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2020

Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression

Lanne, M. & Luoto, J., Apr 2020, In : Oxford Bulletin of Economics and Statistics. 82 , 2, p. 425-452 28 p.

Research output: Contribution to journalArticleScientificpeer-review

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Inflation Dynamics of Financial Shocks

Palmén, O., 5 Jun 2020, In : arXiv.org . 15 p.

Research output: Contribution to journalArticleScientific

Sovereign Default Risk and Credit Supply: Evidence from the Euro Area

Palmén, O., 5 Jun 2020, In : arXiv.org . 24 p.

Research output: Contribution to journalArticleScientific

Sovereign Default Risk and Credit Supply: Evidence from the Euro Area

Palmen, O., Dec 2020, In : Journal of International Money and Finance. Volume 109, 102257.

Research output: Contribution to journalArticleScientificpeer-review

Open Access

Stationarity and ergodicity of vector STAR models

Kheifets, I. L. & Saikkonen, P. J., 2020, In : Econometric reviews.. 39, 4, p. 407-414 8 p.

Research output: Contribution to journalArticleScientificpeer-review

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2019

A comment on 'on inflation expectations in the NKPC model'

Lanne, M. & Luoto, J. P., Dec 2019, In : Empirical Economics. 57, 6, p. 1865-1867 3 p.

Research output: Contribution to journalArticleScientificpeer-review

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Aikasarjamallit apuna Suomen talouden seurannassa

Juvonen, O-P., Anttonen, J. J., Fornaro, P., Nissilä, W., Nyberg, H. & Pönkä, H., 7 Oct 2019, In : Kansantaloudellinen Aikakauskirja. 115, 3, p. 440-457 18 p.

Research output: Contribution to journalArticleScientificpeer-review

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Data-driven structural BVAR analysis of unconventional monetary policy

Puonti, P., Sep 2019, In : Journal of Macroeconomics. 61, 14 p., 103131.

Research output: Contribution to journalArticleScientificpeer-review

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GMM Estimation of Non-Gaussian Structural Vector Autoregression

Lanne, M. & Luoto, J., 18 Jul 2019, In : Journal of Business and Economic Statistics. 13 p.

Research output: Contribution to journalArticleScientificpeer-review

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Subgeometrically ergodic autoregressions

Meitz, M. & Saikkonen, P., Apr 2019, In : arXiv.org . 34 p., arXiv:1904.07089.

Research output: Contribution to journalArticleScientific

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Subgeometric ergodicity and β-mixing

Meitz, M. & Saikkonen, P., Apr 2019, In : arXiv.org . 15 p., arXiv:1904.07103.

Research output: Contribution to journalArticleScientific

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The role of oil prices on the Russian business cycle

Pönkä, A. H. M. & Zheng, Y., Dec 2019, In : Research in International Business and Finance. 50, p. 70-78 9 p.

Research output: Contribution to journalArticleScientificpeer-review

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2018

Data-Driven Identification Constraints for DSGE Models

Lanne, M. & Luoto, J. P., Apr 2018, In : Oxford Bulletin of Economics and Statistics. 80, 2, p. 236-258 23 p.

Research output: Contribution to journalArticleScientificpeer-review

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Evaluating the time-varying impact of economic data on the accuracy of stock market volatility forecasts

Lindblad, A., Jun 2018, In : HECER discussion papers. 2018, 430, 75 p.

Research output: Contribution to journalArticleScientific

Open Access

Future directions in international financial integration research - A crowdsourced perspective

Lucey, B. M., Vigne, S. A., Ballester, L., Barbopoulos, L., Brzeszczynski, J., Carchano, O., Dimic, N., Fernandez, V., Gogolin, F., Gonzalez-Urteaga, A., Goodell, J. W., Helbing, P., Ichev, R., Kearney, F., Laing, E., Larkin, C. J., Lindblad, A., Loncarski, I., Ly, K. C., Marinc, M. & 14 others, McGee, R. J., McGroarty, F., Neville, C., O'Hagan-Luff, M., Piljak, V., Sevic, A., Sheng, X., Stafylas, D., Urquhart, A., Versteeg, R., Vu, A. N., Wolfe, S., Yarovaya, L. & Zaghini, A., Jan 2018, In : International Review of Financial Analysis. 55, p. 35-49 15 p.

Research output: Contribution to journalArticleScientificpeer-review

Peripherally acting alpha-adrenoceptor antagonist MK-467 with intramuscular medetomidine and butorphanol in dogs: A prospective, randomised, clinical trial

Kallio-Kujala, I. J., Turunen, H. A., Raekallio, M. R., Honkavaara, J. M., Salla, K. M., Casoni, D., Hautajarvi, H. J. & Vainio, O. M., Oct 2018, In : Veterinary Journal. 240, p. 22-26 5 p.

Research output: Contribution to journalArticleScientificpeer-review

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Testing identification via heteroskedasticity in structural vector autoregressive models

Lütkepohl, H., Meitz, M. H., Netšunajev, A. & Saikkonen, P. J., Oct 2018, In : DIW Discussion Papers. 2018, 1764, 26 p.

Research output: Contribution to journalArticleScientific

Open Access
2017

A New Time-Varying Parameter Autoregressive Model for U.S. Inflation Expectations

Lanne, M. & Luoto, J. P., 2017, In : Journal of Money, Credit & Banking. 49, 5, p. 969 - 995 27 p.

Research output: Contribution to journalArticleScientificpeer-review

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Evidence on News Shocks under Information Deficiency

Nelimarkka, J. E., 7 Aug 2017, In : HECER discussion papers. 2017, 415, 34 p.

Research output: Contribution to journalArticleScientific

Identification and Estimation of Non-Gaussian Structural Vector Autoregressions

Lanne, M., Meitz, M. & Saikkonen, P., Feb 2017, In : Journal of Econometrics. 196, 2, p. 288-304 17 p.

Research output: Contribution to journalArticleScientificpeer-review

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Noncausality and the Commodity Currency Hypothesis

Lof, M. H. & Nyberg, H. K., Jun 2017, In : Energy Economics. 65, p. 424-433 10 p.

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Predicting the direction of US stock markets using industry returns

Pönkä, A. H. M., 2017, In : Empirical Economics. 52, 4, p. 1451-1480 20 p.

Research output: Contribution to journalArticleScientificpeer-review

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Residual-based diagnostic tests for noninvertible ARMA models

Nyholm, J. T., Aug 2017, In : HECER discussion papers. 416, 33 p.

Research output: Contribution to journalArticleScientific

Open Access

Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility

Lindblad, A., 9 Aug 2017, In : HECER discussion papers. 2017, 413, 49 p.

Research output: Contribution to journalArticleScientific

Testing for observation-dependent regime switching in mixture autoregressive models

Meitz, M. H. & Saikkonen, P. J., Oct 2017, In : HECER discussion papers. 420, 56 p.

Research output: Contribution to journalArticleScientific

The effects of government spending under anticipation: the noncausal VAR approach

Nelimarkka, J. E., Sep 2017, In : HECER discussion papers. 418, 30 p.

Research output: Contribution to journalArticleScientific

The Full Set of Solutions of Linear Rational Expectations Models

Funovits, B., 18 Sep 2017, In : Economics Letters. 161, p. 47-51 5 p.

Research output: Contribution to journalArticleScientificpeer-review

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The Role of Credit in Predicting US Recessions

Pönkä, A. H. M., 2017, In : Journal of Forecasting. 36, 5, p. 469–482 14 p.

Research output: Contribution to journalArticleScientificpeer-review

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2016

Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression

Lanne, M. J. & Luoto, J. P., 2016, In : CREATES Research Papers. 2016-4, 28 p.

Research output: Contribution to journalArticleProfessional

Open Access

Data-Driven Structural BVAR Analysis of Unconventional Monetary Policy

Puonti, P. J., Dec 2016, In : HECER discussion papers. 406, 33 p.

Research output: Contribution to journalArticleScientific

Open Access

Fiscal Multipliers in a Structural VEC Model with Mixed Normal Errors

Puonti, P. J., 2016, In : Journal of Macroeconomics. 48, p. 144-154 11 p.

Research output: Contribution to journalArticleScientificpeer-review

Gaussian mixture vector autoregression

Kalliovirta, L. K., Meitz, M. H. & Saikkonen, P. J., Jun 2016, In : Journal of Econometrics. 192, 2, p. 485-498 14 p.

Research output: Contribution to journalArticleScientificpeer-review

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Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

Lanne, M. & Nyberg, H., Aug 2016, In : Oxford Bulletin of Economics and Statistics. 78, 4, p. 595-603 9 p.

Research output: Contribution to journalArticleScientificpeer-review

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International Sign Predictability of Stock Returns: The Role of the United States

Nyberg, H. K. & Pönkä, A. H. M., 2016, In : Economic Modelling. 58, p. 323–338 16 p.

Research output: Contribution to journalArticleScientificpeer-review

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Noncausal Bayesian Vector Autoregression

Lanne, M. & Luoto, J. P., 2016, In : Journal of Applied Econometrics. 31, 7, p. 1392 - 1406 15 p.

Research output: Contribution to journalArticleScientificpeer-review

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Real oil prices and the international sign predictability of stock returns

Pönkä, A. H. M., 31 May 2016, In : Finance research letters. 17, p. 79-87 9 p.

Research output: Contribution to journalArticleScientificpeer-review

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Testing for a unit root in noncausal autoregressive models

Saikkonen, P. & Sandberg, R., Jan 2016, In : Journal of Time Series Analysis. 37, 1, p. 99-125 27 p.

Research output: Contribution to journalArticleScientificpeer-review

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The risk of financial crises: Is there a role for income inequality?

Kirschenmann, K., Malinen, M. T. & Nyberg, H. K., 2016, In : Journal of International Money and Finance. 68, p. 161-180 20 p.

Research output: Contribution to journalArticleScientificpeer-review

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2015

A GAUSSIAN MIXTURE AUTOREGRESSIVE MODEL FOR UNIVARIATE TIME SERIES

Kalliovirta, L., Meitz, M. & Saikkonen, P., Mar 2015, In : Journal of Time Series Analysis. 36, 2, p. 247-266 20 p.

Research output: Contribution to journalArticleScientificpeer-review

Estimation of DSGE Models under Diffuse Priors and Data-Driven Identification Constraints

Lanne, M. J. & Luoto, J. P., Aug 2015, In : CREATES Research Papers. 2015-37, 30 p.

Research output: Contribution to journalArticleProfessional

Open Access

Fiscal Multipliers in a Structural VEC Model with Mixed Normal Errors

Puonti, P. J., Sep 2015, In : HECER discussion papers. 394, 34 p.

Research output: Contribution to journalArticleScientific

Identification and Estimation of Non-Gaussian Structural Vector Autoregressions

Lanne, M., Meitz, M. & Saikkonen, P., Apr 2015, In : CREATES Research Papers. 2015-16, p. 1-22 22 p.

Research output: Contribution to journalArticleProfessional

Open Access

Leading Indicators of Systemic Banking Crises: Finland in a Panel of EU Countries

Lainà, P., Nyholm, J. T. & Sarlin, P., 2015, In : Working paper series - European Central Bank . 2015, 1758, 29 p.

Research output: Contribution to journalArticleScientific

Open Access

Leading Indicators of Systemic Banking Crises: Finland in a Panel of EU Countries

Lainà, P., Nyholm, J. T. & Sarlin, P., 2015, In : Review of Financial Economics. 24, 1, p. 18-35 18 p.

Research output: Contribution to journalArticleScientificpeer-review

Macroeconomic Impact of the Risk-Taking Channel: Evidence from SVAR with Nonnormal Residuals

Puonti, P. J., Jan 2015, In : HECER discussion papers. 387, 32 p.

Research output: Contribution to journalArticleScientific

Noncausality and Inflation Persistence

Lanne, M., 2015, In : Studies in Nonlinear Dynamics and Econometrics (Online). 19, 4, p. 469-481 13 p.

Research output: Contribution to journalArticleScientificpeer-review

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Nonlinear dynamic interrelationships between real activity and stock returns

Lanne, M. J. & Nyberg, H. K., Aug 2015, In : CREATES Research Papers. 2015-36, 37 p.

Research output: Contribution to journalArticleProfessional

Open Access

Real oil prices and the international sign predictability of stock returns

Pönkä, A. H. M., 16 Dec 2015, In : HECER discussion papers. 397, p. 1-13 13 p.

Research output: Contribution to journalArticleScientific

Suomen kansantalouden suhdanneindeksi 2009-2014

Lanne, M. & Nyberg, H., Mar 2015, In : Kansantaloudellinen Aikakauskirja. 111, 1, p. 6-15 10 p.

Research output: Contribution to journalArticleScientificpeer-review

Open Access

The Role of Credit in Predicting US Recessions

Pönkä, A. H. M., 8 Nov 2015, In : CREATES Research Papers. 2015-48, 33 p., 2015-48.

Research output: Contribution to journalArticleProfessional