Michael Dueker

Russell Investments

909 A Street

Tacoma, WA 98402

United States

http://sites.google.com/site/michaeldueker

SCHOLARLY PAPERS

21

DOWNLOADS
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3,314

SSRN CITATIONS
Rank 13,560

SSRN RANKINGS

Top 13,560

in Total Papers Citations

27

CROSSREF CITATIONS

36

Scholarly Papers (21)

1.

Inflation, Monetary Policy and Stock Market Conditions: Quantitative Evidence from a Hybrid Latent-Variable VAR

FRB of St. Louis Working Paper No. 2008-012A
Number of pages: 33 Posted: 05 May 2008 Last Revised: 03 Feb 2009
Michael D. Bordo, Michael Dueker and David C. Wheelock
Rutgers University, New Brunswick - Department of Economics, Russell Investments and Federal Reserve Bank of St. Louis - Research Division
Downloads 620 (41,982)
Citation 2

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Stock market conditions, booms, busts, monetary policy, inflation, Qual-VAR

2.

Can Markov Switching Models Predict Excess Foreign Exchange Returns?

FRB of St. Louis Working Paper No. 2001-021F
Number of pages: 30 Posted: 13 Jan 2005
Michael Dueker and Christopher J. Neely
Russell Investments and Federal Reserve Bank of St. Louis - Research Division
Downloads 464 (60,823)
Citation 4

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Technical trading rules, Markov switching, exchange rates, excess returns

3.

Monetary Policy and Stock Market Booms and Busts in the 20th Century

FRB of St. Louis Working Paper No. 2007-020A
Number of pages: 57 Posted: 16 May 2007
Michael D. Bordo, Michael Dueker and David C. Wheelock
Rutgers University, New Brunswick - Department of Economics, Russell Investments and Federal Reserve Bank of St. Louis - Research Division
Downloads 434 (65,931)
Citation 5

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Stock market, booms, busts, monetary policy, policy regimes

4.

Kalman Filtering with Truncated Normal State Variables for Bayesian Estimation of Macroeconomic Models

FRB of St. Louis Working Paper No. 2005-057B
Number of pages: 9 Posted: 09 Nov 2005
Michael Dueker
Russell Investments
Downloads 263 (115,900)
Citation 1

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Kalman Filter, truncated normal, probit model, macroeconometric models

5.

European Business Cycles: New Indices and Analysis of Their Synchronicity

SFB 303 Working Paper No. B - 448
Number of pages: 30 Posted: 21 Mar 2000
Michael Dueker and Katrin Assenmacher
Russell Investments and Swiss National Bank
Downloads 222 (137,471)

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6.

Contemporaneous Threshold Autoregressive Models: Estimation, Testing and Forecasting

FRB of St. Louis Working Paper No. 2003-024C
Number of pages: 38 Posted: 13 May 2006
Michael Dueker, Martín Sola and Fabio Spagnolo
Russell Investments, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 221 (138,082)
Citation 4

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Smooth Transition Threshold Autoregressive, Forecasting, Nonlinear Models

7.

The Practice Boundaries of Advanced Practice Nurses: An Economic and Legal Analysis

Number of pages: 26 Posted: 14 Dec 2005
Michael Dueker, Stephen J. Spurr and David E. Kalist
Russell Investments, Wayne State University - Department of Economics and Shippensburg University of Pennsylvania - Department of Economics
Downloads 220 (138,727)

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regulation, professions, nursing panel data, Markov Chain Monte Carlo

8.

Non-Markovian Regime Switching with Endogenous States and Time-Varying State Strengths

FRB of St. Louis Working Paper No. 2004-030A
Number of pages: 31 Posted: 29 Jul 2005
Siddhartha Chib and Michael Dueker
Washington University in St. Louis - John M. Olin Business School and Russell Investments
Downloads 178 (168,791)
Citation 4

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Regime switching, Markov Chain Monte Carlo, nonlinear state space

9.

Multivariate Markov Switching with Weighted Regime Determination: Giving France More Weight than Finland

Federal Reserve Bank of St. Louis Working Paper No. 2008-001A
Number of pages: 25 Posted: 06 Jan 2008
Michael Dueker and Martín Sola
Russell Investments and Universidad Torcuato Di Tella
Downloads 142 (204,262)

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Vector autoregression, Regime switching, Business Cycle Turning Point

10.

Multivariate Contemporaneous Threshold Autoregressive Models

FRB of St. Louis Working Paper No. 2007-019A
Number of pages: 30 Posted: 15 May 2007
Russell Investments, University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 104 (257,967)
Citation 3

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Nonlinear autoregressive models, Smooth transition, Stability, Threshold

11.

The Price Puzzle and Indeterminacy in an Estimated DSGE Model

FRB of St. Louis Working Paper No. 2006-025B
Number of pages: 50 Posted: 08 Mar 2007
Anatoliy Belaygorod and Michael Dueker
Washington University in St. Louis - John M. Olin Business School and Russell Investments
Downloads 90 (283,667)
Citation 5

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Price puzzle, Indeterminacy, Great Inflation, Change-point, Metropolis-Hastings

12.

A Time-Varying Threshold Star Model of Unemployment and the Natural Rate

Federal Reserve Bank of St. Louis Working Paper No. 2010-029A
Number of pages: 28 Posted: 21 Sep 2010 Last Revised: 29 Sep 2010
Michael Dueker, Michael Owyang and Martín Sola
Russell Investments, Federal Reserve Bank of St. Louis - Research Division and Universidad Torcuato Di Tella
Downloads 81 (302,779)

Abstract:

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Regime switching, smooth-transition autoregressive model, unemployment, non- linear models

13.

Inflation, Monetary Policy and Stock Market Conditions

NBER Working Paper No. w14019
Number of pages: 32 Posted: 26 May 2008 Last Revised: 28 May 2008
Michael D. Bordo, Michael Dueker and David C. Wheelock
Rutgers University, New Brunswick - Department of Economics, Russell Investments and Federal Reserve Bank of St. Louis - Research Division
Downloads 71 (326,606)

Abstract:

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14.

Timing Transitions between Determinate and Indeterminate Equilibria in an Empirical DSGE Model: Benefits and Implications

FRB of St. Louis Working Paper No. 2006-025A
Number of pages: 45 Posted: 27 Apr 2006
Anatoliy Belaygorod and Michael Dueker
Washington University in St. Louis - John M. Olin Business School and Russell Investments
Downloads 71 (326,606)

Abstract:

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DSGE model, Indeterminacy, Great Inflation, State-Space model, change- point, regime switching, Kalman Filter, MCMC, Metropolis-Hastings, Gibbs, Bayes

Aggregate Price Shocks and Financial Instability: An Historical Analysis

NBER Working Paper No. h0125
Number of pages: 52 Posted: 25 May 2006 Last Revised: 10 Jun 2007
Michael D. Bordo, Michael Dueker and David C. Wheelock
Rutgers University, New Brunswick - Department of Economics, Russell Investments and Federal Reserve Bank of St. Louis - Research Division
Downloads 37 (446,328)
Citation 1

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Aggregate Price Shocks and Financial Instability: An Historical Analysis

NBER Working Paper No. w7652
Number of pages: 51 Posted: 30 May 2012
Michael D. Bordo, Michael Dueker and David C. Wheelock
Rutgers University, New Brunswick - Department of Economics, Russell Investments and Federal Reserve Bank of St. Louis - Research Division
Downloads 15 (572,484)
Citation 6

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16.

Aggregate Price Shocks and Financial Stability: The United Kingdom 1796-1999

NBER Working Paper No. w8583
Number of pages: 48 Posted: 10 Nov 2001
Michael D. Bordo, Michael Dueker and David C. Wheelock
Rutgers University, New Brunswick - Department of Economics, Russell Investments and Federal Reserve Bank of St. Louis - Research Division
Downloads 32 (457,857)

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17.

The Mechanics of a Successful Exchange-Rate Peg: Lessons for Emerging Markets

CEPR Discussion Paper No. 2829
Number of pages: 38 Posted: 12 Jun 2001
Michael Dueker and Andreas M. Fischer
Russell Investments and Swiss National Bank
Downloads 18 (533,611)
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Currency crisis, exchange rate peg, Thailand

18.

Fixing Swiss Potholes: The Importance of Improvements

CEPR Discussion Paper No. 3159
Number of pages: 15 Posted: 26 Feb 2002
Michael Dueker and Andreas M. Fischer
Russell Investments and Swiss National Bank
Downloads 16 (545,372)
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Maintenance and repair, improvements, capital utilization

19.

Stochastic Capital Depreciation and the Comovement of Hours and Productivity

CEPR Discussion Paper No. 3192
Number of pages: 26 Posted: 26 Feb 2002
Robert Dittmar, Michael Dueker and Andreas M. Fischer
Citigroup, Inc. - CitiMortgage, Russell Investments and Swiss National Bank
Downloads 15 (551,276)
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Markov Switching, Nonlinear Decision Rules, Hours-Productivity Correlation

20.

State‐Dependent Threshold Smooth Transition Autoregressive Models

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 6, pp. 835-854, 2013
Number of pages: 20 Posted: 22 Nov 2013
Russell Investments, University of London - Economics, Mathematics and Statistics, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance
Downloads 0 (669,706)
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21.

Contemporaneous Threshold Autoregressive Models: Estimation, Forecasting and Rational Expectations Applications

FRB of St. Louis Working Paper No. 2003-025A
Posted: 05 Dec 2004
Michael Dueker, Martín Sola and Fabio Spagnolo
Russell Investments, Universidad Torcuato Di Tella and Brunel University London - Economics and Finance

Abstract:

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Smooth transition threshold autoregressive, rational expectations, forecasting