Publications
- Ahoniemi, K., and M. Lanne (2013). Overnight Stock Returns and Realized Volatility, International Journal of Forecasting 29, 592 – 604. (working paper version)
- Ahoniemi, K., and M. Lanne (2009). Joint Modeling of Call and Put Implied Volatility, International Journal of Forecasting 25, 239 – 258. (working paper version)
- Lanne, M. (2007). Forecasting Realized Exchange Rate Volatility by Decomposition, International Journal of Forecasting 23, 307 – 320. (working paper version)
- Lanne, M., and P. Saikkonen (2007). A Multivariate Generalized Orthogonal Factor GARCH Model, Journal of Business and Economic Statistics 25, 61 – 75. (working paper version)
- Lanne, M. (2006). A Mixture Multiplicative Error Model for Realized Volatility, Journal of Financial Econometrics 4, 594 – 616. (working paper version)
- Lanne, M., and P. Saikkonen (2005). Nonlinear GARCH Models for Highly Persistent Volatility, Econometrics Journal 8, 251 – 276. (working paper version)
Working Papers