Woodward, George; Anderson, Heather - In: Quantitative Finance 9 (2009) 8, pp. 913-924
The authors use a logistic smooth transition market (LSTM) model to investigate whether 'bull' and 'bear' market betas for Australian industry portfolios returns differ. The LSTM model allows the data to determine a threshold parameter that differentiates between 'bull' and 'bear' states, and it...