Browsing All of EconStor by Author Lanne, Markku


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