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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

Markov switching in GARCH processes and mean-reverting stock-market volatility

Dueker, Michael - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 1, pp. 26-34

Persistent link: https://www.econbiz.de/10001214324

Strengthening the case for the yield curve as a predictor os U.S. recessions

Dueker, Michael - In: Review / Federal Reserve Bank of St. Louis 79 (1997) 2, pp. 41-50

Persistent link: https://www.econbiz.de/10001734874

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

Dynamic forecasts of qualitative variables : a qual VAR model of US recessions

Dueker, Michael - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 1, pp. 96-104

Persistent link: https://www.econbiz.de/10002584007

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

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

Discrete policy changes and empirical models of the federal funds rate

Dueker, Michael; Rasche, Robert H. - In: Review / Federal Reserve Bank of St. Louis 86 (2004) 6, pp. 61-72

Persistent link: https://www.econbiz.de/10002543552

Forecasting macro variables with a Qual VAR business cycle turning point index

Dueker, Michael; Assenmacher, Katrin - In: Applied economics 42 (2010) 22/24, pp. 2909-2920

Persistent link: https://www.econbiz.de/10008748236