Browsing Working Papers by Author "LANNE, Markku"

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Browsing Working Papers by Author "LANNE, Markku"

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    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. ...
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    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 ...
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    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) ...
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    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 ...
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    Title: Forecasting Realized Volatility by Decomposition  Author(s): LANNE, Markku Date: 2006 Type of Publication: Working Paper Series/Report no.: EUI ECO
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    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 ...
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    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
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    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
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    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
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    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 ...