Identifying bull and bear markets in Japan

DOI10.1007/S10690-011-9143-7zbMath1242.91219OpenAlexW2010042798MaRDI QIDQ436949

Mai Shibata

Publication date: 17 July 2012

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-011-9143-7

zbMATH Keywords

volatilitydurationMarkov switching modelbull and bear marketsTOPIX

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Cites Work

• Unnamed Item
• A comparison of two business cycle dating methods
• On a measure of lack of fit in time series models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

This page was built for publication: Identifying bull and bear markets in Japan