The portuguese stock market cycle : chronology and duration dependence

This paper tries to identify, for the first time, a chronology for the Portuguese stock market cycle and test for the presence of duration dependence in bull and bear markets. A duration dependent Markov-switching model is estimated over monthly growth rates of the Portuguese Stock Index for the per...

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Bibliographic Details
Main Author: Castro, Vítor (author)
Format: workingPaper
Language:eng
Published: 2011
Subjects:
Stock market cycles
Bull and bear markets
Duration dependence
Markov-switching
Online Access:http://hdl.handle.net/1822/12129
Country:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/12129

Internet

http://hdl.handle.net/1822/12129

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