Isogai, Akifumi; Kanoh, Satoru; Tokunaga, Toshifumi - In: The European Journal of Finance 14 (2008) 5, pp. 427-449
The duration dependence of stock market cycles has been investigated using the Markov switching model where the market conditions are unobservable. In conventional modeling, restrictions are imposed such that the transition probability is a monotonic function of duration, which is truncated at a...