Citations for "Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets"
by Asger Lunde & Allan Timmermann
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- 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.
- Vítor Castro, 2011.
"The Portuguese Stock Market Cycle: Chronology and Duration Dependence,"
NIPE Working Papers
13/2011, NIPE - Universidade do Minho.
- M. Hashem Pesaran & Allan Timmermann, 2006.
"Testing Dependence among Serially Correlated Multi-category Variables,"
CESifo Working Paper Series
1770, CESifo Group Munich.
- 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.
- Pesaran, M. Hashem & Timmermann, Allan, 2006.
"Testing Dependence among Serially Correlated Multi-Category Variables,"
IZA Discussion Papers
2196, Institute for the Study of Labor (IZA).
- 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.
- 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.
- 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.
- 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.
- 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.
- repec:ner:maastr:urn:nbn:nl:ui:27-23215 is not listed on IDEAS
- John M Maheu & Thomas H McCurdy & Yong Song, 2009.
"Extracting bull and bear markets from stock returns,"
tecipa-369, University of Toronto, Department of Economics.
- Don Harding & Adrian Pagan, 2009.
"An Econometric Analysis of Some Models for Constructed Binary Time Series,"
NCER Working Paper Series
39, National Centre for Econometric Research, revised 02 Jul 2009.
- Chen, Shiu-Sheng, 2010.
"Do higher oil prices push the stock market into bear territory?,"
Elsevier, vol. 32(2), pages 490-495, March.
- Oscar Jorda & James D. Hamilton, 2003.
"A model for the federal funds rate target,"
997, University of California, Davis, Department of Economics.
- 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.
- 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.
- Rose Cunningham & Ilan Kolet, 2007.
"Housing Market Cycles and Duration Dependence in the United States and Canada,"
07-2, Bank of Canada.
- 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.
- Asger Lunde & Allan Timmermann, 2005.
"Completion time structures of stock price movements,"
Annals of Finance,
Springer, vol. 1(3), pages 293-326, 08.
- 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 Uni.
- 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.
- repec:ner:maastr:urn:nbn:nl:ui:27-19693 is not listed on IDEAS
- Li, Ming-Yuan Leon, 2009.
"Value or volume strategy?,"
Finance Research Letters,
Elsevier, vol. 6(4), pages 210-218, December.
- Chen, Shiu-Sheng, 2011.
"Lack of consumer confidence and stock returns,"
Journal of Empirical Finance,
Elsevier, vol. 18(2), pages 225-236, March.
- repec:ner:maastr:urn:nbn:nl:ui:27-16271 is not listed on IDEAS
- 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.
- Don Harding & Adrian Pagan, 2006.
"The Econometric Analysis of Constructed Binary Time Series,"
Department of Economics - Working Papers Series
963, The University of Melbourne.