Components Of Bull And Bear Markets: Bull Corrections And Bear Rallies

Amer Statistical Assoc
Publication Type:
Journal Article
Journal of Business & Economic Statistics, 2012, 30 (3), pp. 391 - 403
Issue Date:
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Existing methods of partitioning the market index into bull and bear regimes do not identify market corrections or bear market rallies. In contrast, our probabilistic model of the return distribution allows for rich and heterogeneous intraregime dynamics
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