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Nob-linear GARCH models for highly persistent volatility
Lanne, Markku; Saikkonen, Pentti - In: The econometrics journal 8 (2005) 2, pp. 251-276
Persistent link: https://www.econbiz.de/10003018967
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Why is it so difficult to uncover the risk-return tradeoff in stock returns?
Lanne, Markku; Saikkonen, Pentti - 2005
Persistent link: https://www.econbiz.de/10002700275
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Comparison of unit root tests for time series with level shifts
Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 1999
Persistent link: https://www.econbiz.de/10001424859
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Threshold autoregressions for strongly autocorrelated time series
Lanne, Markku; Saikkonen, Pentti - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 282-289
Persistent link: https://www.econbiz.de/10001660384
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Unit root tests in the presence of innovational outliers
Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 2001
Persistent link: https://www.econbiz.de/10001630107
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Test procedures for unit roots in time series with level shifts at unknown time
Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - 2001
Persistent link: https://www.econbiz.de/10001609552
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Test procedures for unit roots in time series with level shifts at unknown time
Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - In: Oxford bulletin of economics and statistics 65 (2003) 1, pp. 91-115
Persistent link: https://www.econbiz.de/10001741975
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Unit root tests in the presence of innovational outliers
Lanne, Markku; Lütkepohl, Helmut; Saikkonen, Pentti - In: Contributions to modern econometrics : from data …, (pp. 151-167). 2002
Persistent link: https://www.econbiz.de/10001905248
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A skewed GARCH-in-Mean model : an application to US stock returns
Lanne, Markku; Saikkonen, Pentti - 2004
Persistent link: https://www.econbiz.de/10001943820
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Modelling the US short-term interest rate by mixture autoregressive processes
Lanne, Markku; Saikkonen, Pentti - 2000
Persistent link: https://www.econbiz.de/10001528164