Identifying bull and bear markets in stock returns

Journal of Business and Economic Statistics

Volumn 18, Issue 1, 2000, Pages 100-112

  Maheu, John M ^a   McCurdy, Thomas H ^b  

^a UNIVERSITY OF ALBERTA   (Canada)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Duration dependence; Filter; Markov chain; Regime switching

Indexed keywords

EID: 0040609269     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.2000.10524851     Document Type: Article

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