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Revisiting the duration dependence in the US stock market cycles

Zakamulin, Valeriy - In: Applied economics 55 (2023) 4, pp. 357-368

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Revisiting the bull and bear markets notions in the Tunisian stock market : new evidence from multi-state duration-dependence Markov-switching models

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Evidences of Bull and Bear Markets in the Bovespa index : an application of Markovian regime-switching models with duration dependence

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Revisiting the Duration Dependence in the US Stock Market Cycles

Zakamulin, Valeriy - 2020

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 …

Persistent link: https://www.econbiz.de/10012833990