Markku Lanne : Citation Profile


Are you Markku Lanne?

Helsingin Yliopisto (99% share)
Aarhus Universitet (1% share)

22

H index

31

i10 index

1346

Citations

RESEARCH PRODUCTION:

49

Articles

63

Papers

RESEARCH ACTIVITY:

   25 years (1995 - 2020). See details.
   Cites by year: 53
   Journals where Markku Lanne has often published
   Relations with other researchers
   Recent citing documents: 122.    Total self citations: 45 (3.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla260
   Updated: 2020-10-17    RAS profile: 2020-09-03    
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Relations with other researchers


Works with:

Nyberg, Henri (2)

Meitz, Mika (2)

Saikkonen, Pentti (2)

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 (96)

Netšunajev, Aleksei (53)

Hecq, Alain (27)

Saikkonen, Pentti (21)

McAleer, Michael (19)

Telg, Sean (19)

Lof, Matthijs (18)

Boschi, Melisso (16)

Weber, Enzo (16)

Migiakis, Petros (15)

Castelnuovo, Efrem (14)

Cites to:

Saikkonen, Pentti (43)

Diebold, Francis (26)

Bollerslev, Tim (23)

Campbell, John (21)

Engle, Robert (20)

Luoto, Jani (20)

Shiller, Robert (19)

Andersen, Torben (17)

Watson, Mark (17)

Hansen, Peter (17)

Geweke, John (16)

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
Economics Letters3
Journal of Financial Econometrics3
Journal of Business & Economic Statistics3
Journal of Economic Dynamics and Control3
Empirical Economics2
Journal of Applied Econometrics2
Journal of Time Series Analysis2
Journal of Applied Econometrics2
Economics Bulletin2
The Review of Economics and Statistics2
Studies in Nonlinear Dynamics & 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 / CESifo3
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research2

Recent works citing Markku Lanne (2020 and 2019)


YearTitle of citing document
2020The Impact of Pessimistic Expectations on the Effects of COVID-19-Induced Uncertainty in the Euro Area. (2020). Zullig, Gabriel ; Ravenna, Federico ; Pellegrino, Giovanni. In: Economics Working Papers. RePEc:aah:aarhec:2020-12.

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2019Identification of Noncausal Models by Quantile Autoregressions. (2019). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:1904.05952.

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2019Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs. (2019). Funovits, Bernd. In: Papers. RePEc:arx:papers:1910.04087.

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2019Predicting 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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2020Identifiability 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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2020Inflation Dynamics of Financial Shocks. (2020). Palmén, Olli. In: Papers. RePEc:arx:papers:2006.03301.

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2020A 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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2020Spectral Targeting Estimation of $\lambda$-GARCH models. (2020). Hetland, Simon. In: Papers. RePEc:arx:papers:2007.02588.

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

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

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2019Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19118.

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2020Identification of structural vector autoregressions by stochastic volatility. (2020). Braun, Robin ; Bertsche, Dominik. In: Bank of England working papers. RePEc:boe:boeewp:0869.

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2020US Business Cycle Dynamics at the Zero Lower Bound. (2020). Strobel, Felix ; Boehl, Gregor. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2020_192.

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2020Nonlinear Business Cycle and Optimal Policy: A VSTAR Perspective. (2020). Polito, Vito. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8060.

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2019Metal Prices Made in China? A Network Analysis of Industrial Metal Futures. (2019). Siklos, Pierre ; Wellenreuther, Claudia ; Stefan, Martin. In: CQE Working Papers. RePEc:cqe:wpaper:8419.

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2019Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Working Papers. RePEc:crs:wpaper:2019-09.

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2019Helicopter Drops of Money under Secular Stagnation. (2019). Michau, Jean-Baptiste. In: Working Papers. RePEc:crs:wpaper:2019-10.

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2020Structural Vector Autoregressive Models with more Shocks than Variables Identified via Heteroskedasticity. (2020). Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1871.

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2020Heteroskedastic Proxy Vector Autoregressions. (2020). Schlaak, Thore ; Lutkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1876.

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2020Fisher Effect: An Empirical Re-examination in Case of India. (2020). Kamaiah, Bandi ; Bhat, Sajad Ahmad ; Danish, Shadab ; Adil, Masudul Hasan. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00590.

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2020Fuel-Mining Exports and Growth in a Developing State: The Case of the UAE. (2020). Chamberlain, Trevor William ; Kalaitzi, Athanasia Stylianou. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-04-38.

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2019Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles. (2019). Zhuang, Xin-Tian ; Xiong, Xiong ; Liu, Xi-Hua ; Gong, Xiao-Li. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:121:y:2019:i:c:p:129-136.

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2019Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH. (2019). Schlaak, Thore ; Lütkepohl, Helmut ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:41-61.

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2020On the external validity of experimental inflation forecasts: A comparison with five categories of field expectations. (2020). Hubert, Paul ; Cornand, Camille. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:110:y:2020:i:c:s0165188919301459.

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2020Bayesian inference for structural vector autoregressions identified by Markov-switching heteroskedasticity. (2020). Woźniak, Tomasz ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300324.

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2019Twin deficits and fiscal spillovers in the EMUs periphery. A Keynesian perspective. (2019). Gaysset, Isabelle ; Neaime, Simon ; Lagoarde-Segot, Thomas. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:101-116.

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2019Do shale gas and oil productions move in convergence? An investigation using unit root tests with structural breaks. (2019). Chang, Chun-Ping ; Wei, Wei ; Hu, Haiqing. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:21-33.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines. (2020). Shum, Wai Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300774.

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2020Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates. (2020). Yi, Chae-Deug. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300814.

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2020Does the credit supply shock have asymmetric effects on macroeconomic variables?. (2020). Paccagnini, Alessia ; Colombo, Valentina. In: Economics Letters. RePEc:eee:ecolet:v:188:y:2020:i:c:s0165176520300100.

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2020Noncausal vector AR processes with application to economic time series. (2020). Song, LI ; Davis, Richard A. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:246-267.

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2020Incorporating overnight and intraday returns into multivariate GARCH volatility models. (2020). Wu, Jianbin ; Dhaene, Geert. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:471-495.

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2019Bitcoin price growth and Indonesias monetary system. (2019). Setiawan, Iwan ; Rahman, Eki R ; Narayan, Seema. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:364-376.

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2019Energy and economic growth in the USA two decades later: Replication and reanalysis. (2019). Leiva, Benjamin ; Liu, Zhongyuan. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:89-99.

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2019On the stationarity of CO2 emissions in OECD and BRICS countries: A sequential testing approach. (2019). Darne, Olivier ; Zerbo, Eleazar. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:319-332.

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2019How do normalization schemes affect net spillovers? A replication of the Diebold and Yilmaz (2012) study. (2019). cipollini, andrea ; Muzzioli, Silvia ; Caloia, Francesco Giuseppe. In: Energy Economics. RePEc:eee:eneeco:v:84:y:2019:i:c:s0140988319303317.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2019Policy measures targeting a more integrated gas market: Impact of a merger of two trading zones on prices and arbitrage activity in France. (2019). MASSOL, Olivier ; Dukhanina, Ekaterina ; Leveque, Franois. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:583-593.

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2020Analyzing dynamic impacts of different oil shocks on oil price. (2020). Lin, Boqiang ; Gong, XU ; Chen, Liqiang. In: Energy. RePEc:eee:energy:v:198:y:2020:i:c:s0360544220304138.

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2019Volatilities, drifts and the relation between treasury yields and the corporate bond yield spread in australia. (2019). Österholm, Pär ; Karlsson, Sune ; Osterholm, Par. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:378-384.

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2019The asymmetric high-frequency volatility transmission across international stock markets. (2019). Wang, Shengquan ; Luo, Jiawen. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:104-109.

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2020The role of carry trades on the effectiveness of Japans quantitative easing. (2020). Chuffart, Thomas ; Dell'Eva, Cyril. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:30-40.

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2019Structural instability and predictability. (2019). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:63:y:2019:i:c:s1042443119300150.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:4:p:1332-1355.

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2020Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?. (2020). Lyócsa, Štefan ; Todorova, Neda. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:628-645.

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2020Bias corrections for exponentially transformed forecasts: Are they worth the effort?. (2020). Demetrescu, Matei ; Titova, Anna ; Golosnoy, Vasyl. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:761-780.

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2020Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin. (2020). , Walid. In: Journal of Economics and Business. RePEc:eee:jebusi:v:108:y:2020:i:c:s0148619519302206.

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2019Trend inflation and monetary policy regimes in Japan. (2019). Okimoto, Tatsuyoshi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:92:y:2019:i:c:p:137-152.

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2019Economic policy uncertainty and dollar-pound exchange rate return volatility. (2019). Bartsch, Zachary. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:98:y:2019:i:c:1.

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2019Beliefs formation and the puzzle of forward guidance power. (2019). Di Bartolomeo, Giovanni ; Beqiraj, Elton ; di Pietro, Marco. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:60:y:2019:i:c:p:20-32.

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2019Data-driven structural BVAR analysis of unconventional monetary policy. (2019). Puonti, Paivi . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:61:y:2019:i:c:1.

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2019The importance of principal components in studying mineral prices using vector autoregressive models: Evidence from the Brazilian economy. (2019). Souza, Francisca Mendona ; de Souza, Claudia Aline ; da Silva, Wesley Vieira ; da Veiga, Claudimar Pereira. In: Resources Policy. RePEc:eee:jrpoli:v:62:y:2019:i:c:p:9-21.

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2019The investment-uncertainty relationship in the oil and gas industry. (2019). Manera, Matteo ; Sadeghzadeh, Mehdi ; Ahmadi, Maryam. In: Resources Policy. RePEc:eee:jrpoli:v:63:y:2019:i:c:52.

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2019Dynamic spillovers and connectedness between stock, commodities, bonds, and VIX markets. (2019). Brooks, Robert ; Dash, Saumya Ranjan ; Maitra, Debasish ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x18305912.

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2019Forecasting the Chinese stock volatility across global stock markets. (2019). Zhang, Yaojie ; Ma, Feng ; Liu, Jing. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:466-477.

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2019Global inflation dynamics and inflation expectations. (2019). Feldkircher, Martin ; Siklos, Pierre L. In: International Review of Economics & Finance. RePEc:eee:reveco:v:64:y:2019:i:c:p:217-241.

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2019Estimating the conditional equity risk premium in African frontier markets. (2019). Othieno, Ferdinand ; Biekpe, Nicholas. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:538-551.

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2020Nonperforming loans and competing rules of monetary policy: A statistical identification approach. (2020). Moneta, Alessio ; Lopreite, Milena ; Califano, Andrea ; Brancaccio, Emiliano. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:53:y:2020:i:c:p:127-136.

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2020Merchandise exports and economic growth: multivariate time series analysis for the United Arab Emirates. (2020). Chamberlain, Trevor W ; Kalaitzi, Athanasia S. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:103781.

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2020Fuel-mining exports and growth in a developing state: the case of the UAE. (2020). Chamberlain, Trevor William ; Kalaitzi, Athanasia Stylianou. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:105207.

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2019Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: THEMA Working Papers. RePEc:ema:worpap:2019-07.

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2019Forecasting Annual Inflation in Suriname. (2019). Franses, Philip Hans ; Bhaghoe, S ; Ooft, G. In: Econometric Institute Research Papers. RePEc:ems:eureir:120337.

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2020The asymmetric effects of monetary policy on stock price bubbles. (2020). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:2012.

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2019Mixed causal-noncausal autoregressions with exogenous regressors. (2019). Telg, Sean ; Hecq, Alain ; Issler, Joo Victor. In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). RePEc:fgv:epgewp:810.

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2020Aggregate Demand and Aggregate Supply Effects of COVID-19: A Real-time Analysis. (2020). Bekaert, Geert ; Ermolov, Andrey ; Engstrom, Eric. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-49.

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2019Assessment of Cross-Border Transmission of Systemic Financial Risk in EU Countries. (2019). Seryakova, Ekaterina V ; Karminsky, Alexander M. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:190509:p:119-129.

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2019Mixed Causal-Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing *. (2019). Bec, Frédérique ; Saidi, Sarra ; Nielsen, Heino Bohn . In: Working Papers. RePEc:hal:wpaper:hal-02175760.

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2019Interest rates, inflation, and exchange rates in fragile EMEs: A fresh look at the long-run interrelationships. (2019). Comert, Metehan ; Kaptan, Sava ; Kaya, Aye ; En, Huseyin. In: Working Papers. RePEc:hal:wpaper:halshs-02095652.

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2019The Relation between Municipal and Government Bond Yields in an Era of Unconventional Monetary Policy. (2019). Österholm, Pär ; Osterholm, Par ; Nordstrom, Martin ; Knezevic, David. In: Working Papers. RePEc:hhs:oruesi:2019_006.

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2019The Great Moderation: Updated Evidence with Joint Tests for Multiple Structural Changes in Variance and Persistence. (2019). Yamamoto, Yohei ; Perron, Pierre. In: Discussion paper series. RePEc:hit:hiasdp:hias-e-90.

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2019Türkiye Konut Piyasasında Etkinlik Analizi. (2019). Seven, Ünal ; alp, esra. In: Istanbul Business Research. RePEc:ist:ibsibr:v:48:y:2019:i:1:p:84-112.

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2020Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times. (2020). Balcilar, Mehmet ; Wohar, Mark E ; Ozdemir, Huseyin. In: IZA Discussion Papers. RePEc:iza:izadps:dp13274.

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2020Global Factors Driving Inflation and Monetary Policy: A Global VAR Assessment. (2020). Feldkircher, Martin ; Tondl, Gabriele. In: International Advances in Economic Research. RePEc:kap:iaecre:v:26:y:2020:i:3:d:10.1007_s11294-020-09792-2.

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2020Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility. (2020). Thiem, Christopher. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09559-1.

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2019The Interest Rate Sensitivity of Investment. (2019). Baldi, Guido ; Lange, Alexander. In: Credit and Capital Markets. RePEc:kuk:journl:v:52:y:2019:i:2:p:173-190.

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2020How the banking system is creating a two-way inflation in an economy. (2020). Nizam, Ahmed Mehedi. In: PLOS ONE. RePEc:plo:pone00:0229937.

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2020Periodic autoregressive conditional duration. (2020). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:101696.

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2020Revisiting income convergence with DF-Fourier tests: old evidence with a new test. (2020). Lopes, Artur Silva . In: MPRA Paper. RePEc:pra:mprapa:102208.

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2019Forecasting bubbles with mixed causal-noncausal autoregressive models. (2019). Hecq, Alain ; Voisin, Elisa. In: MPRA Paper. RePEc:pra:mprapa:92734.

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2019Heterogeneous component multiplicative error models for forecasting trading volumes. (2019). Storti, Giuseppe ; Naimoli, Antonio. In: MPRA Paper. RePEc:pra:mprapa:93802.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: MPRA Paper. RePEc:pra:mprapa:95992.

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2019Residual Augmented Fourier ADF Unit Root Test. (2019). Aydın, Mücahit ; YILANCI, Veli ; Aydin, Mehmet . In: MPRA Paper. RePEc:pra:mprapa:96797.

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2019Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds. (2019). Fries, Sebastien. In: MPRA Paper. RePEc:pra:mprapa:97353.

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2020How the banking system is creating a two-way inflation in an economy. (2020). Nizam, Ahmed Mehedi. In: MPRA Paper. RePEc:pra:mprapa:99427.

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2019A Factor-Augmented Vector Autoregressive Approach to Analyze the Transmission of Monetary Policy. (2019). Wagan, Zulfiqar Ali ; Chen, Zhang. In: Prague Economic Papers. RePEc:prg:jnlpep:v:2019:y:2019:i:6:id:699:p:709-728.

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2019The importance of being informed: forecasting market risk measures for the Russian RTS index future using online data and implied volatility over two decades. (2019). Fantazzini, Dean ; Shangina, Tamara. In: Applied Econometrics. RePEc:ris:apltrx:0372.

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2019Precondition stock and stock indices volatility modeling based on market diversification potential: Evidence from Russian market. (2019). Nagapetyan, Artur. In: Applied Econometrics. RePEc:ris:apltrx:0380.

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2020Análisis de la inflación en Bolivia. Un enfoque Markov- Switching con tres estados. (2020). Claure, Benigno Caballero ; Bohorquez, Claudia Mabel ; Martinez, Rolando Caballero. In: Revista Latinoamericana de Desarrollo Economico. RePEc:ris:revlde:1982.

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2020Drivers of Bank Default Risk: Bank Business Models, the Sovereign and Monetary Policy. (2020). Vander Vennet, Rudi ; Soenen, Nicolas. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:20/997.

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2019On the external validity of experimental inflation forecasts : a comparison with five categories of fields expectations. (2019). Hubert, Paul ; Cornand, Camille. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/6o4qdck7489u7pqc068eeuqsnq.

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2019Time-varying contemporaneous spillovers during the European Debt Crisis. (2019). Frijns, Bart ; Tourani-Rad, Alireza ; Finta, Marinela Adriana. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:2:d:10.1007_s00181-018-1480-1.

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2019On inflation expectations in the NKPC model. (2019). Franses, Philip Hans. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:6:d:10.1007_s00181-018-1417-8.

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2020Persistence and unit root in $$\text {CO}_{2}$$CO2 emissions: evidence from disaggregated global and regional data. (2020). Fallahi, Firouz. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:5:d:10.1007_s00181-018-1608-3.

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2020On the volatility of daily stock returns of Total Nigeria Plc: evidence from GARCH models, value-at-risk and backtesting. (2020). ADENOMON, MONDAY ; Nweze, Nwaze Obini ; Emenogu, Ngozi G. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00178-1.

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2019Debt sustainability, structural breaks and nonlinear fiscal adjustment: empirical evidence from Algeria. (2019). BENBOUZIANE, Mohamed ; Chekouri, Sidi Mohamed ; Chibi, Abderrahim. In: International Review of Economics. RePEc:spr:inrvec:v:66:y:2019:i:4:d:10.1007_s12232-019-00327-8.

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2020Has the Financial Crisis affected the Real Interest Rate Dynamics in Europe?. (2020). Demiralp, Selva ; Aslanidis, Nektarios. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:16:y:2020:i:1:d:10.1007_s41549-020-00041-3.

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2020Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers. (2020). Raizada, Gaurav ; S. V. D. Nageswara Rao, ; Srivastava, Vartika. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:1:d:10.1007_s40953-019-00169-9.

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2019Estimating the Economy-Wide Rebound Effect Using Empirically Identified Structural Vector Autoregressions. (2019). Stern, David ; Moneta, Alessio ; Bruns, Stephan B. In: LEM Papers Series. RePEc:ssa:lemwps:2019/27.

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2019Exporting and productivity as part of the growth process: Causal evidence from a data-driven structural VAR. (2019). Moneta, Alessio ; Coad, Alex ; Ciarli, Tommaso. In: LEM Papers Series. RePEc:ssa:lemwps:2019/39.

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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.
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2016Noncausal Bayesian Vector Autoregression.(2016) In: Journal of Applied Econometrics.
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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.
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2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
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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.
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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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2001Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001.
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2003Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.(2003) In: Journal of Financial Econometrics.
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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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2002Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics.
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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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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.
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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.
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2000Reducing size distortions of parametric stationarity tests.(2000) In: SFB 373 Discussion Papers.
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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.
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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.
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2001Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers.
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2014Does Output Gap, Labours Share or Unemployment Rate Drive Inflation? In: Oxford Bulletin of Economics and Statistics.
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2018Data†Driven Identification Constraints for DSGE Models In: Oxford Bulletin of Economics and Statistics.
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2020Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression In: Oxford Bulletin of Economics and Statistics.
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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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2002Nonlinear dynamics of interest rate and inflation In: Research Discussion Papers.
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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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2004Trading Nokia : the roles of the Helsinki vs the New York stock exchanges In: Research Discussion Papers.
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2006The effect of a transaction tax on exchange rate volatility In: Research Discussion Papers.
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2005The Effect of a Transaction Tax on Exchange Rate Volatility.(2005) In: Economics Working Papers.
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2010The effect of a transaction tax on exchange rate volatility.(2010) In: International Journal of Finance & Economics.
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2009Noncausal vector autoregression In: Research Discussion Papers.
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2010Realized volatility and overnight returns In: Research Discussion Papers.
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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.
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2008Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times.(2008) In: MPRA Paper.
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2015Noncausality and inflation persistence In: Studies in Nonlinear Dynamics & Econometrics.
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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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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.
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2008Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis.(2008) In: Economics Working Papers.
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2013A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation In: Discussion Papers of DIW Berlin.
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2009Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases In: Economics Bulletin.
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2012Does noncausality help in forecasting economic time series? In: Economics Bulletin.
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2004A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns In: Econometric Society 2004 North American Summer Meetings.
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2005Non-linear GARCH models for highly persistent volatility In: Econometrics Journal.
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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.
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2008A Naïve Sticky Information Model of Households’ Inflation Expectations.(2008) In: MPRA Paper.
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2010Structural vector autoregressions with Markov switching In: Journal of Economic Dynamics and Control.
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2013Autoregression-based estimation of the new Keynesian Phillips curve In: Journal of Economic Dynamics and Control.
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2012Has US inflation really become harder to forecast? In: Economics Letters.
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2002Unit root tests for time series with level shifts: a comparison of different proposals In: Economics Letters.
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2001Unit root tests for time series with level shifts: A comparison of different proposals.(2001) In: SFB 373 Discussion Papers.
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2006Why is it so difficult to uncover the risk-return tradeoff in stock returns? In: Economics Letters.
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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.
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2007Modeling Conditional Skewness in Stock Returns.(2007) In: The European Journal of Finance.
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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: Journal of Financial Econometrics.
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2008Modeling Expectations with Noncausal Autoregressions In: Economics Working Papers.
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2008A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks In: Economics Working Papers.
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2000Testing the Predictability of Stock Returns. In: University of Helsinki, Department of Economics.
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2000Near unit roots, cointegration, and the term structure of interest rates In: Journal of Applied Econometrics.
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2013Testing for Linear and Nonlinear Predictability of Stock Returns In: Journal of Financial Econometrics.
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2009Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models In: MPRA Paper.
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