Duration Dependence in Stock Prices
- 1 July 2004
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 22 (3) , 253-273
- https://doi.org/10.1198/073500104000000136
Abstract
This article studies time series dependence in the direction of stock prices by modeling the (instantaneous) probability that a bull or bear market terminates as a function of its age and a set of ...Keywords
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