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Information about:
Markku Lanne

Personal Details | Affiliation | Works
This is information that was supplied by Markku Lanne in registering through RePEc. If you are Markku Lanne , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Markku
Middle Name:
Last Name: Lanne
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RePEc Short-ID: pla260

Email: [This author has chosen not to make the email address public]
Homepage: http://www.valt.helsinki.fi/blogs/lanne
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Affiliation

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Lists

This author is among the top 5% authors according to these criteria:
  1. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Lanne, Markku & Saikkonen, Pentti, 2009. "Noncausal vector autoregression," Research Discussion Papers 18/2009, Bank of Finland. [Downloadable!]

  2. Markku Lanne & Helmut Luetkepohl & Katarzyna Maciejowska, 2009. "Structural Vector Autoregressions with Markov Switching," Economics Working Papers ECO2009/06, European University Institute. [Downloadable!]

  3. Markku Lanne & Helmut Luetkepohl, 2008. "A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks," Economics Working Papers ECO2008/23, European University Institute. [Downloadable!]

  4. Laakkonen, Helinä & Lanne, Markku, 2008. "Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times," MPRA Paper 8296, University Library of Munich, Germany. [Downloadable!]

  5. Markku Lanne & Helmut Luetkepohl, 2008. "Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis," Economics Working Papers ECO2008/29, European University Institute. [Downloadable!]
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  6. Lanne, Markku & Saikkonen, Pentti, 2008. "Modeling Expectations with Noncausal Autoregressions," MPRA Paper 8411, University Library of Munich, Germany. [Downloadable!]
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  7. Lanne, Markku & Luoma, Arto & Luoto, Jani, 2008. "A Naïve Sticky Information Model of Households’ Inflation Expectations," MPRA Paper 8663, University Library of Munich, Germany. [Downloadable!]
    Published as:

  8. Lanne, Markku, 2007. "The Properties of Market-Based and Survey Forecasts for Different Data Releases," MPRA Paper 3877, University Library of Munich, Germany. [Downloadable!]

  9. Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany. [Downloadable!]
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  10. Ahoniemi, Katja & Lanne, Markku, 2007. "Joint Modeling of Call and Put Implied Volatility," MPRA Paper 6318, University Library of Munich, Germany. [Downloadable!]
    Published as:

  11. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Economics Working Papers ECO2006/3, European University Institute. [Downloadable!]
    Published as:

  12. Markku Lanne & Helmut Lütkepohl, 2006. "Identifying Monetary Policy Shocks via Changes in Volatility," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  13. Markku Lanne, 2006. "Forecasting Realized Volatility by Decomposition," Economics Working Papers ECO2006/20, European University Institute. [Downloadable!]

  14. Markku Lanne & Timo Vesalay, 2005. "The Effect of a Transaction Tax on Exchange Rate Volatility," Economics Working Papers ECO2005/19, European University Institute. [Downloadable!]
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  15. Markku Lanne & Helmut Luetkepohl, 2005. "Structural Vector Autoregressions with Nonnormal Residuals," Economics Working Papers ECO2005/25, European University Institute. [Downloadable!]
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  16. Markku Lanne & Pentti Saikkonen, 2005. "Modeling Conditional Skewness in Stock Returns," Economics Working Papers ECO2005/14, European University Institute. [Downloadable!]
    Published as:

  17. Pentti Saikkonen & Markku Lanne, 2004. "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings 469, Econometric Society. [Downloadable!]

  18. Markku Lanne, 2004. "Nonlinear dynamics of interest rate and inflation," Macroeconomics 0405014, EconWPA. [Downloadable!]
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  19. Jokivuolle , Esa & Lanne , Markku, 2004. "Trading Nokia: The roles of the Helsinki vs the New York stock exchanges," Research Discussion Papers 26/2004, Bank of Finland. [Downloadable!]

  20. Markku Lanne & Matti Liski, 2003. "Trends and Breaks in per-capita Carbon Dioxide Emissions, 1870-2028," Working Papers 0302, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research. [Downloadable!]
    Published as:

  21. Lanne, M. & Saikkonen, P., 2000. "Threshold Autoregression for Strongly Autocorrelated Time Series," University of Helsinki, Department of Economics 489, Department of Economics.
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  22. Markku Lanne, 2000. "Testing The Expectations Hypothesis Of The Term Structure Of Interest Rates In The Presence Of A Potential Regime Shift," Computing in Economics and Finance 2000 294, Society for Computational Economics. [Downloadable!]
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  23. Lanne, M., 2000. "Testing the Predictability of Stock Returns," University of Helsinki, Department of Economics 488, Department of Economics.
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  24. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Unit Root Tests in the Presence of Innovational Outliers," Sonderforschungsbereich 373 2001-82, Humboldt Universitaet Berlin.

  25. M. Lanne & P. Saikkonen, . "Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes," Sonderforschungsbereich 373 2000-76, Humboldt Universitaet Berlin.
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  26. M. Lanne & P. Saikkonen, . "Nonlinear GARCH Models for Highly Persistent Volatility," Sonderforschungsbereich 373 2002-20, Humboldt Universitaet Berlin.
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  27. M. Lanne & H. Lütkepohl, . "Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals," Sonderforschungsbereich 373 2001-5, Humboldt Universitaet Berlin.
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  28. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Comparison of Unit Root Tests for Time Series with Level Shifts," Sonderforschungsbereich 373 1999-88, Humboldt Universitaet Berlin.

  29. M. Lanne & P. Saikkonen, . "Reducing Size Distortions of Parametric Stationarity Tests," Sonderforschungsbereich 373 2000-12, Humboldt Universitaet Berlin.
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  30. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Sonderforschungsbereich 373 2001-39, Humboldt Universitaet Berlin.
    Published as:

Articles

  1. Ahoniemi, Katja & Lanne, Markku, 2009. "Joint modeling of call and put implied volatility," International Journal of Forecasting, Elsevier, vol. 25(2), pages 239-258. [Downloadable!] (restricted)
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  2. Lanne, Markku & Luoma, Arto & Luoto, Jani, 2009. "A naïve sticky information model of households' inflation expectations," Journal of Economic Dynamics and Control, Elsevier, vol. 33(6), pages 1332-1344, June. [Downloadable!] (restricted)
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  3. Markku Lanne & Helmut Lütkepohl, 2008. "Identifying Monetary Policy Shocks via Changes in Volatility," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1131-1149, 09. [Downloadable!] (restricted)
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  4. Lanne, Markku & Luoto, Jani, 2008. "Robustness of the risk-return relationship in the U.S. stock market," Finance Research Letters, Elsevier, vol. 5(2), pages 118-127, June. [Downloadable!] (restricted)
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  5. Lanne, Markku, 2007. "Forecasting realized exchange rate volatility by decomposition," International Journal of Forecasting, Elsevier, vol. 23(2), pages 307-320. [Downloadable!] (restricted)

  6. Markku Lanne & Saikkonen Pentti, 2007. "Modeling Conditional Skewness in Stock Returns," European Journal of Finance, Taylor and Francis Journals, vol. 13(8), pages 691-704. [Downloadable!] (restricted)
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  7. Lanne, Markku & Saikkonen, Pentti, 2007. "A Multivariate Generalized Orthogonal Factor GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 61-75, January. [Downloadable!] (restricted)

  8. Lanne, Markku & Saikkonen, Pentti, 2006. "Why is it so difficult to uncover the risk-return tradeoff in stock returns?," Economics Letters, Elsevier, vol. 92(1), pages 118-125, July. [Downloadable!] (restricted)

  9. Markku Lanne, 2006. "Nonlinear dynamics of interest rate and inflation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1157-1168. [Downloadable!]
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  10. Markku Lanne, 2006. "A Mixture Multiplicative Error Model for Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 4(4), pages 594-616. [Downloadable!] (restricted)
    Other versions:

  11. Markku Lanne & Pentti Saikkonen, 2005. "Non-linear GARCH models for highly persistent volatility," Econometrics Journal, Royal Economic Society, vol. 8(2), pages 251-276, 07. [Downloadable!] (restricted)
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  12. Markku Lanne & Matti Liski, 2004. "Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028," The Energy Journal, International Association for Energy Economics, vol. 25(4), pages 41-66.
    Other versions:

  13. Markku Lanne, 2003. "Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift," Manchester School, University of Manchester, vol. 71(Supplemen), pages 54-67, 09. [Downloadable!] (restricted)
    Other versions:

  14. Markku Lanne & Pentti Saikkonen, 2003. "Reducing size distortions of parametric stationarity tests," Journal of Time Series Analysis, Blackwell Publishing, vol. 24(4), pages 423-439, 07. [Downloadable!] (restricted)
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  15. Markku Lanne & Helmut Lutkepohl & Pentti Saikkonen, 2003. "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(1), pages 91-115, February. [Downloadable!] (restricted)
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  16. Markku Lanne & Pentti Saikkonen, 2003. "Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes," Journal of Financial Econometrics, Oxford University Press, vol. 1(1), pages 96-125.
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  17. Lanne, Markku & Saikkonen, Pentti, 2002. "Threshold Autoregressions for Strongly Autocorrelated Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 282-89, April.
    Other versions:

  18. Markku Lanne, 2002. "Testing The Predictability Of Stock Returns," The Review of Economics and Statistics, MIT Press, vol. 84(3), pages 407-415, August. [Downloadable!] (restricted)
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  19. Lanne, Markku & Lutkepohl, Helmut, 2002. "Unit root tests for time series with level shifts: a comparison of different proposals," Economics Letters, Elsevier, vol. 75(1), pages 109-114, March. [Downloadable!] (restricted)
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  20. Markku Lanne, 2001. "Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect," Empirical Economics, Springer, vol. 26(2), pages 357-366. [Downloadable!] (restricted)

  21. Markku Lanne, 2000. "Near unit roots, cointegration, and the term structure of interest rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 513-529. [Downloadable!]

  22. Markku Lanne, 1999. "Near Unit Roots And The Predictive Power Of Yield Spreads For Changes In Long-Term Interest Rates," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 393-398, August. [Downloadable!] (restricted)

NEP Fields

24 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2009-01-17
  2. NEP-CBA: Central Banking (10) 2006-08-05 2006-09-11 2006-09-11 2006-10-21 2008-04-29 2008-05-10 2008-06-13 2008-06-13 2009-01-17 2009-02-28 Author is listed
  3. NEP-CFN: Corporate Finance (1) 2006-02-12
  4. NEP-ECM: Econometrics (15) 2001-09-10 2001-09-10 2004-05-16 2004-10-30 2006-02-12 2006-02-12 2006-05-20 2006-09-11 2007-12-19 2008-04-29 2008-06-13 2008-06-13 2009-01-17 2009-02-28 2009-08-30 Author is listed
  5. NEP-ETS: Econometric Time Series (15) 2001-09-10 2001-09-10 2004-10-30 2006-02-12 2006-02-12 2006-04-08 2006-05-20 2006-09-11 2006-09-11 2007-12-19 2008-04-29 2008-06-13 2009-01-17 2009-02-28 2009-08-30 Author is listed
  6. NEP-FIN: Finance (6) 2004-10-30 2006-02-12 2006-05-20 2006-09-11 2006-09-11 2006-10-21 Author is listed
  7. NEP-FMK: Financial Markets (7) 2006-02-12 2006-05-20 2006-09-11 2006-09-11 2006-10-21 2007-07-13 2008-04-21 Author is listed
  8. NEP-FOR: Forecasting (4) 2006-05-20 2006-09-11 2007-07-13 2007-12-19
  9. NEP-IFN: International Finance (4) 2006-09-11 2006-09-11 2006-10-21 2008-04-21
  10. NEP-MAC: Macroeconomics (7) 2006-02-12 2006-08-05 2006-09-11 2007-07-13 2008-04-29 2008-05-10 2008-06-13 Author is listed
  11. NEP-MON: Monetary Economics (4) 2004-05-16 2006-08-05 2006-09-11 2008-06-13
  12. NEP-MST: Market Microstructure (4) 2006-09-11 2006-09-11 2006-10-21 2008-04-21
  13. NEP-OPM: Open MacroEconomics (1) 2008-04-21
  14. NEP-ORE: Operations Research (2) 2009-02-28 2009-08-30
  15. NEP-PBE: Public Economics (2) 2006-09-11 2006-10-21
  16. NEP-RMG: Risk Management (4) 2004-10-30 2006-02-12 2007-07-13 2008-04-21
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This page was last updated on 2009-10-29.

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