Publications

This page lists all peer-reviewed publications and doctoral dissertations of the members of the research group since 2008.

Peer-reviewed publications

  • Ahoniemi, K. and M. Lanne (2009), "Joint Modeling of Call and Put Implied Volatility", International Journal of Forecasting 25, 239 - 258
  • Ahoniemi, K., and M. Lanne (2013), "Overnight Stock Returns and Realized Volatility", International Journal of Forecasting 29, 592 - 604
  • Choi, I. and P. Saikkonen (2010), "Tests for Nonlinear Cointegration", Econometric Theory 26, 682-709
  • Demetrescu, M., H., Lütkepohl, and P. Saikkonen (2009), "Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term", Econometrics Journal 12, 414 - 435
  • Funovits, B. (2017), "The Full Set of Solutions of Linear Rational Expectations Models", Economics Letters 161, 47 - 51
  • Haldrup, N., M. Meitz, and P. Saikkonen (eds.), "Essays in Nonlinear Time Series Econometrics", Oxford University Press, 2014
  • Kalliovirta, L. (2012), "Misspecification Tests Based on Quantile Residuals", Econometrics Journal 15, 358-393
  • Kalliovirta, L., M. Meitz, and P. Saikkonen (2014), "Modeling the Euro-USD Exchange Rate with the Gaussian Mixture Autoregressive Model". In Knif, J., and B. Pape (eds.), Contributions to Mathematics, Statistics, Econometrics, and Finance: Essays in Honour of Professor Seppo Pynnönen, University of Vaasa.
  • Kalliovirta, L., M. Meitz, and P. Saikkonen (2015), "A Gaussian Mixture Autoregressive Model for Univariate Time Series", Journal of Time Series Analysis 36, 247 - 266
  • Kalliovirta, L., M. Meitz, and P. Saikkonen (2016), "Gaussian Mixture Vector Autoregression", Journal of Econometrics 192, 485-498
  • Kauppi, H., and P. Saikkonen (2008), "Predicting U.S. Recessions with Dynamic Binary Response Models", Review of Economics and Statistics 90, 777 - 791
  • Kirschenmann, K., T. Malinen, and H. Nyberg (2016), "The Risk of Financial Crises: Is There a Role for Income Inequality?", Journal of International Money and Finance, forthcoming
  • Kohonen, A. (2013), "On Detection of Volatility Spillovers in Overlapping Stock Markets", Journal of Empirical Finance 22, 140 - 158
  • Kohonen, A. (2014), "Transmission of Government Default Risk in the Eurozone", Journal of International Money and Finance 47, 71 - 85
  • Laakkonen, H., and M. Lanne (2010), "Asymmetric Effects on Exchange Rate Volatility: Good vs. Bad News in Good vs. Bad Times", Studies in Nonlinear Dynamics & Econometrics 14(1)
  • Laakkonen, H., and M. Lanne (2013), "The Relevance of Accuracy for the Impact of Macroeconomic News on Exchange Rate Volatility", International Journal of Finance and Economics 18, 339 - 351
  • Lanne, M. (2009), "Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases", Economics Bulletin 29, 2227 - 2236
  • Lanne, M. (2014), "Noncausality and Inflation Persistence", Studies in Nonlinear Dynamics and Econometrics 19, 469 - 481
  • Lanne, M., A. Luoma, and J. Luoto (2009), "A Naïve Sticky Information Model of Households' Inflation Expectations", Journal of Economic Dynamics and Control 33, 1332 - 1344
  • Lanne, M., A. Luoma, and J. Luoto (2012), "Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models", Journal of Applied Econometrics 27, 812 - 830
  • Lanne, M., and J. Luoto (2008), "Robustness of the Risk-Return Relationship in the U.S. Stock Market", Finance Research Letters 5, 118 - 127
  • Lanne, M., and J. Luoto (2012), "Has U.S. Inflation Really Become Harder to Forecast?", Economics Letters 115, 383 - 386
  • Lanne, M., and J. Luoto (2013), "Autoregression-Based Estimation of the New Keynesian Phillips Curve", Journal of Economic Dynamics and Control 37, 561 - 570
  • Lanne, M., and J. Luoto (2013), "Does Output Gap, Labour's Share or Unemployment Rate Drive Inflation?", Oxford Bulletin of Economics and Statistics 76, 717 - 726
  • Lanne, M., and J. Luoto (2016), "Noncausal Bayesian Vector Autoregression", Journal of Applied Econometrics 31, 1392 - 1406
  • Lanne, M., and J. Luoto (2017). "A New Time-Varying Parameter Autoregressive Model for U.S. Inflation Expectations", Journal of Money, Credit and Banking 49, 969 - 995
  • Lanne, M., and J. Luoto (2018), "Data-Driven Identification Constraints for DSGE Models", Oxford Bulletin of Economics and Statistics 80, 236 - 258.
  • Lanne, M., J. Luoto, and P. Saikkonen (2012), "Optimal Forecasting of Noncausal Autoregressive Time Series", International Journal of Forecasting 28, 623 - 631
  • Lanne, M., and H. Lütkepohl (2008), "Identifying Monetary Policy Shocks via Changes in Volatility", Journal of Money, Credit, and Banking 40, 1131 - 1149
  • Lanne, M., and H. Lütkepohl (2010), "Structural Vector Autoregressions with Nonnormal Residuals", Journal of Business and Economic Statistics 28, 159 - 168
  • Lanne, M., and H. Lütkepohl (2014), "A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks". In Knif, J., and B. Pape (eds.), Contributions to Mathematics, Statistics, Econometrics, and Finance: Essays in Honour of Professor Seppo Pynnönen, University of Vaasa.
  • Lanne, M., H. Lütkepohl, and K. Maciejowska (2010), "Structural Vector Autoregressions with Markov Switching", Journal of Economic Dynamics and Control 34, 121 - 131
  • Lanne, M., M. Meitz, and P. Saikkonen (2013), "Testing for Linear and Nonlinear Predictability of Stock Returns", Journal of Financial Econometrics 11, 682 - 705
  • Lanne, M., M. Meitz, and P. Saikkonen (2017), "Identification and Estimation of Non-Gaussian Structural Vector Autoregressions", Journal of Econometrics 196, 288 - 304
  • Lanne, M., and H. Nyberg (2016), "Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models", Oxford Bulletin of Economics and Statistics 78, 595 - 603
  • Lanne, M., H. Nyberg, and E. Saarinen (2012), "Does Noncausality Help in Forecasting Economic Time Series?", Economics Bulletin 32, 2849 - 2859
  • Lanne, M., and P. Saikkonen (2011), "GMM Estimation with Noncausal Instruments", Oxford Bulletin of Economics and Statistics 73, 581 - 592
  • Lanne, M., and P. Saikkonen (2011), "Noncausal Autoregressions for Economic Time Series", Journal of Time Series Econometrics 3 (3), Article 2
  • Lanne, M., and P. Saikkonen (2013), "Noncausal Vector Autoregression", Econometric Theory 29, 447 - 481
  • Lanne, M., and T. Vesala (2010), "The Effect of a Transaction Tax on Exchange Rate Volatility",  International Journal of Finance and Economics 15, 123 - 133
  • Lof, M. (2012), "Heterogeneity in Stock Prices: A STAR Model with Multivariate Transition Function", Journal of Economic Dynamics and Control 36, 1845 - 1854
  • Lof, M. (2013), " Noncausality and Asset Pricing ", Studies in Nonlinear Dynamics & Econometrics 17, 211 - 220
  • Lof, M. (2014), " GMM Estimation with Noncausal Instruments under Rational Expectations ", Oxford Bulletin of Economics and Statistics 76, 279-286
  • Lof, M. (2015), "Rational Speculators, Contrarians and Excess Volatility", Management Science 61, 1889 - 1901
  • Lof, M., and T. Malinen (2014), "Does Sovereign Debt Weaken Economic Growth? A Panel VAR Analysis", Economics Letters 122, 403 - 407
  • Lof, M., T. Mekasha, and F. Tarp (2015), "Aid and Income: Another Time-Series Perspective", World Development 69, 19 - 30
  • Lucey, B. M., S. A. Vigne, L. Ballester, L. Barbopoulos, J. Brzeszczynski, O. Carchano, N. Dimic, V. Fernandez, F. Gogolin, A. Gonzalez-Urteaga, J. W. Goodell, P. Helbing, R. Ichev, F. Kearney, E. Laing, C. J. Larkin, A. Lindblad, I. Loncarski, K. C. Ly, M. Marinc, R. J. McGee, F. McGroarty, C. Neville, M. O'Hagan-Luff, V. Piljak, A. Sevic, X. Sheng, D. Stafylas, A. Urquhart, R. Versteeg, A. N. Vu, S. Wolfe, L. Yarovaya, and A. Zaghini (2018), "Future Directions in International Financial Integration Research - A Crowdsourced Perspective", International Review of Financial Analysis 55, 35 - 49
  • Meitz, M., and P. Saikkonen (2008), "Ergodicity, Mixing, and Existence of Moments of a Class of Markov Models with Applications to GARCH and ACD Models", Econometric Theory 24, 1291- 1320
  • Meitz, M., and P. Saikkonen (2008), "Stability of Nonlinear AR-GARCH Models", Journal of Time Series Analysis 29, 453 - 475
  • Meitz, M., and P. Saikkonen (2010), "A Note on the Geometric Ergodicity of a Nonlinear AR-ARCH Model", Statistics and Probability Letters 80, 631 - 638
  • Meitz, M., and P. Saikkonen (2011), "Parameter Estimation in Nonlinear AR-GARCH Models", Econometric Theory 27, 1236-1278
  • Meitz, M. and P. Saikkonen (2013), "Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity", Journal of Multivariate Analysis 114, 227 - 255.
  • Nyberg, H. (2010), "Dynamic Probit Models and Financial Variables in Recession Forecasting", Journal of Forecasting 29, 215 - 230
  • Nyberg, H. (2010), "Testing an Autoregressive Structure in Binary Time Series Models", Economics Bulletin 30, 1460 - 1473
  • Nyberg, H. (2011), "Forecasting the Direction of the U.S. Stock Market with Dynamic Probit Models", International Journal of Forecasting, 27, 561 - 578
  • Nyberg, H. (2012), "Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle", Journal of Financial and Quantitative Analysis, 47, 137 - 158
  • Nyberg, H. (2013), "Predicting Bear and Bull Stock Markets with Dynamic Binary Time Series Models", Journal of Banking and Finance, 37, 3351 - 3363
  • Nyberg, H. (2014), "A Bivariate Autoregressive Probit Model: Business Cycle Linkages and Transmission of Recession Probabilities", Macroeconomic Dynamics, 18, 838 - 862
  • Nyberg, H. (2017), "Forecasting U.S. Interest Rates and Business Cycle with a Nonlinear Regime Switching VAR Model", Journal of Forecasting (forthcoming)
  • Nyberg, H. and P. Saikkonen (2014), "Forecasting with a Noncausal VAR Model", Computational Statistics and Data Analysis, 76, 536 - 555
  • Nyberg, H. and H. Pönkä (2016), "International Sign Predictability of Stock Returns: The Role of the United States", Economic Modelling, 58, 323 - 338
  • Puonti, P. (2016), "Fiscal Multiplier in a Structural VEC Model with Mixed Normal Errors", Journal of Macroeconomics 48, 144 - 154. 
  • Pönkä, H. (2016), "Real Oil Prices and the International Sign Predictability of Stock Returns", Finance Research Letters 17, 79 - 87
  • Pönkä, H. (2016), "Predicting the Direction of US Stock Markets Using Industry Returns", Empirical Economics 52, 1451 - 1480
  • Pönkä, H. (2016), "The Role of Credit in Predicting U.S. Recessions", Journal of Forecasting 36, 469 - 482
  • Saikkonen, P. (2008), "Stability of Regime Switching Error Correction Models Under Linear Cointegration", Econometric Theory 24, 294 - 318
  • Saikkonen, P. and R. Sandberg (2016), "Testing for a Unit Root in Noncausal Autoregressive Models", Journal of Time Series Analysis 37, 99-125
  • Trenkler, C., H. Lütkepohl, and P. Saikkonen (2008), "Testing for the Cointegrating Rank of a VAR Process with Level Shift and Trend Break", Journal of Time Series Analysis 29, 331 - 358

Doctoral Dissertations

  • Ahoniemi, K. (2009), Modeling and Forecasting Implied Volatility. Acta Universitatis Oeconomicae Helsingiensis A-340.

  • Kalliovirta, L. (2009), Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models. Dissertationes Oeconomicae No. 118:2009.

  • Kohonen, A. (2014), Propagation of Financial Shocks: Empirical Studies on FInancial Spillovers. Dissertationes Oeconomicae, No. 2014:2.

  • Laakkonen, H. (2009), Essays on the Asymmetric News Effects on Exchange Rate Volatility. Jyväskylä Studies in Business and Economics 84.

  • Lof, M. (2013), Essays on Expectations and the Econometrics of Asset Pricing. Dissertationes Oeconomicae, No. 2013:1.

  • Nyberg, H. (2010), Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance. Dissertationes Oeconomicae No. 122:2010.

  • Puonti, P. (2017), Effectiveness of Economic Policy: Assessment Based on Nonnormalities. Dissertationes Oeconomicae, No. 2017:3.

  • Pönkä, H. (2016), Essays on Directional Predictability of Financial and Economic Time Series. Dissertationes Oeconomicae No. 2016:8.

  • Turunen, H. (2015), Essays on Higher Moments in Macroeconomics and Finance. Dissertationes Oeconomicae, No. 2015:6.

  • Vuorenmaa, T. A. (2008), Elements of Volatility at High Frequency. Dissertationes Oeconomicae No. 111:2008.