Structural change test in duration of bull and bear markets
Abstract
We propose a recursive test to analyze structural changes in duration of bull and bear markets. Using the Dow Jones Industrial Average index, we detected a single structural break in the bull market duration in April,...
Paper Details
Title
Structural change test in duration of bull and bear markets
Published Date
Sep 1, 2016
Journal
Volume
146
Pages
64 - 67
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History