Markku Lanne : Citation Profile


Are you Markku Lanne?

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

17

H index

22

i10 index

871

Citations

RESEARCH PRODUCTION:

43

Articles

63

Papers

RESEARCH ACTIVITY:

   22 years (1995 - 2017). See details.
   Cites by year: 39
   Journals where Markku Lanne has often published
   Relations with other researchers
   Recent citing documents: 83.    Total self citations: 43 (4.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla260
   Updated: 2017-04-22    RAS profile: 2017-04-05    
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Relations with other researchers


Works with:

Luoto, Jani (10)

Saikkonen, Pentti (8)

Nyberg, Henri (5)

Meitz, Mika (4)

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 (65)

Netšunajev, Aleksei (41)

McAleer, Michael (17)

Saikkonen, Pentti (17)

Boschi, Melisso (16)

Weber, Enzo (14)

Migiakis, Petros (14)

Girardi, Alessandro (12)

Lof, Matthijs (12)

Shahbaz, Muhammad (12)

Kohonen, Anssi (10)

Cites to:

Saikkonen, Pentti (37)

Diebold, Francis (26)

Bollerslev, Tim (24)

Engle, Robert (20)

Andersen, Torben (19)

Campbell, John (19)

Shiller, Robert (17)

Hansen, Peter (17)

Watson, Mark (16)

Mankiw, N. Gregory (15)

Luoto, Jani (15)

Main data


Where Markku Lanne has published?


Journals with more than one article published# docs
Oxford Bulletin of Economics and Statistics4
International Journal of Forecasting4
Journal of Financial Econometrics3
Journal of Economic Dynamics and Control3
Journal of Business & Economic Statistics3
Economics Letters3
The Review of Economics and Statistics2
Economics Bulletin2
Studies in Nonlinear Dynamics & Econometrics2
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 (2017 and 2016)


YearTitle of citing document
2016Measuring Uncertainty and Its Impact on the Economy. (2016). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1639.

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

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2016Islamic Banking, Credit and Economic Growth: Some Empirical Evidence. (2016). Helmi, Mohamad ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5716.

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2016A New Approach to Volatility Modeling : The High-Dimensional Markov Model. (2016). Bauwens, Luc ; Augustyniak, Maciej ; Dufays, Arnaud . In: CORE Discussion Papers. RePEc:cor:louvco:2016042.

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2016Islamic Banking, Credit and Economic Growth: Some Empirical Evidence. (2016). Helmi, Mohamad ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1541.

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2016The State Dependent Impact of Bank Exposure on Sovereign Risk. (2016). Podstawski, Maximilian ; Velinov, Anton . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1550.

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2016Crimea and Punishment: The Impact of Sanctions on Russian and European Economies. (2016). Netšunajev, Aleksei ; Kholodilin, Konstantin ; Netsunajev, Aleksei . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1569.

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2016Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets. (2016). Große Steffen, Christoph ; Podstawski, Maximilian . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1602.

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2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models. (2016). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Yang, Minxian ; Milunivich, George . In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1632.

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2016Measuring Nonfundamentalness for Structural VARs. (2016). Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/222962.

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2016Identifying Shocks in Structural VAR models via heteroskedasticity: a Bayesian approach. (2016). Netšunajev, Aleksei ; Netunajev, Aleksei ; Kulikov, Dmitry . In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2015-8.

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2016Horizon effect in the term structure of long-run risk-return trade-offs. (2016). Okou, Cedric ; Jacquier, Eric . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:445-466.

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2016The Fisher effect in the presence of time-varying coefficients. (2016). Pantelidis, Theologos ; Panopoulou, Ekaterini. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:495-511.

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2016The exact Gaussian likelihood estimation of time-dependent VARMA models. (2016). Melard, Guy ; Jonasson, Kristjan ; Alj, Abdelkamel . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:633-644.

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2016Diagnostic checking of the vector multiplicative error model. (2016). Ng, F C ; Li, W K. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:86-97.

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2016Measuring nonfundamentalness for structural VARs. (2016). Soccorsi, Stefano . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:71:y:2016:i:c:p:86-101.

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2016Testing for identification in SVAR-GARCH models. (2016). Lütkepohl, Helmut ; Milunovich, George ; Lutkepohl, Helmut . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:73:y:2016:i:c:p:241-258.

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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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2016Forecasting stock volatility using after-hour information: Evidence from the Australian Stock Exchange. (2016). Jayawardena, Nirodha I ; Su, Jen-Je ; Li, Bin ; Todorova, Neda . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:592-608.

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2016Trends, unit roots, structural changes, and time-varying asymmetries in U.S. macroeconomic data: the Stock and Watson data re-examined. (2016). Sandberg, Rickard . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:699-713.

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2016Market integration dynamics and asymptotic price convergence in distribution. (2016). McAleer, Michael ; Guerrero, David ; Garcia-Hiernaux, Alfredo . In: Economic Modelling. RePEc:eee:ecmode:v:52:y:2016:i:pb:p:913-925.

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2016Modeling heterogeneous inflation expectations: empirical evidence from demographic data?. (2016). Lobon, Oana-Ramona ; Xu, Yingying ; Chang, Hsu-Ling ; Su, Chi-Wei . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:153-163.

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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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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). Caggiano, Giovanni ; Figueres, Juan Manuel ; Castelnuovo, Efrem . In: Economics Letters. RePEc:eee:ecolet:v:151:y:2017:i:c:p:31-34.

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2016Structural analysis with Multivariate Autoregressive Index models. (2016). Marcellino, Massimiliano ; Carriero, Andrea ; Kapetanios, George . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:332-348.

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2016Gaussian mixture vector autoregression. (2016). Saikkonen, Pentti ; Meitz, Mika ; Kalliovirta, Leena . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:485-498.

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

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

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef ; Krehlik, Tomas . In: European Journal of Operational Research. RePEc:eee:ejores:v:251:y:2016:i:1:p:329-340.

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2016Stock return predictability and determinants of predictability and profits. (2016). Narayan, Paresh ; Bannigidadmath, Deepa. In: Emerging Markets Review. RePEc:eee:ememar:v:26:y:2016:i:c:p:153-173.

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2016Public news arrival and the idiosyncratic volatility puzzle. (2016). Shi, Yanlin ; Ho, Kin-Yip ; Liu, Wai-Man . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:159-172.

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2016An infinite hidden Markov model for short-term interest rates. (2016). YANG, QIAO ; Maheu, John. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:202-220.

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2016The effect of financial transaction tax on market liquidity and volatility: An Italian perspective. (2016). Hvozdyk, Lyudmyla ; Rustanov, Serik . In: International Review of Financial Analysis. RePEc:eee:finana:v:45:y:2016:i:c:p:62-78.

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2016The bank-lending channel empirically revisited. (2016). Halvorsen, Jorn I ; Jacobsen, Dag Henning . In: Journal of Financial Stability. RePEc:eee:finsta:v:27:y:2016:i:c:p:95-105.

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2016Testing for predictability in panels of any time series dimension. (2016). , Joakimwesterlund ; Narayan, Paresh ; Westerlund, Joakim . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:4:p:1162-1177.

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2016Estimating the risk-return trade-off with overlapping data inference. (2016). Hodrick, Robert ; Hedegaard, Esben . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:135-145.

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2016Fiscal multipliers in a structural VEC model with mixed normal errors. (2016). Puonti, Paivi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:48:y:2016:i:c:p:144-154.

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2016Public information arrival and stock return volatility: Evidence from news sentiment and Markov Regime-Switching Approach. (2016). Shi, Yanlin ; Liu, Wai-Man ; Ho, Kin-Yip . In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:291-312.

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2016MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008. (2016). Assaf, Ata . In: Research in International Business and Finance. RePEc:eee:riibaf:v:36:y:2016:i:c:p:222-240.

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2016Testing the stationarity of CO2 emissions series in Sub-Saharan African countries by incorporating nonlinearity and smooth breaks. (2016). Tiwari, Aviral ; Kyophilavong, Phouphet ; Albulescu, Claudiu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:527-540.

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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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2016.

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2016Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods. (2016). Witzany, Jiří ; Ficura, Milan . In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:66:y:2016:i:4:p:278-301.

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2016A narrative approach to a fiscal DSGE model. (2016). Drautzburg, Thorsten. In: Working Papers. RePEc:fip:fedpwp:16-11.

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2016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). van Dijk, Herman ; Grassi, Stefano ; Hoogerheide, Lennart ; Batrk, Nalan . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11-:d:65219.

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2016Parallelization Experience with Four Canonical Econometric Models Using ParMitISEM. (2016). Batrk, Nalan ; van Dijk, Herman K ; Hoogerheide, Lennart ; Grassi, Stefano . In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:1:p:11:d:65219.

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

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2016Band or Point Inflation Targeting? An Experimental Approach. (2016). Cornand, Camille ; Kader, Cheick . In: Working Papers. RePEc:gat:wpaper:1616.

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2016 Uncertainty and Employment Dynamics in the Euro Area and the US. (2016). Netšunajev, Aleksei ; Glass, Katharina ; Netsunajev, Aleksei . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-002.

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2016Aggregate Employment, Job Polarization and Inequalities: A Transatlantic Perspective. (2016). Netšunajev, Aleksei ; Strohsal, Till ; Netsunajev, Aleksei ; Nautz, Dieter . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-015.

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2016International dynamics of inflation expectations. (2016). Netšunajev, Aleksei ; Netunajev, Aleksei . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2016-019.

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2016Gimme a Break! Identification and Estimation of the Macroeconomic Effects of Monetary Policy Shocks in the U.S.. (2016). Fanelli, Luca ; Bacchiocchi, Emanuele ; Castelnuovo, Efrem . In: Melbourne Institute Working Paper Series. RePEc:iae:iaewps:wp2016n31.

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2016On Modelling and Forecasting Predictable Components in European Stock Markets. (2016). Kiani, Khurshid. In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:3:d:10.1007_s10614-015-9510-y.

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2016On the macroeconomic determinants of the housing market in Greece: a VECM approach. (2016). Panagiotidis, Theodore. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:13:y:2016:i:3:d:10.1007_s10368-016-0345-3.

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2016A new approach to volatility modeling: the High-Dimensional Markov model. (2016). Bauwens, Luc ; Dufays, Arnaud ; Augustyniak, Maciej . In: Cahiers de recherche. RePEc:lvl:crrecr:1609.

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2016Chinas Increasing Global Influence: Changes in International Growth Spillovers. (2016). Bataa, Erdenebat ; Sensier, Marianne ; Osborn, Denise R. In: Centre for Growth and Business Cycle Research Discussion Paper Series. RePEc:man:cgbcrp:221.

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2016.

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2016The trade-off between monetary policy and bank stability. (2016). Vander Vennet, Rudi ; Lamers, Martien ; Meuleman, Elien ; Mergaerts, Frederik . In: Working Paper Research. RePEc:nbb:reswpp:201610-308.

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2016Analyse Risk-Return Paradox: Evidence from Electricity Sector of Pakistan. (2016). Qayyum, Abdul ; Shah, Sadia Naqi . In: MPRA Paper. RePEc:pra:mprapa:68783.

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2016Local Explosion Modelling by Noncausal Process. (2016). Zakoian, Jean-Michel ; gourieroux, christian. In: MPRA Paper. RePEc:pra:mprapa:71105.

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2016Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?. (2016). Telg, Sean ; Lieb, Lenard ; Hecq, Alain. In: MPRA Paper. RePEc:pra:mprapa:74922.

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2016What drives carbon dioxide emissions in the long-run? Evidence from selected South Asian Countries. (2016). Ozturk, Ilhan ; Ahmed, Khalid . In: MPRA Paper. RePEc:pra:mprapa:75420.

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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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2016On The Fisher Effect: A Review. (2016). Bosupeng, Mpho. In: MPRA Paper. RePEc:pra:mprapa:77916.

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2016Self-exciting threshold binomial autoregressive processes. (2016). Weiss, Christian H ; Moller, Tobias A ; Silva, Maria Eduarda ; Pereira, Isabel ; Scotto, Manuel G. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:100:y:2016:i:4:d:10.1007_s10182-015-0264-6.

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2016Monetary policy shocks and Cholesky VARs: an assessment for the Euro area. (2016). Castelnuovo, Efrem . In: Empirical Economics. RePEc:spr:empeco:v:50:y:2016:i:2:d:10.1007_s00181-015-0930-2.

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2016Inflation persistence, learning dynamics and the rationality of inflation expectations. (2016). Migiakis, Petros ; Brissimis, Sophocles. In: Empirical Economics. RePEc:spr:empeco:v:51:y:2016:i:3:d:10.1007_s00181-015-1033-9.

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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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2016Secondary versus higher education for growth: the case of three countries with different human capital’s structure and quality. (2016). Neycheva, Mariya. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:50:y:2016:i:6:d:10.1007_s11135-015-0267-0.

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2016Macroeconomic responses to an independent monetary policy shock: a (more) agnostic identification procedure. (2016). Moneta, Alessio ; Capasso, Marco. In: LEM Papers Series. RePEc:ssa:lemwps:2016/36.

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2016Inference in Partially Identified Heteroskedastic Simultaneous Equations Models. (2016). Lutkepohl, Helmut ; Yang, Minxian ; Milunovich, George . In: Discussion Papers. RePEc:swe:wpaper:2016-19.

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2016The Role of El Niño Southern Oscillation in Commodity Price Movement and Predictability. (2016). Ubilava, David. In: Working Papers. RePEc:syd:wpaper:2016-10.

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2016Parallelization Experience with Four Canonical Econometric Models using ParMitISEM. (2016). van Dijk, Herman ; Grassi, Stefano ; Basturk, Nalan ; Hoogerheide, Lennart . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20160005.

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2016Topics in nonparametric identification and estimation. (2016). Hubner, Stefan. In: Other publications TiSEM. RePEc:tiu:tiutis:08fce56b-3193-46e0-871b-0fa4402832b5.

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2016Parallelization experience with four canonical econometric models using ParMitISEM. (2016). Grassi, Stefano. In: Research Memorandum. RePEc:unm:umagsb:2016013.

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2016Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network “Tripod” Model with Thresholds. (2016). Sun, Hang . In: Research Memorandum. RePEc:unm:umagsb:2016032.

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2016The International Impact of Financial Shocks: A Global VAR and Connectedness Measures Approach. (2016). Smith, Donal . In: Discussion Papers. RePEc:yor:yorken:16/07.

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2016Monetary policy shocks, set-identifying restrictions, and asset prices: A benchmarking approach for analyzing set-identified models. (2016). Uhrin, Gábor ; Herwartz, Helmut . In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:295.

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2016Modeling and forecasting exchange rate volatility in time-frequency domain. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef ; Krehlik, Tomas . In: FinMaP-Working Papers. RePEc:zbw:fmpwps:55.

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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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2016On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models.. (2016). Velinov, Anton . In: Annual Conference 2016 (Augsburg): Demographic Change. RePEc:zbw:vfsc16:145581.

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Works by Markku Lanne:


YearTitleTypeCited
2014Noncausal Bayesian Vector Autoregression In: CREATES Research Papers.
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paper4
2014Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models In: CREATES Research Papers.
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paper7
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: 7
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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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paper6
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: 6
article
2015Nonlinear dynamic interrelationships between real activity and stock returns In: CREATES Research Papers.
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paper0
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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2004Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 In: The Energy Journal.
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article23
2001Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001.
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paper20
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: 20
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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: 20
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2002Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics.
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article6
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: 6
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2007A Multivariate Generalized Orthogonal Factor GARCH Model In: Journal of Business & Economic Statistics.
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article39
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