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Citations for "Conditional heteroskedasticity in qualitative response models of time series: a Gibbs sampling approach to the bank prime rate"

by Michael J. Dueker

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  1. Rami Zwick & Amnon Rapoport & Alison King Chung Lo & A. V. Muthukrishnan, 2003. "Consumer Sequential Search: Not Enough or Too Much?," Marketing Science, INFORMS, vol. 22(4), pages 503-519, October.
  2. Michael Dueker & Katrin Assenmacher-Wesche, 2010. "Forecasting macro variables with a Qual VAR business cycle turning point index," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 2909-2920.
  3. Oscar Jorda & James D. Hamilton, 2003. "A model for the federal funds rate target," Working Papers 997, University of California, Davis, Department of Economics.
  4. Selva Demiralp & Oscar Jorda, . "The Pavlovian Response of Term Rates to Fed Announcements," Department of Economics 99-06, California Davis - Department of Economics.
  5. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  6. Tae-Hwan Kim & Paul Mizen & Thanaset Chevapatrakul, 2008. "Forecasting changes in UK interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 53-74.
  7. George Monokroussos, 2005. "Dynamic Limited Dependent Variable Modeling and US Monetary Policy," Computing in Economics and Finance 2005 460, Society for Computational Economics.
  8. Graflund, Andreas, 2001. "Are the Nordic Stock Markets Mean Reverting?," Working Papers 2001:15, Lund University, Department of Economics.
  9. van den Hauwe, Sjoerd & Paap, Richard & van Dijk, Dick, 2013. "Bayesian forecasting of federal funds target rate decisions," Journal of Macroeconomics, Elsevier, vol. 37(C), pages 19-40.
  10. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2001. "Aggregate price shocks and financial stability: the United Kingdom 1796-1999," Working Papers 2001-018, Federal Reserve Bank of St. Louis.
  11. Bouakez, Hafedh & Essid, Badye & Normandin, Michel, 2013. "Stock returns and monetary policy: Are there any ties?," Journal of Macroeconomics, Elsevier, vol. 36(C), pages 33-50.
  12. Marcelle, Chauvet & Simon, Potter, 2007. "Monitoring Business Cycles with Structural Breaks," MPRA Paper 15097, University Library of Munich, Germany, revised 31 Apr 2009.
  13. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2002. "Aggregate Price Shocks and Financial Instability: A Historical Analysis," Economic Inquiry, Western Economic Association International, vol. 40(4), pages 521-538, October.
  14. George Monokroussos, 2009. "A Classical MCMC Approach to the Estimation of Limited Dependent Variable Models of Time Series," Discussion Papers 09-07, University at Albany, SUNY, Department of Economics.
  15. Michael J. Dueker & Charles R. Nelson, 2003. "Business cycle detrending of macroeconomic data via a latent business cycle index," Working Papers 2002-025, Federal Reserve Bank of St. Louis.
  16. Michael J. Dueker, 2003. "Dynamic forecasts of qualitative variables: a Qual VAR model of U.S. recessions," Working Papers 2001-012, Federal Reserve Bank of St. Louis.
  17. Michael J. Dueker, 2000. "Are prime rate changes asymmetric?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 33-40.
  18. Chauvet, Marcelle & Potter, Simon, 2010. "Business cycle monitoring with structural changes," International Journal of Forecasting, Elsevier, vol. 26(4), pages 777-793, October.
  19. Xiong, Yingge & Tobias, Justin L. & Mannering, Fred L., 2014. "The analysis of vehicle crash injury-severity data: A Markov switching approach with road-segment heterogeneity," Transportation Research Part B: Methodological, Elsevier, vol. 67(C), pages 109-128.
  20. George Monokroussos, 2006. "A Dynamic Tobit Model for the Open Market Desk's Daily Reaction Function," Computing in Economics and Finance 2006 390, Society for Computational Economics.
  21. Geweke, John, 2007. "Interpretation and inference in mixture models: Simple MCMC works," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3529-3550, April.
  22. Ying Liu, 2001. "Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model," Staff Working Papers 01-23, Bank of Canada.
  23. Michael J. Dueker & Katrin Wesche, 2001. "European business cycles: new indices and analysis of their synchronicity," Working Papers 1999-019, Federal Reserve Bank of St. Louis.
  24. Rami Zwick & Amnon Rapoport & Alison King Chung Lo & A. V. Muthukrishnan, 2001. "Consumer Search: Not Enough Or Too Much?," Experimental 0110002, EconWPA.
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