A top-down approach to identifying bull and bear market states
نویسندگان
چکیده
منابع مشابه
Bull, bear or any other states in US stock market?
a r t i c l e i n f o Keywords: Markov switching model Optimal number of states S&P 500 returns A stock market is traditionally considered to shift between bull and bear markets, reflecting the states of high mean and low mean in stock returns, respectively. In this paper, we attempt to detect more different states in a stock market by applying a Bayesian Markov switching model, where the optim...
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ژورنال
عنوان ژورنال: International Review of Financial Analysis
سال: 2018
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2017.11.001