Research Group in Financial and Macroeconometrics

Added by Administrator, last edited by Pentti Saikkonen on 2010-03-17  (view change)


This is the joint wiki area of the research projects Econometrics of Macroeconomics and Finance, and the Interface between the Macroeconomy and Financial Markets financed by the Academy of Finland (2008 - 2010) and Financial Econometrics financed by the OP-Pohjola Group Research Foundation (2007 - 2010). 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

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 (2008). "Tests for Nonlinear Cointegration", Econometric Theory (forthcoming)
  • 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
  • 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)
  • 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., 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 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 Statistics28, 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 T. Vesala (2010), "The Effect of a Transaction Tax on Exchange Rate Volatility", International Journal of Finance and Economics (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
  • Nyberg, H. (2010), "Dynamic Probit Models and Financial Variables in Recession Forecasting", Journal of Forecasting 29, 215 - 230
  • Nyberg, H. (2010), "Forecasting the Direction of the U.S. Stock Market with Dynamic Probit Models", International Journal of Forecasting (forthcoming)
  • 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.
  • 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)
  • Kalliovirta, L. (2008), "Quantile Residuals for Multivariate Models", HECER DP 247 (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., 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., 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), "GMM Estimation with Noncausal Instruments", HECER DP 274. (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)
  • Meitz, M., and P. Saikkonen (2008), "Parameter estimation in nonlinear AR-GARCH models", European University Institute Working Paper ECO 2008/25 (pdf file)
  • Vuorenmaa, T. A. (2008), "Decimalization, Realized Volatility, and Market Microstructure Noise", HECER DP 217 (pdf file)

Conference and Seminar Presentations

 Activities

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