Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data
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DOI: 10.1016/j.frl.2021.101998
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- Shixuan Wang & Rangan Gupta & Yue-Jun Zhang, 2020. "Bear, Bull, Sidewalk, and Crash: The Evolution of the US Stock Market Using Over a Century of Daily Data," Working Papers 202097, University of Pretoria, Department of Economics.
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Cited by:
- Kirby, Chris, 2023. "A closer look at the regime-switching evidence of bull and bear markets," Finance Research Letters, Elsevier, vol. 52(C).
- Abhishek Pal Majumder, 2024. "Long time behavior of semi-Markov modulated perpetuity and some related processes," Papers 2410.15824, arXiv.org, revised Feb 2025.
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More about this item
Keywords
Dow Jones Industrial Average; Hidden (semi-)Markov Models; Stock Returns; Market Conditions;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
Statistics
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