setpar_filtering_alg

threshold to idenitfy a Bull state (in percentages)

tr_bull

threshold to idenitfy a Bear state (in percentages)

tr_bear

This function sets the paramters of the filtering algorithm of Lunde and Timmermann (2004)

Implements two algorithms of detecting Bull and Bear markets in stock prices: the algorithm of Pagan and Sossounov (2002, <doi:10.1002/jae.664>) and the algorithm of Lunde and Timmermann (2004, <doi:10.1198/073500104000000136>).
The package also contains functions for printing out the dating of the Bull and Bear states of the market, the descriptive statistics of the states, and functions for plotting the results.
For the sake of convenience, the package includes the monthly and daily data on the prices (not adjusted for dividends) of the S&P 500 stock market index.

setpar_filtering_alg: Sets the paramters of the filtering algorithm

Description

Usage

Arguments

Value

References