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Coincident and leading indicators of the stock market

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Author Info
Chauvet, Marcelle
Potter, Simon

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VFG-40GJDM5-4/2/c66e0c7c76e7878be0f41665b05d4a07
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 7 (2000)
Issue (Month): 1 (May)
Pages: 87-111
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Handle: RePEc:eee:empfin:v:7:y:2000:i:1:p:87-111

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  1. Konstantin Kholodilin, 2001. "Latent Leading and Coincident Factors Model with Markov-Switching Dynamics," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-13. [Downloadable!]
  2. Konstantin Kholodilin, 2002. "Predicting the Cyclical Phases of the Post-War U.S. Leading and Coincident Indicators," Economics Bulletin, Economics Bulletin, vol. 3, pages 1-15. [Downloadable!]
  3. 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!]
  4. Konstantin A. KHOLODILIN, 2002. "Unobserved Leading and Coincident Common Factors in the Post-War U.S. Business Cycle," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002008, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  5. Gabriel Perez-Quiros & Allan G. Timmermann, 2001. "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," Working Paper Series 058, European Central Bank. [Downloadable!]
    Other versions:
  6. Marcelle Chauvet & Simon Potter, 1999. "Nonlinear risk," Staff Reports 61, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  7. Martin Hess, 2006. "Timing and diversification: A state-dependent asset allocation approach," European Journal of Finance, Taylor and Francis Journals, vol. 12(3), pages 189-204, April. [Downloadable!] (restricted)
  8. 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!]
  9. Juan Piñeiro Chousa, & Artur Tamazian, & Davit N. Melikyan,, 2008. "MARKET RISK DYNAMICS AND COMPETITIVENESS AFTER THE EURO: Evidence from EMU Members," William Davidson Institute Working Papers Series wp916, William Davidson Institute at the University of Michigan Stephen M. Ross Business School. [Downloadable!]
  10. Marcelle Chauvet, 2000. "Leading Indicators of Inflation for Brazil," Working Papers Series 7, Central Bank of Brazil, Research Department. [Downloadable!]
  11. Konstantin A. KHOLODILIN, 2001. "Markov-Switching Common Dynamic Factor Model with Mixed-Frequency Data," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001020, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
  12. Lunde, Asger & Timmermann, Allan G, 2003. "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets," CEPR Discussion Papers 4104, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  13. Szabolcs Blazsek & Anna Downarowicz, 2008. "Regime switching models of hedge fund returns," Faculty Working Papers 12/08, School of Economics and Business Administration, University of Navarra. [Downloadable!]
  14. 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)
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