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Title: A structural change test in duration of bull and bear markets Authors:  Joao Nicolau - ISEG and CEMAPRE (Portugal) [presenting]
Abstract: A recursive test is proposed, derived from the fluctuations test of Ploberger-Kramer-Kontrus, with a finite sample adjustment, to test possible structural changes in duration of bull and bear markets. Using the Dow Jones Industrial Average index, we detected a single structural break in the bull market duration in April, 1942, but none in bear market duration. Possible explanations for this occurrence are discussed.