Details about Michael J. Dueker
This author is deceased (2014-01-29). Access statistics for papers by Michael J. Dueker.
Last updated 2023-03-10. Update your information in the RePEc Author Service.
Short-id: pdu108
Jump to Journal Articles
Working Papers
2022
- A Time-Varying Threshold STAR Model with Applications
Working Papers, Federal Reserve Bank of St. Louis View citations (2)
Also in Department of Economics Working Papers, Universidad Torcuato Di Tella (2022) 
See also Journal Article A time-varying threshold STAR model with applications, Oxford Open Economics, Oxford University Press (2023) (2023)
2010
- Multivariate Contemporaneous-Threshold Autoregressive Models
UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 
Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (7) Department of Economics Working Papers, Universidad Torcuato Di Tella (2009) 
See also Journal Article Multivariate contemporaneous-threshold autoregressive models, Journal of Econometrics, Elsevier (2011) View citations (14) (2011)
- State-Dependent Threshold STAR Models
UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) View citations (1)
2009
- Contemporaneous-Threshold Smooth Transition GARCH Models
Department of Economics Working Papers, Universidad Torcuato Di Tella 
See also Journal Article Contemporaneous-Threshold Smooth Transition GARCH Models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2011) View citations (1) (2011)
- Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR
Working Papers, Federal Reserve Bank of St. Louis View citations (2)
2008
- Inflation, Monetary Policy and Stock Market Conditions
NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
- Multivariate Markov switching with weighted regime determination: giving France more weight than Finland
Working Papers, Federal Reserve Bank of St. Louis View citations (3)
2007
- Comment on Harding and Pagan 'The econometric analysis of some constructed binary time series'
Working Papers, Federal Reserve Bank of St. Louis
- Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting
Discussion Papers, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy View citations (26)
Also in Working Papers, Federal Reserve Bank of St. Louis (2006) View citations (4) Department of Economics Working Papers, Universidad Torcuato Di Tella (2006) 
See also Journal Article Contemporaneous threshold autoregressive models: Estimation, testing and forecasting, Journal of Econometrics, Elsevier (2007) View citations (29) (2007)
- Monetary policy and stock market booms and busts in the 20th century
Working Papers, Federal Reserve Bank of St. Louis View citations (22)
- The price puzzle and indeterminacy in an estimated DSGE model
Working Papers, Federal Reserve Bank of St. Louis View citations (4)
2006
- Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index
Working Papers, University of Washington, Department of Economics View citations (7)
See also Journal Article BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX, Macroeconomic Dynamics, Cambridge University Press (2006) View citations (7) (2006)
- Can Markov switching models predict excess foreign exchange returns?
Working Papers, Federal Reserve Bank of St. Louis View citations (27)
See also Journal Article Can Markov switching models predict excess foreign exchange returns?, Journal of Banking & Finance, Elsevier (2007) View citations (41) (2007)
- Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
Working Papers, Federal Reserve Bank of St. Louis View citations (2)
See also Journal Article Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models, Economics Letters, Elsevier (2006) View citations (2) (2006)
2005
- Forecasting macro variables with a Qual VAR business cycle turning point index
Working Papers, Federal Reserve Bank of St. Louis View citations (3)
See also Journal Article Forecasting macro variables with a Qual VAR business cycle turning point index, Applied Economics, Taylor & Francis Journals (2010) View citations (16) (2010)
- Structural Breaks in Estimated DSGE Models with Indeterminacy
Computing in Economics and Finance 2005, Society for Computational Economics
- The practice boundaries of advanced practice nurses: an economic and legal analysis
Working Papers, Federal Reserve Bank of St. Louis View citations (15)
See also Journal Article The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis, Journal of Regulatory Economics, Springer (2005) View citations (15) (2005)
2004
- Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths
Econometric Society 2004 North American Summer Meetings, Econometric Society View citations (14)
Also in Working Papers, Federal Reserve Bank of St. Louis (2004) View citations (9) Econometric Society 2004 Latin American Meetings, Econometric Society (2004) View citations (12)
- Stochastic capital depreciation and the comovement of hours and productivity
Working Papers, Federal Reserve Bank of St. Louis View citations (11)
Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2002) View citations (6) Royal Economic Society Annual Conference 2003, Royal Economic Society (2003)  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (8)
See also Journal Article Stochastic Capital Depreciation and the Co-movement of Hours and Productivity, The B.E. Journal of Macroeconomics, De Gruyter (2007) View citations (9) (2007)
2003
- Business cycle detrending of macroeconomic data via a latent business cycle index
Working Papers, Federal Reserve Bank of St. Louis View citations (1)
- Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions
Working Papers, Federal Reserve Bank of St. Louis View citations (2)
See also Journal Article Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions, Journal of Business & Economic Statistics, American Statistical Association (2005) View citations (82) (2005)
- Fixing Swiss Potholes: The Importance and Cyclical Nature of Improvements
Working Papers, Swiss National Bank, Study Center Gerzensee View citations (1)
See also Journal Article Fixing Swiss potholes: The importance and cyclical nature of improvements, Economics Letters, Elsevier (2003) View citations (1) (2003)
- Fixing Swiss potholes: the importance of improvements
Working Papers, Federal Reserve Bank of St. Louis View citations (2)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002)
2002
- Directly measuring early exercise premiums using American and European S&P 500 index options
Working Papers, Federal Reserve Bank of St. Louis 
See also Journal Article Directly measuring early exercise premiums using American and European S&P 500 Index options, Journal of Futures Markets, John Wiley & Sons, Ltd. (2003) View citations (3) (2003)
2001
- Aggregate Price Shocks and Financial Stability: The United Kingdom 1796-1999
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
Also in Working Papers, Federal Reserve Bank of St. Louis (2001) View citations (7)
See also Journal Article Aggregate price shocks and financial stability: the United Kingdom 1796-1999, Explorations in Economic History, Elsevier (2003) View citations (17) (2003)
- Aggregate price shocks and financial instability: a historical analysis
Working Papers, Federal Reserve Bank of St. Louis View citations (16)
Also in NBER Historical Working Papers, National Bureau of Economic Research, Inc (2000) View citations (48) NBER Working Papers, National Bureau of Economic Research, Inc (2000) View citations (54)
See also Journal Article Aggregate Price Shocks and Financial Instability: A Historical Analysis, Economic Inquiry, Western Economic Association International (2002) View citations (36) (2002)
- European business cycles: new indices and analysis of their synchronicity
Working Papers, Federal Reserve Bank of St. Louis View citations (4)
- The Mechanics of a Successful Exchange-Rate Peg: Lessons for emerging Markets
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
Also in Working Papers, Swiss National Bank, Study Center Gerzensee (2001) View citations (3)
See also Journal Article The mechanics of a successful exchange rate peg: lessons for emerging markets, Review, Federal Reserve Bank of St. Louis (2001) View citations (3) (2001)
2000
- Austria's Hard-Currency Policy: The Mechanics of Successful Exchange-Rate Peg
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
- Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks
Working Papers, Federal Reserve Bank of St. Louis View citations (9)
1998
- A monetary policy feedback rule in Korea's fast-growing economy
Working Papers, Federal Reserve Bank of St. Louis 
See also Journal Article A monetary policy feedback rule in Korea's fast-growing economy, Journal of International Financial Markets, Institutions and Money, Elsevier (1999) View citations (8) (1999)
- Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate
Working Papers, Federal Reserve Bank of St. Louis View citations (4)
See also Journal Article Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate, Journal of Business & Economic Statistics, American Statistical Association (1999) View citations (44) (1999)
1997
- Do bank loan rates exhibit a countercyclical mark-up?
Working Papers, Federal Reserve Bank of St. Louis View citations (10)
- Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve
Working Papers, Federal Reserve Bank of St. Louis View citations (1)
1996
- Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options
Working Papers, Federal Reserve Bank of St. Louis
1995
- Compound volatility processes in EMS exchange rates
Working Papers, Federal Reserve Bank of St. Louis
- Identifying Austria's implicit monetary target: an alternative test of the \"hard currency\" policy
Working Papers, Federal Reserve Bank of St. Louis
- Inflation targeting in a small open economy: empirical results for Switzerland
Working Papers, Federal Reserve Bank of St. Louis View citations (4)
See also Journal Article Inflation targeting in a small open economy: Empirical results for Switzerland, Journal of Monetary Economics, Elsevier (1996) View citations (35) (1996)
- Markov switching in GARCH processes and mean reverting stock market volatility
Working Papers, Federal Reserve Bank of St. Louis 
See also Journal Article Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility, Journal of Business & Economic Statistics, American Statistical Association (1997) View citations (183) (1997)
- Non-monotonic long memory dynamics in black-market premia
Working Papers, Federal Reserve Bank of St. Louis View citations (2)
- Tariffs and asset market structure: some basic comparative dynamics
Working Papers, Federal Reserve Bank of St. Louis
1994
- Asymmetry in the prime rate and firms' preference for internal finance
Working Papers, Federal Reserve Bank of St. Louis View citations (3)
- Product cycles, innovation and relative wages in European countries
Working Papers, Federal Reserve Bank of St. Louis
1993
- Fractional Integration and Cointegration
Working Papers, University of Washington, Department of Economics
Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1993)
Journal Articles
2023
- A time-varying threshold STAR model with applications
Oxford Open Economics, 2023, 2, 63-98 
See also Working Paper A Time-Varying Threshold STAR Model with Applications, Working Papers (2022) View citations (2) (2022)
2014
- Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)
Quantitative Finance, 2014, 14, (12), 2155-2170 View citations (18)
2013
- State-Dependent Threshold Smooth Transition Autoregressive Models
Oxford Bulletin of Economics and Statistics, 2013, 75, (6), 835-854 View citations (8)
2012
- Modeling dependence dynamics through copulas with regime switching
Insurance: Mathematics and Economics, 2012, 50, (3), 346-356 View citations (49)
2011
- Contemporaneous-Threshold Smooth Transition GARCH Models
Studies in Nonlinear Dynamics & Econometrics, 2011, 15, (2), 25 View citations (1)
See also Working Paper Contemporaneous-Threshold Smooth Transition GARCH Models, Department of Economics Working Papers (2009) (2009)
- Multivariate contemporaneous-threshold autoregressive models
Journal of Econometrics, 2011, 160, (2), 311-325 View citations (14)
See also Working Paper Multivariate Contemporaneous-Threshold Autoregressive Models, UFAE and IAE Working Papers (2010) (2010)
2010
- Forecasting macro variables with a Qual VAR business cycle turning point index
Applied Economics, 2010, 42, (23), 2909-2920 View citations (16)
See also Working Paper Forecasting macro variables with a Qual VAR business cycle turning point index, Working Papers (2005) View citations (3) (2005)
2009
- Indeterminacy, change points and the price puzzle in an estimated DSGE model
Journal of Economic Dynamics and Control, 2009, 33, (3), 624-648 View citations (21)
2007
- Can Markov switching models predict excess foreign exchange returns?
Journal of Banking & Finance, 2007, 31, (2), 279-296 View citations (41)
See also Working Paper Can Markov switching models predict excess foreign exchange returns?, Working Papers (2006) View citations (27) (2006)
- Contemporaneous threshold autoregressive models: Estimation, testing and forecasting
Journal of Econometrics, 2007, 141, (2), 517-547 View citations (29)
See also Working Paper Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting, Discussion Papers (2007) View citations (26) (2007)
- Stochastic Capital Depreciation and the Co-movement of Hours and Productivity
The B.E. Journal of Macroeconomics, 2007, 6, (3), 24 View citations (9)
See also Working Paper Stochastic capital depreciation and the comovement of hours and productivity, Working Papers (2004) View citations (11) (2004)
2006
- BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX
Macroeconomic Dynamics, 2006, 10, (5), 573-594 View citations (7)
See also Working Paper Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index, Working Papers (2006) View citations (7) (2006)
- Do inflation targeters outperform non-targeters?
Review, 2006, 88, (Sep), 431-450 View citations (22)
- Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models
Economics Letters, 2006, 93, (1), 58-62 View citations (2)
See also Working Paper Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models, Working Papers (2006) View citations (2) (2006)
- Political economy of state homeland security grants
National Economic Trends, 2006, (Dec)
- The price puzzle: an update and a lesson
National Economic Trends, 2006, (Oct) View citations (2)
- Using cyclical regimes of output growth to predict jobless recoveries
Review, 2006, 88, (Mar), 145-154 View citations (1)
2005
- Discrete monetary policy changes and changing inflation targets in estimated dynamic stochastic general equilibrium models
Review, 2005, 87, (Nov), 719-34 View citations (10)
- Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions
Journal of Business & Economic Statistics, 2005, 23, 96-104 View citations (82)
See also Working Paper Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions, Working Papers (2003) View citations (2) (2003)
- Open mouth operations: a Swiss case study
Monetary Trends, 2005, (Jan) View citations (2)
- The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis
Journal of Regulatory Economics, 2005, 27, (3), 309-330 View citations (15)
See also Working Paper The practice boundaries of advanced practice nurses: an economic and legal analysis, Working Papers (2005) View citations (15) (2005)
2004
- Discrete policy changes and empirical models of the federal funds rate
Review, 2004, 86, (Nov), 61-72 View citations (6)
2003
- Aggregate price shocks and financial stability: the United Kingdom 1796-1999
Explorations in Economic History, 2003, 40, (2), 143-169 View citations (17)
See also Working Paper Aggregate Price Shocks and Financial Stability: The United Kingdom 1796-1999, NBER Working Papers (2001) View citations (8) (2001)
- Directly measuring early exercise premiums using American and European S&P 500 Index options
Journal of Futures Markets, 2003, 23, (3), 287-313 View citations (3)
See also Working Paper Directly measuring early exercise premiums using American and European S&P 500 index options, Working Papers (2002) (2002)
- European Business Cycles: New Indices and Their Synchronicity
Economic Inquiry, 2003, 41, (1), 116-131 View citations (10)
- Fixing Swiss potholes: The importance and cyclical nature of improvements
Economics Letters, 2003, 79, (3), 409-415 View citations (1)
See also Working Paper Fixing Swiss Potholes: The Importance and Cyclical Nature of Improvements, Working Papers (2003) View citations (1) (2003)
- Why predict past FOMC actions?
Monetary Trends, 2003, (Jun)
2002
- Aggregate Price Shocks and Financial Instability: A Historical Analysis
Economic Inquiry, 2002, 40, (4), 521-538 View citations (36)
See also Working Paper Aggregate price shocks and financial instability: a historical analysis, Working Papers (2001) View citations (16) (2001)
- Argentina Agonistes
International Economic Trends, 2002, (Feb)
- Regime-dependent recession forecasts and the 2001 recession
Review, 2002, 84, (Nov), 29-36 View citations (10)
- The monetary policy innovation paradox in VARs: a \\"discrete\\" explanation
Review, 2002, 84, (Mar.), 43-50 View citations (5)
2001
- The mechanics of a successful exchange rate peg: lessons for emerging markets
Review, 2001, 83, (May), 47-56 View citations (3)
See also Working Paper The Mechanics of a Successful Exchange-Rate Peg: Lessons for emerging Markets, CEPR Discussion Papers (2001) View citations (3) (2001)
- The preemptive Fed
Monetary Trends, 2001, (Feb)
2000
- Are prime rate changes asymmetric?
Review, 2000, 82, (Sep), 33-40 View citations (13)
- FOMC decisions and bond market uncertainty
Monetary Trends, 2000, (Jan)
- Spring of disconnect across stock markets?
Monetary Trends, 2000, (Sep)
1999
- A barometer of financial market uncertainty
Monetary Trends, 1999, (May)
- A monetary policy feedback rule in Korea's fast-growing economy
Journal of International Financial Markets, Institutions and Money, 1999, 9, (1), 19-31 View citations (8)
See also Working Paper A monetary policy feedback rule in Korea's fast-growing economy, Working Papers (1998) (1998)
- Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate
Journal of Business & Economic Statistics, 1999, 17, (4), 466-72 View citations (44)
See also Working Paper Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate, Working Papers (1998) View citations (4) (1998)
- Does foreign innovation affect domestic wage inequality?
Journal of International Economics, 1999, 47, (1), 61-89 View citations (13)
- Measuring monetary policy inertia in target Fed funds rate changes
Review, 1999, 81, (Sep), 3-10 View citations (22)
1998
- A guide to nominal feedback rules and their use for monetary policy
Review, 1998, (Jul), 55-63 View citations (13)
- Inverted yield curves and recessions
Monetary Trends, 1998, (May)
- Maximum-Likelihood Estimation Of Fractional Cointegration With An Application To U.S. And Canadian Bond Rates
The Review of Economics and Statistics, 1998, 80, (3), 420-426 View citations (71)
- Risk premiums among corporate bonds
Monetary Trends, 1998, (Nov) View citations (1)
1997
- Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility
Journal of Business & Economic Statistics, 1997, 15, (1), 26-34 View citations (183)
See also Working Paper Markov switching in GARCH processes and mean reverting stock market volatility, Working Papers (1995) (1995)
- Strengthening the case for the yield curve as a predictor of U.S. recessions
Review, 1997, (Mar), 41-51 View citations (78)
- The FOMC in 1996: \\"watchful waiting\\"
Review, 1997, (Jul), 7-23 View citations (1)
1996
- Are federal funds rate changes consistent with price stability? Results from an indicator model
Review, 1996, 78, (Jan), 45-51 View citations (2)
- Inflation targeting in a small open economy: Empirical results for Switzerland
Journal of Monetary Economics, 1996, 37, (1), 89-103 View citations (35)
See also Working Paper Inflation targeting in a small open economy: empirical results for Switzerland, Working Papers (1995) View citations (4) (1995)
- The sensitivity of empirical studies to alternative measures of the monetary base and reserves
Review, 1996, (Nov), 51-69
1995
- Narrow vs. broad measures of money as intermediate targets: some forecast results
Review, 1995, (Jan), 41-51 View citations (2)
1993
- Can nominal GDP targeting rules stabilize the economy?
Review, 1993, (May), 15-29 View citations (4)
- Hypothesis testing with near-unit roots: the case of long-run purchasing-power parity
Review, 1993, (Jul), 37-48 View citations (6)
- Indicators of monetary policy: the view from implicit feedback rules
Review, 1993, (Sep), 23-40 View citations (5)
1992
- The response of market interest rates to discount rate changes
Review, 1992, (Jul), 78-91 View citations (14)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact econpapers@oru.se if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|