We generalize the cointegrated vector autoregressive model of Johansen (1988, 1991) to allow for structural breaks. We derive the likelihood ratio test for structural breaks occurring at fixed points in time, and show that it is asymptotically chi-squared. Moreover, we show how inference can be...

This paper investigates the presence of bull and bear market states in stock price dynamics. A new definition of bull and bear market states based on sequences of stopping times tracing local peaks and troughs in stock prices is proposed. Duration dependence in stock prices is investigated...