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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

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

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

Fixing Swiss potholes : the importance of improvements

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

Persistent link: https://www.econbiz.de/10001963020

Forecasting output with information from business cycle turning points : a qualitative variable VAR

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

Persistent link: https://www.econbiz.de/10001965117

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

Bordo, Michael D. (contributor); Dueker, Michael (contributor) - 2001 - [Elektronische Ressource].

Persistent link: https://www.econbiz.de/10001965179

Non-markovian regime switching with endogenous states and time-varying state strengths

Chib, Siddhartha (contributor); Dueker, Michael (contributor) - 2004 - [Elektronische Ressource]

"This article presents a non-Markovian regime switching model in which the regime states depend on the sign of an autoregressive latent variable. The magnitude of the latent variable indexes the 'strength' of the state or how deeply the system is embedded in the current regime. In this model,...

Persistent link: https://www.econbiz.de/10002421354