Markku Lanne : Citation Profile

Helsingin Yliopisto

24

H index

35

i10 index

2131

Citations

RESEARCH PRODUCTION:

55

Articles

64

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1995 - 2025). See details.
   Cites by year: 71
   Journals where Markku Lanne has often published
   Relations with other researchers
   Recent citing documents: 108.    Total self citations: 50 (2.29 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pla260
   Updated: 2025-04-19    RAS profile: 2024-02-06    
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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 (149)

Netšunajev, Aleksei (67)

Hecq, Alain (53)

Moneta, Alessio (30)

Sentana, Enrique (29)

Weber, Enzo (27)

Fiorentini, Gabriele (25)

Telg, Sean (24)

Milunovich, George (23)

Bacchiocchi, Emanuele (21)

Jasiak, Joann (21)

Cites to:

Saikkonen, Pentti (51)

Diebold, Francis (32)

Bollerslev, Tim (28)

Geweke, John (27)

Bauwens, Luc (25)

Campbell, John (25)

Engle, Robert (25)

Koop, Gary (21)

Luoto, Jani (21)

Andersen, Torben (19)

Shiller, Robert (19)

Main data

Production by document typechapterpaperarticle1995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150200Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year1999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250200400600Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 24Most cited documents12345678910111213141516171819202122232425260100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution2013082013092013102013112013122014012014022014032014042014052014062014072014082014092014102014112014122015012015022015032015042015052015062015072015082015092015102015112015122016012016022016032016042016052016062016072016082016092016102016112016122017012017022017032017042017052017062017072017082017092017102017112017122018012018022018032018042018052018062018072018082018092018102018112018122019012019022019032019042019052019062019072019082019092019102019112019122020012020022020032020042020052020062020072020082020092020102020112020122021012021022021032021042021052021062021072021082021092021102021112021122022012022022022032022042022052022062022072022082022092022102022112022122023012023022023032023042023052023062023072023082023092023102023112023122024012024022024032024042024052024062024072024082024092024102024112024122025012025022025032025040102030h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Markku Lanne has published?

Journals with more than one article published# docs
Oxford Bulletin of Economics and Statistics6
Journal of Applied Econometrics4
International Journal of Forecasting4
Journal of Business & Economic Statistics3
Journal of Economic Dynamics and Control3
Journal of Financial Econometrics3
Economics Letters3
Studies in Nonlinear Dynamics & Econometrics2
The Review of Economics and Statistics2
Journal of Business & Economic Statistics2
Journal of Money, Credit and Banking2
Empirical Economics2
Journal of Time Series Analysis2
Economics Bulletin2
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
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 (2025 and 2024)

Year  ↓Title of citing document  ↓
2024The Transition to Renewables: Dampening the Impact of Fossil Fuel Price Shocks on Local Inflation.. (2024). Cornejo, Magdalena ; Hallack, Michelle ; David, Matias. In: Working Papers. RePEc:aoz:wpaper:345.

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2024Gaussian and Students $t$ mixture vector autoregressive model. (2021). Virolainen, Savi. In: Papers. RePEc:arx:papers:2109.13648.

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2024Efficiently 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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2024Estimating 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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2024Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2024Optimization 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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2024Structural Analysis of Vector Autoregressive Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Wo, Tomasz ; Uzeda, Luis ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2024Warfare Ignited Price Contagion Dynamics in Early Modern Europe. (2024). Esmaili, Emile ; Puma, Michael J ; Ludlow, Francis ; Jobbova, Eva ; Holm, Poul. In: Papers. RePEc:arx:papers:2411.18978.

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2024Geometric Deep Learning for Realized Covariance Matrix Forecasting. (2024). Zhang, Chao ; Palma, Michele ; Bucci, Andrea. In: Papers. RePEc:arx:papers:2412.09517.

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2024A large non-Gaussian structural VAR with application to Monetary Policy. (2024). Pruser, Jan. In: Papers. RePEc:arx:papers:2412.17598.

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2025Sequential Monte Carlo for Noncausal Processes. (2025). Grassi, Stefano ; Giancaterini, Francesco ; Cubadda, Gianluca. In: Papers. RePEc:arx:papers:2501.03945.

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2025Nonlinear Forecast Error Variance Decompositions with Hermite Polynomials. (2025). Lee, Quinlan. In: Papers. RePEc:arx:papers:2503.11416.

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2025Identification and estimation of structural vector autoregressive models via LU decomposition. (2025). Fujimori, Kou ; Shimokawa, Masato. In: Papers. RePEc:arx:papers:2503.12378.

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2024.

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2025.

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2024How certain are we about the role of uncertainty in the economy?. (2024). Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:1:p:126-149.

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2024Invalid proxies and volatility changes. (2024). Fanelli, Luca ; Neri, Luca ; Angelini, Giovanni. In: Working Papers. RePEc:bol:bodewp:wp1193.

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2024Estimating uncertainty spillover effects across euro area using a regime dependent VAR model. (2024). Joshy, Easaw ; Mauro, Costantini ; Giovanni, Angelini. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:1:p:39-59:n:1.

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2024Interest Rates, Convenience Yields, and Inflation Expectations: Drivers of US Dollar Exchange Rates. (2024). Bernoth, Kerstin ; Herwartz, Helmut ; Trienens, Lasse. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2100.

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2024Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions. (2024). Lütkepohl, Helmut ; Ltkepohl, Helmut ; Bruns, Martin. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2103.

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2025Time-Varying Shock Transmission in Non-Gaussian Structural Vector Autoregressions. (2025). Lütkepohl, Helmut ; Ltkepohl, Helmut ; Strohsal, Till. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2110.

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2025Investment funds and euro disaster risk. (2025). Kaufmann, Christoph ; Georgiadis, Georgios ; Longaric, Pablo Anaya ; Cera, Katharina. In: Working Paper Series. RePEc:ecb:ecbwps:20253029.

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2024Non-linear dimension reduction in factor-augmented vector autoregressions. (2024). Klieber, Karin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:159:y:2024:i:c:s0165188923002063.

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2024Heteroskedastic proxy vector autoregressions: An identification-robust test for time-varying impulse responses in the presence of multiple proxies. (2024). Lutkepohl, Helmut ; Bruns, Martin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:161:y:2024:i:c:s0165188924000290.

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2024Identification of vector autoregressive models with nonlinear contemporaneous structure. (2024). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000447.

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2024Understanding the role of Chinas factors in international commodity price fluctuations: A perspective of monetary-fiscal policy interaction. (2024). Miao, Xinru ; Chen, Peng. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:81:y:2024:i:c:p:1464-1483.

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2024Modelling common bubbles in cryptocurrency prices. (2024). Jasiak, Joann ; Hall, Mauri K. In: Economic Modelling. RePEc:eee:ecmode:v:139:y:2024:i:c:s026499932400138x.

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2024Time aggregation of mixed causal–noncausal models. (2024). Telg, Sean. In: Economics Letters. RePEc:eee:ecolet:v:244:y:2024:i:c:s0165176524005032.

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2024Locally robust inference for non-Gaussian linear simultaneous equations models. (2024). Mesters, Geert ; Lee, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003639.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2024The asymmetric effects of monetary policy on stock price bubbles. (2024). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001533.

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2024Exploring the relationship between Chinas economic policy uncertainty and business cycles: Exogenous impulse or endogenous responses?. (2024). Ming, Che ; Zixiang, Zhu ; Yujia, LI. In: Emerging Markets Review. RePEc:eee:ememar:v:58:y:2024:i:c:s156601412300095x.

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2024Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets. (2024). Parhi, Mamata ; Enilov, Martin ; Zhou, Xiaoran. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001762.

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2024Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Theilen, Bernd ; Herwartz, Helmut. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968.

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2024Food, energy, and water nexus: A study on interconnectedness and trade-offs. (2024). Paparas, Dimitrios ; Ghosh, Anandita ; Gubareva, Mariya ; Vo, Xuan Vinh. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002299.

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2024Testing rational expectations in a cointegrated VAR with structural change. (2024). Marçal, Emerson ; Maral, Emerson Fernandes. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003673.

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2024Public debt determinants: A time-varying analysis of core and peripheral Euro area countries. (2024). di Serio, Mario. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pa:s1544612324011309.

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2024Volatility feedback and dealership position: Evidence from the CDS Index, Corporate Bonds, and Government Bonds. (2024). Chen, Steven Shu-Hsiu. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324012054.

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2024(Structural) VAR models with ignored changes in mean and volatility. (2024). Salish, Nazarii ; Demetrescu, Matei. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:840-854.

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2024A short term credibility index for central banks under inflation targeting: An application to Brazil. (2024). Hecq, Alain ; Voisin, Elisa ; Issler, Joo Victor. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000445.

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2024A matrix unified framework for deriving various impulse responses in Markov switching VAR: Evidence from oil and gas markets. (2024). Cavicchioli, Maddalena. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000610.

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2024Estimating the Fed’s unconventional policy shocks. (2024). Jarociński, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011.

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2024Blended identification in structural VARs. (2024). Marcellino, Massimiliano ; Carriero, Andrea ; Tornese, Tommaso. In: Journal of Monetary Economics. RePEc:eee:moneco:v:146:y:2024:i:c:s0304393224000345.

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2024Real estate uncertainty and financial conditions over the business cycle. (2024). Noh, Sanha ; Liu, Jia ; Baek, Ingul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:656-675.

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2024The Federal Reserve’s Quantitative Easing policy and volatility spillovers: Evidence from Australia. (2024). de Mello, Lurion ; Yahyaei, Hamid ; Singh, Abhay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003897.

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2024The development planning of the Italian Mezzogiorno: A statistical-mathematical analysis by a Real Business Cycle model. (2024). Vota, Luca ; Ferrentino, Rosa. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:96:y:2024:i:c:s0038012124002210.

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2025Explosive Episodes and Time-Varying Volatility: A New MARMA–GARCH Model Applied to Cryptocurrencies. (2025). Velasquez-Gaviria, Daniel ; Hecq, Alain. In: Econometrics. RePEc:gam:jecnmx:v:13:y:2025:i:2:p:13-:d:1619092.

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2024Quantifying sovereign risk in the euro area. (2024). Sosvilla-Rivero, Simon ; Gomez-Puig, Marta ; Singh, Manish K. In: IREA Working Papers. RePEc:ira:wpaper:202403.

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2024Investor attention and consumer price index inflation rate: Evidence from the United States. (2024). Zhang, Yinpeng ; Zhou, Qingjie ; Zhu, Panpan. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03036-y.

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2024A joint impulse response function for vector autoregressive models. (2024). Wiesen, Thomas ; Beaumont, Paul. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:4:d:10.1007_s00181-023-02496-6.

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2024Inflation uncertainty. (2024). Serletis, Apostolos ; Xu, Libo. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02512-9.

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2024Observation-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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2024Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model. (2024). Mingoli, Gabriele. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240072.

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2024Heteroskedastic Structural Vector Autoregressions Identified via Long-run Restrictions. (2024). Lutkepohl, Helmut ; Bruns, Martin. In: University of East Anglia School of Economics Working Paper Series. RePEc:uea:ueaeco:2024-06.

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2024Higher-Order Moment Inequality Restrictions for SVARs. (2024). ferroni, filippo ; Melosi, Leonardo ; Andrade, Philippe. In: The Warwick Economics Research Paper Series (TWERPS). RePEc:wrk:warwec:1537.

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2024Daily oil price shocks and their uncertainties. (2024). Wang, Shu. In: University of Göttingen Working Papers in Economics. RePEc:zbw:cegedp:307602.

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Works by Markku Lanne:

Year  ↓Title  ↓Type  ↓Cited  ↓
2014Noncausal Bayesian Vector Autoregression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper9
2016Noncausal Bayesian Vector Autoregression.(2016) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 9		article
2014Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper115
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: 115		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]		paper113
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: 113		article
2015Nonlinear dynamic interrelationships between real activity and stock returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2015Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2016Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2004Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 In: The Energy Journal.
[Full Text][Citation analysis]		article47
.() In: .
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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: Journal of Financial Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 27		article
2000Modeling the US short-term interest rate by mixture autoregressive processes.(2000) In: SFB 373 Discussion Papers.
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2025A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks In: Papers.
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2002Threshold Autoregressions for Strongly Autocorrelated Time Series. In: Journal of Business & Economic Statistics.
[Citation analysis]		article16
2000Threshold Autoregression for Strongly Autocorrelated Time Series..(2000) In: University of Helsinki, Department of Economics.
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This paper has nother version. Agregated cites: 16		paper
2007A Multivariate Generalized Orthogonal Factor GARCH Model In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article79
2005A Multivariate Generalized Orthogonal Factor GARCH Model.(2005) In: MPRA Paper.
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This paper has nother version. Agregated cites: 79		paper
2010Structural Vector Autoregressions With Nonnormal Residuals In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article189
2006Structural Vector Autoregressions with Nonnormal Residuals.(2006) In: CESifo Working Paper Series.
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This paper has nother version. Agregated cites: 189		paper
2005Structural Vector Autoregressions with Nonnormal Residuals.(2005) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 189		paper
2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article221
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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This paper has nother version. Agregated cites: 221		paper
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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This paper has nother version. Agregated cites: 6		paper
2003Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift In: Manchester School.
[Full Text][Citation analysis]		article7
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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This paper has nother version. Agregated cites: 7		paper
.() 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]		article85
2001Test procedures for unit roots in time series with level shifts at unknown time.(2001) In: SFB 373 Discussion Papers.
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This paper has nother version. Agregated cites: 85		paper
2011GMM Estimation with Non‐causal Instruments In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article4
2009GMM Estimation with Noncausal Instruments.(2009) In: MPRA Paper.
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This paper has nother version. Agregated cites: 4		paper
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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This paper has nother version. Agregated cites: 3		paper
2018Data€ Driven Identification Constraints for DSGE Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article0
2020Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article14
2011Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article65
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]		article23
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.
[Full Text][Citation analysis]		article1
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]		paper138
2006Identifying Monetary Policy Shocks via Changes in Volatility.(2006) In: Economics Working Papers.
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