Identifying Bull and Bear Markets in Stock Returns

By John M. Maheu, Thomas H. McCurdy. 2000

428 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/b6e913c6ff69226124d15ee20ab87d7f99257edb

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Citations in the corpus

A model of carbon price interactions with macroeconomic and energy dynamics (2011, background): “Finally, in papers dealing with a higher number of regimes (see Maheu and McCurdy (2000), Guidolin and Timmermann (2006), and Chan et al. (2011)), it is often the case that the two-regime model brings the best statistical results.22 The model is estimated based on Gaussian maximum likelihood with…”
On measuring synchronization of bulls and bears: The case of East Asia (2008, methodology): “Hamilton and Lin (1996), Ramchand and Susmel (1998) and Maheu and McCurdy (2000) .”
A Simple Framework for Analyzing Bull and Bear Markets (2001, background): “Maheu and McCurdy (2000) is a good example.”
Nonlinear Features of Realized FX Volatility (2002, methodology): “See Maheu and McCurdy (2000a) for these issues.”
Hidden Markov models with t components. Increased persistence and other aspects (2011, methodology): “In contrast to other extensions of the commonly used Gaussian HMM, e.g. duration-dependent parameters (Maheu and McCurdy 2001, Peria 2002) or semi-Markovian models (Bulla and Bulla 2006), the estimation requires only a very moderate increase in computational complexity.”
Duration Dependence in Stock Prices (2004, positive): “Maheu and McCurdy (2000a) treated the state as an unobserved variable and classi ed monthly stock returns into two latent states based on a Markov switching model extended to account for duration-dependent state transitions.”
Time‐Varying Transition Probabilities for Markov Regime Switching Models (2017, methodology): “They have been used in the context of Markov regime switching models by Turner et al. (1989), Gray (1996), Maheu and McCurdy (2000) and Kim et al. (2004).”
Do socially responsible investment indexes outperform conventional indexes? (2012, background): “Although there is no consensus in the literature regarding the identification of two distinctive regimes in the markets, Maheu and McCurdy (2000) demonstrate that the MS approach is useful in identifying them.”
Short-Run Pain, Long-Run Gain: Financial Liberalization and Stock Market Cycles (2007, methodology): “An alternative methodology is applied by Maheu and McCurdy (2000), who use a Markov switching model.”
Is Official Exchange Rate Intervention Effective (2004, positive): “However, following Maheu and McCurdy (2000), I constructed the standardized expected residuals as a weighted average of the residuals obtaining under each regime, with the weights equal to the smoothed probabilities of being in each regime (i.”