Browsing All of EconStor by Author Lanne, Markku

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Showing results 1 to 19 of 19
Year of PublicationTitleAuthor(s)
1999 Testing the expectations hypothesis of the term structure of interest rates in the presence of a potential regime shiftLanne, Markku
1999 Comparison of unit root tests for time series with level shiftsLanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti
2000 Reducing size distortions of parametric stationarity testsLanne, Markku; Saikkonen, Pentti
2000 Modeling the US short-term interest rate by mixture autoregressive processesLanne, Markku; Saikkonen, Pentti
2001 Unit root tests for time series with level shifts: A comparison of different proposalsLanne, Markku; Lütkepohl, Helmut
2001 Test procedures for unit roots in time series with level shifts at unknown timeLanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti
2001 Unit root tests in the presence of innovational outliersLanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti
2002 Nonlinear dynamics of interest rate and inflationLanne, Markku
2002 Nonlinear GARCH models for highly persistent volatilityLanne, Markku; Saikkonen, Pentti
2004 Trading Nokia: the roles of the Helsinki vs the New York stock exchangesJokivuolle, Esa; Lanne, Markku
2006 The effect of a transaction tax on exchange rate volatilityLanne, Markku; Vesala, Timo
2006 Identifying monetary policy shocks via changes in volatilityLanne, Markku; Lütkepohl, Helmut
2006 Structural vector autoregressions with nonnormal residualsLanne, Markku; Lütkepohl, Helmut
2008 Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysisLanne, Markku; Luetkepohl, Helmut
2009 Noncausal vector autoregressionLanne, Markku; Saikkonen, Pentti
2010 Realized volatility and overnight returnsAhoniemi, Katja; Lanne, Markku
2012 Testing for Predictability in a Noninvertible ARMA ModelLanne, Markku; Meitz, Mika; Saikkonen, Pentti
2013 Noncausality and inflation persistenceLanne, Markku
2013 A noncausal autoregressive model with time-varying parameters: An application to US inflationLanne, Markku; Luoto, Jani