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Michael J. Dueker

31 works· latest 2013· 3 institutionscluster: provisional

h-index23

i1031

Citations1,966

Works here31

Most cited in this library

Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility1997 · 375 citations
Strengthening the Case for the Yield Curve as a Predictor of U.S. Recessions1997 · 194 citations
Dynamic Forecasts of Qualitative Variables2004 · 120 citations
Can Markov Switching Models Predict Excess Foreign Exchange Returns?2006 · 118 citations
Maximum-Likelihood Estimation of Fractional Cointegration with an Application to U.S. and Canadian Bond Rates1998 · 113 citations

Works

31 shown

Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR)

Quantitative Finance·2013·3 authors

41citations

State‐Dependent Threshold Smooth Transition Autoregressive Models*

Oxford Bulletin of Economics and Statistics·2012·4 authors

25citations

Modeling dependence dynamics through copulas with regime switching

Insurance Mathematics and Economics·2012·3 authors

96citations

Multivariate contemporaneous-threshold autoregressive models

Journal of Econometrics·2010·4 authors

17citations

Indeterminacy, change points and the price puzzle in an estimated DSGE model

Journal of Economic Dynamics and Control·2008·2 authors

21citations

Inflation, Monetary Policy and Stock Market Conditions

National Bureau of Economic Research·2008·3 authors·report·Open access

Stochastic Capital Depreciation and the Co-movement of Hours and Productivity

Topics in Macroeconomics·2007·3 authors·Open access

17citations

Contemporaneous threshold autoregressive models: Estimation, testing and forecasting

Journal of Econometrics·2006·3 authors·Open access

32citations

Can Markov Switching Models Predict Excess Foreign Exchange Returns?

Journal of Banking & Finance·2006·2 authors·Open access

118citations

Do Inflation Targeters Outperform Non-targeters?

·2006·2 authors·Open access

38citations

Dynamic Forecasts of Qualitative Variables

Journal of Business and Economic Statistics·2004·1 author

120citations

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

Explorations in Economic History·2003·3 authors

69citations

Regime-Dependent Recession Forecasts and the 2001 Recession

·2002·1 author·Open access

26citations

Measuring Monetary Policy Inertia in Target Fed Funds Rate Changes

ICPSR Data Holdings·2000·1 author·dataset·Open access

21citations

Aggregate Price Shocks and Financial Instability: An Historical Analysis

National Bureau of Economic Research·2000·3 authors·report·Open access

60citations

Aggregate Price Shocks and Financial Instability: An Historical Analysis

National Bureau of Economic Research·2000·3 authors·report·Open access

37citations

Are Prime Rate Changes Asymmetric?

·2000·1 author

40citations

Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate

Journal of Business and Economic Statistics·1999·1 author·Open access

62citations

European Business Cycles: New Indices and Analysis of their Synchronicity

·1999·2 authors·report·Open access

18citations

Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility

Journal of Business and Economic Statistics·1997·1 author

375citations

Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility

Journal of Business and Economic Statistics·1997·1 author

102citations

Do Bank Loan Rates Exhibit a Countercyclical Mark-up?

·1997·2 authors·report

30citations

Inflation targeting in a small open economy: Empirical results for Switzerland

Journal of Monetary Economics·1996·2 authors

44citations

Can Nominal GDP Targeting Rules Stabilize the Economy?

·1993·1 author·Open access

18citations

The Response of Market Interest Rates to Discount Rate Changes

·1992·1 author·Open access

22citations