Maheu, John M.; McCurdy, Thomas H.; Song, Yong - In: Journal of Business & Economic Statistics 30 (2012) 3, pp. 391-403
Existing methods of partitioning the market index into bull and bear regimes do not identify market corrections or bear market rallies. In contrast, our probabilistic model of the return distribution allows for rich and heterogeneous intraregime dynamics. We focus on the characteristics and...