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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), Non-Gaussian Time Series Models with Macroeconomic and Financial Applications (2011 - 2013),  New Nonlinear Models for Macroeconomic and Financial Time Series (2013 - 2016) and Nonlinear and Non-Gaussian Time Series Models with Macroeconomic and Financial Applications (2014 - 2017) financed by the Academy of Finland, Financial Econometrics (2007 - 2010) financed by the OP-Pohjola Group Research Foundation, and Bayesian Analysis of Non-Gaussian Time Series Models (2013 - 2015) financed by the University of Helsinki. 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.

The research group performed very well in the recent international evaluation of research and doctoral training at the University of Helsinki, and it received a monetary reward to be used in the years 2013 - 2016.

Members

 Research Team

 Postdoctoral Researchers

 PhD Students

  • Yin Ming
  • Jaakko Nelimarkka
  • Juho Nyholm
  • Annika Lindblad
  • Harri Pönkä
  • Harri Turunen

Former Members

Research

 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
  • 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.
  • Kauppi, H., and P. Saikkonen (2008), "Predicting U.S. Recessions with Dynamic Binary Response Models", Review of Economics and Statistics 90, 777 - 791
  • 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 (published online 26/11/2014)
  • 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., 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., 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. (2014), "Rational Speculators, Contrarians and Excess Volatility", Management Science (forthcoming)
  • Lof, M., and T. Malinen (2014), "Does sovereign debt weaken economic growth? A Panel VAR analysis", Economics Letters 122/3,  403 - 407.

  • Lof, M., T. Mekasha, and F. Tarp (2014), "Aid and Income: Another Time-Series Perspective", World Development (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 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), "A Bivariate Autoregressive Probit Model: Business Cycle Linkages and Transmission of Recession Probabilities", Macroeconomic Dynamics (forthcoming)
  • 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. and P. Saikkonen (2014), "Forecasting with a Noncausal VAR Model", Computational Statistics and Data Analysis, 76, 536 - 555
  • 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.
  • 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.
  • 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)
  • Kalliovirta, L., M. Meitz, and P. Saikkonen (2012), "A Gaussian Mixture Autoregressive Model for Univariate Time Series", HECER DP 352 (pdf file)
  • Kalliovirta, L., M. Meitz, and P. Saikkonen (2014), "Gaussian mixture vector autoregression", HECER DP 386 (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. (2013), "Noncausality and Inflation Persistence", DIW Discussion Paper 1286 (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., and J. Luoto (2012), "Do Output Gap, Labor's Share or Unemployment Rate Drive Inflation?", HECER DP 351 (pdf file)
  • Lanne, M., and J. Luoto (2013), "A Noncausal Autoregressive model with Time-Varying Parameters: An Application to U.S. Inflation", DIW Discussion Paper 1285 (pdf file)
  • Lanne, M., and J. Luoto (2014), "Noncausal Bayesian Vector Autoregression", CREATES Research Paper 2014-7 (pdf file)
  • Lanne, M., J. Luoto, and H. Nyberg (2014), "Is the Quantity Theory of Money Useful in Forecasting U.S. Inflation?" CREATES Research Paper 2014-26 (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., and H. Nyberg (2014), "Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models", CREATES Research Paper 2014-17 (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)
  • Lof, M. (2012), "Rational Speculators, Contrarians and Excess Volatility", HECER DP 358 (pdf file)
  • Malinen, T. and L. Kalliovirta (2012), "From structural breaks to regime switching: the nonlinearity in the process of income inequality", HECER DP 356 (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 )
  • Nyberg, H. (2012), "Predicting Bear and Bull Stock Markets with Dynamic Binary Time Series Models", HECER DP 355 (pdf file)
  • Nyberg, H. (2013), "A Qualitative Response VAR Model: An Application to Joint Dynamics of U.S. Interest Rates and Business Cycle", HECER DP 369 (pdf file)
  • Nyberg, H. and P. Saikkonen (2012), "Forecasting with a Noncausal VAR Model", Bank of Finland Research Discussion Paper 33/2012 (pdf file)
  • Saikkonen, P. and R. Sandberg (2013), "Testing for a Unit Root in Noncausal Autoregressive Models", Bank of Finland Research Discussion Paper 26/2013 (pdf)
  • 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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