Michael J. Dueker : Citation Profile


Deceased: 2014-01-29

14

H index

23

i10 index

860

Citations

RESEARCH PRODUCTION:

55

Articles

59

Papers

RESEARCH ACTIVITY:

   22 years (1992 - 2014). See details.
   Cites by year: 39
   Journals where Michael J. Dueker has often published
   Relations with other researchers
   Recent citing documents: 106.    Total self citations: 33 (3.7 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdu108
   Updated: 2019-10-15    RAS profile:    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Michael J. Dueker.

Is cited by:

GUPTA, RANGAN (16)

Sola, Martin (14)

Monokroussos, George (13)

Psaradakis, Zacharias (12)

Bordo, Michael (10)

Billio, Monica (10)

Wohar, Mark (9)

Castelnuovo, Efrem (9)

Spagnolo, Fabio (9)

Miller, Stephen (9)

Otranto, Edoardo (8)

Cites to:

McCallum, Bennett (17)

Hamilton, James (16)

Fischer, Andreas (15)

Rudebusch, Glenn (13)

Kim, Chang-Jin (13)

Gertler, Mark (13)

Sims, Christopher (11)

Schorfheide, Frank (11)

Nelson, Charles (10)

Watson, Mark (10)

Hansen, Bruce (10)

Main data


Where Michael J. Dueker has published?


Journals with more than one article published# docs
Review19
Monetary Trends8
Journal of Business & Economic Statistics3
Economic Inquiry2
Economics Letters2
Journal of Econometrics2
National Economic Trends2

Working Papers Series with more than one paper published# docs
Working Papers / Federal Reserve Bank of St. Louis35
Working Papers / Swiss National Bank, Study Center Gerzensee3
Department of Economics Working Papers / Universidad Torcuato Di Tella3
Working Papers / University of Washington, Department of Economics2

Recent works citing Michael J. Dueker (2018 and 2017)


YearTitle of citing document
2018An Analysis of the Behaviour of Prime Lending Rates in Sri Lanka. (2018). Navin, W S. In: Asian Journal of Economics and Empirical Research. RePEc:aoj:ajeaer:2018:p:121-138.

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2018Maximum Likelihood Estimation in Possibly Misspecified Dynamic Models with Time-Inhomogeneous Markov Regimes. (2018). Sola, Martin ; Psaradakis, Zacharias ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1612.04932.

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2019Multivariate Fractional Components Analysis. (2018). Weigand, Roland ; Hartl, Tobias. In: Papers. RePEc:arx:papers:1812.09149.

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2019Labor Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2019The Cost of Banking Crises: Does the Policy Framework Matter?. (2019). Lucotte, Yannick ; Pradines-Jobet, Florian ; Levieuge, Gregory. In: Working papers. RePEc:bfr:banfra:712.

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2017Risk assessment of oil price from static and dynamic modelling approaches. (2017). Wei, Yi-Ming ; Tang, Bao-Jun ; Mi, Zhifu ; Guan, Dabo ; Cao, Hong ; Yu, Hao ; Cong, Rong-Gang. In: CEEP-BIT Working Papers. RePEc:biw:wpaper:102.

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2017Vulnerabilities to housing bubbles: Evidence from linkages between housing prices and income fundamentals. (2017). Huang, Meichi. In: International Finance. RePEc:bla:intfin:v:20:y:2017:i:1:p:64-91.

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2019Dynamic D-Vine Copula Model with Applications to Value-at-Risk (VaR). (2019). Valls Pereira, Pedro ; Pedro, Valls Pereira ; Osvaldo, Candido ; Flavio, Ziegelmann ; Paula, Tofoli. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:11:y:2019:i:2:p:34:n:2.

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2017Detecting time variation in the price puzzle: a less informative prior choice for time varying parameter VAR models. (2017). Peter, Reusens ; Christophe, Croux. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:4:p:18:n:1.

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2018State-Dependent Transmission of Monetary Policy in the Euro Area. (2018). Neuenkirch, Matthias ; Nockel, Matthias ; Burgard, Jan Pablo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7074.

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2018Taxonomy of Chilean Financial Fragility Periods from 1975 to 2017. (2018). Martinez, Juan Francisco ; Oda, Daniel ; Matus, Jose Miguel . In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:822.

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2017Emission trading and carbon market performance in Shenzhen, China. (2017). Cong, Ren ; Lo, Alex Y. In: Applied Energy. RePEc:eee:appene:v:193:y:2017:i:c:p:414-425.

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2017The effectiveness of monetary policy in China: Evidence from a Qual VAR. (2017). Chen, Hongyi ; Tillmann, Peter ; PeterTillmann, ; Chow, Kenneth . In: China Economic Review. RePEc:eee:chieco:v:43:y:2017:i:c:p:216-231.

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2017Nonparametric estimation of dynamic discrete choice models for time series data. (2017). Zelenyuk, Valentin ; Simar, Leopold ; Park, Byeong U. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:108:y:2017:i:c:p:97-120.

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2017How credible is inflation targeting in Asia? A quantile unit root perspective. (2017). Holmes, Mark ; Hassan, Gazi ; Glenn, Harold. In: Economic Modelling. RePEc:eee:ecmode:v:60:y:2017:i:c:p:194-210.

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2017Does REIT index hedge inflation risk? New evidence from the tail quantile dependences of the Markov-switching GRG copula. (2017). Chang, Kuang-Liang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:56-67.

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2018The study on the tail dependence structure between the economic policy uncertainty and several financial markets. (2018). Yao, Can-Zhong ; Sun, Bo-Yi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:245-265.

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2019The demand for banking and shadow banking services. (2019). Serletis, Apostolos ; Xu, Libo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:132-146.

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2019Effects of Japanese quantitative easing policy on the economies of Japan and Korea. (2019). Kim, Won Joong ; Baak, Saang Joon ; Ryou, Jai Won. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:241-252.

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2017Discrete-response state space models with conditional heteroscedasticity: An application to forecasting the federal funds rate target. (2017). Dimitrakopoulos, Stefanos ; Dey, Dipak K. In: Economics Letters. RePEc:eee:ecolet:v:154:y:2017:i:c:p:20-23.

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2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination. (2017). Christensen, Bent Jesper ; Varneskov, Rasmus Tangsgaard . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:218-244.

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2018A new particle filtering approach to estimate stochastic volatility models with Markov-switching. (2018). Karamé, Frédéric ; Karame, Frederic. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:204-230.

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2019The overshooting of firms’ destruction, banks and productivity shocks. (2019). Rossi, Lorenza. In: European Economic Review. RePEc:eee:eecrev:v:113:y:2019:i:c:p:136-155.

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2017Forecasting oil and stock returns with a Qual VAR using over 150years off data. (2017). Wohar, Mark ; GUPTA, RANGAN. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:181-186.

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2018The dependence and risk spillover between crude oil market and China stock market: New evidence from a variational mode decomposition-based copula method. (2018). Li, Xiafei ; Wei, YU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:565-581.

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2019Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:143-164.

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2019A copula-GARCH approach for analyzing dynamic conditional dependency structure between liquefied petroleum gas freight rate, product price arbitrage and crude oil price. (2019). Lee, Jasmine Siu ; Bai, Xiwen. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:412-427.

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2018The contagion effect in European sovereign debt markets: A regime-switching vine copula approach. (2018). BenSaïda, Ahmed ; Bensaida, Ahmed. In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:153-165.

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2018Picking up the pennies in front of the bulldozer: The profitability of gilt based trading strategies. (2018). Quinn, Barry ; MacDonald, Fred ; Hanna, Alan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:214-222.

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2018Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

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2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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2018The impact of conventional and unconventional monetary policy on expectations and sentiment. (2018). Spyrou, Spyros ; Galariotis, Emilios ; Makrichoriti, Panagiota. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:86:y:2018:i:c:p:1-20.

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2019Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2019). Rottmann, Horst ; Auer, Benjamin R. In: Journal of Economics and Business. RePEc:eee:jebusi:v:103:y:2019:i:c:p:61-79.

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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio. In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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2017International house price cycles, monetary policy and credit. (2017). Bauer, Gregory. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:88-114.

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2018Monetary facts revisited. (2018). Hofmann, Boris ; Gertler, Pavel. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:154-170.

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2018Debt and growth: Is there a constant tipping point?. (2018). Yang, Lixiong ; Su, Jen-Je. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:87:y:2018:i:c:p:133-143.

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2017Circumventing the zero lower bound with monetary policy rules based on money. (2017). Ireland, Peter ; Belongia, Michael. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:54:y:2017:i:pa:p:42-58.

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2018Nominal anchors and the price puzzle. (2018). Florio, Anna. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:58:y:2018:i:c:p:224-237.

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2018Weak instruments and estimated monetary policy rules. (2018). BAYAR, OMER . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:58:y:2018:i:c:p:308-317.

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2017Modeling the multivariate dynamic dependence structure of commodity futures portfolios. (2017). Paraschiv, Florentina ; Erik, Tom ; Fuss, Roland ; ROLAND FSS, ; Aepli, Matthias D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:6:y:2017:i:c:p:66-87.

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2017Price co-movement and the crack spread in the US futures markets. (2017). Grigoriadis, Vasilis ; Fousekis, Panos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:7:y:2017:i:c:p:57-71.

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2019Transmission mechanisms of financial stress into economic activity in Turkey. (2019). Polat, Onur ; Ozkan, Ibrahim . In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:41:y:2019:i:2:p:395-415.

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2017Is gold a hedge or safe haven for Islamic stock market movements? A Markov switching approach. (2017). Chkili, Walid. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:42-43:y:2017:i::p:152-163.

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2017The asymmetry of U.S. monetary policy: Evidence from a threshold Taylor rule with time-varying threshold values. (2017). Zhu, Yanli ; Chen, Haiqiang . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:522-535.

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2017Modeling stochastic frontier based on vine copulas. (2017). Tabak, Benjamin ; da Costa, Reginaldo Brito ; Candido, Osvaldo ; Constantino, Michel. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:486:y:2017:i:c:p:595-609.

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2019Stock market daily volatility and information measures of predictability. (2019). Prattico, Flavio ; Petroni, Filippo ; Gismondi, Fulvio ; Damico, Guglielmo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:518:y:2019:i:c:p:22-29.

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2018Temporary price trends in the stock market with rational agents. (2018). Ichkitidze, Yuri . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:103-117.

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2018Extreme co-movements and dependencies among major international exchange rates: A copula approach. (2018). Tiwari, Aviral ; Albulescu, Claudiu ; Goyeau, Daniel ; Aubin, Christian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:56-69.

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2018Does McCallum’s rule outperform Taylor’s rule during the financial crisis?. (2018). Jung, Alexander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:9-21.

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2019The impact of foreign technological innovation on domestic employment via the industry mix. (2019). Gagliardi, Luisa. In: Research Policy. RePEc:eee:respol:v:48:y:2019:i:6:p:1523-1533.

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2017Is the price path learnable under a fixed exchange rate regime?. (2017). Lin, Yo-Long . In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:355-366.

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2017Estimating the effects of FX-related macroprudential policies in Korea. (2017). Kim, Kyung Min ; Lee, Joo Yong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:50:y:2017:i:c:p:23-48.

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2018When multiple objectives meet multiple instruments: Identifying simultaneous monetary shocks. (2018). Villamizar-Villegas, mauricio ; Ordoñez-Callamand, Daniel ; Hernandez-Leal, Juan D ; Ordoez-Callamand, Daniel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:78-101.

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2019Modeling the joint dynamic value at risk of the volatility index, oil price, and exchange rate. (2019). Yang, Lu ; Zeng, Yu-Feng ; Chen, Wang ; Hu, Shichao ; Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:137-149.

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2017Determinants of bankruptcy regime choice for Canadian public firms. (2017). Ayadi, Mohamed A ; Welch, Robert ; Lazrak, Skander. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:161-172.

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2019Modelling volatility of cryptocurrencies using Markov-Switching GARCH models. (2019). Caporale, Guglielmo Maria ; Zekokh, Timur. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:143-155.

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2018Intermittent transition between synchronization and desynchronization in multi-regional business cycles. (2018). Onozaki, Tamotsu ; Sato, Yuzuru ; Saiki, Yoshitaka ; Esashi, Kunihiko. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:44:y:2018:i:c:p:68-76.

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2018Effects of Macroeconomic Indicators on the Financial Markets Interrelations. (2018). Czapkiewicz, Anna ; Landmesser, Joanna ; Jamer, Pawel. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:3:p:268-293.

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2018Uncertainty times for portfolio selection at financial market. (2018). Valls Pereira, Pedro ; Oliveira, Andre. In: Textos para discussão. RePEc:fgv:eesptd:473.

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2019Changing Policy Rule Parameters Implied by the Median SEP Paths. (2019). Knotek, Edward. In: Economic Commentary. RePEc:fip:fedcec:00098.

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2019Contagious Switching. (2019). Piger, Jeremy ; Owyang, Michael ; Soques, Daniel. In: Working Papers. RePEc:fip:fedlwp:2019-014.

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2019Climate Impacts on Capital Accumulation in the Small Island State of Barbados. (2019). Drakes, Crystal ; Laing, Timothy ; Lamontagne, Jonathan ; Kemp-Benedict, Eric. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:11:p:3192-:d:237989.

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2017Quantitative Easing by the Fed and International Capital Flows. (2017). Khatiwada, Sameer . In: IHEID Working Papers. RePEc:gii:giihei:heidwp02-2017.

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2017Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Pham, Huyen ; Ismail, Amine . In: Working Papers. RePEc:hal:wpaper:hal-01212018.

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2018Dynamic connectedness of global currencies: a conditional Granger-causality approach. (2018). Nguyen, Duc Khuong ; Martin, Franck ; Le, Tan. In: Working Papers. RePEc:hal:wpaper:hal-01806733.

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2018A Model for Policy Interest Rates. (2018). Sirchenko, Andrei ; Muller, Gernot ; Seibert, Armin. In: HSE Working papers. RePEc:hig:wpaper:192/ec/2018.

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2017A Comparison Study of Copula Models for Europea Financial Index Returns. (2017). Tofoli, Paula V ; Candido, Osvaldo ; Ziegelmann, Flavio A. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:10:p:155-178.

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2018An Estimated DSGE Model with a Deflation Steady State. (2018). Hirose, Yasuo. In: Keio-IES Discussion Paper Series. RePEc:keo:dpaper:2018-014.

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2017Inflation targeting and the need for a new central banking framework. (2017). Tatliyer, Mevlut. In: Journal of Post Keynesian Economics. RePEc:mes:postke:v:40:y:2017:i:4:p:512-539.

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2019Is a recession imminent? The signal of the yield curve. (2019). van Nieuwenhuyze, CH ; Deroose, M ; de Backer, B. In: Economic Review. RePEc:nbb:ecrart:y:2019:m:june:i:i:p:69-93.

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2017Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound. (2017). Cochrane, John H. In: NBER Chapters. RePEc:nbr:nberch:13911.

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2017The Forward-Discount Puzzle in Central and Eastern Europe. (2017). Hölscher, Jens ; Holscher, Jens ; Hayward, Rob. In: Comparative Economic Studies. RePEc:pal:compes:v:59:y:2017:i:4:d:10.1057_s41294-017-0033-5.

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2018Unmoored expectations and the price puzzle. (2018). Florio, Anna. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0154.

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2018Globalization misguided views. (2018). Obregón Díaz, Carlos ; Obregon, Carlos. In: MPRA Paper. RePEc:pra:mprapa:85813.

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2018Globalización visiones equivocadas. (2018). Obregón Díaz, Carlos. In: MPRA Paper. RePEc:pra:mprapa:86396.

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2018Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation. (2018). Yin, Ming . In: MPRA Paper. RePEc:pra:mprapa:88111.

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2018Effective energy commodities’ risk management: Econometric modeling of price volatility. (2018). HALKOS, GEORGE ; Tzirivis, Apostolos. In: MPRA Paper. RePEc:pra:mprapa:90781.

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2019Модель реального обменного курса рубля с марковскими переключениями режимов. (2019). Shumilov, Andrei ; Polbin, Andrey ; Kulikov, Alexander ; Bedin, Andrey. In: MPRA Paper. RePEc:pra:mprapa:93310.

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2017Does oil impact Islamic stock markets ? evidence from MENA countries based on wavelet and markov switching approaches. (2017). Masih, Mansur ; Abba, Junaid. In: MPRA Paper. RePEc:pra:mprapa:95693.

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2017A Note on the Impact of Unconventional Monetary Policy Shocks in the US on Emerging Market REITs: A Qual VAR Approach. (2017). Marfatia, Hardik ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201736.

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2017Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data. (2017). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue. In: Working Papers. RePEc:pre:wpaper:201759.

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2019Gold-Oil Dependence Dynamics and the Role of Geopolitical Risks: Evidence from a Markov-Switching Time-Varying Copula Model. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Gkillas, Konstantinos ; Aye, Goodness C. In: Working Papers. RePEc:pre:wpaper:201918.

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2017Macroeconomic Switching Regimes and Monetary Policy in Canada. (2017). Lange, Ronald Henry. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:4:y:2017:i:4:p:17-31.

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2019The role of asymmetry in the interplay between internal and external factors: Empirical evidence from the US, Brazil, Canada and Mexico. (2019). Ozdemir, Ali Sezin ; Ozcelebi, Oguzhan ; Tokmakcioglu, Kaya . In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:37:y:2019:i:1:p:55-75.

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2017Bond Yield Spillovers from Major Advanced Economies to Emerging Asia. (2017). Volz, Ulrich ; Belke, Ansgar ; Dubova, Irina. In: ROME Working Papers. RePEc:rmn:wpaper:201702.

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2017Evaluating a leading indicator: an application—the term spread. (2017). Stekler, Herman O ; Ye, Tianyu . In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1200-7.

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2017Time-varying copula models in the shipping derivatives market. (2017). Shi, Wenming ; Wang, Ganggang ; Yang, Zhongzhi ; Li, Kevin X. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:3:d:10.1007_s00181-016-1146-9.

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2018Mixture periodic GARCH models: theory and applications. (2018). Hamdi, Fayal ; Souam, Said . In: Empirical Economics. RePEc:spr:empeco:v:55:y:2018:i:4:d:10.1007_s00181-017-1348-9.

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2017Are Microstates Necessarily Led by Their Bigger Neighbors’ Business Cycle? The Case of Liechtenstein and Switzerland. (2017). Brunhart, Andreas. In: Journal of Business Cycle Research. RePEc:spr:jbuscr:v:13:y:2017:i:1:d:10.1007_s41549-017-0013-x.

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2018Stock Market Integration Dynamics and its Determinants in the East Asian Economic Community Region. (2018). Deisting, Florent ; Pandey, Piyush ; Sehgal, Sanjay. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:2:d:10.1007_s40953-017-0090-7.

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2017Predictability of Foreign Exchange Rates with the AR(1) Model. (2017). Hadjixenophontos, Andreas ; Christodoulou-Volos, Christos . In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:4:f:7_4_3.

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2018A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets. (2018). Casarin, Roberto ; Tronzano, Marco ; Sartore, Domenico. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:36:y:2018:i:1:p:101-114.

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2017Residential housing bubbles in Hong Kong: identification and explanation based on GSADF test and dynamic probit model. (2017). Huang, Juan ; Shen, Geoffrey Qiping . In: Journal of Property Research. RePEc:taf:jpropr:v:34:y:2017:i:2:p:108-128.

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2018Likelihood based inference for an Identifiable Fractional Vector Error Correction Model. (2018). Carlini, Federico ; Lasak, Katarzyna . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20180085.

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2017A Financial Stress Index for Ukraine. (2017). Tyshchenko, Lesia ; Csajbok, Attila. In: Visnyk of the National Bank of Ukraine. RePEc:ukb:journl:y:2017:i:240:p:5-13.

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More than 100 citations found, this list is not complete...

Works by Michael J. Dueker:


YearTitleTypeCited
2010Multivariate Contemporaneous-Threshold Autoregressive Models In: UFAE and IAE Working Papers.
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2011Multivariate contemporaneous-threshold autoregressive models.(2011) In: Journal of Econometrics.
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2009Multivariate Contemporaneous Threshold Autoregressive Models.(2009) In: Department of Economics Working Papers.
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2007Multivariate contemporaneous threshold autoregressive models.(2007) In: Working Papers.
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2010State-Dependent Threshold STAR Models In: UFAE and IAE Working Papers.
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1997Markov Switching in GARCH Processes and Mean-Reverting Stock-Market Volatility. In: Journal of Business & Economic Statistics.
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1995Markov switching in GARCH processes and mean reverting stock market volatility.(1995) In: Working Papers.
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1999Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate. In: Journal of Business & Economic Statistics.
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1998Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate.(1998) In: Working Papers.
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2005Dynamic Forecasts of Qualitative Variables: A Qual VAR Model of U.S. Recessions In: Journal of Business & Economic Statistics.
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2003Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions.(2003) In: Working Papers.
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2013State-Dependent Threshold Smooth Transition Autoregressive Models In: Oxford Bulletin of Economics and Statistics.
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2007Stochastic Capital Depreciation and the Co-movement of Hours and Productivity In: The B.E. Journal of Macroeconomics.
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2002Stochastic Capital Depreciation and the Comovement of Hours and Productivity.(2002) In: CEPR Discussion Papers.
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2003Stochastic Capital Depreciation and the Comovement of Hours and Productivity.(2003) In: Royal Economic Society Annual Conference 2003.
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2004Stochastic capital depreciation and the comovement of hours and productivity.(2004) In: Working Papers.
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2002Stochastic Capital Depreciation and the Comovement of Hours and Productivity.(2002) In: Working Papers.
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2011Contemporaneous-Threshold Smooth Transition GARCH Models In: Studies in Nonlinear Dynamics & Econometrics.
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2009Contemporaneous-Threshold Smooth Transition GARCH Models.(2009) In: Department of Economics Working Papers.
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2000Austrias Hard-Currency Policy: The Mechanics of Successful Exchange-Rate Peg In: CEPR Discussion Papers.
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2001The Mechanics of a Successful Exchange-Rate Peg: Lessons for emerging Markets In: CEPR Discussion Papers.
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2001The mechanics of a successful exchange rate peg: lessons for emerging markets.(2001) In: Review.
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2001The Mechanics of a successful Exchange-Rate Peg: Lessons from Emerging Markets.(2001) In: Working Papers.
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2002Fixing Swiss Potholes: The Importance of Improvements In: CEPR Discussion Papers.
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2003Fixing Swiss potholes: the importance of improvements.(2003) In: Working Papers.
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2006BUSINESS-CYCLE FILTERING OF MACROECONOMIC DATA VIA A LATENT BUSINESS-CYCLE INDEX In: Macroeconomic Dynamics.
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2006Business-Cycle Filtering of Macroeconomic Data Via A Latent Business-Cycle Index.(2006) In: Working Papers.
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2004Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths In: Econometric Society 2004 Latin American Meetings.
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2004Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths.(2004) In: Econometric Society 2004 North American Summer Meetings.
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2004Non-Markovian regime switching with endogenous states and time-varying state strengths.(2004) In: Working Papers.
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2009Indeterminacy, change points and the price puzzle in an estimated DSGE model In: Journal of Economic Dynamics and Control.
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2003Fixing Swiss potholes: The importance and cyclical nature of improvements In: Economics Letters.
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2003Fixing Swiss Potholes: The Importance and Cyclical Nature of Improvements.(2003) In: Working Papers.
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2006Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models In: Economics Letters.
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2006Kalman filtering with truncated normal state variables for Bayesian estimation of macroeconomic models.(2006) In: Working Papers.
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2007Contemporaneous threshold autoregressive models: Estimation, testing and forecasting In: Journal of Econometrics.
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2006Contemporaneous threshold autoregressive models: estimation, testing and forecasting.(2006) In: Working Papers.
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2007Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2007) In: Discussion Papers.
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2006Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting.(2006) In: Department of Economics Working Papers.
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2003Aggregate price shocks and financial stability: the United Kingdom 1796-1999 In: Explorations in Economic History.
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2001Aggregate price shocks and financial stability: the United Kingdom 1796-1999.(2001) In: Working Papers.
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2001Aggregate Price Shocks and Financial Stability: The United Kingdom 1796-1999.(2001) In: NBER Working Papers.
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1999Does foreign innovation affect domestic wage inequality? In: Journal of International Economics.
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2012Modeling dependence dynamics through copulas with regime switching In: Insurance: Mathematics and Economics.
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1999A monetary policy feedback rule in Koreas fast-growing economy In: Journal of International Financial Markets, Institutions and Money.
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1998A monetary policy feedback rule in Koreas fast-growing economy.(1998) In: Working Papers.
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2007Can Markov switching models predict excess foreign exchange returns? In: Journal of Banking & Finance.
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1996Inflation targeting in a small open economy: Empirical results for Switzerland In: Journal of Monetary Economics.
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1995Inflation targeting in a small open economy: empirical results for Switzerland.(1995) In: Working Papers.
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2002Argentina Agonistes In: International Economic Trends.
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1998Inverted yield curves and recessions In: Monetary Trends.
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1998Risk premiums among corporate bonds In: Monetary Trends.
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1999A barometer of financial market uncertainty In: Monetary Trends.
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2000FOMC decisions and bond market uncertainty In: Monetary Trends.
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2000Spring of disconnect across stock markets? In: Monetary Trends.
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2001The preemptive Fed In: Monetary Trends.
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2003Why predict past FOMC actions? In: Monetary Trends.
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2005Open mouth operations: a Swiss case study In: Monetary Trends.
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2006Political economy of state homeland security grants In: National Economic Trends.
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2006The price puzzle: an update and a lesson In: National Economic Trends.
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1992The response of market interest rates to discount rate changes In: Review.
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1993Hypothesis testing with near-unit roots: the case of long-run purchasing-power parity In: Review.
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1993Can nominal GDP targeting rules stabilize the economy? In: Review.
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1993Indicators of monetary policy: the view from implicit feedback rules In: Review.
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1995Narrow vs. broad measures of money as intermediate targets: some forecast results In: Review.
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1996Are federal funds rate changes consistent with price stability? Results from an indicator model In: Review.
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1996The sensitivity of empirical studies to alternative measures of the monetary base and reserves In: Review.
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1997The FOMC in 1996: watchful waiting In: Review.
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1997Strengthening the case for the yield curve as a predictor of U.S. recessions In: Review.
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1998A guide to nominal feedback rules and their use for monetary policy In: Review.
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1999Measuring monetary policy inertia in target Fed funds rate changes In: Review.
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2000Are prime rate changes asymmetric? In: Review.
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2002The monetary policy innovation paradox in VARs: a discrete explanation In: Review.
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2002Regime-dependent recession forecasts and the 2001 recession In: Review.
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2004Discrete policy changes and empirical models of the federal funds rate In: Review.
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2005Discrete monetary policy changes and changing inflation targets in estimated dynamic stochastic general equilibrium models In: Review.
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2006Using cyclical regimes of output growth to predict jobless recoveries In: Review.
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2006Do inflation targeters outperform non-targeters? In: Review.
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1995Compound volatility processes in EMS exchange rates In: Working Papers.
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1994Asymmetry in the prime rate and firms preference for internal finance In: Working Papers.
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1994Product cycles, innovation and relative wages in European countries In: Working Papers.
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1997Maximum-likelihood estimation of fractional cointegration with application to the short end of the yield curve In: Working Papers.
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1995Non-monotonic long memory dynamics in black-market premia In: Working Papers.
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1995Identifying Austrias implicit monetary target: an alternative test of the hard currency policy In: Working Papers.
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1995Tariffs and asset market structure: some basic comparative dynamics In: Working Papers.
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1996Market microstructure effects on the direct measurement of the early exercise premium in exchange-listed options In: Working Papers.
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1997Do bank loan rates exhibit a countercyclical mark-up? In: Working Papers.
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2001European business cycles: new indices and analysis of their synchronicity In: Working Papers.
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2001Aggregate price shocks and financial instability: a historical analysis In: Working Papers.
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2002Aggregate Price Shocks and Financial Instability: A Historical Analysis.(2002) In: Economic Inquiry.
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2000Aggregate Price Shocks and Financial Instability: An Historical Analysis.(2000) In: NBER Working Papers.
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2000Aggregate Price Shocks and Financial Instability: An Historical Analysis.(2000) In: NBER Historical Working Papers.
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2000Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks In: Working Papers.
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2005Forecasting macro variables with a Qual VAR business cycle turning point index In: Working Papers.
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2010Forecasting macro variables with a Qual VAR business cycle turning point index.(2010) In: Applied Economics.
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2002Directly measuring early exercise premiums using American and European S&P 500 index options In: Working Papers.
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2003Directly measuring early exercise premiums using American and European S&P 500 Index options.(2003) In: Journal of Futures Markets.
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2003Business cycle detrending of macroeconomic data via a latent business cycle index In: Working Papers.
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2005The practice boundaries of advanced practice nurses: an economic and legal analysis In: Working Papers.
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2005The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis.(2005) In: Journal of Regulatory Economics.
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2007The price puzzle and indeterminacy in an estimated DSGE model In: Working Papers.
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2007Monetary policy and stock market booms and busts in the 20th century In: Working Papers.
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2007Comment on Harding and Pagan The econometric analysis of some constructed binary time series In: Working Papers.
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2008Multivariate Markov switching with weighted regime determination: giving France more weight than Finland In: Working Papers.
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2009Inflation, monetary policy and stock market conditions: quantitative evidence from a hybrid latent-variable VAR In: Working Papers.
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2010A time-varying threshold STAR model of unemployment and the natural rate In: Working Papers.
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2008Inflation, Monetary Policy and Stock Market Conditions In: NBER Working Papers.
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2003European Business Cycles: New Indices and Their Synchronicity In: Economic Inquiry.
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2005Structural Breaks in Estimated DSGE Models with Indeterminacy In: Computing in Economics and Finance 2005.
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2014Assessing dependence between financial market indexes using conditional time-varying copulas: applications to Value at Risk (VaR) In: Quantitative Finance.
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1998Maximum-Likelihood Estimation Of Fractional Cointegration With An Application To U.S. And Canadian Bond Rates In: The Review of Economics and Statistics.
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