Publications

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2012

A Gaussian Mixture autoregressive model for univariate time series

Kalliovirta, L., Meitz, M. & Saikkonen, P., 14 Aug 2012, Helsinki: Helsinki Center of Economic Research. 44 p. (HECER Discussion Paper ; no. 352)

Research output: Book/ReportBookScientificpeer-review

Does Output Gap, Labor's Share or Unemployment Rate Drive Inflation?

Lanne, M. & Luoto, J., 2012, Helsinki: Helsinki Center of Economic Research. 19 p. (HECER Discussion Papers; no. 351)

Research output: Book/ReportBookScientificpeer-review

Open Access

Predicting Bear and Bull Stock Markets with Dynamic Binary Time Series Models

Nyberg, H., Oct 2012, Helsinki: Helsinki Center of Economic Research. 43 p. (HECER Discussion Papers; no. 355)

Research output: Book/ReportBookScientificpeer-review

2011

Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison

Nyberg, H., Lanne, M. & Saarinen, E., Mar 2011, Helsinki: Helsinki Center of Economic Research. 22 p. (Discussion papers/Helsinki Center of Economic Research; no. 319)

Research output: Book/ReportBookScientificpeer-review

2010

Comparison of Misspecification Tests Designed for Nonlinear Time Series Models

Kalliovirta, L., 10 Dec 2010, Helsinki: Helsinki Center of Economic Research. 10 p. (Discussion papers; no. 309)

Research output: Book/ReportBookScientificpeer-review

Noncausal vector autoregression

Lanne, M. & Saikkonen, P., 2010, Helsinki: University of Helsinki. 56 p. (Discussion papers / Helsinki Center of Economic Research; no. No 293)

Research output: Book/ReportBookScientificpeer-review

Optimal forecasting of noncausal autoregressive time series

Lanne, M., Luoto, J. & Saikkonen, P., 2010, Helsinki: Helsinki Center of Economic Research. 28 p. (Discussion papers / Helsinki Center of Economic Research; no. No 286)

Research output: Book/ReportBookScientificpeer-review

QR-GARCH-M model for risk-return tradeoff in U.S. stock returns and business cycles

Nyberg, H., 2010, Helsinki: University of Helsinki. 34 p. (Discussion papers / Helsinki Center of Economic Research; no. No 294)

Research output: Book/ReportBookScientificpeer-review

Realized volatility and overnight returns

Lanne, M. & Ahoniemi, K., 2010, (Bank of Finland Discussion Papers; no. 19/2010)

Research output: Book/ReportBookScientificpeer-review

2009

A bivariate autoregressive probit model: predicting U.S. business cycle and growth rate cycle recessions

Nyberg, H., 2009, Helsinki: Helsinki Center of Economic Research. 39 p. (Discussion papers / Helsinki Center of Economic Research; no. No 272)

Research output: Book/ReportBookScientificpeer-review

Bayesian model selection and forecasting in noncausal autoregressive models

Lanne, M., Luoma, A. & Luoto, J., 2009, Helsinki: Helsinki Center of Economic Research. 29 p. (Discussion papers / Helsinki Center of Economic Research; no. No 273)

Research output: Book/ReportBookScientificpeer-review

GMM estimation with noncausal instruments

Lanne, M. & Saikkonen, P., 2009, Helsinki: Helsinki Center of Economic Research. 14 p. (Discussion papers / Helsinki Center of Economic Research; no. No 274)

Research output: Book/ReportBookScientificpeer-review

Structural vector autoregressions with Markov switching

Lanne, M., 2009, Florence: European University Institute, Department of Economics. 20 p. (EUI working papers ECO / European University Institute, Department of Economics; no. No 2009/06)

Research output: Book/ReportBookScientificpeer-review

The relevance of accuracy for the impact of macroeconomic news on volality

Laakkonen, H. & Lanne, M., 2009, Helsinki: Helsinki Center of Economic Research. 23 p. (Discussion papers / Helsinki Center of Economic Research; no. No 262)

Research output: Book/ReportBookScientificpeer-review

2008

A naive sticky information model of households' inflation expectations

Lanne, M., Luoma, A. & Luoto, J., 2008, Helsinki: Helsinki Center of Economic Research. (Discussion papers / Helsinki Center of Economic Research; no. No 216)

Research output: Book/ReportBookScientificpeer-review

A statistical comparison of alternative identification schemes for monetary policy shocks

Lanne, M. & Lütkepohl, H., 2008, European University Institute, Department of Economics. (EUI working papers ECO; no. 23)

Research output: Book/ReportBookScientificpeer-review

Asymmetric news effects on volatility: good vs. bad news in good vs. bad times

Laakkonen, H. & Lanne, M., 2008, Helsinki: Helsinki Center of Economic Research. 21 p. (Discussion papers / Helsinki Center of Economic Research; no. No 207)

Research output: Book/ReportBookScientificpeer-review

Dynamic probit models and financial variables in recession forecasting

Nyberg, H., 2008, Helsinki: Helsinki Center of Economic Research. 35 p. (Discussion papers / Helsinki Center of Economic Research; no. No 225)

Research output: Book/ReportBookScientificpeer-review

Forecasting the direction of the U.S. stock market with dynamic binary probit models

Nyberg, H., 2008, Helsinki: Helsinki Center of Economic Research. 33 p. (Discussion papers / Helsinki Center of Economic Research; no. No 227)

Research output: Book/ReportBookScientificpeer-review

Implied volatility with time-varying regime probabilities

Ahoniemi, K. & Lanne, M., 2008, Helsinki: Helsinki Center of Economic Research. 22 p. (Discussion papers / Helsinki Center of Economic Research; no. No 246)

Research output: Book/ReportBookScientificpeer-review

Modeling expectations with noncausal autoregressions

Lanne, M. & Saikkonen, P., 2008, Florence: European University Institute, Department of Economics. 42 p. (EUI working papers ECO / European University Institute, Department of Economics; no. No 2008, 20)

Research output: Book/ReportBookScientificpeer-review

Modeling expectations with noncausal autoregressions

Lanne, M. & Saikkonen, P., 2008, Helsinki: Helsinki Center of Economic Research. 42 p. (Discussion papers / Helsinki Center of Economic Research; no. No 212)

Research output: Book/ReportBookScientificpeer-review

Parameter estimation in non-linear AR-GARCH models

Meitz, M. & Saikkonen, P., 2008, Florence: European University Institute, Department of Economics. 58 p. (EUI working papers ECO / European University Institute, Department of Economics; no. No 2008, 25)

Research output: Book/ReportBookScientificpeer-review

Quantile residuals for multivariate models

Kalliovirta, L., 2008, Helsinki: Helsinki Center of Economic Research. 47 p. (Discussion papers / Helsinki Center of Economic Research; no. No 247)

Research output: Book/ReportBookScientificpeer-review

Stock prices and economic fluctuations: a Markov switching structural vector autoregressive analysis

Lanne, M. & Lutkepohl, H., 2008, Munich: Center for Economic Studies. 14 p. (CESifo working paper series; no. no. 2407)

Research output: Book/ReportBookScientificpeer-review

Testing an autoregressive structure in binary time series models

Nyberg, H., 2008, Helsinki: Helsinki Center of Economic Research. 14 p. (Discussion papers / Helsinki Center of Economic Research; no. No 243)

Research output: Book/ReportBookScientificpeer-review

Testing for the cointegrating rank of a vector autoregressive process with uncertain deterministic trend term

Demetrescu, M., Lutkepohl, H. & Saikkonen, P., 2008, Florence: European University Institute, Department of Economics. 35 p. (EUI working papers ECO / European University Institute, Department of Economics; no. No 2008, 24)

Research output: Book/ReportBookScientificpeer-review