Browsing Department of Economics (ECO) by Author "LANNE, Markku"

DSpace/Manakin Repository

Browsing Department of Economics (ECO) by Author "LANNE, Markku"

Sort by: Order: Results:

  •  
    Title: Structural Vector Autoregressions with Nonnormal Residuals  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2010 Type of Publication: Article Abstract: In structural vector autoregressive (SVAR) modeling, sometimes the identifying restrictions are insufficient for a unique specification of all shocks. In this paper it is pointed out that specific distributional assumptions ...
  •  
    Title: Structural Vector Autoregressions with Markov Switching  Author(s): LUETKEPOHL, Helmut; LANNE, Markku; MACIEJOWSKA, Katarzyna Date: 2010 Type of Publication: Article Abstract: It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across states. The model ...
  • Icon
    Title: Structural Vector Autoregressions with Markov Switching  Author(s): LANNE, Markku; LUETKEPOHL, Helmut; MACIEJOWSKA, Katarzyna Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Abstract. It is argued that in structural vector autoregressive (SVAR) analysis a Markov regime switching (MS) property can be exploited to identify shocks if the reduced form error covariance matrix varies across regimes. ...
  •  
    Title: Identifying Monetary Policy Shocks via Changes in Volatility  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2008 Type of Publication: Article
  • Icon
    Title: Modeling Expectations with Noncausal Autoregressions  Author(s): LANNE, Markku; SAIKKONEN, Pentti Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper is concerned with univariate noncausal autoregressive models and their potential usefulness in economic applications. We argue that noncausal autoregres- sive models are especially well suited for modeling ...
  • Icon
    Title: Stock Prices and Economic Fluctuations: A Markov Switching Structural Vector Autoregressive Analysis  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: The role of expectations for economic fluctuations has received considerable attention in recent business cycle analysis. We exploit Markov regime switching models to identify shocks in cointegrated structural vector ...
  • Icon
    Title: A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Abstract. Different identification schemes for monetary policy shocks have been proposed in the literature. They typically specify just-identifying re- strictions in a standard structural vector autoregressive (SVAR) ...
  • Icon
    Title: Forecasting Realized Volatility by Decomposition  Author(s): LANNE, Markku Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO
  • Icon
    Title: Identifying Monetary Policy Shocks via Changes in Volatility  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO
  • Icon
    Title: A Mixture Multiplicative Error Model for Realized Volatility  Author(s): LANNE, Markku Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: A multiplicative error model with time-varying parameters and an error term following a mixture of gamma distributions is intro- duced. The model is fitted to the daily realized volatility series of Deutschemark/Dollar ...
  •  
    Title: Why Is It So Difficult to Uncover the Risk-Return Tradeoff in Stock Returns?  Author(s): LANNE, Markku; SAIKKONEN, Pentti Date: 2006 Type of Publication: Article Abstract: The low power of the standard Wald test in a GARCH-in-Mean model with an unnecessary intercept is shown to explain the apparent absence of a risk-return tradeoff in stocks. The importance of this finding is illustrated ...
  • Icon
    Title: Modeling Conditional Skewness in Stock Returns  Author(s): LANNE, Markku; SAIKKONEN, Pentti Date: 2005 Type of Publication: Working Paper Series/Report no.: EUI ECO
  • Icon
    Title: Structural Vector Autoregressions with Nonnormal Residuals  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2005 Type of Publication: Working Paper Series/Report no.: EUI ECO
  • Icon
    Title: The effect of a transaction tax on exchange rate volatility  Author(s): LANNE, Markku; VESALA, Timo Date: 2005 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We argue that a transaction tax is likely to amplify, not dampen, volatility in the foreign exchange markets. Our argument stems from the decentralized trading practice and the presumable discrepancy between 'informed' and ...
  •  
    Title: Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time  Author(s): LANNE, Markku; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2003 Type of Publication: Article Abstract: Two types of unit root tests which accommodate a structural level shift at a known point in time are extended to the situation where the break date is unknown. It is shown that for any estimator for the break date the tests ...
  •  
    Title: Unit Root Tests for Time Series with Level Shifts: A Comparison of Different Proposals  Author(s): LANNE, Markku; LUETKEPOHL, Helmut Date: 2002 Type of Publication: Article Abstract: A number of unit root tests which accommodate a deterministic level shift at a known point in time are compared in a Monte Carlo study. The tests differ in the way they treat the deterministic term of the DGP. It turns out ...
  •  
    Title: Unit Root Tests in the Presence of Innovational Outliers  Author(s): LANNE, Markku; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2002 Type of Publication: Contribution to book
  •  
    Title: Comparison of Unit Root Tests for Time Series with Level Shifts  Author(s): LANNE, Markku; LUETKEPOHL, Helmut; SAIKKONEN, Pentti Date: 2002 Type of Publication: Article Abstract: Unit root tests are considered for time series which have a level shift at a known point in time. The shift can have a very general nonlinear form, and additional deterministic mean and trend terms are allowed for. Prior ...