A Simple Framework for Analyzing Bull and Bear Markets

By A. Pagan, Kirill Sossounov. 2001

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Duration Dependence in Stock Prices (2004, unknown): “Pagan and Sossounov (2000) also considered a de nition of bull and bear states based on cumulative price changes; their study characterized movements in stock prices through the average duration and amplitude of bull and bear markets.”
Short-Run Pain, Long-Run Gain: Financial Liberalization and Stock Market Cycles (2007, methodology): “…reports the mean amplitude and duration of booms and crashes in the four regions, while the bottom panel plots the typical cycle in each region.13 The horizontal axis in the bottom panel shows the number 10 Pagan and Sossounov (2003) use a similar method to analyze cycles in the U.S. stock market.”
Testing for duration dependence in economic cycles (2004, unknown): “Based on the reference dates from Pagan and Sossounov (2002) , we next examine the duration dependence of U.S.”
On measuring synchronization of bulls and bears: The case of East Asia (2008, methodology): “It is well known that unit root processes for the stock price are able to generate persistent rises or falls in simulated prices, see e.g. Pagan and Sossounov (2003).”
Testing Dependence Among Serially Correlated Multicategory Variables (2009, methodology): “It is now easy to show that the trace test based on Sw is the same as testingΠ = 0 in the dynamically augmented reduced rank regression Y = XΠ0 + WB + E, ( 23 )”