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Can Markov switching models predict excess foreign exchange returns?

Dueker, Michael (contributor); … - 2003 - [Elektronische Ressource], rev.

Persistent link: https://www.econbiz.de/10001964834

Can Markov Switching Models Predict Excess Foreign Exchange Returns?

Dueker, Michael; Neely, Christopher J. - 2006

This paper merges the literature on technical trading rules with the literature on Markov switching to develop economically useful trading rules. The Markov models' out-of sample, excess returns modestly exceed those of standard technical rules and are profitable over the most recent subsample....

Persistent link: https://www.econbiz.de/10014067563

Dynamic forecasts of qualitative variables : a qual VAR model of U.S. recessions

Dueker, Michael (contributor) - 2001 - [Elektronische Ressource], rev.

Persistent link: https://www.econbiz.de/10001962982

Aggregate price shocks and financial instability : an historical analysis

Bordo, Michael D.; Dueker, Michael; Wheelock, David C. - 2000

Persistent link: https://www.econbiz.de/10001468666

Aggregate price shocks and financial instability : an historical analysis

Bordo, Michael D.; Dueker, Michael; Wheelock, David C. - 2000

Persistent link: https://www.econbiz.de/10001470569

Aggregate price shocks and financial stability : the United Kingdom 1796 - 1999

Bordo, Michael D.; Dueker, Michael; Wheelock, David C. - 2001

Persistent link: https://www.econbiz.de/10001626410

Stochastic capital depreciation and the comovement of hours and productivity

Dueker, Michael (contributor); … - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001971164

Directly measuring early exercise premiums using American and European S&P 500 index options

Dueker, Michael (contributor); Miller, Thomas W. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001974075

Business cycle detrending of macroeconomic data via a latent business cycle index

Dueker, Michael (contributor); … - 2003 - [Elektronische Ressource], rev

Persistent link: https://www.econbiz.de/10001974447

Contemporaneous threshold autoregressive models : Estimation, forecasting and rational expectations applications

Dueker, Michael (contributor); Sola, Martin (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001983084

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