Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
John M Maheu, Thomas H Mccurdy, Yong Song
Journal of Business & Economic Statistics | AMER STATISTICAL ASSOC | Published : 2012
The authors are grateful for comments from the editor, associate editor, and two anonymous referees, Christos Ntantamis, Richard Paap, Hao Zhou, and participants at the Bayesian Econometrics in Macroeconomics and Finance conference at Erasmus University, the Bayesian Econometrics workshop at Rimini Centre for Economic Analysis (RCEA), the Canadian Econometrics Study Group, the Third Risk Management Conference, Mont Tremblant, and seminar participants from the University of Colorado, Brock University, and McMaster University. We thank the Social Sciences and Humanities Research Council of Canada for financial support.