Publications

Articles

[Updated 7.3.2024]

Discount Rates and Cash Flows: A Local Projection Approach

(with Matthijs Lof)

Journal of Banking & Finance, forthcoming 2024

Robust Signal Dimension Estimation via SURE

(with Joni Virta and Niko Lietzén)

Statistical Papers, 2023

Risk-Return Trade-off in International Stock Returns: Skewness and Business Cycles

(with Christos Savva)

Econometrics and Statistics, forthcoming 2024

A Thousand Words Tell More Than Just Numbers: Financial Crises and Historical Headlines

(with Kim Ristolainen and Tomi Roukka)

Journal of Financial Stability, 70, 101209 (2024)

Forecasting U.S. Interest Rates and Business Cycle with a Nonlinear Regime Switching VAR Model

Journal of Forecasting, 37, 1 - 15 (2018)

Noncausality and the Commodity Currency Hypothesis

(with Matthijs Lof)

Energy Economics, 65, 424 - 433 (2017)

Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models

(with Markku Lanne)

Oxford Bulletin of Economics and Statistics, 78, 595 - 603 (2016)

The Risk of Financial Crises: Is There a Role for Income Inequality?

(with Karolin Kirschenmann and Tuomas Malinen).

Journal of International Money and Finance 68, 161 - 180 (2016).

International Sign Predictability of Stock Returns: The Role of the United States

(with Harri Pönkä)

Economic Modelling, 58, 323–338 (2016)

Forecasting with a noncausal VAR model

(with Pentti Saikkonen)

Computational Statistics & Data Analysis, 76, 536 - 555 (2014)

A Bivariate Autoregressive Probit Model: Business Cycle Linkages and Transmission of Recession Probabilities

Macroeconomic Dynamics, 18, 838 – 862 (2014)

Predicting bear and bull stock markets with dynamic binary time series models

Journal of Banking & Finance, 37, 3351 - 3363 (2013)

Risk-Return Tradeoff in U.S. Stock Returns over the Business Cycle

Journal of Financial and Quantitative Analysis, 47, 137 - 158 (2012)

Does Noncausality Help in Forecasting Economic Time Series?

(with Markku Lanne and Erkka Saarinen)

Economics Bulletin, 32, 2849 - 2859 (2012)

Forecasting the direction of the US stock market with dynamic binary probit models

International Journal of Forecasting, 27, 561 - 578 (2011)

Dynamic probit models and financial variables in recession forecasting

Journal of Forecasting, 29, 215 - 230 (2010)

Testing an Autoregressive Structure in Binary Time Series Models

Economics Bulletin, 30, 1460 - 1473 (2010)

Monographs

Studies on Binary Time Series Models with Applications to Empirical Macroeconomics and Finance

PhD thesis (2010)

Published in Research Reports, Dissertationes Oeconomicae, No. 122, 2010, Economics, University of Helsinki

ISBN:978-952-10-5353-5

(see also OP-Pohjola Group's Doctoral Thesis Award (2010), awarded in Feb. 2011)