Markku Lanne : Citation Profile

Are you Markku Lanne?

Helsingin Yliopisto

24

H index

35

i10 index

2067

Citations

RESEARCH PRODUCTION:

52

Articles

64

Papers

1

Chapters

RESEARCH ACTIVITY:

   29 years (1995 - 2024). See details.
   Cites by year: 71
   Journals where Markku Lanne has often published
   Relations with other researchers
   Recent citing documents: 144.    Total self citations: 50 (2.36 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pla260
   Updated: 2024-12-03    RAS profile: 2024-02-06    
   Missing citations? Add them    Incorrect content? Let us know

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 (140)

Netšunajev, Aleksei (65)

Hecq, Alain (51)

Moneta, Alessio (30)

Sentana, Enrique (29)

Weber, Enzo (27)

Fiorentini, Gabriele (25)

Milunovich, George (23)

Bacchiocchi, Emanuele (21)

Telg, Sean (21)

Tiwari, Aviral (20)

Cites to:

Saikkonen, Pentti (50)

Diebold, Francis (31)

Bollerslev, Tim (28)

Campbell, John (27)

Engle, Robert (25)

Geweke, John (23)

Bauwens, Luc (23)

Andersen, Torben (19)

Mankiw, N. Gregory (19)

Shiller, Robert (19)

Watson, Mark (18)

Main data

Where Markku Lanne has published?

Journals with more than one article published# docs
Oxford Bulletin of Economics and Statistics5
International Journal of Forecasting4
Journal of Financial Econometrics3
Journal of Economic Dynamics and Control3
Journal of Applied Econometrics3
Economics Letters3
Journal of Business & Economic Statistics3
Journal of Time Series Analysis2
Empirical Economics2
Economics Bulletin2
The Review of Economics and Statistics2
Journal of Applied Econometrics2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Business & Economic Statistics2

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2023The relative importance of overnight sentiment versus trading-hour sentiment in volatility forecasting. (2023). Qiu, Jianying ; Wan, Xinmin ; Chu, Xiaojun. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000400.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Dynamic conditional eigenvalue GARCH. (2023). Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Hetland, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002141.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Intraday and overnight tail risks and return predictability in the crude oil market: Evidence from oil-related regular news and extreme shocks. (2023). Bouri, Elie ; Wang, Cheng ; Zhang, Dingsheng ; Xu, Yahua. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323006199.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023A central bankers’ sentiment index of global financial cycle. (2023). Liu, Wei ; Yu, Zhen ; Yang, Fuyu. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s1544612323005330.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Capital flow volatility regimes and monetary policy dilemma: Evidence from New Zealand. (2023). Mansur, Alfan. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:28:y:2023:i:c:s1703494923000269.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Energy transition metals and global sentiment: Evidence from extreme quantiles. (2023). Gubareva, Mariya ; Pham, Linh ; Ghosh, Bikramaditya ; Teplova, Tamara. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723008814.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2023Do bitcoin news information flow and return volatility fit the sequential information arrival hypothesis and the mixture of distribution hypothesis?. (2023). Chiu, Chien-Liang ; Day, Min-Yuh ; Chou, Ke-Hsin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:88:y:2023:i:c:p:365-385.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Identification of SVAR Models by Combining Sign Restrictions With External Instruments. (2020). Braun, Robin ; Brüggemann, Ralf ; Bruggemann, Ralf. In: Working Paper Series of the Department of Economics, University of Konstanz. RePEc:knz:dpteco:2001.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Markku Lanne:

YearTitleTypeCited
2014Noncausal Bayesian Vector Autoregression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2016Noncausal Bayesian Vector Autoregression.(2016) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
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]		paper109
2016Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models.(2016) In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 109		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]		paper101
2017Identification and estimation of non-Gaussian structural vector autoregressions.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 101		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: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		article
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2024A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks In: Papers.
[Full Text][Citation analysis]		paper0
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.
[Citation analysis]
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]		article77
2005A Multivariate Generalized Orthogonal Factor GARCH Model.(2005) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 77		paper
2010Structural Vector Autoregressions With Nonnormal Residuals In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article182
2006Structural Vector Autoregressions with Nonnormal Residuals.(2006) In: CESifo Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 182		paper
2005Structural Vector Autoregressions with Nonnormal Residuals.(2005) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 182		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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 221		paper
1999Comparison of unit root tests for time series with level shifts.(1999) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 221		paper
2003Reducing size distortions of parametric stationarity tests In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article6
2000Reducing size distortions of parametric stationarity tests.(2000) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 85		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.
[Full Text][Citation analysis]
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]		article13
2011Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article61
2010Noncausal autoregressions for economic time series.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		paper
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]		article22
2008Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2006Identifying Monetary Policy Shocks via Changes in Volatility In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper134
2006Identifying Monetary Policy Shocks via Changes in Volatility.(2006) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 134		paper
2008Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has nother version. Agregated cites: 134		article
2008Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 134		article
2008Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper7
2008Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis.(2008) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2013NONCAUSAL VECTOR AUTOREGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article47
2010Noncausal Vector Autoregression.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		paper
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		paper
2013A Noncausal Autoregressive Model with Time-Varying Parameters: An Application to U.S. Inflation In: Discussion Papers of DIW Berlin.
[Full Text][Citation analysis]		paper0
2009Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases In: Economics Bulletin.
[Full Text][Citation analysis]		article5
2012Does noncausality help in forecasting economic time series? In: Economics Bulletin.
[Full Text][Citation analysis]		article19
2004A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns In: Econometric Society 2004 North American Summer Meetings.
[Full Text][Citation analysis]		paper3
2005Non-linear GARCH models for highly persistent volatility In: Econometrics Journal.
[Full Text][Citation analysis]		article27
2002Nonlinear GARCH models for highly persistent volatility.(2002) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2009A naïve sticky information model of households inflation expectations In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article38
2008A Naïve Sticky Information Model of Households’ Inflation Expectations.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2010Structural vector autoregressions with Markov switching In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article183
2009Structural Vector Autoregressions with Markov Switching.(2009) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 183		paper
2013Autoregression-based estimation of the new Keynesian Phillips curve In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article14
2011Autoregression-Based Estimation of the New Keynesian Phillips Curve.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2012Has US inflation really become harder to forecast? In: Economics Letters.
[Full Text][Citation analysis]		article2
2010Has U.S. Inflation Really Become Harder to Forecast?.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2002Unit root tests for time series with level shifts: a comparison of different proposals In: Economics Letters.
[Full Text][Citation analysis]		article138
2001Unit root tests for time series with level shifts: A comparison of different proposals.(2001) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 138		paper
2006Why is it so difficult to uncover the risk-return tradeoff in stock returns? In: Economics Letters.
[Full Text][Citation analysis]		article29
2008Robustness of the risk-return relationship in the U.S. stock market In: Finance Research Letters.
[Full Text][Citation analysis]		article8
2007Robustness of the Risk-Return Relationship in the U.S. Stock Market.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2007Forecasting realized exchange rate volatility by decomposition In: International Journal of Forecasting.
[Full Text][Citation analysis]		article14
2009Joint modeling of call and put implied volatility In: International Journal of Forecasting.
[Full Text][Citation analysis]		article7
2007Joint Modeling of Call and Put Implied Volatility.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2012Optimal forecasting of noncausal autoregressive time series In: International Journal of Forecasting.
[Full Text][Citation analysis]		article38
2010Optimal Forecasting of Noncausal Autoregressive Time Series.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 38		paper
2013Overnight stock returns and realized volatility In: International Journal of Forecasting.
[Full Text][Citation analysis]		article35
2022Statistical Identification of Economic Shocks by Signs in Structural Vector Autoregression In: Advances in Econometrics.
[Full Text][Citation analysis]		chapter0
2005Modeling Conditional Skewness in Stock Returns In: Economics Working Papers.
[Full Text][Citation analysis]		paper15
2007Modeling Conditional Skewness in Stock Returns.(2007) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		article
2005The Effect of a Transaction Tax on Exchange Rate Volatility In: Economics Working Papers.
[Full Text][Citation analysis]		paper14
2010The effect of a transaction tax on exchange rate volatility.(2010) In: International Journal of Finance & Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2006Forecasting Realized Volatility by Decomposition In: Economics Working Papers.
[Full Text][Citation analysis]		paper5
2006A Mixture Multiplicative Error Model for Realized Volatility In: Economics Working Papers.
[Full Text][Citation analysis]		paper33
2006A Mixture Multiplicative Error Model for Realized Volatility.(2006) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2008Modeling Expectations with Noncausal Autoregressions In: Economics Working Papers.
[Full Text][Citation analysis]		paper5
2008Modeling Expectations with Noncausal Autoregressions.(2008) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2008A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks In: Economics Working Papers.
[Full Text][Citation analysis]		paper7
1995Co-integration and the term structure of Finnish short-term interest rates In: Finnish Economic Papers.
[Full Text][Citation analysis]		article0
2000Testing the Predictability of Stock Returns. In: University of Helsinki, Department of Economics.
[Citation analysis]		paper55
2002Testing The Predictability Of Stock Returns.(2002) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 55		article
2000Near unit roots, cointegration, and the term structure of interest rates In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article36
2006Nonlinear dynamics of interest rate and inflation In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article36
2006Nonlinear dynamics of interest rate and inflation.(2006) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
2004Nonlinear dynamics of interest rate and inflation.(2004) In: Macroeconomics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2012Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers.
[Full Text][Citation analysis]		paper0
2012Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2013Testing for Linear and Nonlinear Predictability of Stock Returns In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article4
2009Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models In: MPRA Paper.
[Full Text][Citation analysis]		paper17
2012BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS.(2012) In: Journal of Applied Econometrics.
[Citation analysis]
This paper has nother version. Agregated cites: 17		article
2009GMM Estimation with Noncausal Instruments In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2009The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility In: MPRA Paper.
[Full Text][Citation analysis]		paper1
2008Implied Volatility with Time-Varying Regime Probabilities In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2011Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison In: MPRA Paper.
[Full Text][Citation analysis]		paper2
2012Supplementary appendix to noncausal vector autoregression In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2007The Properties of Market-Based and Survey Forecasts for Different Data Releases In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2001Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect In: Empirical Economics.
[Full Text][Citation analysis]		article27
2019A comment on ‘on inflation expectations in the NKPC model’ In: Empirical Economics.
[Full Text][Citation analysis]		article0
2021GMM Estimation of Non-Gaussian Structural Vector Autoregression In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article28
2023Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
1999Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article20
2013THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article5
In: .
[Full Text][Citation analysis]		paper0
In: .
[Full Text][Citation analysis]		paper0
2001Unit root tests in the presence of innovational outliers In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]		paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team