lemwps:2023/03. Full description at Econpapers || Download paper |
2023 | Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07. Full description at Econpapers || Download paper |
2023 | A panel threshold VAR with stochastic volatility-in-mean model: an application to the effects of financial and uncertainty shocks in emerging economies. (2023). Soave, Gian Paulo. In: Applied Economics. RePEc:taf:applec:v:55:y:2023:i:4:p:397-431. Full description at Econpapers || Download paper |
2023 | Observation-Driven filters for Time-Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics. (2023). Koopman, Siem Jan ; Mingoli, Gabriele ; Blasques, Francisco. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20230065. Full description at Econpapers || Download paper |
2023 | UNCERTAINTY AND MONETARY POLICY DURING THE GREAT RECESSION. (2023). Caggiano, Giovanni ; Castelnuovo, Efrem ; Pellegrino, Giovanni. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:2:p:577-606. Full description at Econpapers || Download paper |
2023 | Connectedness between G10 currencies: Searching for the causal structure. (2023). Heinlein, Reinhold ; Bettendorf, Timo. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:4:p:3938-3959. Full description at Econpapers || Download paper |
2023 | The multifaceted impact of US trade policy on financial markets. (2023). Menkhoff, Lukas ; Boer, Lukas ; Rieth, Malte. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:3:p:388-406. Full description at Econpapers || Download paper |
2023 | A tug of war of forecasting the US stock market volatility: Oil futures overnight versus intraday information. (2023). Li, Ziyang ; Chevallier, Julien ; M. I. M. Wahab, ; Ma, Feng. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:60-75. Full description at Econpapers || Download paper |
2023 | Trading around the clock: Revisit volatility spillover between crude oil and equity markets in different trading sessions. (2023). Fu, Tong ; Ma, Feng ; He, Feng ; Hao, Jing. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:771-791. Full description at Econpapers || Download paper |
2023 | Monetary policy, external instruments, and heteroskedasticity. (2023). Podstawski, Maximilian ; Rieth, Malte ; Schlaak, Thore. In: Quantitative Economics. RePEc:wly:quante:v:14:y:2023:i:1:p:161-200. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
---|---|---|---|
2014 | Noncausal Bayesian Vector Autoregression In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
2016 | Noncausal Bayesian Vector Autoregression.(2016) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2014 | Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 98 |
2016 | Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models.(2016) In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 98 | article | |
2014 | Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
2015 | Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 90 |
2017 | Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | article | |
2015 | Nonlinear dynamic interrelationships between real activity and stock returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
2015 | Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
2016 | Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
2004 | Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 In: The Energy Journal. [Full Text][Citation analysis] | article | 44 |
2001 | Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001. [Citation analysis] | paper | 27 |
2003 | Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.(2003) In: The Journal of Financial Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
2000 | Modeling the US short-term interest rate by mixture autoregressive processes.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2002 | Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 15 |
2000 | Threshold Autoregression for Strongly Autocorrelated Time Series..(2000) In: University of Helsinki, Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
2007 | A Multivariate Generalized Orthogonal Factor GARCH Model In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 70 |
2005 | A Multivariate Generalized Orthogonal Factor GARCH Model.(2005) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | paper | |
2010 | Structural Vector Autoregressions With Nonnormal Residuals In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 160 |
2006 | Structural Vector Autoregressions with Nonnormal Residuals.(2006) In: CESifo Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 160 | paper | |
2005 | Structural Vector Autoregressions with Nonnormal Residuals.(2005) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 160 | paper | |
2002 | Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 211 |
2002 | Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 211 | paper | |
1999 | Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 211 | paper | |
2003 | Reducing size distortions of parametric stationarity tests In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 6 |
2000 | Reducing size distortions of parametric stationarity tests.(2000) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2003 | Testing 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] | article | 7 |
2000 | TESTING 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. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | ||
2003 | Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 84 |
2001 | Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | paper | |
2011 | GMM Estimation with Non?causal Instruments In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
2009 | GMM Estimation with Noncausal Instruments.(2009) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2014 | Does Output Gap, Labours Share or Unemployment Rate Drive Inflation? In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
2012 | Does Output Gap, Labors Share or Unemployment Rate Drive Inflation?.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
2018 | Data†Driven Identification Constraints for DSGE Models In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
2020 | Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
2011 | Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics. [Full Text][Citation analysis] | article | 57 |
2010 | Noncausal autoregressions for economic time series.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 57 | paper | |
2009 | Asymmetric 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] | article | 21 |
2008 | Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2015 | Noncausality and inflation persistence In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 1 |
2013 | Noncausality and Inflation Persistence.(2013) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2006 | Identifying Monetary Policy Shocks via Changes in Volatility In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 118 |
2006 | Identifying Monetary Policy Shocks via Changes in Volatility.(2006) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 118 | paper | |
2008 | Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 118 | article | |
2008 | Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 118 | article | |
2008 | Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis In: CESifo Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
2008 | Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis.(2008) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2013 | NONCAUSAL VECTOR AUTOREGRESSION In: Econometric Theory. [Full Text][Citation analysis] | article | 45 |
2010 | Noncausal Vector Autoregression.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | ||
2013 | A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] | paper | 0 |
2009 | Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases In: Economics Bulletin. [Full Text][Citation analysis] | article | 5 |
2012 | Does noncausality help in forecasting economic time series? In: Economics Bulletin. [Full Text][Citation analysis] | article | 19 |
2004 | A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns In: Econometric Society 2004 North American Summer Meetings. [Full Text][Citation analysis] | paper | 3 |
2005 | Non-linear GARCH models for highly persistent volatility In: Econometrics Journal. [Full Text][Citation analysis] | article | 25 |
2002 | Nonlinear GARCH models for highly persistent volatility.(2002) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
2009 | A naïve sticky information model of households inflation expectations In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 38 |
2008 | A Naïve Sticky Information Model of Households’ Inflation Expectations.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 38 | paper | |
2010 | Structural vector autoregressions with Markov switching In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 161 |
2009 | Structural Vector Autoregressions with Markov Switching.(2009) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 161 | paper | |
2013 | Autoregression-based estimation of the new Keynesian Phillips curve In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 14 |
2011 | Autoregression-Based Estimation of the New Keynesian Phillips Curve.(2011) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2012 | Has US inflation really become harder to forecast? In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
2010 | Has U.S. Inflation Really Become Harder to Forecast?.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2002 | Unit root tests for time series with level shifts: a comparison of different proposals In: Economics Letters. [Full Text][Citation analysis] | article | 132 |
2001 | Unit root tests for time series with level shifts: A comparison of different proposals.(2001) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 132 | paper | |
2006 | Why is it so difficult to uncover the risk-return tradeoff in stock returns? In: Economics Letters. [Full Text][Citation analysis] | article | 29 |
2008 | Robustness of the risk-return relationship in the U.S. stock market In: Finance Research Letters. [Full Text][Citation analysis] | article | 8 |
2007 | Robustness of the Risk-Return Relationship in the U.S. Stock Market.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2007 | Forecasting realized exchange rate volatility by decomposition In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 14 |
2009 | Joint modeling of call and put implied volatility In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 7 |
2007 | Joint Modeling of Call and Put Implied Volatility.(2007) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2012 | Optimal forecasting of noncausal autoregressive time series In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 36 |
2010 | Optimal Forecasting of Noncausal Autoregressive Time Series.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
2013 | Overnight stock returns and realized volatility In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 30 |
2005 | Modeling Conditional Skewness in Stock Returns In: Economics Working Papers. [Full Text][Citation analysis] | paper | 15 |
2007 | Modeling Conditional Skewness in Stock Returns.(2007) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
2005 | The Effect of a Transaction Tax on Exchange Rate Volatility In: Economics Working Papers. [Full Text][Citation analysis] | paper | 14 |
2010 | The effect of a transaction tax on exchange rate volatility.(2010) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | ||
2006 | Forecasting Realized Volatility by Decomposition In: Economics Working Papers. [Full Text][Citation analysis] | paper | 5 |
2006 | A Mixture Multiplicative Error Model for Realized Volatility In: Economics Working Papers. [Full Text][Citation analysis] | paper | 32 |
2006 | A Mixture Multiplicative Error Model for Realized Volatility.(2006) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | article | |
2008 | Modeling Expectations with Noncausal Autoregressions In: Economics Working Papers. [Full Text][Citation analysis] | paper | 5 |
2008 | Modeling Expectations with Noncausal Autoregressions.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2008 | A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks In: Economics Working Papers. [Full Text][Citation analysis] | paper | 7 |
1995 | Co-integration and the term structure of Finnish short-term interest rates In: Finnish Economic Papers. [Full Text][Citation analysis] | article | 0 |
2000 | Testing the Predictability of Stock Returns. In: University of Helsinki, Department of Economics. [Citation analysis] | paper | 52 |
2002 | Testing The Predictability Of Stock Returns.(2002) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | article | |
2000 | Near unit roots, cointegration, and the term structure of interest rates In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 35 |
2006 | Nonlinear dynamics of interest rate and inflation In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 35 |
2006 | Nonlinear dynamics of interest rate and inflation.(2006) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
2004 | Nonlinear dynamics of interest rate and inflation.(2004) In: Macroeconomics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | ||
2012 | Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2013 | Testing for Linear and Nonlinear Predictability of Stock Returns In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 4 |
2009 | Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models In: MPRA Paper. [Full Text][Citation analysis] | paper | 17 |
2012 | BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS.(2012) In: Journal of Applied Econometrics. [Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
2009 | The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility In: MPRA Paper. [Full Text][Citation analysis] | paper | 1 |
2008 | Implied Volatility with Time-Varying Regime Probabilities In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2011 | Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison In: MPRA Paper. [Full Text][Citation analysis] | paper | 2 |
2012 | Supplementary appendix to noncausal vector autoregression In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2007 | The Properties of Market-Based and Survey Forecasts for Different Data Releases In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2001 | Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect In: Empirical Economics. [Full Text][Citation analysis] | article | 27 |
2019 | A comment on ‘on inflation expectations in the NKPC model’ In: Empirical Economics. [Full Text][Citation analysis] | article | 0 |
2021 | GMM Estimation of Non-Gaussian Structural Vector Autoregression In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 21 |
1999 | Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 20 |
2013 | THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 4 |
2017 | A New Time?Varying Parameter Autoregressive Model for U.S. Inflation Expectations In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 3 |
In: . [Full Text][Citation analysis] | paper | 0 | |
In: . [Full Text][Citation analysis] | paper | 0 | |
2001 | Unit root tests in the presence of innovational outliers In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team