sp500m

<p>Monthly closing prices of the S&amp;P 500 index</p>

datasets

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.

Valeriy Zakamulin

bbdetection

Identification of Bull and Bear States of the Market

sp500m function

<p>An object of class <code>"zoo"</code> containing monthly closing prices of the S&amp;P 500 index starting from January 1950</p>

sp500m: Monthly data on the S&P 500 index

Description

Usage

Arguments

Format

See Also