Castro, Vitor - In: OECD Journal: Journal of Business Cycle Measurement and … 2013 (2013) 1, pp. 1-23
This paper tries to identify, for the first time, a chronology for the Portuguese stock market cycle and test for the presence of duration dependence in bull and bear markets. A duration-dependent Markov-switching model is estimated over monthly growth rates of the Portuguese stock index for the...