← All authors Markku Lanne University of Helsinki (from arXiv:2604.22445, 2026) · ORCID · OpenAlex
55 papers in scope · 54 published · 2 on the econ.EM arXiv · 2,143 citations · h-index 26 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jonas E. Arias Juan Francisco Rubio-Ramírez Adam Rybarczyk Jani Luoto Matthew Read Minchul Shin Dan Zhu Emanuele Bacchiocchi Toru Kitagawa Christian Matthes Seulki Chung Nathan Schor Lukas Berend Joshua C. C. Chan James Mitchell Raffaella Giacomini Tony Chernis Xie Tian Florian Huber Gary Koop Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (2 of 55)
working paper 2026 · arXiv
Identifying structural vector autoregressions via non-Gaussianity of potentially dependent shocks
published 2026 · Econometrics Journal · 4 citations · first circulated 2023
published 2025 · Journal of Economic Dynamics and Control · 2 citations · first circulated 2024
Statistically identified structural VAR model with potentially skewed and fat‐tailed errors
published 2024 · Journal of Applied Econometrics · 10 citations · first circulated 2021
Identifying Structural Vector Autoregression via Leptokurtic Economic Shocks
published 2022 · Journal of Business and Economic Statistics · 18 citations · first circulated 2021
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression
published 2019 · Oxford Bulletin of Economics and Statistics · 31 citations
GMM Estimation of Non-Gaussian Structural Vector Autoregression
published 2019 · Journal of Business and Economic Statistics · 68 citations
A comment on ‘on inflation expectations in the NKPC model’
published 2018 · Empirical Economics
Data‐Driven Identification Constraints for DSGE Models
published 2017 · Oxford Bulletin of Economics and Statistics
A New Time‐Varying Parameter Autoregressive Model for U.S. Inflation Expectations
published 2017 · Journal of money credit and banking · 9 citations
Identification and estimation of non-Gaussian structural vector autoregressions
published 2016 · Journal of Econometrics · 43 citations
Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models
published 2016 · Oxford Bulletin of Economics and Statistics · 44 citations
with Henri Nyberg
Noncausal Bayesian Vector Autoregression
published 2016 · Journal of Applied Econometrics · 11 citations · first circulated 2014
Noncausality and inflation persistence
published 2014 · Studies in Nonlinear Dynamics and Econometrics · 3 citations · first circulated 2013
Overnight stock returns and realized volatility
published 2013 · International Journal of Forecasting · 70 citations · first circulated 2010
with Katja Ahoniemi
Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?
published 2013 · Oxford Bulletin of Economics and Statistics · 10 citations · first circulated 2012
Testing for Linear and Nonlinear Predictability of Stock Returns
published 2013 · Journal of Financial Econometrics · 5 citations
THE RELEVANCE OF ACCURACY FOR THE IMPACT OF MACROECONOMIC NEWS ON EXCHANGE RATE VOLATILITY
published 2013 · International Journal of Finance & Economics · 11 citations · first circulated 2009
with Helinä Laakkonen
NONCAUSAL VECTOR AUTOREGRESSION
published 2012 · Econometric Theory · 10 citations · first circulated 2009
Does Noncausality Help in Forecasting Economic Time Series
published 2012 · Työväentutkimus Vuosikirja · 19 citations
with Henri Nyberg, Erkka Saarinen
no link
Autoregression-based estimation of the new Keynesian Phillips curve
published 2012 · Journal of Economic Dynamics and Control · 4 citations
Optimal forecasting of noncausal autoregressive time series
published 2012 · International Journal of Forecasting · 18 citations · first circulated 2010
Has US inflation really become harder to forecast?
published 2011 · Economics Letters · 7 citations · first circulated 2010
Noncausal Autoregressions for Economic Time Series
published 2011 · Journal of Time Series Econometrics · 83 citations
GMM Estimation with Non-causal Instruments*
published 2011 · Oxford Bulletin of Economics and Statistics
Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison
published 2011 · Työväentutkimus Vuosikirja · 2 citations
with Henri Nyberg, Erkka Saarinen
no link
BAYESIAN MODEL SELECTION AND FORECASTING IN NONCAUSAL AUTOREGRESSIVE MODELS
published 2010 · Journal of Applied Econometrics · 8 citations · first circulated 2009
Structural Vector Autoregressions With Nonnormal Residuals
published 2009 · Journal of Business and Economic Statistics · 104 citations · first circulated 2006
Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases
published 2009 · Economics bulletin · 5 citations · first circulated 2007
no link
The effect of a transaction tax on exchange rate volatility
published 2009 · International Journal of Finance & Economics · 47 citations · first circulated 2005
with Timo Vesala, Timo Vesalay
Structural vector autoregressions with Markov switching
published 2009 · Journal of Economic Dynamics and Control · 225 citations
Joint modeling of call and put implied volatility
published 2009 · International Journal of Forecasting · 21 citations · first circulated 2008
with Katja Ahoniemi
A naïve sticky information model of households’ inflation expectations
published 2009 · Journal of Economic Dynamics and Control · 35 citations · first circulated 2008
Asymmetric News Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times
published 2009 · Studies in Nonlinear Dynamics and Econometrics · 33 citations · first circulated 2008
with Helinä Laakkonen
Identifying Monetary Policy Shocks via Changes in Volatility
published 2008 · Journal of money credit and banking · 166 citations · first circulated 2006
Robustness of the risk–return relationship in the U.S. stock market
published 2008 · Finance research letters · 3 citations
Modeling Conditional Skewness in Stock Returns
published 2007 · European Journal of Finance · 39 citations · first circulated 2005
Forecasting realized exchange rate volatility by decomposition
published 2007 · International Journal of Forecasting · 34 citations
A Multivariate Generalized Orthogonal Factor GARCH Model
published 2006 · Journal of Business and Economic Statistics · 26 citations
Nonlinear dynamics of interest rate and inflation
published 2006 · Journal of Applied Econometrics · 54 citations · first circulated 2003
A Mixture Multiplicative Error Model for Realized Volatility
published 2006 · Journal of Financial Econometrics · 80 citations
Why is it so difficult to uncover the risk–return tradeoff in stock returns?
published 2006 · Economics Letters · 53 citations
Non‐linear GARCH models for highly persistent volatility
published 2005 · Econometrics Journal · 93 citations
Trends and Breaks in Per-Capita Carbon Dioxide Emissions, 1870-2028
published 2004 · The Energy Journal · 122 citations · first circulated 2003
with Matti Liski
Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift
published 2003 · Manchester School · 6 citations · first circulated 1999
Reducing size distortions of parametric stationarity tests
published 2003 · Journal of Time Series Analysis · 15 citations
Modeling the U.S. Short-Term Interest Rate by Mixture Autoregressive Processes
published 2003 · Journal of Financial Econometrics · 12 citations · first circulated 2001
Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time*
published 2003 · Oxford Bulletin of Economics and Statistics · 124 citations · first circulated 2001
Unit root tests for time series with level shifts: a comparison of different proposals
published 2002 · Journal of Time Series Analysis · 65 citations · first circulated 2001
Testing the Predictability of Stock Returns
published 2002 · The Review of Economics and Statistics · 118 citations · first circulated 2000
Threshold Autoregressions for Strongly Autocorrelated Time Series
published 2002 · Journal of Business and Economic Statistics · 50 citations · first circulated 2000
Near unit root and the relationship between inflation and interest rates: A reexamination of the Fisher effect
published 2001 · Empirical Economics · 43 citations
Near unit roots, cointegration, and the term structure of interest rates
published 2000 · Journal of Applied Econometrics · 50 citations
Near Unit Roots and the Predictive Power of Yield Spreads for Changes in Long-Term Interest Rates
published 1999 · The Review of Economics and Statistics · 30 citations
Co-integration and the term structure of Finnish short-term interest rates
published 1995 · Finnish economic papers
no link
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