Markku Lanne : Citation Profile

Are you Markku Lanne?

Helsingin Yliopisto

23

H index

35

i10 index

1927

Citations

RESEARCH PRODUCTION:

52

Articles

63

Papers

RESEARCH ACTIVITY:

   26 years (1995 - 2021). See details.
   Cites by year: 74
   Journals where Markku Lanne has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 49 (2.48 %)

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ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla260
   Updated: 2024-01-16    RAS profile: 2023-03-16    
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Relations with other researchers

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:

Lütkepohl, Helmut (114)

Netšunajev, Aleksei (55)

Hecq, Alain (51)

Sentana, Enrique (29)

Weber, Enzo (27)

Fiorentini, Gabriele (23)

Moneta, Alessio (22)

Braun, Robin (20)

Tiwari, Aviral (20)

Milunovich, George (19)

Telg, Sean (19)

Cites to:

Saikkonen, Pentti (51)

Diebold, Francis (32)

Bollerslev, Tim (28)

Geweke, John (27)

Bauwens, Luc (25)

Engle, Robert (25)

Campbell, John (25)

Koop, Gary (21)

Luoto, Jani (21)

Andersen, Torben (19)

Shiller, Robert (19)

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
The Journal of Financial Econometrics3
Journal of Economic Dynamics and Control3
Journal of Applied Econometrics3
Journal of Business & Economic Statistics3
Journal of Applied Econometrics2
Economics Bulletin2
The Review of Economics and Statistics2
Journal of Money, Credit and Banking2
Journal of Time Series Analysis2
Studies in Nonlinear Dynamics & Econometrics2
Empirical Economics2

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
Bank of Finland Research Discussion Papers / Bank of Finland6
CESifo Working Paper Series / CESifo3
Discussion Papers of DIW Berlin / DIW Berlin, German Institute for Economic Research2

Recent works citing Markku Lanne (2024 and 2023)

YearTitle of citing document
2023Efficiently 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.

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2023Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263.

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2023Quantile Autoregression-based Non-causality Testing. (2023). Jin, Weifeng. In: Papers. RePEc:arx:papers:2301.02937.

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2023Adaptive local VAR for dynamic economic policy uncertainty spillover. (2023). Okhrin, Ostap ; Gillmann, Niels. In: Papers. RePEc:arx:papers:2302.02808.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2023Estimating 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.

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2023Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2023Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2023). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653.

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Non-linear dimension reduction in factor-augmented vector autoregressions. (2023). Klieber, Karin. In: Papers. RePEc:arx:papers:2309.04821.

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2023Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2310.08173.

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2023Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models. (2023). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2310.19543.

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2023Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2023Stock 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.

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2023A 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.

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2023.

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2023Noncausal 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.

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2023Global spillovers from multi-dimensional US monetary policy. (2023). Georgiadis, Georgios ; Jarociski, Marek. In: Working Paper Series. RePEc:ecb:ecbwps:20232881.

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2023Vector 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.

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2023Point 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.

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2023A 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.

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2023The 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.

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2023Eurozone 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.

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2023Do 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.

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2023Refining 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.

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2023Discrete 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.

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2023Moments, 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.

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2023The 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.

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2023Co-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.

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2023Agricultural 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.

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2023Discovering 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.

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2023Cross-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.

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2023Monetary 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.

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2023Economic 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.

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2023Asymmetric 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.

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2023Role 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.

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2023Promoting 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.

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2023Tail 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.

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2023Does 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.

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2023Identification Using Higher-Order Moments Restrictions. (2023). ferroni, filippo ; Andrade, Philippe ; Melosi, Leonardo. In: Working Paper Series. RePEc:fip:fedhwp:96666.

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2023Detecting 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.

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2023Is 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.

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2023Managing 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.

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2023Climate 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.

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2023Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555.

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2023Simultaneous 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.

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2023Investment, 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.

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2023Linear 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.

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2023Time 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.

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2023A 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.

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2023Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07.

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2023A 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.

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2023Observation-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.

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2023UNCERTAINTY 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.

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2023Connectedness 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.

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2023The 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.

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2023A 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.

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2023Trading 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.

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2023Monetary 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.

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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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This paper has nother version. Agregated cites: 8		article
2014Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper98
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 nother version. Agregated cites: 98		article
2014Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation? In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper90
2017Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 90		article
2015Nonlinear dynamic interrelationships between real activity and stock returns In: CREATES Research Papers.
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2015Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints 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.
[Full Text][Citation analysis]		article44
2001Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes In: CeNDEF Workshop Papers, January 2001.
[Citation analysis]		paper27
2003Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes.(2003) In: The 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.
[Full Text][Citation analysis]		article211
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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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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.() In: .
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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.
[Full Text][Citation analysis]		article84
2001Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers.
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2011GMM Estimation with Non?causal Instruments In: Oxford Bulletin of Economics and Statistics.
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2009GMM Estimation with Noncausal Instruments.(2009) In: MPRA Paper.
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2014Does Output Gap, Labours Share or Unemployment Rate Drive Inflation? In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
2012Does Output Gap, Labors Share or Unemployment Rate Drive Inflation?.(2012) In: MPRA Paper.
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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.
[Full Text][Citation analysis]		article10
2011Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article57
2010Noncausal autoregressions for economic time series.(2010) In: MPRA Paper.
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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.
[Full Text][Citation analysis]		article21
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.
[Full Text][Citation analysis]		paper118
2006Identifying Monetary Policy Shocks via Changes in Volatility.(2006) In: Economics Working Papers.
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2008Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking.
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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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2013NONCAUSAL VECTOR AUTOREGRESSION In: Econometric Theory.
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2010Noncausal Vector Autoregression.(2010) In: MPRA Paper.
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.() In: .
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