Markku Lanne

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  • Home
  • Research by Topic
    • Noncausal and Noninvertible Time Series
    • Unit Root and Stationarity Tests
    • Near Unit Roots
    • Structural VAR
    • Volatility Modeling
    • Empirical Finance
    • Nonlinear Time Series Models
    • Other Research
  • Publications
  • Working Papers
  • Teaching
    • Advanced Econometrics II
    • Topics in Macroeconometrics

Volatility Modeling

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

  • Ahoniemi, K., and M. Lanne (2008). Implied Volatility with Time-Varying Regime Probabilities. HECER Discussion Paper 246.