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Nonlinear duration dependence in stock market cycles

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  • Harman, Yvette S.
  • Zuehlke, Thomas W.

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File URL: http://www.sciencedirect.com/science/article/B6W61-4M4KR79-1/2/758931459480109ed4291463eb22cb2f
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Bibliographic Info

Article provided by Elsevier in its journal Review of Financial Economics.

Volume (Year): 16 (2007)
Issue (Month): 4 ()
Pages: 350-362

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Handle: RePEc:eee:revfin:v:16:y:2007:i:4:p:350-362

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Web page: http://www.elsevier.com/locate/inca/620170

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References

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  1. Sichel, Daniel E, 1991. "Business Cycle Duration Dependence: A Parametric Approach," The Review of Economics and Statistics, MIT Press, vol. 73(2), pages 254-60, May.
  2. John G. Cragg & Russell S. Uhler, 1970. "The Demand for Automobiles," Canadian Journal of Economics, Canadian Economics Association, vol. 3(3), pages 386-406, August.
  3. Thomas Zuehlke, 2003. "Estimation of a Tobit model with unknown censoring threshold," Applied Economics, Taylor & Francis Journals, vol. 35(10), pages 1163-1169.
  4. John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
  5. Zuehlke, Thomas W, 2003. "Business Cycle Duration Dependence Reconsidered," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 564-69, October.
  6. 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.
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Cited by:
  1. Vitor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," GEMF Working Papers 2011-17, GEMF - Faculdade de Economia, Universidade de Coimbra.

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