Similar Search Results

Modelling the US short-term interest rate by mixture autoregressive processes

Lanne, Markku; Saikkonen, Pentti - 2000

Persistent link: https://www.econbiz.de/10001528164

Nonlinear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - 2002

Persistent link: https://www.econbiz.de/10001668610

Why is it so difficult to uncover the risk-return tradeoff in stock returns?

Lanne, Markku; Saikkonen, Pentti - 2005

Persistent link: https://www.econbiz.de/10002700275

Nob-linear GARCH models for highly persistent volatility

Lanne, Markku; Saikkonen, Pentti - In: The econometrics journal 8 (2005) 2, pp. 251-276

Persistent link: https://www.econbiz.de/10003018967

Modeling the US short-term interest rate by mixture autoregressive processes

Lanne, Markku; Saikkonen, Pentti - In: Journal of financial econometrics : official journal of … 1 (2003) 1, pp. 96-125

Persistent link: https://www.econbiz.de/10002220969

A skewed GARCH-in-Mean model : an application to US stock returns

Lanne, Markku; Saikkonen, Pentti - 2004

Persistent link: https://www.econbiz.de/10001943820

Testing for predictability in a noninvertible ARMA model

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012

We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...

Persistent link: https://www.econbiz.de/10009621936

Why it so difficult to uncover the risk-return tradeoff in stock returns?

Lanne, Markku; Saikkonen, Pentti - In: Economics letters 92 (2006) 1, pp. 118-125

Persistent link: https://www.econbiz.de/10003336529

Predicting US recessions with dynamic binary response models

Kauppi, Heikki; Saikkonen, Pentti - In: The review of economics and statistics 90 (2008) 4, pp. 777-791

Persistent link: https://www.econbiz.de/10003772088

Modeling conditional skewness in stock returns

Lanne, Markku (contributor); Saikkonen, Pentti (contributor) - 2005 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10003197857