BEC, Frédérique; ZENG, Songlin - Théorie Économique, Modélisation, Application … - 2013
This paper proposes an empirical study of the shape of recoveries in - nancial markets from a bounce-back augmented Markov Switching model. It relies on models rst applied by Kim, Morley and Piger [2005] to the busi- ness cycle analysis. These models are estimated for monthly stock market...