"Hännikäinen, Jari" - Selaus tekijän mukaan Erillisteokset ja sarjajulkaisut
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Multi-step forecasting in the presence of breaks
Hännikäinen, Jari
Tampere Economic Working Papers Net Series : 94/2014 (Tampereen yliopisto, 2014)
workingPaperThis paper analyzes the relative performance of multi-step forecasting methods in the presence of breaks and data revisions. Our Monte Carlo simulations indicate that the type and the timing of the break affect the ... -
SELECTION OF AN ESTIMATION WINDOW IN THE PRESENCE OF DATA REVISIONS AND RECENT STRUCTURAL BREAKS
Hännikäinen, Jari
Tampere Economic Working Papers Net Series : 92/2013 (Tampereen yliopisto, 2013)
workingPaperIn this paper, we analyze the forecasting performance of a set of widely used window selection methods in the presence of data revisions and recent structural breaks. Our Monte Carlo and empirical results show that the ... -
SELECTION OF AN ESTIMATION WINDOW IN THE PRESENCE OF DATA REVISIONS AND RECENT STRUCTURAL BREAKS
Hännikäinen, Jari
Tampere Economic Working Papers Net Series : 92/2016 (Tampereen yliopisto, 2016)
workingPaperIn this paper, we analyze the forecasting performance of a set of widely used window selection methods in the presence of data revisions and recent structural breaks. Our Monte Carlo and empirical results for U.S. real ... -
The mortgage spread as a predictor of real-time economic activity
Hännikäinen, Jari
Tampere Economic Working Papers : 96/2014 (Tampereen yliopisto, 2014)
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The shadow rate as a predictor of real activity and inflation: Evidence from a data-rich environment
Hännikäinen, Jari
Tampere Economic Working Papers : 106/2016 (Tampereen yliopisto, 2016)
workingPaperThis paper examines the predictive content of the shadow rates for U.S. real activity and inflation in a data-rich environment. We find that the shadow rates contain substantial out-of-sample predictive power for inflation ... -
When does the yield curve contain predictive power? Evidence from a data-rich environment
Hännikäinen, Jari
Tampere Economic Working Papers : 103/2016 (Tampereen yliopisto, 2016)
workingPaperThis paper analyzes the predictive content of the level, slope and curvature of the yield curve for U.S. real activity in a data-rich environment. We find that the slope contains predictive power, but the level and curvature ... -
Zero Lower Bound and Indicator Properties of Interest Rate Spreads
Hännikäinen, Jari
Tampere Economic Working Papers Net Series : 90/2013 (University of Tampere, 2013)
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Zero lower bound, unconventional monetary policy and indicator properties of interest rate spreads
Hännikäinen, Jari
Tampere Economic Working Papers Net Series : 95/2014 (Tampereen yliopisto, 2014)
workingPaperThis paper re-examines the out-of-sample predictive power of interest rate spreads when the short-term nominal rates have been stuck at the zero lower bound and the Fed has used unconventional monetary policy. Our results ...