Chong, Terence Tai-Leung; Li, Zimu; Chen, Haiqiang; … - In: Journal of Applied Statistics 37 (2010) 8, pp. 1407-1416
This paper investigates the duration dependence of the US stock market cycles. A new classification method for bull and bear market regimes based on the crossing of the market index and its moving average is proposed. We show evidence of duration dependence in whole cycles. The half cycles,...