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How to Identify and Forecast Bull and Bear Markets?

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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Stock market volatility and the business cycle
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Comparing the accuracy of density forecasts from competing models
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A simple framework for analysing bull and bear markets
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Dynamic linear models with Markov-switching
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Portfolio implications of systemic crises
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Do central banks react to the stock market? The case of the Bundesbank
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On measuring synchronization of bulls and bears: The case of East Asia
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Predicting the bear stock market: Macroeconomic variables as leading indicators
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Term structure of risk under alternative econometric specifications
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A comparison of two business cycle dating methods
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Comment on “A comparison of two business cycle dating methods”
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Rejoinder to James Hamilton
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Dissecting the cycle: a methodological investigation
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Book-to-market, dividend yield, and expected market returns: A time-series analysis
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Moments of Markov switching models
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Coincident and leading indicators of the stock market
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The Economic Value of Predicting Stock Index Returns and Volatility
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The Stationary Bootstrap
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Identifying Bull and Bear Markets in Stock Returns
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Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model
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A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
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International asset allocation under regime switching, skew, and kurtosis preferences
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Markov Switching Models in Empirical Finance
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Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey
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Firm Size and Cyclical Variations in Stock Returns
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The Economic Value of Volatility Timing
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Model selection tests for nonlinear dynamic models
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A Reality Check for Data Snooping
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NONPARAMETRIC BOOTSTRAP PROCEDURES FOR PREDICTIVE INFERENCE BASED ON RECURSIVE ESTIMATION SCHEMES*
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Liquidity Provision of Limit Order Trading in the Futures Market Under Bull and Bear Markets
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Predictability of Stock Returns: Robustness and Economic Significance
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Systemic Risk and International Portfolio Choice
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Maximum Likelihood from Incomplete Data Via the EM Algorithm
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Regime Changes and Financial Markets
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Measuring The Reaction of Monetary Policy to the Stock Market
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Predicting U.S. Recessions: Financial Variables as Leading Indicators
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Predicting U.S. Recessions with Dynamic Binary Response Models
inferredcites →https://doi.org/10.1198/073500104000000136openalex-snapshot
Duration Dependence in Stock Prices
inferredcites →https://doi.org/10.1198/jbes.2009.08005openalex-snapshot
An Econometric Analysis of Some Models for Constructed Binary Time Series
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On Information and Sufficiency
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A Preference Regime Model of Bull and Bear Markets
inferredcites →https://doi.org/10.1515/9780691219585-009openalex-snapshot
7. Regime Switching with Time-Varying Transition Probabilities
inferredcites →https://doi.org/10.20955/wp.2012.049openalex-snapshot
Testing the Economic Value of Asset Return Predictability
inferredcites →https://doi.org/10.2139/ssrn.146531openalex-snapshot
Identifying Bull and Bear Markets in Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.1919497openalex-snapshot
Regime Changes and Financial Markets
inferredcites →https://doi.org/10.2139/ssrn.1939486openalex-snapshot
Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
inferredcites →https://doi.org/10.2139/ssrn.241213openalex-snapshot
The Economic Value of Predicting Stock Index Returns and Volatility
inferredcites →https://doi.org/10.2139/ssrn.354388openalex-snapshot
Systemic Risk and International Portfolio Choice
inferredcites →https://doi.org/10.2139/ssrn.539842openalex-snapshot
Term Structure of Risk Under Alternative Econometric Specifications
inferredcites →https://doi.org/10.2139/ssrn.582581openalex-snapshot
An Econometric Model of Nonlinear Dynamics in the Joint Distribution of Stock and Bond Returns
inferredcites →https://doi.org/10.2139/ssrn.695721openalex-snapshot
Leading Indicators: What Have We Learned?
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Asset Allocation Under Multivariate Regime Switching
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Comparing Predictive Accuracy
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A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
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A Variance Decomposition for Stock Returns
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Forecasts of Economic Growth from the Bond and Stock Markets
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Stock market fluctuations and the business cycle

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