1. When a correction turns into a bear market: What explains the depth of the stock market drawdown? A discretionary global macro approach. (2023). Jackson, Dave ; Tokic, Damir.
   In: Journal of Asset Management.
   RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-023-00306-3.

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2. Hedging effectiveness of cryptocurrencies in the European stock market. (2023). Muzzioli, Silvia ; Gambarelli, Luca ; Marchi, Gianluca.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:84:y:2023:i:c:s1042443123000252.

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3. Investment momentum: A two‐dimensional behavioural strategy. (2022). Zheng, Liyi ; Zhao, Huainan ; Xu, Fangming.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1191-1207.

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4. The Trend is Your Friend: A Note on An Ensemble Learning Approach to Finding It. (2022). Chang, Tzu-Pu ; Chou, Po-Ching.
   In: Bulletin of Applied Economics.
   RePEc:rmk:rmkbae:v:9:y:2022:i:1:p:19-25.

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5. Topological Data Analysis Ball Mapper for Finance. (2022). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel.
   In: Papers.
   RePEc:arx:papers:2206.03622.

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6. Equity premium predictability over the business cycle. (2021). Moench, Emanuel ; Stein, Tobias ; Monch, Emanuel.
   In: Discussion Papers.
   RePEc:zbw:bubdps:252021.

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7. Directional news impact curve. (2021). Anatolyev, Stanislav.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:40:y:2021:i:1:p:94-107.

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8. Forecasting Inflection Points: Hybrid Methods with Multiscale Machine Learning Algorithms. (2021). Chevallier, Julien ; Zhang, Lyuyuan ; Zhu, Bangzhu.
   In: Computational Economics.
   RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-019-09966-z.

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9. Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics. (2021). Rodrigues, Paulo ; Nicolau, Joo ; Cruz, Joo.
   In: Asia-Pacific Financial Markets.
   RePEc:kap:apfinm:v:28:y:2021:i:3:d:10.1007_s10690-020-09324-2.

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10. Sticky Stock Market Analysts. (2021). Spiwoks, Markus ; Lorenz, Marco ; Judek, Jan Rene ; Filiz, Ibrahim.
    In: JRFM.
    RePEc:gam:jjrfmx:v:14:y:2021:i:12:p:593-:d:698283.

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11. What drives dynamic connectedness of the U.S equity sectors during different business cycles?. (2021). Ngene, Geoffrey M.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001133.

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12. On the directional predictability of equity premium using machine learning techniques. (2020). Vrontos, Spyridon ; Iworiso, Jonathan.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:3:p:449-469.

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13. A simple parameter‐driven binary time series model. (2020). Lu, Yang.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:39:y:2020:i:2:p:187-199.

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14. Trend‐cycle Estimation Using Fuzzy Transform and Its Application for Identifying Bull and Bear Phases in Markets. (2020). Novak, Vilem ; Mirshahi, Soheyla ; Nguyen, Linh.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:27:y:2020:i:3:p:111-124.

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15. Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2020). Neuenkirch, Matthias ; Haase, Felix.
    In: Research Papers in Economics.
    RePEc:trr:wpaper:202001.

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16. Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2020). Neuenkirch, Matthias ; Haase, Felix.
    In: Working Paper Series.
    RePEc:trr:qfrawp:202003.

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17. Lagged country returns and international stock return predictability during business cycle recession periods. (2020). Wen, Yi-Chieh ; Li, Bin.
    In: Applied Economics.
    RePEc:taf:applec:v:52:y:2020:i:46:p:5005-5019.

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18. The yield curve and the stock market: Mind the long run. (2020). Verona, Fabio ; Faria, Gonçalo.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:50:y:2020:i:c:s138641811930134x.

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19. Time Series Forecasting in Stock Trading Markets: The Turning Point Curiosity. (2019). Lusk, Edward J.
    In: International Journal of Research in Business and Social Science (2147-4478).
    RePEc:rbs:ijbrss:v:8:y:2019:i:4:p:01-16.

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20. A Benchmarked Evaluation of a Selected CapitalCube Interval-Scaled Market Performance Variable. (2019). Lusk, Edward J.
    In: Accounting and Finance Research.
    RePEc:jfr:afr111:v:8:y:2019:i:2:p:1.

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21. On categorical time series models with covariates. (2019). Truquet, Lionel ; Fokianos, Konstantinos.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:129:y:2019:i:9:p:3446-3462.

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22. Classification of intraday S&P500 returns with a Random Forest. (2019). Luukka, Pasi ; Lohrmann, Christoph.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:35:y:2019:i:1:p:390-407.

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23. The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom: Evidence from a nonparametric causality-in-quantiles test using over 250 years of data. (2019). Wohar, Mark ; Risse, Marian ; GUPTA, RANGAN ; Volkman, David A.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:47:y:2019:i:c:p:391-405.

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24. Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence. (2018). Moura, Guilherme ; Caldeira, Joo Frois ; de Paula, Fernando Henrique.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:38:y:2018:i:1:a:56135.

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25. Dynamic Relationship between Macroeconomic Variables and Stock Return Volatility in Tehran Stock Exchange: Multivariate MS ARMA GARCH Approach. (2018). Berenjabadi, Nayyer Hashemi ; Heidari, Hassan ; Refah-Kahriz, Arash.
    In: Quarterly Journal of Applied Theories of Economics.
    RePEc:ris:qjatoe:0113.

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26. Structural Changes in the Duration of Bull Markets and Business Cycle Dynamics. (2018). Rodrigues, Paulo ; Nicolau, Joo ; Cruz, Joo.
    In: Working Papers.
    RePEc:ptu:wpaper:w201814.

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27. Evaluation of the Predictive Validity of the CapitalCubeâ„¢ Market Navigation Platform. (2018). Lusk, Edward J.
    In: Accounting and Finance Research.
    RePEc:jfr:afr111:v:7:y:2018:i:3:p:39.

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28. Econometric testing on linear and nonlinear dynamic relation between stock prices and macroeconomy in China. (2018). Yang, Yating ; Borjigin, Sumuya ; Sun, Leilei.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:493:y:2018:i:c:p:107-115.

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29. The influence of terrorism risk on stock market integration: Evidence from eight OECD countries. (2018). Narayan, Seema ; LE, Thai-Ha ; Sriananthakumar, S ; Le, T.-H., .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:58:y:2018:i:c:p:247-259.

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30. A top-down approach to identifying bull and bear market states. (2018). Hanna, Alan J.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:55:y:2018:i:c:p:93-110.

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31. The equity risk premium and the low frequency of the term spread. (2018). Faria, Gonalo.
    In: Research Discussion Papers.
    RePEc:bof:bofrdp:2018_007.

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32. Predicting the direction of US stock markets using industry returns. (2017). Pönkä, Harri.
    In: Empirical Economics.
    RePEc:spr:empeco:v:52:y:2017:i:4:d:10.1007_s00181-016-1098-0.

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33. The Role of Term Spread and Pattern Changes in Predicting Stock Returns and Volatility of the United Kingdom: Evidence from a Nonparametric Causality-in-Quantiles Test Using Over 250 Years of Data. (2017). Wohar, Mark ; Risse, Marian ; GUPTA, RANGAN ; Volkman, David A.
    In: Working Papers.
    RePEc:pre:wpaper:201755.

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34. Sovereign Bond Risk Premiums. (2017). Zechner, Josef ; Mayer, Manuel ; Dockner, Engelbert.
    In: Working Papers.
    RePEc:onb:oenbwp:217.

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35. Further evidence on bear market predictability: The role of the external finance premium. (2017). Chen, Shiu-Sheng ; Chou, Yu-Hsi.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:50:y:2017:i:c:p:106-121.

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36. Binary time series models driven by a latent process. (2017). Moysiadis, Theodoros ; Fokianos, Konstantinos.
    In: Econometrics and Statistics.
    RePEc:eee:ecosta:v:2:y:2017:i:c:p:117-130.

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37. Volatility Persistence in Palestine Exchange Bulls and Bears: An Econometric Analysis of Time Series Data. (2017). Awad, Ibrahim ; Al-Ewesat, Abdel-Rahman .
    In: Review of Economics & Finance.
    RePEc:bap:journl:170307.

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38. Episodes of Exuberance in Housing Markets: In Search of the Smoking Gun. (2016). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan ; Martínez García, Enrique ; Martinez-Garcia, Enrique ; Yusupova, Alisa ; Mack, Adrienne ; Grossman, Valerie.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:53:y:2016:i:4:d:10.1007_s11146-015-9531-2.

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39. International sign predictability of stock returns: The role of the United States. (2016). Pönkä, Harri ; Nyberg, Henri ; Ponka, Harri.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:58:y:2016:i:c:p:323-338.

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40. Intertemporal risk–return relationships in bull and bear markets. (2015). Lee, Wei-Ming ; Wu, Shue-Jen .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:38:y:2015:i:c:p:308-325.

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41. Predicting severe simultaneous bear stock markets using macroeconomic variables as leading indicators. (2015). Lee, Wei-Ming ; Wu, Shue-Jen .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:13:y:2015:i:c:p:196-204.

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42. Nonlinear dynamic interrelationships between real activity and stock returns. (2015). Nyberg, Henri ; Lanne, Markku.
    In: CREATES Research Papers.
    RePEc:aah:create:2015-36.

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43. Predicting the direction of US stock markets using industry returns. (2014). Pönkä, Harri.
    In: MPRA Paper.
    RePEc:pra:mprapa:62942.

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44. The term structure of interest rates as predictor of stock returns: Evidence for the IBEX 35 during a bear market. (2014). Sosvilla-Rivero, Simon ; Fernandez-Rodriguez, Fernando ; Fernandez-Perez, Adrian.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:31:y:2014:i:c:p:21-33.

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45. Further evidence on bear market predictability: The role of the external finance premium. (2013). Chen, Shiu-Sheng ; Chou, Yu-Hsi.
    In: MPRA Paper.
    RePEc:pra:mprapa:49093.

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46. Macro determinants of U.S. stock market risk premia in bull and bear markets. (2013). Menkhoff, Lukas ; Baetje, Fabian.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-520.

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   In: Economic Modelling.
   RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003668.

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2. Probability distribution forecasting of carbon allowance prices: A hybrid model considering multiple influencing factors. (2022). Liu, Huiling ; Xue, Minggao ; Lei, Heng.
   In: Energy Economics.
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3. Directional news impact curve. (2021). Anatolyev, Stanislav.
   In: Journal of Forecasting.
   RePEc:wly:jforec:v:40:y:2021:i:1:p:94-107.

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4. Density Forecast of Financial Returns Using Decomposition and Maximum Entropy. (2021). Lee, Tae Hwy ; Hou, Z ; Zhang, RU ; Wang, HE.
   In: Working Papers.
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5. Direction-of-change forecasting in commodity futures markets. (2021). Liu, Jiadong ; Papailias, Fotis ; Quinn, Barry.
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6. CARL and His POT: Measuring Risks in Commodity Markets. (2020). Algieri, Bernardina ; Leccadito, Arturo.
   In: Risks.
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7. Incorporating financial market volatility to improve forecasts of directional changes in Australian share market returns. (2019). Erdugan, Riza ; Natoli, Riccardo ; Kulendran, Nada.
   In: Financial Markets and Portfolio Management.
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   In: Technological Forecasting and Social Change.
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9. Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies. (2019). Liu, Jingzhen.
   In: Research in International Business and Finance.
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10. Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav ; Barunik, Jozef.
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11. Ask CARL: Forecasting tail probabilities for energy commodities. (2019). Algieri, Bernardina ; Leccadito, Arturo.
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12. The risk return relationship: Evidence from index returns and realised variances. (2019). Yang, Minxian.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:107:y:2019:i:c:5.

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13. Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav.
    In: Papers.
    RePEc:arx:papers:1711.05681.

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14. Timing in the presence of directional predictability: optimal stopping of skew Brownian motion. (2017). Alvarez, Luis ; Salminen, Paavo.
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15. Predicting the direction of US stock markets using industry returns. (2017). Pönkä, Harri.
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17. Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?. (2017). Ftiti, Zied ; Hadhri, Sinda.
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18. Further evidence on bear market predictability: The role of the external finance premium. (2017). Chen, Shiu-Sheng ; Chou, Yu-Hsi.
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19. Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun.
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20. Investigating market efficiency through a forecasting model based on differential equations. (2017). , Rodrigo ; de Resende, Charlene C ; Bosco, A R.
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21. Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun.
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22. Foreign exchange predictability and the carry trade: A decomposition approach. (2017). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav ; Jamali, Ibrahim.
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24. International sign predictability of stock returns: The role of the United States. (2016). Pönkä, Harri ; Nyberg, Henri ; Ponka, Harri.
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25. A new approach to risk-return trade-off dynamics via decomposition. (2016). Liu, Xiaochun ; Frazier, David T.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:62:y:2016:i:c:p:43-55.

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26. Using auto-regressive logit models to forecast the exceedance probability for financial risk management. (2016). Yu, Keming ; Taylor, James W.
    In: Journal of the Royal Statistical Society Series A.
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29. Multivariate return decomposition: theory and implications. (2015). Gospodinov, Nikolay ; Anatolyev, Stanislav.
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30. Foreign exchange predictability during the financial crisis: implications for carry trade profitability. (2015). Liu, Xiaochun ; Gospodinov, Nikolay ; Anatolyev, Stanislav ; Jamali, Ibrahim.
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31. Modeling time-varying skewness via decomposition for out-of-sample forecast. (2015). Liu, Xiaochun.
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33. Predicting the direction of US stock markets using industry returns. (2014). Pönkä, Harri.
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34. Predicting and Capitalizing on Stock Market Bears in the U.S.. (2014). Candelon, Bertrand ; Ahmed, Jameel ; Straetmans, Stefan.
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35. Predicting trend reversals using market instantaneous state. (2014). Bury, Thomas.
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36. Predicting trend reversals using market instantaneous state. (2014). Bury, Thomas.
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37. Objects of nonstructural time series modeling (in Russian). (2013). Anatolyev, Stanislav.
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38. Predicting bear and bull stock markets with dynamic binary time series models. (2013). Nyberg, Henri.
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39. Predicting and capitalizing on stock market bears in the U.S.. (2012). Straetmans, Stefan ; Candelon, Bertrand ; Ahmed, Jameel ; Stefan, Straetmans .
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40. Modeling the time-varying skewness via decomposition for out-of-sample forecast. (2011). Liu, Xiaochun.
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41. Forecasting the direction of the US stock market with dynamic binary probit models. (2011). Nyberg, Henri.
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42. Forecasting the direction of the US stock market with dynamic binary probit models. (2011). Nyberg, Henri.
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43. Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches. (2009). Anatolyev, Stanislav ; Kryzhanovskaya, Natalia.
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44. Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches. (2009). Anatolyev, Stanislav ; Kryzhanovskaya, Natalia.
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