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Citations for "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets"

by Asger Lunde & Allan Timmermann

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  1. Vítor Castro, 2011. "The Portuguese Stock Market Cycle: Chronology and Duration Dependence," NIPE Working Papers 13/2011, NIPE - Universidade do Minho.
  2. 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.
  3. Klaus Grobys, 2012. "Active PortofolioManagement in the Presence of Regime Switching: What Are the Benefits of Defensive Asset Allocation Strategies If the Investor Faces Bear Markets?," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 015-031, June.
  4. Eric Girardin & Zhenya Liu, 2003. "The Chinese Stock Market: A Casino with 'Buffer Zones'?," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 1(1), pages 57-70.
  5. M. Hashem Pesaran & Allan Timmermann, 2006. "Testing Dependence among Serially Correlated Multi-category Variables," CESifo Working Paper Series 1770, CESifo Group Munich.
  6. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets," MPRA Paper 54177, University Library of Munich, Germany.
  7. James D. Hamilton & Oscar Jorda, . "A model for the federal funds rate target," Department of Economics 99-07, California Davis - Department of Economics.
  8. Candelon Bertrand & Ahmed Jameel & Straetmans Stefan, 2012. "Predicting and Capitalizing on Stock Market Bears in the U.S," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  9. Don Harding & Adrian Pagan, 2011. "An Econometric Analysis of Some Models for Constructed Binary Time Series," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(1), pages 86-95, January.
  10. Richard Copp & Michael L. Kremmer & Eduardo Roca, 2010. "Should funds invest in socially responsible investments during downturns?: Financial and legal implications of the fund manager's dilemma," Accounting Research Journal, Emerald Group Publishing, vol. 23(3), pages 254 - 266, November.
  11. John M. Maheu & Thomas H. McCurdy & Yong Song, 2012. "Components of Bull and Bear Markets: Bull Corrections and Bear Rallies," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 391-403, February.
  12. Liao, Li-Chuan & Chou, Ray Yeutien & Chiu, Banghan, 2013. "Anchoring effect on foreign institutional investors’ momentum trading behavior: Evidence from the Taiwan stock market," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 72-91.
  13. Li, Ming-Yuan Leon, 2009. "Value or volume strategy?," Finance Research Letters, Elsevier, vol. 6(4), pages 210-218, December.
  14. Candelon, Bertrand & Piplack, Jan & Straetmans, Stefan, 2008. "On measuring synchronization of bulls and bears: The case of East Asia," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1022-1035, June.
  15. Asger Lunde & Allan Timmermann, 2005. "Completion time structures of stock price movements," Annals of Finance, Springer, vol. 1(3), pages 293-326, 08.
  16. Yaya, OlaOluwa S. & Gil-Alana, Luis A., 2014. "The persistence and asymmetric volatility in the Nigerian stock bull and bear markets," Economic Modelling, Elsevier, vol. 38(C), pages 463-469.
  17. 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.
  18. Fernando Henrique De Paula E Silva Mendes & Guilherme Valle Mour, 2014. "Evidências De Bull E Bear Market No Índice Bovespa: Uma Aplicação De Modelos De Regime Markoviano E Duration Dependence," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41th Brazilian Economics Meeting] 138, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  19. Alexakis, Christos & Dasilas, Apostolos & Grose, Chris, 2013. "Asymmetric dynamic relations between stock prices and mutual fund units in Japan. An application of hidden cointegration technique," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 1-8.
  20. Chiang, Min-Hsien & Huang, Hsin-Yi, 2011. "Stock market momentum, business conditions, and GARCH option pricing models," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 488-505, June.
  21. Bekiros, Stelios D., 2013. "Irrational fads, short-term memory emulation, and asset predictability," Review of Financial Economics, Elsevier, vol. 22(4), pages 213-219.
  22. Kole, H.J.W.G. & van Dijk, D.J.C., 2013. "How to Identify and Forecast Bull and Bear Markets?," ERIM Report Series Research in Management ERS-2013-016-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  23. Chen, Shiu-Sheng, 2010. "Do higher oil prices push the stock market into bear territory?," Energy Economics, Elsevier, vol. 32(2), pages 490-495, March.
  24. Woodward, George & Brooks, Robert, 2009. "Do realized betas exhibit up/down market tendencies?," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 511-519, June.
  25. Rose Cunningham & Ilan Kolet, 2007. "Housing Market Cycles and Duration Dependence in the United States and Canada," Working Papers 07-2, Bank of Canada.
  26. Chen, Shiu-Sheng, 2011. "Lack of consumer confidence and stock returns," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 225-236, March.
  27. Woodward, George & Marisetty, Vijaya B., 2005. "Introducing non-linear dynamics to the two-regime market model: Evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 45(4-5), pages 559-581, September.
  28. 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.
  29. Don Harding & Adrian Pagan, 2006. "The Econometric Analysis of Constructed Binary Time Series," Department of Economics - Working Papers Series 963, The University of Melbourne.