1. Durland, J Michael & McCurdy, Thomas H, 1994. "Duration-Dependent Transitions in a Markov Model of U.S. GNP Growth," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(3), pages 279-88, July.
   Other versions:
   • J. Michael Durland & Thomas H. McCurdy, 1993. "Duration Dependent Transitions in a Markov Model of U.S. GNP Growth," Working Papers 887, Queen's University, Department of Economics.
2. John M. Maheu & Tom McCurdy, 2000. "Volatility Dynamics Under Duration-Dependent Mixing," Econometric Society World Congress 2000 Contributed Papers 1427, Econometric Society. [Downloadable!]
   Other versions:
   • Maheu, John M. & McCurdy, Thomas H., 2000. "Volatility dynamics under duration-dependent mixing," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 345-372, November. [Downloadable!] (restricted)
3. McQueen, Grant & Thorley, Steven, 1994. "Bubbles, Stock Returns, and Duration Dependence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(03), pages 379-401, September. [Downloadable!]
4. Wang, Jiang, 1993. "A Model of Intertemporal Asset Prices under Asymmetric Information," Review of Economic Studies, Blackwell Publishing, vol. 60(2), pages 249-82, April. [Downloadable!] (restricted)
5. Matthew Richardson & James H. Stock, 1990. "Drawing Inferences From Statistics Based on Multi-Year Asset Returns," NBER Working Papers 3335, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
6. M. Hashem Pesaran & Allan Timmermann, 1995. "Predictability of Stock Returns: Robustness and Economic Significance," University of California at San Diego, Economics Working Paper Series 95-19, Department of Economics, UC San Diego.
   Other versions:
   • Pesaran, M Hashem & Timmermann, Allan, 1995. " Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-28, September. [Downloadable!] (restricted)
7. Gabriel Perez-Quiros & Allan Timmermann, 2000. "Firm Size and Cyclical Variations in Stock Returns," Journal of Finance, American Finance Association, vol. 55(3), pages 1229-1262, 06. [Downloadable!] (restricted)
   Other versions:
   • Allan Timmermann & Gabriel Perez-Quiros, 1999. "Firm Size and Cyclical Variations in Stock Returns," FMG Discussion Papers dp335, Financial Markets Group. [Downloadable!] (restricted)
8. Allan Timmermann & Halbert White & Ryan Sullivan, 1998. "Data-Snooping, Technical Trading, Rule Performance and the Bootstrap," FMG Discussion Papers dp303, Financial Markets Group. [Downloadable!] (restricted)
   Other versions:
   • Sullivan, Ryan & Timmermann, Allan G & White, Halbert, 1998. "Data-Snooping, Technical Trading Rule Performance and the Bootstrap," CEPR Discussion Papers 1976, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
   • Ryan Sullivan & Allan Timmermann & Halbert White, 1997. "Data-Snooping, Technical Trading Rule Performance, and the Bootstrap," University of California at San Diego, Economics Working Paper Series 97-31, Department of Economics, UC San Diego. [Downloadable!]
   • Ryan Sullivan & Allan Timmermann & Halbert White, 1999. "Data-Snooping, Technical Trading Rule Performance, and the Bootstrap," Journal of Finance, American Finance Association, vol. 54(5), pages 1647-1691, October. [Downloadable!] (restricted)
9. Andrew W. Lo, A. Craig MacKinlay, 1988. "Stock Market Prices do not Follow Random Walks: Evidence from a Simple Specification Test," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 1(1), pages 41-66. [Downloadable!] (restricted)
   Other versions:
   • Andrew W. Lo & A. Craig MacKinlay, 1989. "Stock Market Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test," NBER Working Papers 2168, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
10. Kiefer, Nicholas M, 1988. "Economic Duration Data and Hazard Functions," Journal of Economic Literature, American Economic Association, vol. 26(2), pages 646-79, June. [Downloadable!] (restricted)
11. Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-64, December. [Downloadable!] (restricted)
    Other versions:
    • Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
12. Francis X. Diebold & Glenn D. Rudebusch & Daniel E. Sichel, 1991. "Further evidence on business cycle duration dependence," Working Papers 91-11, Federal Reserve Bank of Philadelphia.
    Other versions:
    • Francis X. Diebold & Glenn Rudebusch & Daniel Sichel, 1993. "Further Evidence on Business-Cycle Duration Dependence," NBER Chapters, in: Business Cycles, Indicators and Forecasting, pages 255-284 National Bureau of Economic Research, Inc. [Downloadable!]
13. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July. [Downloadable!] (restricted)
14. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December. [Downloadable!] (restricted)
    Other versions:
    • Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993. "On the relation between the expected value and the volatility of the nominal excess return on stocks," Staff Report 157, Federal Reserve Bank of Minneapolis. [Downloadable!]
15. Faust, Jon, 1992. "When Are Variance Ratio Tests for Serial Dependence Optimal?," Econometrica, Econometric Society, vol. 60(5), pages 1215-26, September. [Downloadable!] (restricted)
16. Diebold, Francis X & Rudebusch, Glenn D, 1990. "A Nonparametric Investigation of Duration Dependence in the American Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 596-616, June. [Downloadable!] (restricted)
    Other versions:
    • Francis X. Diebold & Glenn D. Rudebusch, 1988. "A nonparametric investigation of duration dependence in the American business cycle," Working Paper Series / Economic Activity Section 90, Board of Governors of the Federal Reserve System (U.S.).
17. Kim, Moon K. & Zumwalt, J. Kenton, 1979. "An Analysis of Risk in Bull and Bear Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(05), pages 1015-1025, December. [Downloadable!]
18. Chauvet, Marcelle & Potter, Simon, 2000. "Coincident and leading indicators of the stock market," Journal of Empirical Finance, Elsevier, vol. 7(1), pages 87-111, May. [Downloadable!] (restricted)
19. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 2000. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?," American Economic Review, American Economic Association, vol. 90(4), pages 787-805, September. [Downloadable!] (restricted)
    Other versions:
    • Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1997. "Asset Pricing with Distorted Beliefs: Are Equity Returns too Good to be True?," Tinbergen Institute Discussion Papers 97-038/2, Tinbergen Institute.
    • Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1998. "Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good To Be True?," NBER Working Papers 6354, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
20. Sueyoshi, Glenn T, 1995. "A Class of Binary Response Models for Grouped Duration Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(4), pages 411-31, Oct.-Dec.. [Downloadable!] (restricted)
21. Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November. [Downloadable!] (restricted)
22. Stephen J. Brown & William N. Goetzmann & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Reconsidered," Journal of Finance, American Finance Association, vol. 53(4), pages 1311-1333, 08. [Downloadable!] (restricted)
    Other versions:
    • William N. Goetzmann & Stephen J. Brown & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Re-Considered," Yale School of Management Working Papers ysm85, Yale School of Management. [Downloadable!]
    • Stephen J. Brown & William N. Goetzmann & Alok Kumar, 1998. "The Dow Theory: William Peter Hamilton's Track Record Re-Considered," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-013, New York University, Leonard N. Stern School of Business-.
    • Stephen J. Brown & William N. Goetzmann & Alok Kumar, 2004. "The Dow Theory: William Peter Hamilton's Track Record Re-considered," Yale School of Management Working Papers ysm30, Yale School of Management. [Downloadable!]
23. Robert F. Engle & Gary G.J. Lee, 1993. "A Permanent and Transitory Component Model of Stock Return Volatility," University of California at San Diego, Economics Working Paper Series 92-44r, Department of Economics, UC San Diego. [Downloadable!]
24. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-99, September. [Downloadable!] (restricted)
25. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, vol. 22(1), pages 27-59, October. [Downloadable!] (restricted)
    Other versions:
    • James M. Poterba & Lawrence H. Summers, 1989. "Mean Reversion in Stock Prices: Evidence and Implications," NBER Working Papers 2343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
26. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46. [Downloadable!]
27. Maheu, John M & McCurdy, Thomas H, 2000. "Identifying Bull and Bear Markets in Stock Returns," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 100-112, January.

Cited by:
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1. James D. Hamilton & Oscar Jorda, 2000. "A Model for the Federal Funds Rate Target," NBER Working Papers 7847, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
   Other versions:
   • James D. Hamilton & Oscar Jorda, . "A model for the federal funds rate target," Department of Economics 99-07, California Davis - Department of Economics. [Downloadable!]
   • James D. Hamilton & Oscar Jorda, 2002. "A Model of the Federal Funds Rate Target," Journal of Political Economy, University of Chicago Press, vol. 110(5), pages 1135-1167, October. [Downloadable!] (restricted)
2. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series gd08-034, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
3. Adrian pagan & Don Harding, 2006. "The Econometric Analysis of Constructed Binary Time Series. Working paper #1," NCER Working Paper Series 1, National Centre for Econometric Research. [Downloadable!]
4. Rose Cunningham & Ilan Kolet, 2007. "Housing Market Cycles and Duration Dependence in the United States and Canada," Working Papers 07-2, Bank of Canada. [Downloadable!]
5. Akifumi Isogai & Satoru Kanoh & Toshifumi Tokunaga, 2004. "An Extension of the Markov-Switching Model with Time-Varying Transition Probabilities: Bull-Bear Analysis of the Japanese Stock Market," Hi-Stat Discussion Paper Series d04-43, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
6. Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne. [Downloadable!]
7. Adrian R. Pagan & Kirill A. Sossounov, 2003. "A simple framework for analysing bull and bear markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(1), pages 23-46. [Downloadable!]
8. M. Hashem Pesaran & Allan Timmermann, 2006. "Testing Dependence among Serially Correlated Multi-category Variables," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
   Other versions:
   • M. Hashem Pesaran & Allan Timmermann, 2006. "Testing Dependence among Serially Correlated Multi-Category Variables," IZA Discussion Papers 2196, Institute for the Study of Labor (IZA). [Downloadable!]
   • Pesaran, M.H. & Timmermann, A., 2006. "Testing Dependence Among Serially Correlated Multi-category Variables," Cambridge Working Papers in Economics 0648, Faculty of Economics, University of Cambridge. [Downloadable!]
   • Pesaran, M. Hashem & Timmermann, Allan, 2009. "Testing Dependence Among Serially Correlated Multicategory Variables," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 325-337. [Downloadable!] (restricted)
9. John M Maheu & Thomas H McCurdy & Yong Song, 2009. "Extracting bull and bear markets from stock returns," Working Papers tecipa-369, University of Toronto, Department of Economics. [Downloadable!]
10. George Woodward & Heather Anderson, 2003. "Does Beta React to Market Conditions? Estimates of Bull and Bear Betas using a Nonlinear Market Model with an Endogenous Threshold Parameter," Monash Econometrics and Business Statistics Working Papers 9/03, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
11. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, 08. [Downloadable!] (restricted)
12. Eric Girardin & Zhenya Liu, 2003. "The Chinese Stock Market: A Casino with 'Buffer Zones'?," Journal of Chinese Economic and Business Studies, Taylor and Francis Journals, vol. 1(1), pages 57-70, January. [Downloadable!] (restricted)