This is the joint wiki area of the research projects Econometrics of Macroeconomics and Finance, and the Interface between the Macroeconomy and Financial Markets (2008 - 2011) and Non-Gaussian Time Series Models with Macroeconomic and Financial Applications (2011 - 2013) financed by the Academy of Finland and Financial Econometrics (2007 - 2010) financed by the OP-Pohjola Group Research Foundation. The goal of these projects is to produce theoretical research related to econometric methods and models relevant to finance and macroeconomics and to employ the results of this research in empirical applications in these fields. In financial econometrics, the emphasis is on volatility modeling, including GARCH models and modeling realized and option-implied volatility. In addition, we focus on methods that allow for the incorporation of macroeconomic variables into models for financial returns and vice versa. The fruitful border area between the two fields offers a large number of potential applications, including asset pricing, measuring and forecasting financial and macroeconomic risks, forecasting the state of the economy and modeling the effect of macroeconomic news announcements on financial markets. Apart from extending the academic literature in econometrics, macroeconomics and finance, the results of the proposed research agenda should be of great interest to practitioners.

Members

Research Team

Postdoctoral Researchers

PhD Students

Anssi Kohonen
Matthijs Lof
Harri Turunen

Research

Publications

Ahoniemi, K. and M. Lanne (2009), "Joint Modeling of Call and Put Implied Volatility", International Journal of Forecasting 25, 239 - 258
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
Kalliovirta, L. (2012), "Misspecification Tests Based on Quantile Residuals", Econometrics Journal (forthcoming)
Kauppi, H., and P. Saikkonen (2008), "Predicting U.S. Recessions with Dynamic Binary Response Models", Review of Economics and Statistics 90, 777 - 791
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 (2012), "The Relevance of Accuracy for the Impact of Macroeconomic News on Exchange Rate Volatility", International Journal of Finance and Economics (forthcoming)
Lanne, M. (2009), "Properties of Market-Based and Survey Macroeconomic Forecasts for Different Data Releases", Economics Bulletin 29, 2227 - 2236
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 (2011), "Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models", Journal of Applied Econometrics (forthcoming)
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., J. Luoto, and P. Saikkonen (2012), "Optimal Forecasting of Noncausal Autoregressive Time Series", International Journal of Forecasting (forthcoming)
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., H. Lütkepohl, and K. Maciejowska (2010), "Structural Vector Autoregressions with Markov Switching", Journal of Economic Dynamics and Control 34, 121 - 131
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 (2012), "Noncausal Vector Autoregression", Econometric Theory (forthcoming)
Lanne, M., and T. Vesala (2010), "The Effect of a Transaction Tax on Exchange Rate Volatility", International Journal of Finance and Economics15, 123 - 133
Lof, M. (2012), "Noncausality and Asset Pricing", Studies in Nonlinear Dynamics & Econometrics (forthcoming)
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 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 (forthcoming)
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.
Saikkonen, P. (2008), "Stability of Regime Switching Error Correction Models Under Linear Cointegration", Econometric Theory 24, 294 - 318
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.
Laakkonen, H. (2009), Essays on the Asymmetric News Effects on Exchange Rate Volatility. Jyväskylä Studies in Business and Economics 84.
Nyberg, H. (2010), Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance. Dissertationes Oeconomicae No. 122:2010.
Vuorenmaa, T. A. (2008), Elements of Volatility at High Frequency. Dissertationes Oeconomicae No. 111:2008.

Working Papers

Ahoniemi, K., and M. Lanne (2008), "Implied Volatility with Time-Varying Regime Probabilities", HECER DP 246 (pdf file)
Ahoniemi, K., and M. Lanne (2010), "Realized Volatility and Overnight Returns", Bank of Finland DP 19/2010 (pdf file)
Kalliovirta, L. (2008), "Quantile Residuals for Multivariate Models", HECER DP 247 (pdf file)
Kalliovirta, L. (2010), "Comparison of Misspecification Tests Designed for Non-linear Time Series Models", HECER DP 309 (pdf file)
Kauppi, H. (2007), "Predicting the Fed's Target Rate Decisions", HECER DP 182 (pdf file)
Kauppi, H. (2008), "Yield-Curve Based Probit Models for Forecasting U.S. Recessions: Stability and Dynamics", HECER DP 221 (pdf file)
Laakkonen, H., and M. Lanne (2009) "The Relevance of Accuracy in the Impact of News on Volatility", HECER DP 262 (pdf file)
Laakkonen, H. (2008) "Asymmetric News Effects on Exchange Rate Volatility" University of Jyväskylä DP 353/2008 (pdf file)
Lanne, M., A. Luoma, and J. Luoto (2008), "A Naïve Sticky Information Model of Households' Inflation Expectations", HECER DP 216. (pdf file)
Lanne, M., A. Luoma, and J. Luoto (2009), "Bayesian Model Selection and Forecasting in Noncausal Autoregressive Models", HECER DP 273. (pdf file)
Lanne, M., and J. Luoto (2010), "Has U.S. Inflation Really Become Harder to Forecast?", HECER DP 307. (pdf file)
Lanne, M., and J. Luoto (2011), "Autoregression-Based Estimation of the New Keynesian Phillips Curve", HECER DP 321. (pdf file)
Lanne, M., J. Luoto, and P. Saikkonen (2010), "Optimal Forecasting of Noncausal Autoregressive Time Series", HECER DP 286. (pdf file)
Lanne, M., and H. Lütkepohl (2008), "A Statistical Comparison of Alternative Identification Schemes for Monetary Policy Shocks", European University Institute Working Paper ECO 2008/23 (pdf file)
Lanne, M., H. Lütkepohl, and K. Maciejowska (2009), "Structural Vector Autoregressions with Markov Switching", European University Institute Working Paper ECO 2009/06 (pdf file)
Lanne, M., M. Meitz, and P. Saikkonen (2012), "Testing for Predictability in a Noninvertible ARMA Model", HECER DP 345. (pdf file)
Lanne, M., H. Nyberg, and E. Saarinen (2011), "Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison", HECER DP 319. (pdf file)
Lanne, M., and P. Saikkonen (2008), "Modeling Expectations with Noncausal Autoregressions", European University Institute Working Paper ECO 2008/20 (pdf file)
Lanne, M., and P. Saikkonen (2009), "Noncausal Vector Autoregression", Bank of Finland Discussion Paper 18/2009 (pdf file)
Lanne, M., and P. Saikkonen (2009), "Noncausal Vector Autoregression", HECER DP 293 (pdf file)
Lanne, M., and P. Saikkonen (2009), "GMM Estimation with Noncausal Instruments", HECER DP 274. (pdf file)
Lof, M. (2010), "Heterogeneity in Stock Prices: A STAR Model with Multivariate Transition Function", HECER DP 301. (pdf file)
Lof, M. (2011), "Noncausality and Asset Pricing", HECER DP 323. (pdf file)
Lof, M. (2011), "GMM Estimation with Noncausal Instruments under Rational Expectations", HECER DP 343. (pdf file)
Meitz, M. and P. Saikkonen (2011), "Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity", HECER DP 320. (pdf file)
Nyberg, H. (2008), "Dynamic Probit Models and Financial Variables in Recession Forecasting", HECER DP 225. (pdf file)
Nyberg, H. (2008), "Forecasting the Direction of the U.S. Stock Market with Dynamic Binary Probit Models", HECER DP 227. (pdf file)
Nyberg, H. (2008), "Testing an Autoregressive Structure in Binary Time Series Models", HECER DP 243. (pdf file)
Nyberg, H. (2009), "A Bivariate Autoregressive Probit Model: Predicting U.S. Business Cycle and Growth Rate Cycle Recessions", HECER DP 272. (pdf file)
Nyberg, H. (2010), "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles", HECER DP 294. (pdf file )
Vuorenmaa, T. A. (2008), "Decimalization, Realized Volatility, and Market Microstructure Noise", HECER DP 217 (pdf file)

Conference and Seminar Presentations

Katja Ahoniemi, "Joint Modeling of Call and Put Implied Volatility", 3rd ESRC Seminar Series: Nonlinear Economics and Finance Research Community, Keele University, February 2008
Katja Ahoniemi, "Joint Modeling of Call and Put Implied Volatility", XVI Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, San Francisco, April 2008
Katja Ahoniemi, "Implied Volatility with Time-Varying Regime Probabilities", 64th European Meeting of the Econometric Society, Barcelona, August 2009
Katja Ahoniemi, "Implied Volatility with Time-Varying Regime Probabilities", 5th Nordic Econometric Meeting, Lund, October 2009
Leena Kalliovirta, "Quantile Residuals for Multivariate Models", Inference and Tests in Econometrics - A Tribute to Russell Davidson, Marseille, April 2008
Leena Kalliovirta, "Quantile Residuals for Multivariate Models", 22nd Nordic Conference on Mathematical Statistics (NORDSTAT), Vilnius, June 2008
Leena Kalliovirta, "Quantile Residuals for Multivariate Models", 63rd European Meeting of the Econometric Society, Milan, August 2008
Leena Kalliovirta, "Diagnostic Tests Based on Quantile Residuals for Nonlinear Time Series Models", Statistics Days 2010, Helsinki, May 2010
Leena Kalliovirta, "4th CSDA International Conference on Computational and Financial Econometrics (CFE'10)", 4th CSDA International Conference on Computational and Financial Econometrics (CFE'10), London, December 2010
Leena Kalliovirta, "Comparison of Misspecification Tests Designed for Nonlinear Time Series Models", 6th Nordic Econometric Meeting, Denmark, May 2011
Heikki Kauppi, "Predicting the Fed's Target Rate Decisions", CREATES, Aarhus, April 2008
Heikki Kauppi, "Predicting the Fed's Target Rate Decisions", 2008 North American Summer Meeting of the Econometric Society, Pittsburgh, June 2008
Heikki Kauppi, "Yield Curve Based Probit Models for Forecasting US Recessions: Stability and Dynamics", NBER-NSF Time Series Conference, Aarhus, September 2008
Heikki Kauppi, "Yield Curve Based Probit Models for Forecasting US Recessions: Stability and Dynamics", 24th Annual Congress of the European Economic Association, Barcelona, August 2009
Helinä Laakkonen, "Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times", XVI Annual Symposium of the Society for Nonlinear Dynamics and Econometrics, San Francisco, April 2008
Helinä Laakkonen, "Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times", 6th INFINITI Conference on International Finance, Dublin, June 2008
Helinä Laakkonen, "Asymmetric News Effects on Volatility: Good vs. Bad News in Good vs. Bad Times", 17th Annual Meeting of the European Financial Management Association, Athens, June 2008
Helinä Laakkonen, "Asymmetric News Effects on Volatility", Oxford-Man Institute of Quantitative Finance Vast Data Conference, Oxford, September 2008
Helinä Laakkonen, "The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility", 7th INFINITI Conference on International Finance, Dublin, June 2009
Helinä Laakkonen, "The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility", 64th European Meeting of the Econometric Society, Barcelona, August 2009
Markku Lanne, "Joint Modeling of Call and Put Implied Volatility", Economics Department, European University Institute, Florence, May 2008
Markku Lanne, "Modeling Expectations with Noncausal Autoregressions", 2008 North American Summer Meeting of the Econometric Society, Pittsburgh, June 2008
Markku Lanne, "Modeling Expectations with Noncausal Autoregresions", 63rd European Meeting of the the Econometric Society, Milan, August 2008
Markku Lanne, "Modeling Expectations with Noncausal Autoregresions", NBER-NSF Time Series Conference, Aarhus, September 2008
Markku Lanne, "Modeling Expectations with Noncausal Autoregresions", Department of Economics and Management "Marco Fanno", University of Padua, December 2008
Markku Lanne, "Noncausal Vector Autoregression", 64th European Meeting of the Econometric Society, Barcelona, August 2009
Markku Lanne, "Noncausal Vector Autoregression", NBER-NSF Time Series Conference, Davis, September 2009
Markku Lanne, "Noncausal Vector Autoregression", 5th Nordic Econometric Meeting, Lund, October 2009
Markku Lanne, "Noncausal Vector Autoregression", Macroeconometric Workshop 2009, Berlin, December 2009
Markku Lanne, "Optimal Forecasting of Noncausal Autoregressive Time Series", Bank of Finland Research Seminar, May 2010
Markku Lanne, "Optimal Forecasting of Noncausal Autoregressive Time Series", Statistics Days 2010, Helsinki, May 2010
Markku Lanne, "Optimal Forecasting of Noncausal Autoregressive Time Series", Conference on Recent Developments in the Econometrics of Macroeconomics and Finance, Norges Bank, June 2010
Markku Lanne, "Optimal Forecasting of Noncausal Autoregressive Time Series", 16th International Conference on Computing in Economics and Finance, London, July 2010
Markku Lanne, "Non-Causal Inflation", 25th Annual Congress of the European Economic Association, Glasgow, August 2010
Markku Lanne, "Noncausal Autoregressions for Economic Time Series", 21st EC2 Conference, Identification in Econometrics: Theory and Applications, Toulouse, December 2010
Markku Lanne, "Noncausal Vector Autoregression", Interdisciplinary Workshop on Econometric and Statistical Modelling of Multivariate Time Series, Louvain-la-Neuve, May 2011
Markku Lanne, "Autoregression-Based Estimation of the New Keynesian Phillips Curve", 17th International Conference on Computing in Economics and Finance, San Francisco, June 2011
Markku Lanne, "Autoregression-Based Estimation of the New Keynesian Phillips Curve", Conference on New Developments in Time Series Econometrics, Florence, September 2011
Matthijs Lof, "Multivariate Transition Functions in a STAR Model for Stock Prices", 1st International Symposium in Computational Economics and Finance (ISCEF), Sousse, Tunisia, February 2010
Matthijs Lof, "Heterogeneity in Stock Pricing: A STAR Model with Multivariate Transition Functions", 4th CSDA International Conference on Computational and Financial Econometrics (CFE'10) , London, December 2010
Matthijs Lof, "Noncausality and Asset Pricing", 19th Symposium of the Society for Nonlinear Dynamics and Econometrics, Washington DC, March 2011
Matthijs Lof, "Noncausality and Asset Pricing", CeNDEF FINcomplexity Seminar, University of Amsterdam, May 2011
Matthijs Lof, "Noncausality and Asset Pricing", 5th CSDA International Conference on Computational and Financial Econometrics (CFE'11) , London, December 2011
Jani Luoto, "Optimal Forecasting of Noncausal Autoregressive Time Series", 31st Annual International Symposium on Forecasting, Prague, June 2011
Jani Luoto, "Autoregression-Based Estimation of the New Keynesian Phillips Curve", Macro and financial econometrics conference, Heidelberg University, September 2011
Jani Luoto, "Bayesian Estimation of the CES Production Function under Nonneutral Technological Change", European Seminar on Bayesian Econometrics, Brussels, November 2011
Henri Nyberg, "Forecasting the Direction of the U.S. Stock Market with Dynamic Binary Probit Models", 63rd European Meeting of the Econometric Society, Milan, August 2008
Henri Nyberg, "Dynamic Probit Models and Financial Variables in Recession Forecasting", 5th Colloquium on Modern Tools for Business Cycle Analysis, Luxembourg, September/October 2008
Henri Nyberg, "A Bivariate Autoregressive Probit Model: Predicting U.S. Business and Growth Rate Cycle Recessions", 5th Conference on Growth and Business Cycles in Theory and Practice, Manchester, June 2009
Henri Nyberg, "Testing an Autoregressive Structure in Binary Time Series Models", Econometric Society Australasian Meeting, 2009, Canberra, July 2009
Henri Nyberg, "A Bivariate Autoregressive Probit Model: Predicting U.S. Business Cycle and Growth Rate Cycle Recessions", 5th Nordic Econometric Meeting, Lund, October 2009
Henri Nyberg, "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles", Statistics Days 2010, Helsinki, May 2010
Henri Nyberg, "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles", 16th International Conference on Computing in Economics and Finance, London, July 2010
Henri Nyberg, "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles", 25th Annual Congress of the European Economic Association, Glasgow, August 2010
Henri Nyberg, "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles", Aboa Centre for Economics Seminar, Turku, September 2010
Henri Nyberg, "Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison", 31st Annual International Symposium on Forecasting, Prague, June 2011
Henri Nyberg, "Forecasting U.S. Macroeconomic and Financial Time Series with Noncausal and Causal AR Models: A Comparison", 6th Conference on Growth and Business Cycles in Theory and Practice, Manchester, July 2011
Pentti Saikkonen, "Modeling Expectations with Noncausal Autoregressions", Economics Department, European University Institute, Florence, March 2008
Pentti Saikkonen, "Modeling Expectations with Noncausal Autoregressions", International Workshop on Recent Advances in Time Series Analysis , Protaras, Cyprus, June 2008
Pentti Saikkonen, "Modeling Expectations with Noncausal Autoregressions", School of Social Sciences, Economics, University of Southampton, November 2008
Pentti Saikkonen, "Parameter Estimation in Nonlinear AR-GARCH Models", Workshop on nonparametric function estimation with applications in finance, Oulu, June 2009
Pentti Saikkonen, "Noncausal Vector Autoregression", Department of Economics, Universidad Carlos III de Madrid, December 2009
Pentti Saikkonen, "Noncausal Vector Autoregression", Statistical Days 2010, Helsinki, May 2010
Pentti Saikkonen, "Optimal Forecasting of Noncausal Autoregressive Time Series", Department of Statistics, Uppsala University, October 2010
Pentti Saikkonen, "Optimal Forecasting of Noncausal Autoregressive Time Series", Hitotsubashi Conference on Econometrics 2010, Tokyo, November 2010
Pentti Saikkonen, "Parameter Estimation in Nonlinear AR-GARCH Models", Aalto Stochastics Seminar, Helsinki, February 2011
Pentti Saikkonen, "Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity", 6th Nordic Econometric Meeting, Sønderborg, May 2011
Pentti Saikkonen, "Maximum Likelihood Estimation of a Noninvertible ARMA Model with Autoregressive Conditional Heteroskedasticity", Conference on New Developments in Time Series Econometrics, Florence, September 2011
Pentti Saikkonen, "Testing for Predictability in a Noninvertible ARMA Model", The XXXIV Annual Meeting of the Finnish Economic Association, Vaasa, February 2012
Pentti Saikkonen, "A Gaussian Mixture Autoregressive Model for Univariate Time Series", CREATES, Aarhus University, April 2012
Tommi A. Vuorenmaa, "Decimalization, Realized Volatility, and Market Microstructure Noise", IX Workshop on Quantitative Finance, Rome, Italy, January 2008
Tommi A. Vuorenmaa, "Decimalization, Realized Volatility, and Market Microstructure Noise", Modelling and Managing Ultra High Frequency Data: an International Conference, Perth, Australia, February 2008
Tommi A. Vuorenmaa, "Liquidity, Activity, and Dependence on Interlinked Trading Venues", 20th (EC)^2-Conference: Real Time Econometrics, Aarhus, Denmark, December 2009

Research Group in Financial and Macroeconometrics