market index, in this paper we revisit the duration dependence in bull and bear markets. We find that for both bull and bear … markets the duration dependence is a nonlinear function of the state age. Our results suggest that the duration dependence in … bear markets is strictly positive. For 93% of bull markets the duration dependence is also positive. Only about 7% of the …

volatility models results in superior out-of-sample risk forecasts, compared to forecasts from existing models and more …

best market gains come at the start of a bull market. Volatility increases with duration in bear markets. Allowing … volatility to vary with duration captures volatility clustering …This article uses a Markov-switching model that incorporates duration dependence to capture nonlinear structure in both …

amplitude of these price variations to be market volatility and trade duration. By contrast, trade size and execution speed, as … dependence in terms of the well-known square-root scaling of volatility as a function of duration. Our explanation is consistent ….Conditional on trade duration, trade size is found to have little influence on price variations during execution. We find evidence …