Mika Meitz : Citation Profile


Are you Mika Meitz?

Helsingin Yliopisto (50% share)
Helsinki Center for Economic Research (HECER) (50% share)

7

H index

7

i10 index

196

Citations

RESEARCH PRODUCTION:

11

Articles

17

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   13 years (2004 - 2017). See details.
   Cites by year: 15
   Journals where Mika Meitz has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 18 (8.41 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pme81
   Updated: 2020-05-23    RAS profile: 2018-03-04    
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Relations with other researchers


Works with:

Saikkonen, Pentti (7)

Lanne, Markku (3)

Kalliovirta, Leena (2)

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

Is cited by:

Hautsch, Nikolaus (9)

Fernandes, Marcelo (8)

Saikkonen, Pentti (7)

Medeiros, Marcelo (6)

Teräsvirta, Timo (6)

Fiorentini, Gabriele (6)

Preve, Daniel (6)

Sentana, Enrique (6)

Rahbek, Anders (5)

GAO, Jiti (5)

Taamouti, Abderrahim (5)

Cites to:

Saikkonen, Pentti (13)

Lanne, Markku (10)

Rahbek, Anders (7)

Sola, Martin (6)

Spagnolo, Fabio (6)

Bec, Frédérique (4)

Dueker, Michael (4)

Shephard, Neil (4)

Kalliovirta, Leena (3)

Lütkepohl, Helmut (3)

Psaradakis, Zacharias (2)

Main data


Where Mika Meitz has published?


Journals with more than one article published# docs
Econometric Theory3
Journal of Econometrics2
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
Ko University-TUSIAD Economic Research Forum Working Papers / Koc University-TUSIAD Economic Research Forum4
Economics Series Working Papers / University of Oxford, Department of Economics3

Recent works citing Mika Meitz (2018 and 2017)


YearTitle of citing document
2018Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes. (2018). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1612.04932.

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2018A mixture autoregressive model based on Students $t$-distribution. (2018). Saikkonen, Pentti ; Preve, Daniel ; Meitz, Mika. In: Papers. RePEc:arx:papers:1805.04010.

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2020Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089.

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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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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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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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2020A mixture autoregressive model based on Gaussian and Students $t$-distributions. (2020). Virolainen, Savi. In: Papers. RePEc:arx:papers:2003.05221.

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2020Skewed non-Gaussian GARCH models for cryptocurrencies volatility modelling. (2020). Cerqueti, Roy ; Mattera, Raffaele ; Giacalone, Massimiliano. In: Papers. RePEc:arx:papers:2004.11674.

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

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2018State Space Models with Endogenous Regime Switching. (2018). Tan, Fei ; Maih, Junior ; Chang, Yoosoon. In: Working Papers. RePEc:bny:wpaper:0067.

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2018How do shocks to bank capital affect lending and growth?. (2018). Miettinen, Paavo ; Tolo, Eero. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_025.

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2018State-Dependent Transmission of Monetary Policy in the Euro Area. (2018). Neuenkirch, Matthias ; Nockel, Matthias ; Burgard, Jan Pablo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7074.

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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1802.

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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

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2018A mixture autoregressive model based on Student’s t–distribution. (2018). Saikkonen, Pentti ; Preve, Daniel ; Meitz, Mika. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_013.

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2017On log-symmetric duration models applied to high frequency financial data. (2017). Saulo, Helton ; Leo, Jeremias . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00030.

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2017A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446.

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2019A two-step short-term probabilistic wind forecasting methodology based on predictive distribution optimization. (2019). Hodge, Bri-Mathias ; Chartan, Erol Kevin ; Feng, Cong ; Sun, Mucun ; Zhang, Jie. In: Applied Energy. RePEc:eee:appene:v:238:y:2019:i:c:p:1497-1505.

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2018Diagnostic checking of Markov multiplicative error models. (2018). Guo, Bin ; Li, Shuo. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:139-142.

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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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2017A new approach to model regime switching. (2017). Chang, Yoosoon ; Park, Joon Y ; Choi, Yongok . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:127-143.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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

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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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2017Binary time series models driven by a latent process. (2017). Fokianos, Konstantinos ; Moysiadis, Theodoros . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:117-130.

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2019A multiple regime extension to the Heston–Nandi GARCH(1,1) model. (2019). Constantinou, Nick ; Diaz-Hernandez, Adan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:162-180.

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2019Modeling the relationship between firm and user generated content and the stages of the marketing funnel. (2019). O'Connor, Peter ; Kumar, Ashish ; Colicev, Anatoli. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:36:y:2019:i:1:p:100-116.

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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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2018The pre-history of econophysics and the history of economics: Boltzmann versus the marginalists. (2018). Poitras, Geoffrey. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:89-98.

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2017TRADE PATTERN ON WARSAW STOCK EXCHANGE AND PREDICTION OF NUMBER OF TRADES. (2017). Gurgul, Henryk ; Machno, Artur. In: Statistics in Transition New Series. RePEc:exl:29stat:v:18:y:2017:i:1:p:91-114.

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

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

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

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; GUEGAN, Dominique ; Chorro, Christophe. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-00973922.

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2017Testing for Leverage Effect in Financial Returns. (2014). Lalaharison, Hanjarivo ; Guegan, Dominique ; Chorro, Christophe ; Ielpo, Florian. In: Post-Print. RePEc:hal:journl:halshs-00973922.

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2018State Space Models with Endogenous Regime Switching. (2018). Maih, Junior ; Chang, Yoosoon ; Tan, Fei. In: CAEPR Working Papers. RePEc:inu:caeprp:2018011.

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2020Estimation of STAR–GARCH Models with Iteratively Weighted Least Squares. (2020). Midili, Murat. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:1:d:10.1007_s10614-018-9876-8.

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2018GARCH option pricing models with Meixner innovations. (2018). Fengler, Matthias ; Melnikov, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9141-7.

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

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2017Real-Time GARCH. (2017). Smetanina, Ekaterina . In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:4:p:561-601..

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2018Structural Volatility Impulse Response Function and Asymptotic Inference. (2018). Liu, Xiaochun. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:2:p:316-339..

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2018Social Investment and youth labour market participation: a EU regional analysis. (2018). Giannetti, Caterina ; Ecchia, Giulio ; Gagliardi, Francesca. In: Discussion Papers. RePEc:pie:dsedps:2018/236.

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

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2017Robust inference in conditionally heteroskedastic autoregressions. (2017). Pedersen, Rasmus Sondergaard. In: MPRA Paper. RePEc:pra:mprapa:81979.

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2018Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation. (2018). Yin, Ming . In: MPRA Paper. RePEc:pra:mprapa:88111.

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

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

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

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

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2019Modified residual CUSUM test for location-scale time series models with heteroscedasticity. (2019). Lee, Sangyeol ; Oh, Haejune . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:71:y:2019:i:5:d:10.1007_s10463-018-0679-4.

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2019On the large-sample behavior of two estimators of the conditional copula under serially dependent data. (2019). Quessy, Jean-Franois ; Lemyre, Felix Camirand ; Bouezmarni, Taoufik. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:82:y:2019:i:7:d:10.1007_s00184-019-00711-y.

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2019Fitting a pth Order Parametric Generalized Linear Autoregressive Multiplicative Error Model. (2019). Sakhanenko, L ; Ossiander, M ; Koul, H L ; Balakrishna, N. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-019-00195-w.

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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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2018Essays on functional coefficient models. (2018). Koo, Chao . In: Other publications TiSEM. RePEc:tiu:tiutis:ba87b8a5-3c55-40ec-967d-9eab42c14ddf.

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2020A Truncated Mixture Transition Model for Interval-valued Time Series. (2020). Gonzalez-Rivera, Gloria ; Luo, Yun. In: Working Papers. RePEc:ucr:wpaper:202005.

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2017GARCH option pricing models with Meixner innovations. (2017). Fengler, Matthias ; Melnikov, Alexander. In: Economics Working Paper Series. RePEc:usg:econwp:2017:02.

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2017Business Cycle Dating after the Great Moderation: A Consistent Two – Stage Maximum Likelihood Method. (2017). Mbara, Gilbert . In: Working Papers. RePEc:war:wpaper:2017-13.

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2018Lean against the wind or float with the storm? Revisiting the monetary policy asset price nexus by means of a novel statistical identification approach. (2018). Rohloff, Hannes ; Maxand, Simone ; Herwartz, Helmut. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:354.

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2019Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle. (2019). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:375.

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2018Identification of Structural Vector Autoregressions by Stochastic Volatility. (2018). Braun, Robin ; Bertsche, Dominik. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181631.

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Mika Meitz has edited the books:


YearTitleTypeCited

Works by Mika Meitz:


YearTitleTypeCited
2008Parameter estimation in nonlinear AR-GARCH models In: CREATES Research Papers.
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paper6
2008Parameter Estimation in Nonlinear AR-GARCH Models.(2008) In: Economics Working Papers.
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This paper has another version. Agregated cites: 6
paper
2010Parameter estimation in nonlinear AR–GARCH models.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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This paper has another version. Agregated cites: 6
paper
2008Parameter estimation in nonlinear AR-GARCH models.(2008) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 6
paper
2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
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paper31
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: 31
article
2017Testing for observation-dependent regime switching in mixture autoregressive models In: Papers.
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paper1
2006Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics.
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article49
2004Evaluating models of autoregressive conditional duration.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 49
paper
2008Stability of nonlinear AR‐GARCH models In: Journal of Time Series Analysis.
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article15
2006Stability of nonlinear AR-GARCH models.(2006) In: CORE Discussion Papers.
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This paper has another version. Agregated cites: 15
paper
2006Stability of nonlinear AR-GARCH models.(2006) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
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2007Stability of nonlinear AR-GARCH models.(2007) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 15
paper
2015A Gaussian Mixture Autoregressive Model for Univariate Time Series In: Journal of Time Series Analysis.
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article14
2006A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES In: Econometric Theory.
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article3
2005A necessary and sufficient condition for the strict stationarity of a family of GARCH processes.(2005) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 3
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2008ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS In: Econometric Theory.
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article42
2007Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 42
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2007Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: Economics Series Working Papers.
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This paper has another version. Agregated cites: 42
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2011PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS In: Econometric Theory.
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article12
2016Gaussian mixture vector autoregression In: Journal of Econometrics.
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article12
2013Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity In: Journal of Multivariate Analysis.
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article6
2012Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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This paper has another version. Agregated cites: 6
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2010A note on the geometric ergodicity of a nonlinear AR-ARCH model In: Statistics & Probability Letters.
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article2
2010A note on the geometric ergodicity of a nonlinear AR–ARCH model.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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This paper has another version. Agregated cites: 2
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2012Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2012Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper.
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This paper has another version. Agregated cites: 0
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2013Testing for Linear and Nonlinear Predictability of Stock Returns In: Journal of Financial Econometrics.
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article2

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