Mika Meitz : Citation Profile

Helsingin Yliopisto

9

H index

8

i10 index

390

Citations

RESEARCH PRODUCTION:

18

Articles

23

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   21 years (2004 - 2025). See details.
   Cites by year: 18
   Journals where Mika Meitz has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 23 (5.57 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pme81
   Updated: 2026-10-17    RAS profile: 2026-10-09    
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Relations with other researchers

Works with:

Saikkonen, Pentti (7)

Netšunajev, Aleksei (2)

Lütkepohl, Helmut (2)

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

Is cited by:

Sentana, Enrique (15)

Moneta, Alessio (14)

Hautsch, Nikolaus (11)

Fiorentini, Gabriele (10)

Neuenkirch, Matthias (9)

Fernandes, Marcelo (8)

Lütkepohl, Helmut (7)

Teräsvirta, Timo (6)

Medeiros, Marcelo (6)

Rahbek, Anders (6)

Bernoth, Kerstin (5)

Cites to:

Saikkonen, Pentti (24)

Lanne, Markku (13)

Rahbek, Anders (11)

Lütkepohl, Helmut (9)

Shephard, Neil (7)

Spagnolo, Fabio (6)

Bec, Frédérique (6)

Kalliovirta, Leena (6)

Engle, Robert (6)

Sola, Martin (6)

Castelnuovo, Efrem (5)

Main data

Where Mika Meitz has published?

Journals with more than one article published# docs
Econometric Theory5
Journal of Econometrics3
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org6
SSE/EFI Working Paper Series in Economics and Finance / Stockholm School of Economics4
Ko University-TUSIAD Economic Research Forum Working Papers / Koc University-TUSIAD Economic Research Forum4
Economics Series Working Papers / University of Oxford, Department of Economics3

Recent works citing Mika Meitz (2026 and 2025)

YearTitle of citing document
2026Import Diversification and Rice Market Stability. (2026). Dalheimer, Bernhard ; Desiraju, Naga Lavanya ; Pede, Valerien. In: 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri. RePEc:ags:aaea26:404677.

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

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2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

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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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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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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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2025Disentangling the Distributional Effects of Financial Shocks in the Euro Area. (2025). Gagliardi, Elena Scola ; Tancioni, Massimiliano ; Ciganovi, Milovs. In: Papers. RePEc:arx:papers:2510.11289.

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2026Identification Verification for Structural Vector Autoregressions with Sparse Heterogeneous Markov Switching Heteroskedasticity. (2026). Wo, Tomasz ; Shang, Fei. In: Papers. RePEc:arx:papers:2603.16035.

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2026Forecasting duration in high-frequency financial data using a self-exciting flexible residual point process. (2026). Lee, Kyungsub. In: Papers. RePEc:arx:papers:2604.00346.

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2026Distributional Granger Causality: Identification, Sequential Inference, and Adaptive Testing. (2026). Jha, Ayush. In: Papers. RePEc:arx:papers:2606.22230.

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2026Two Gaussians, Too Many: A bootstrap-based approach to assess identifiability in non-Gaussian structural vector autoregressions. (2026). Junare, Paritosh Shankarrao. In: Papers. RePEc:arx:papers:2607.17275.

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2026Long-memory GARCH via a two-dimensional Markov chain. (2026). Kayaki, Kennedy Titus ; Lee, Kyungsub. In: Papers. RePEc:arx:papers:2607.25189.

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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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2026MSTest: An R-Package for Testing Markov Switching Models. (2026). Dufour, Jean-Marie ; Rondon, Gabriel Rodriguez. In: Staff Working Papers. RePEc:bca:bocawp:26-7.

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

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2026A spectral framework for non-gaussian SVARs. (2026). Stevanovic, Dalibor ; Guay, Alain. In: CIRANO Working Papers. RePEc:cir:cirwor:2026s-02.

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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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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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2025Revisiting Oil Supply News Shocks: Proxy vs. Non-Gaussian Structural Vector Autoregressions. (2025). Strohsal, Till ; Lütkepohl, Helmut ; Ltkepohl, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2146.

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2026Aggregate Tax and Spending Multipliers in a Monetary Union. (2026). Rieth, Malte ; Ider, Gkhan. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2170.

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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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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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2025A Gaussian smooth transition vector autoregressive model: An application to the macroeconomic effects of severe weather shocks. (2025). Lanne, Markku ; Virolainen, Savi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:178:y:2025:i:c:s0165188925001289.

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2025SVAR identification with nowcasted macroeconomic data. (2025). Longo, Luigi ; Corsi, Fulvio ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:179:y:2025:i:c:s0165188925001423.

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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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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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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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2025Cointegration with occasionally binding constraints. (2025). Wycherley, Sam ; Mavroeidis, Sophocles ; Duffy, James A. In: Journal of Econometrics. RePEc:eee:econom:v:252:y:2025:i:pa:s0304407625001575.

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2026A multivariate realized GARCH model. (2026). Hansen, Peter ; Archakov, Ilya ; Lunde, Asger. In: Journal of Econometrics. RePEc:eee:econom:v:254:y:2026:i:pa:s0304407625000946.

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2026Mixture matrix-valued autoregressive model. (2026). Chan, Kung-Sik ; Wu, Fei. In: Journal of Econometrics. RePEc:eee:econom:v:255:y:2026:i:c:s0304407626000667.

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2026Time domain estimation of non-fundamental ARMA models in the presence of heteroskedasticity of unknown form. (2026). Velasco, Carlos ; Lobato, Ignacio N. In: Journal of Econometrics. RePEc:eee:econom:v:256:y:2026:i:pa:s0304407626000862.

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2026Partial identification of structural vector autoregressions with non-centred stochastic volatility. (2026). Lütkepohl, Helmut ; Shang, Fei ; Ltkepohl, Helmut ; Woniak, Tomasz ; Uzeda, Luis. In: Journal of Econometrics. RePEc:eee:econom:v:256:y:2026:i:pb:s0304407625001617.

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2025Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229.

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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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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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2025News intensity and volatility dynamics in large- and small-cap stocks: A non-gaussian SVAR approach. (2025). koçak, emrah ; Bulut, Umit ; Mugaloglu, Erhan. In: Finance Research Letters. RePEc:eee:finlet:v:86:y:2025:i:pa:s1544612325016137.

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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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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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2025Deconstructing fertilizer price spikes: Evidence from Chinese urea fertilizer market. (2025). Etienne, Xiaoli ; Hu, Zhepeng ; Yan, Lei ; Yuan, Jinghong. In: Food Policy. RePEc:eee:jfpoli:v:133:y:2025:i:c:s0306919225000338.

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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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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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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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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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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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2025Heterogeneous macroeconomic effects of interplay in recent fiscal and monetary policies. (2025). Ulikov, Veronika ; Ihala, Patrik ; Sinikov, Marianna ; Brixov, Barbara. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:58:y:2025:i:6:d:10.1007_s10644-025-09931-x.

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2026Estimated Sharpe ratio of asset returns with fat tails: theory and empirical evidence. (2026). Lee, Han-Hsing ; Kao, Lie-Jane. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:67:y:2026:i:2:d:10.1007_s11156-025-01474-6.

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2024Financial and market risks of bitcoin adoption as legal tender: evidence from El Salvador. (2024). Lemesi, Tina ; Hou, Tony Chieh-Tse ; Msefula, Griffin. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03908-3.

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2026Shock-percentile Restrictions for SVARs. (2026). Read, Matthew. In: RBA Research Discussion Papers. RePEc:rba:rbardp:rdp2026-01.

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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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2024Identification of one independent shock in structural VARs. (2024). Moneta, Alessio ; Fiorentini, Gabriele ; Papagni, Francesca. In: LEM Papers Series. RePEc:ssa:lemwps:2024/28.

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2024Bootstrapping GARCH Models Under Dependent Innovations. (2024). Schaumburg, Julia ; Beutner, Eric ; Spanjers, Barend. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240008.

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2025A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”. (2025). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Econometrica. RePEc:wly:emetrp:v:93:y:2025:i:2:p:719-729.

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2025Parametric Quantile Autoregressive Conditional Duration Models With Application to Intraday Value‐at‐Risk Forecasting. (2025). Saulo, Helton ; Dasilva, Alan ; Vila, Roberto ; Souza, Rubens ; Pal, Suvra. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:589-605.

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

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2024Asset price shocks and inflation in the Finnish economy. (2024). Koivisto, Tero. In: BoF Economics Review. RePEc:zbw:bofecr:300078.

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2025Geopolitical surprises and macroeconomic shocks: A tale of two events. (2025). Lehmus, Markku ; Anttonen, Jetro. In: Bank of Finland Research Discussion Papers. RePEc:zbw:bofrdp:317790.

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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: VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges. RePEc:zbw:vfsc24:302351.

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Mika Meitz has edited the books:

YearTitleTypeCited

Works by Mika Meitz:

YearTitleTypeCited
2008Parameter estimation in nonlinear AR-GARCH models In: CREATES Research Papers.
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2011PARAMETER ESTIMATION IN NONLINEAR AR–GARCH MODELS.(2011) In: Econometric Theory.
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2008Parameter Estimation in Nonlinear AR-GARCH Models.(2008) In: Economics Working Papers.
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2010Parameter estimation in nonlinear AR–GARCH models.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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This paper has nother version. Agregated cites: 20		paper
2008Parameter estimation in nonlinear AR-GARCH models.(2008) In: Economics Series Working Papers.
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This paper has nother version. Agregated cites: 20		paper
2015Identification and estimation of non-Gaussian structural vector autoregressions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper131
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: 131		article
2017Testing for observation-dependent regime switching in mixture autoregressive models In: Papers.
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2021Testing for observation-dependent regime switching in mixture autoregressive models.(2021) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 7		article
2018A mixture autoregressive model based on Students $t$-distribution In: Papers.
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2023A mixture autoregressive model based on Student’s t–distribution.(2023) In: Communications in Statistics - Theory and Methods.
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2020Subgeometrically ergodic autoregressions In: Papers.
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2022SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS.(2022) In: Econometric Theory.
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2019Subgeometric ergodicity and $\beta$-mixing In: Papers.
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2023Subgeometrically ergodic autoregressions with autoregressive conditional heteroskedasticity In: Papers.
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2025SUBGEOMETRICALLY ERGODIC AUTOREGRESSIONS WITH AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY.(2025) In: Econometric Theory.
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2026Generative Predictive Distributions for Time Series In: Papers.
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2006Evaluating Models of Autoregressive Conditional Duration In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article60
2004Evaluating models of autoregressive conditional duration.(2004) In: SSE/EFI Working Paper Series in Economics and Finance.
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2008Stability of nonlinear AR‐GARCH models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article19
2006Stability of nonlinear AR-GARCH models.(2006) In: LIDAM Discussion Papers CORE.
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2006Stability of nonlinear AR-GARCH models.(2006) In: SSE/EFI Working Paper Series in Economics and Finance.
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2007Stability of nonlinear AR-GARCH models.(2007) In: Economics Series Working Papers.
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2015A Gaussian Mixture Autoregressive Model for Univariate Time Series In: Journal of Time Series Analysis.
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2024Statistical inference for generative adversarial networks and other minimax problems In: Scandinavian Journal of Statistics.
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2006A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES In: Econometric Theory.
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2005A necessary and sufficient condition for the strict stationarity of a family of GARCH processes.(2005) In: SSE/EFI Working Paper Series in Economics and Finance.
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2008ERGODICITY, MIXING, AND EXISTENCE OF MOMENTS OF A CLASS OF MARKOV MODELS WITH APPLICATIONS TO GARCH AND ACD MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article51
2007Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: SSE/EFI Working Paper Series in Economics and Finance.
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2007Ergodicity, mixing, and existence of moments of a class of Markov models with applications to GARCH and ACD models.(2007) In: Economics Series Working Papers.
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2018Testing Identification via Heteroskedasticity in Structural Vector Autoregressive Models In: Discussion Papers of DIW Berlin.
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2021Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: The Econometrics Journal.
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2021Testing identification via heteroskedasticity in structural vector autoregressive models.(2021) In: EconStor Open Access Articles and Book Chapters.
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2016Gaussian mixture vector autoregression In: Journal of Econometrics.
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2013Maximum likelihood estimation of a noninvertible ARMA model with autoregressive conditional heteroskedasticity In: Journal of Multivariate Analysis.
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2012Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity.(2012) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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This paper has nother version. Agregated cites: 9		paper
2010A note on the geometric ergodicity of a nonlinear AR-ARCH model In: Statistics & Probability Letters.
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2010A note on the geometric ergodicity of a nonlinear AR–ARCH model.(2010) In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2012Testing for Predictability in a Noninvertible ARMA Model In: Koç University-TUSIAD Economic Research Forum Working Papers.
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2012Testing for predictability in a noninvertible ARMA model.(2012) In: MPRA Paper.
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This paper has nother version. Agregated cites: 0		paper
2013Testing for Linear and Nonlinear Predictability of Stock Returns In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article5

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