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Testing for exceptional bulls and bears: a non-parametric perspective

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  • Candelon, B.

    (Macro, International & Labour Economics)

  • Metiu, N.

    (Macro, International & Labour Economics)

Abstract

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Suggested Citation

  • Candelon, B. & Metiu, N., 2009. "Testing for exceptional bulls and bears: a non-parametric perspective," Research Memorandum 017, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  • Handle: RePEc:unm:umamet:2009017
    DOI: 10.26481/umamet.2009017
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    File URL: https://cris.maastrichtuniversity.nl/ws/files/1569849/guid-cb7f9e51-8ea2-46f4-9a5d-919154a0efcf-ASSET1.0.pdf
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    References listed on IDEAS

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    1. Barsky, Robert B. & Long, J. Bradford De, 1990. "Bull and Bear Markets in the Twentieth Century," The Journal of Economic History, Cambridge University Press, vol. 50(2), pages 265-281, June.
    2. Biscarri, Javier GÛmez & Fernando PÈrez de Gracia, 2002. "Bulls and Bears: Lessons from some European Countries," Royal Economic Society Annual Conference 2002 28, Royal Economic Society.
    3. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
    4. Camacho, Maximo & Perez-Quiros, Gabriel & Saiz, Lorena, 2008. "Do European business cycles look like one?," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2165-2190, July.
    5. 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.
    6. Harding, Don & Pagan, Adrian, 2006. "Synchronization of cycles," Journal of Econometrics, Elsevier, vol. 132(1), pages 59-79, May.
    7. Javier Biscarri & Fernando Gracia, 2004. "Stock market cycles and stock market development in Spain," Spanish Economic Review, Springer;Spanish Economic Association, vol. 6(2), pages 127-151, July.
    8. 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.
    9. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
    10. Longin, Francois M, 1996. "The Asymptotic Distribution of Extreme Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 69(3), pages 383-408, July.
    11. Chen, Shiu-Sheng, 2009. "Predicting the bear stock market: Macroeconomic variables as leading indicators," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 211-223, February.
    12. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, Juni.
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    Cited by:

    1. Bertrand Candelon & Guillaume Gaulier & Christophe Hurlin, 2012. "Extreme Financial cycles," Revue d'économie politique, Dalloz, vol. 122(6), pages 823-831.

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