Markku Lanne : Citation Profile

Helsingin Yliopisto

24

H index

35

i10 index

2190

Citations

RESEARCH PRODUCTION:

56

Articles

64

Papers

1

Chapters

RESEARCH ACTIVITY:

   30 years (1995 - 2025). See details.
   Cites by year: 73
   Journals where Markku Lanne has often published
   Relations with other researchers
   Recent citing documents: 139.    Total self citations: 50 (2.23 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pla260
   Updated: 2026-01-17    RAS profile: 2025-10-09    
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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 (60)

Moneta, Alessio (31)

Sentana, Enrique (30)

Weber, Enzo (27)

Fiorentini, Gabriele (26)

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)

Campbell, John (25)

Bauwens, Luc (25)

Engle, Robert (25)

Koop, Gary (21)

Luoto, Jani (21)

Shiller, Robert (19)

Andersen, Torben (19)

Main data

Where Markku Lanne has published?

Journals with more than one article published# docs
Oxford Bulletin of Economics and Statistics6
Journal of Economic Dynamics and Control4
International Journal of Forecasting4
Journal of Applied Econometrics4
Journal of Financial Econometrics3
Journal of Business & Economic Statistics3
Economics Letters3
Journal of Time Series Analysis2
Journal of Money, Credit and Banking2
Journal of Business & Economic Statistics2
Economics Bulletin2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Applied Econometrics2
The Review of Economics and Statistics2
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 (2025 and 2024)

YearTitle 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 with application to the effects of the Euro area monetary policy shock. (2024). Virolainen, Savi. In: Papers. RePEc:arx:papers:2109.13648.

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2024Detecting Multiple Structural Breaks in Systems of Linear Regression Equations with Integrated and Stationary Regressors. (2024). Schweikert, Karsten. In: Papers. RePEc:arx:papers:2201.05430.

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2025Estimating Fiscal Multipliers by Combining Statistical Identification with Potentially Endogenous Proxies. (2024). Keweloh, Sascha A ; Klein, Mathias ; Pruser, Jan. In: Papers. RePEc:arx:papers:2302.13066.

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2024Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions. (2024). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281.

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2024Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2024). 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. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2312.06402.

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2025Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach. (2025). Yang, Xuanling ; Zhang, Ting ; Li, Dong. In: Papers. RePEc:arx:papers:2401.07038.

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2024Stochastic convergence in per capita CO$_2$ emissions. An approach from nonlinear stationarity analysis. (2024). Gonz, Paula Fern'Andez ; Jos, Mar'Ia ; Landajo, Manuel. In: Papers. RePEc:arx:papers:2402.00567.

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2024The general solution to an autoregressive law of motion. (2024). Franchi, Massimo ; Beare, Brendan ; Howlett, Phil. In: Papers. RePEc:arx:papers:2402.01966.

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2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

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2025Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Wo, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057.

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2024Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity. (2024). Kwiatkowski, Lukasz ; Wr, Justyna. In: Papers. RePEc:arx:papers:2406.03053.

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2024MSTest: An R-Package for Testing Markov Switching Models. (2024). Rodriguez-Rondon, Gabriel ; Dufour, Jean-Marie. In: Papers. RePEc:arx:papers:2411.08188.

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2024Warfare Ignited Price Contagion Dynamics in Early Modern Europe. (2024). Jobbova, Eva ; Holm, Poul ; Esmaili, Emile ; Puma, Michael J ; Ludlow, Francis. 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). Cubadda, Gianluca ; Grassi, Stefano ; Giancaterini, Francesco. 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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2025Regularized Generalized Covariance (RGCov) Estimator. (2025). Hecq, Alain ; Neyazi, Aryan Manafi ; Jasiak, Joann ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2504.18678.

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2025Systemic Risk in the European Insurance Sector. (2025). Borri, Nicola ; di Giorgio, Giorgio ; Consiglio, Andrea ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635.

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2025Bubble Detection with Application to Green Bubbles: A Noncausal Approach. (2025). Hecq, Alain ; Giancaterini, Francesco ; Jasiak, Joann ; Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2505.14911.

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2025Generalized Covariance Estimator under Misspecification and Constraints. (2025). Neyazi, Aryan Manafi. In: Papers. RePEc:arx:papers:2509.13492.

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2024Identification based on higher moments. (2024). Lewis, Daniel. In: CeMMAP working papers. RePEc:azt:cemmap:03/24.

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2025Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition. (2025). Stevanovic, Dalibor ; Guay, Alain. In: Working Papers. RePEc:bbh:wpaper:25-03.

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

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2024Zero Interest Policy & the New Abnormal: A Critique. (2024). Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:100:y:2024:i:329:p:261-266.

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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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2024Monetary Policy, Divergence, and the Euro. (2024). Schnabl, Gunther ; Pfeifer, Moritz. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11442.

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2024Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; Lütkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2081.

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2024Is There an Information Channel of Monetary Policy?. (2024). Kriwoluzky, Alexander ; Holtemöller, Oliver ; Holtemoller, Oliver ; Kwak, Boreum. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2084.

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2024Interest Rates, Convenience Yields, and Inflation Expectations: Drivers of US Dollar Exchange Rates. (2024). Bernoth, Kerstin ; Trienens, Lasse ; Herwartz, Helmut. 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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2025An econometric investigation on the stability of stablecoins: Are these coins stable or is their stability just a flip of the coin?. (2025). Heijmans, Ronald ; Gupta, Tarush ; Gugnani, Aayush ; Bewaji, Oluwasegun ; Alasadi, Lala. In: Working Papers. RePEc:dnb:dnbwpp:846.

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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). Lütkepohl, Helmut ; Bruns, Martin ; Lutkepohl, Helmut. 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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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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2025Microdata-based output gap estimation using business tendency surveys. (2025). Ulrichs, Magdalena ; Grajski, Mariusz ; Baej, Mirosaw. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:174:y:2025:i:c:s016518892500034x.

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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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2025Adaptive local VAR for dynamic economic policy uncertainty spillover. (2025). Gillmann, Niels ; Okhrin, Ostap. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000744.

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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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2025Regime dependence in the oil-stock market relationship: The role of oil price uncertainty. (2025). Mahadeo, Scott ; Heinlein, Reinhold. In: Economics Letters. RePEc:eee:ecolet:v:251:y:2025:i:c:s0165176525001284.

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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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2024Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation. (2024). Funovits, Bernd. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s030440762400112x.

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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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2024Specification tests for non-Gaussian structural vector autoregressions. (2024). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001490.

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2024Consistent causal inference for high-dimensional time series. (2024). Cordoni, Francesco ; Sancetta, Alessio. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002537.

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2025Inference in mixed causal and noncausal models with generalized Student’s t-distributions. (2025). Hecq, Alain ; Giancaterini, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:1-12.

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2025Oil price shocks and airlines stock return and volatility – A GFEVD analysis. (2025). Zhang, Anming ; Cai, Yifei. In: Economics of Transportation. RePEc:eee:ecotra:v:41:y:2025:i:c:s2212012225000048.

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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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2025Energy supply shocks’ nonlinearities on output and prices. (2025). Tornese, Tommaso ; de Santis, Roberto A. In: European Economic Review. RePEc:eee:eecrev:v:176:y:2025:i:c:s001429212500087x.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:686-700.

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

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2025From the core to the European periphery: Spillover effects of financial cycles. (2025). Jursa, Luk ; Jank, Jan. In: Emerging Markets Review. RePEc:eee:ememar:v:68:y:2025:i:c:s1566014125000548.

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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 ; Zhou, Xiaoran ; Enilov, Martin. 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 ; Herwartz, Helmut ; Theilen, Bernd. 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). Vo, Xuan Vinh ; Gubareva, Mariya ; Paparas, Dimitrios ; Ghosh, Bikramaditya. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002299.

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2025Does uncertainty amplify the inflation pass-through of gasoline price shocks?. (2025). Grndler, Daniel ; Scharler, Johann. In: Energy Economics. RePEc:eee:eneeco:v:144:y:2025:i:c:s0140988325001720.

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2025Does Natural Gas Matter for Financial Stability? A SVAR-X Analysis on the European Financial System and Financial Intermediaries. (2025). Marzioni, Stefano ; Spallone, Marco ; Paccione, Cosimo ; Mur, Pina. In: Energy Economics. RePEc:eee:eneeco:v:145:y:2025:i:c:s0140988325002397.

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2025Empty pledges and powerless conventions: How transition climate risks are disrupting financial markets?. (2025). Fahmy, Hany. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004715.

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2024Realized normal volatility and maximum outlying jumps in high frequency returns for Korean won–US Dollar. (2024). Chae-Deug, YI. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s105752192400276x.

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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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2024International financial stress spillovers during times of unconventional monetary policy interventions. (2024). Giannellis, Nikolaos ; Apostolakis, George N. In: Journal of Financial Stability. RePEc:eee:finsta:v:72:y:2024:i:c:s1572308924000445.

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2025Rise of NBFIs and the global structural change in the transmission of market shocks. (2025). Hogen, Yoshihiko ; Shinozaki, Yuji ; Kasai, Yoshiyasu. In: Journal of Financial Stability. RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000488.

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2025The evolution of the relationship between onshore and offshore RMB markets under asymmetric volatility spillovers. (2025). Li, Jie ; Smallwood, Aaron D. In: Global Finance Journal. RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000134.

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2025Intraday impact of macroeconomic and COVID-19 news on Latin American stock indexes. (2025). Ayadi, Mohamed A ; ben Omrane, Walid ; Nafeesur, MD. In: Global Finance Journal. RePEc:eee:glofin:v:65:y:2025:i:c:s1044028325000304.

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2024Dollar reserves and U.S. yields: Identifying the price impact of official flows. (2024). Rebucci, Alessandro ; Ahmed, Rashad. In: Journal of International Economics. RePEc:eee:inecon:v:152:y:2024:i:c:s0022199624001016.

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2025Drivers of the global financial cycle. (2025). Rogers, John ; Wu, Wenbin ; Sun, BO. In: Journal of International Economics. RePEc:eee:inecon:v:156:y:2025:i:c:s0022199625000443.

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2025Food, harvesting and interest rate nexus: Quantile investigation about dependencies and spillover. (2025). Gubareva, Mariya ; Ghosh, Anandita ; Vo, Xuan Vinh ; Papadas, Dimitrios. In: International Economics. RePEc:eee:inteco:v:182:y:2025:i:c:s2110701725000162.

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

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2025Multivariate dynamic mixed-frequency density pooling for financial forecasting. (2025). Lopes, Hedibert F ; Virbickait, Audron ; Zaharieva, Martina Danielova. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:3:p:1184-1198.

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2024Calibration and validation of macroeconomic simulation models by statistical causal search. (2024). Pallante, Gianluca ; Moneta, Alessio ; Martinoli, Mario. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:228:y:2024:i:c:s0167268124004001.

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

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2025Trading-hour and nontrading-hour volatility in crude oil and U.S. dollar markets and its implications for portfolio optimization. (2025). Lai, Yu-Sheng. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000236.

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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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2025The role of renewables in smoothing the impact of oil and gas price shocks on inflation: The LAC experience. (2025). Cornejo, Magdalena ; Matias, David ; Hallack, Michelle. In: Resources Policy. RePEc:eee:jrpoli:v:105:y:2025:i:c:s0301420725001199.

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2024Natural resource rents and financial inclusion nexus: Evidence from Africa. (2024). Li, Shixiang ; Bosah, Philip Chukwunonso ; Minua, Gideon Kwaku. In: Resources Policy. RePEc:eee:jrpoli:v:94:y:2024:i:c:s0301420724005014.

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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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2025Bayesian inference in proxy SVARs with incomplete identification: Re-evaluating the validity of monetary policy instruments. (2025). Nguyen, Lam. In: Journal of Monetary Economics. RePEc:eee:moneco:v:155:y:2025:i:c:s0304393225000844.

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2024One money, one voice? Evaluating ideological positions of euro area central banks. (2024). Feldkircher, Martin ; Hofmarcher, Paul ; Siklos, Pierre L. In: European Journal of Political Economy. RePEc:eee:poleco:v:85:y:2024:i:c:s0176268024000843.

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2024Asymmetric nexus between shadow economy and financial instability: Does institutional quality matter?. (2024). Ramakrishnan, Suresh ; Faisal, Faisal ; Ghazi, Hamid ; Ali, Adnan ; Ur, Sami. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001388.

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2024Impact of economic policy uncertainty on global carbon emissions. (2024). Farid, Saqib ; Zafar, Quratulain. In: Research in Economics. RePEc:eee:reecon:v:78:y:2024:i:2:s1090944324000255.

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2024Fueling the fire? How government support drives technological progress and complexity. (2024). Broekel, Tom ; Entner, Doris ; Nast, Carolin. In: Research Policy. RePEc:eee:respol:v:53:y:2024:i:6:s0048733324000544.

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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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2024Forecasting global stock market volatilities: A shrinkage heterogeneous autoregressive (HAR) model with a large cross-market predictor set. (2024). Wang, Gang-Jin ; Zeng, Zhi-Jian ; Li, Zhao-Chen ; Zhu, You ; Gong, Jue ; Xie, Chi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pb:p:673-711.

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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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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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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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2025Higher-order Moment Inequality Restrictions for SVARs. (2025). Melosi, Leonardo ; ferroni, filippo ; Andrade, Philippe. In: Working Papers. RePEc:fip:fedbwp:99752.

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

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2024Sustainable Energy Usage for Africa: The Role of Foreign Direct Investment in Green Growth Practices to Mitigate CO 2 Emissions. (2024). Kouassi, Verena Dominique ; Ayimadu, Twum Edwin ; Nadege, Mbula Ngoy ; Xu, Hongyi ; Bosah, Chukwunonso Philip. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:15:p:3847-:d:1449874.

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2025Governance, Energy Policy, and Sustainable Development: Renewable Energy Infrastructure Transition in Developing MENA Countries. (2025). Michailidis, Michail ; Zafeiriou, Eleni ; Kantartzis, Apostolos ; Galatsidas, Spyridon ; Arabatzis, Garyfallos. In: Energies. RePEc:gam:jeners:v:18:y:2025:i:11:p:2759-:d:1664688.

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

Works by Markku Lanne:

YearTitleTypeCited
2014Noncausal Bayesian Vector Autoregression In: CREATES Research Papers.
[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]		paper128
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: 128		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]		paper122
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: 122		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]		paper14
2004Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028 In: The Energy Journal.
[Full Text][Citation analysis]		article47
2004Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028.(2004) In: The Energy Journal.
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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
2025A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks In: Papers.
[Full Text][Citation analysis]		paper0
2025A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks.(2025) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
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]		article82
2005A Multivariate Generalized Orthogonal Factor GARCH Model.(2005) In: MPRA Paper.
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This paper has nother version. Agregated cites: 82		paper
2010Structural Vector Autoregressions With Nonnormal Residuals In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article192
2006Structural Vector Autoregressions with Nonnormal Residuals.(2006) In: CESifo Working Paper Series.
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This paper has nother version. Agregated cites: 192		paper
2005Structural Vector Autoregressions with Nonnormal Residuals.(2005) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 192		paper
2002Comparison of unit root tests for time series with level shifts In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article223
2002Comparison of Unit Root Tests for Time Series with Level Shifts.(2002) In: MPRA Paper.
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This paper has nother version. Agregated cites: 223		paper
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: 223		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
1999Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shift.(1999) In: Bank of Finland Research Discussion Papers.
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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.
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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.
[Full Text][Citation analysis]
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]		article4
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: 4		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]		article16
2011Noncausal Autoregressions for Economic Time Series In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article68
2010Noncausal autoregressions for economic time series.(2010) In: MPRA Paper.
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This paper has nother version. Agregated cites: 68		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]		article24
2008Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times.(2008) In: MPRA Paper.
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This paper has nother version. Agregated cites: 24		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.
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2006Identifying Monetary Policy Shocks via Changes in Volatility In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper142
2006Identifying Monetary Policy Shocks via Changes in Volatility.(2006) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 142		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: 142		article
2008Identifying Monetary Policy Shocks via Changes in Volatility.(2008) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 142		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.
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This paper has nother version. Agregated cites: 7		paper
2013NONCAUSAL VECTOR AUTOREGRESSION In: Econometric Theory.
[Full Text][Citation analysis]		article54
2010Noncausal Vector Autoregression.(2010) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		paper
2009Noncausal vector autoregression.(2009) In: Bank of Finland Research Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 54		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]		article29
2002Nonlinear GARCH models for highly persistent volatility.(2002) In: SFB 373 Discussion Papers.
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This paper has nother version. Agregated cites: 29		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.
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This paper has nother version. Agregated cites: 38		paper
2010Structural vector autoregressions with Markov switching In: Journal of Economic Dynamics and Control.
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2009Structural Vector Autoregressions with Markov Switching.(2009) In: Economics Working Papers.
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This paper has nother version. Agregated cites: 193		paper
2013Autoregression-based estimation of the new Keynesian Phillips curve In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article16
2011Autoregression-Based Estimation of the New Keynesian Phillips Curve.(2011) In: MPRA Paper.
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This paper has nother version. Agregated cites: 16		paper
2012Has US inflation really become harder to forecast? In: Economics Letters.
[Full Text][Citation analysis]		article3
2010Has U.S. Inflation Really Become Harder to Forecast?.(2010) In: MPRA Paper.
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This paper has nother version. Agregated cites: 3		paper
2002Unit root tests for time series with level shifts: a comparison of different proposals In: Economics Letters.
[Full Text][Citation analysis]		article140
2001Unit root tests for time series with level shifts: A comparison of different proposals.(2001) In: SFB 373 Discussion Papers.
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This paper has nother version. Agregated cites: 140		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.
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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.
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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]		article42
2010Optimal Forecasting of Noncausal Autoregressive Time Series.(2010) In: MPRA Paper.
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This paper has nother version. Agregated cites: 42		paper
2013Overnight stock returns and realized volatility In: International Journal of Forecasting.
[Full Text][Citation analysis]		article38
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]		paper16
2007Modeling Conditional Skewness in Stock Returns.(2007) In: The European Journal of Finance.
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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.
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This paper has nother version. Agregated cites: 14		article
2006The effect of a transaction tax on exchange rate volatility.(2006) In: Bank of Finland Research Discussion Papers.
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This paper has nother version. Agregated cites: 14		paper
2006Forecasting Realized Volatility by Decomposition In: Economics Working Papers.
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2006A Mixture Multiplicative Error Model for Realized Volatility In: Economics Working Papers.
[Full Text][Citation analysis]		paper33
2006A Mixture Multiplicative Error Model for Realized Volatility.(2006) In: Journal of Financial Econometrics.
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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.
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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.
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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.
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2000Near unit roots, cointegration, and the term structure of interest rates In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article37
2006Nonlinear dynamics of interest rate and inflation In: Journal of Applied Econometrics.
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2006Nonlinear dynamics of interest rate and inflation.(2006) In: Journal of Applied Econometrics.
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2004Nonlinear dynamics of interest rate and inflation.(2004) In: Macroeconomics.
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2002Nonlinear dynamics of interest rate and inflation.(2002) In: Bank of Finland Research Discussion Papers.
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2012Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2012Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper.
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2013Testing for Linear and Nonlinear Predictability of Stock Returns In: Journal of Financial Econometrics.
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2009Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models In: MPRA Paper.
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2012BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS.(2012) In: Journal of Applied Econometrics.
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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.
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2011Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison In: MPRA Paper.
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2012Supplementary appendix to noncausal vector autoregression In: MPRA Paper.
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2007The Properties of Market-Based and Survey Forecasts for Different Data Releases In: MPRA Paper.
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2001Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect In: Empirical Economics.
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2019A comment on ‘on inflation expectations in the NKPC model’ In: Empirical Economics.
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2021GMM Estimation of Non-Gaussian Structural Vector Autoregression In: Journal of Business & Economic Statistics.
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2023Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks In: Journal of Business & Economic Statistics.
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1999Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates In: The Review of Economics and Statistics.
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2013THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY In: International Journal of Finance & Economics.
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2024Statistically identified structural VAR model with potentially skewed and fat‐tailed errors In: Journal of Applied Econometrics.
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2017A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations In: Journal of Money, Credit and Banking.
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2004Trading Nokia: the roles of the Helsinki vs the New York stock exchanges In: Bank of Finland Research Discussion Papers.
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2010Realized volatility and overnight returns In: Bank of Finland Research Discussion Papers.
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2001Unit root tests in the presence of innovational outliers In: SFB 373 Discussion Papers.
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