create a website

Do Stock Returns Rebound After Bear Markets? An Empirical Analysis From Five OECD Countries. (2013). ZENG, SONGLIN ; Bec, Frédérique.
In: THEMA Working Papers.
RePEc:ema:worpap:2013-21.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 30

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. , , and , The Way Out of Recessions: A Forecasting Analysis For Some Euro Area Countries, International Journal of Forecasting, 2013.
    Paper not yet in RePEc: Add citation now
  2. Aghion, P. and G. Saint Paul, Virtues of bad times: intercation between productivity growth and economic fluctuations, Macroeconomic Dynamics, 1998, 2 (3), 322–344.
    Paper not yet in RePEc: Add citation now
  3. Ang, A. and A. Timmermann, Regime changes and financial markets, Working Paper 17182, NBER, Cambridge MA 2011.
    Paper not yet in RePEc: Add citation now
  4. Beaudry, P. and G. Koop, Do recessions permanently change output?, Journal of Monetary Economics, 1993, 31 (2), 149–163.

  5. Bec, F., O. Bouabdallah, and L. Ferrara, The possible shapes of recoveries in Markov-Switching models, Working Paper 321, Banque de France, Paris 2011.

  6. Bry, G. and C. Boschan, Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, New Yor: NBER, 1971.

  7. Caballero, R. and M. Hammour, The Cleansing Effect of Recessions, American Economic Review, 1994, 84 (1), 350–368.
    Paper not yet in RePEc: Add citation now
  8. Cecchetti, S., P. Lam, and N. Mark, Mean Reversion in Equilibrium Asset Prices, American Economic Review, 1990, 80 (3), 398–418.

  9. Chen, S.S., Predicting the bear stock market: Macroeconomic variables as leading indicators, Journal of Banking & Finance, 2009, 33 (2), 211–223.

  10. Ebell, M.C., Why are Asset Returns More Volatile During Recessions?: A Theoretical Explanation, Studienzentrum Gerzensee, 2001.

  11. Garcia, Rene, Asymptotic Null Distribution of the Likelihood Ratio Test in Markiv Switching Models, International Economic Review, 1998, 39 (3), 763–788.

  12. Gonzalez, L., J.G. Powell, J. Shi, and A. Wilson, Two centuries of bull and bear market cycles, International Review of Economics & Finance, 2005, 14 (4), 469–486.

  13. Gordon, S. and P. St-Amour, A Preference Regime Model of Bull and Bear Markets, American Economic Review, 2000, 90 (4), 1019–1033.

  14. Guidolin, M. and A. Timmermann, Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns*, The Economic Journal, 2005, 115 (500), 111–143.

  15. Hamilton, J. D. and G. Lin, Stock Market Volatility and the Business Cycle, Journal of Applied Econometrics, 1996, 11, 573593.

  16. Hamilton, J.D., A new approach to the economic analysis of nonstationary time series and the business cycle, Econometrica: Journal of the Econometric Society, 1989, 57, 357–384.

  17. Hamilton, James Douglas, Time Series Analysis, Princeton,New Jersey: Princeton University Press, 1994.
    Paper not yet in RePEc: Add citation now
  18. Hess, M.K., What drives Markov regime-switching behavior of stock markets? The Swiss case, International Review of Financial Analysis, 2003, 12 (5), 527–543.

  19. Kim, Chang-Jin, James Morley, and Jeremy Piger, Nonlinearity and the permanent effects of recessions, Journal of Applied Economometrics, 2005, 20, 291309.

  20. Kim, S., N. Shephard, and S. Chib, Stochastic Volatility: likelihood inference and comparison with ARCH models, The Review of Economics Studies, 1998, 65, 361–393.

  21. Maheu, J. M. and T. H. McCurdy, Identifying Bull and Bear Markets in Stock Returns, Journal of Business and Economic Statistics, 2000, 18(1), 100112.

  22. Maheu, J.M., T.H. McCurdy, and Y. Song, Extracting bull and bear markets from stock returns, Working Papers, 2009.

  23. Morley, J. and J. Piger, The asymmetric business cycle, The Review of Economics and Statistics, 2009.

  24. Pagan, A. R. and K. A. Sossounov, A simple framework for analysing bull and bear markets, Journal of Applied Econometrics, 2003, 18(1), 2346.

  25. Perez-Quiros, G. and A. Timmermann, Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities, Journal of Econometrics, 2001, 103 (1-2), 259–306.

  26. Schaller, H. and S. Van Norden, Regime switching in stock market returns, Applied Financial Economics, 1997, 7 (2), 177–191.

  27. Schwert, G. W., Indexes of U.S. Stock Prices from 1802 to 1987, Journal of Business, 1990, 66(3), 399–426.
    Paper not yet in RePEc: Add citation now
  28. Schwert, G.W., Why Does Stock Market Volatility Change over Time?, Journal of Finance, 1989, 44 (5), 1115–53.

  29. Sperandeo, V., Principles of Professional Speculation, New Yor: Wiley, 1990.
    Paper not yet in RePEc: Add citation now
  30. Turner, C.M., R. Startz, and C.R. Nelson, A Markov model of heteroskedasticity, risk, and learning in the stock market, Journal of Financial Economics, 1989, 25 (1), 3–22.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Do large recessions reduce output permanently?. (2013). Wolters, Maik ; Hosseinkouchack, Mehdi.
    In: VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order.
    RePEc:zbw:vfsc13:79881.

    Full description at Econpapers || Download paper

  2. A flexible approach to parametric inference in nonlinear time series models. (2007). Potter, Simon ; Koop, Gary.
    In: Staff Reports.
    RePEc:fip:fednsr:285.

    Full description at Econpapers || Download paper

  3. Long Run and Cyclical Dynamics in the US Stock Market. (2007). Gil-Alana, Luis ; Caporale, Guglielmo Maria.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_2046.

    Full description at Econpapers || Download paper

  4. The Cost of Reserves. (2006). Panizza, Ugo ; Levy Yeyati, Eduardo.
    In: Business School Working Papers.
    RePEc:udt:wpbsdt:2006-11.

    Full description at Econpapers || Download paper

  5. Comparing value-at-risk methodologies. (2006). Neri, Breno ; Lima, Luiz.
    In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
    RePEc:fgv:epgewp:629.

    Full description at Econpapers || Download paper

  6. Using Macro-Financial Variables To Forecast Recessions. An Analysis Of Canada, 1957-2002. (2006). Kiani, Khurshid ; Kastens, Terry L..
    In: Applied Econometrics and International Development.
    RePEc:eaa:aeinde:v:6:y:2006:i:3_7.

    Full description at Econpapers || Download paper

  7. Estimation dun modèle TIMA avec asymétrie contemporaine par inférence indirecte. (2006). Lahiani, Amine ; Bruneau, Catherine.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2006-17.

    Full description at Econpapers || Download paper

  8. Convergence in Italian regional per-capita GDP. (2005). Proietti, Tommaso.
    In: Applied Economics.
    RePEc:taf:applec:v:37:y:2005:i:5:p:497-506.

    Full description at Econpapers || Download paper

  9. Trend and Cycles: A New Approach and Explanations of Some Old Puzzles. (2005). Wada, Tatsuma ; Perron, Pierre.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:252.

    Full description at Econpapers || Download paper

  10. Random Walk Smooth Transition Autoregressive Models. (2005). Anderson, Heather ; Low, Chin Nam.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2004-22.

    Full description at Econpapers || Download paper

  11. Nonlinearity and the permanent effects of recessions. (2005). Piger, Jeremy ; Morley, James ; Kim, Chang-Jin.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:2:p:291-309.

    Full description at Econpapers || Download paper

  12. The importance of nonlinearity in reproducing business cycle features. (2005). Piger, Jeremy ; Morley, James.
    In: Working Papers.
    RePEc:fip:fedlwp:2004-032.

    Full description at Econpapers || Download paper

  13. The dynamic relationship between permanent and transitory components of U.S. business cycles. (2005). Startz, Richard ; Piger, Jeremy ; Kim, Chang-Jin.
    In: Working Papers.
    RePEc:fip:fedlwp:2001-017.

    Full description at Econpapers || Download paper

  14. A Comparison of Alternative Asymptotic Frameworks to Analyze a Structural Change in a Linear Time Trend. (2005). Perron, Pierre ; Deng, Ai ; Wada, Tatsuma.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2005-030.

    Full description at Econpapers || Download paper

  15. The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach. (2005). Luger, Richard ; Garcia, René.
    In: Staff Working Papers.
    RePEc:bca:bocawp:05-36.

    Full description at Econpapers || Download paper

  16. Fractional Integration and Business Cycles Features. (2004). Gil-Alana, Luis ; Candelon, Bertrand.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0904.

    Full description at Econpapers || Download paper

  17. Has the G7 business cycle become more synchronized ?. (2004). Yoon, Jae Ho.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:782.

    Full description at Econpapers || Download paper

  18. Determinants of innovation behaviour and investment estimates for west-german manufacturing firms. (2003). Smolny, Werner.
    In: Economics of Innovation and New Technology.
    RePEc:taf:ecinnt:v:12:y:2003:i:5:p:449-463.

    Full description at Econpapers || Download paper

  19. On detrending and cyclical asymmetry. (2003). Sola, Martin ; Psaradakis, Zacharias.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:3:p:271-289.

    Full description at Econpapers || Download paper

  20. Dating the Euro Area Business Cycle. (2003). Proietti, Tommaso ; Marcellino, Massimiliano.
    In: Working Papers.
    RePEc:igi:igierp:237.

    Full description at Econpapers || Download paper

  21. Nonlinearity and the permanent effects of recessions. (2003). Piger, Jeremy ; Morley, James ; Kim, Chang-Jin.
    In: Working Papers.
    RePEc:fip:fedlwp:2002-014.

    Full description at Econpapers || Download paper

  22. Growth, capital shares, and a new perspective on production functions. (2003). Jones, Charles.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2003:i:nov:x:2.

    Full description at Econpapers || Download paper

  23. Tracking the new economy: using growth theory to detect changes in trend productivity. (2003). Rich, Robert ; Kahn, James.
    In: Proceedings.
    RePEc:fip:fedfpr:y:2003:i:nov:x:1.

    Full description at Econpapers || Download paper

  24. Nonlinear Permanent - Temporary Decompositions in Macroeconomics and Finance. (2003). Taylor, Mark ; Clarida, Richard.
    In: Economic Journal.
    RePEc:ecj:econjl:v:113:y:2003:i:486:p:c125-c139.

    Full description at Econpapers || Download paper

  25. Dating the Euro Area Business Cycle. (2003). Proietti, Tommaso ; Marcellino, Massimiliano.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3696.

    Full description at Econpapers || Download paper

  26. Scope for Cost Minimization in Public Debt Management: the Case of the UK. (2003). Vahey, Shaun ; Pesaran, Mohammad ; Coe, Patrick.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0338.

    Full description at Econpapers || Download paper

  27. Animal Spirits Through Creative Destruction. (2003). Lloyd-Ellis, Huw ; Francois, Patrick.
    In: American Economic Review.
    RePEc:aea:aecrev:v:93:y:2003:i:3:p:530-550.

    Full description at Econpapers || Download paper

  28. Non-linear Modelling of the Australian Business Cycle using a Leading Indicator. (2002). Forbes, Catherine ; Shami, Roland G..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-5.

    Full description at Econpapers || Download paper

  29. Choosing Lag Lengths in Nonlinear Dynamic Models. (2002). Anderson, Heather.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-21.

    Full description at Econpapers || Download paper

  30. Non-linear Co-Movements in Output Growth: Evidence from the United States and Australia. (2002). Shields, Kalvinder ; Olekalns, Nilss ; Henry, Ólan.
    In: Department of Economics - Working Papers Series.
    RePEc:mlb:wpaper:857.

    Full description at Econpapers || Download paper

  31. An empirical study of the cyclical effects of monetary policy in Spain (1977-1997). (2001). Dolado, Juan.
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:25:y:2001:i:1:p:3-30.

    Full description at Econpapers || Download paper

  32. Common stochastic trends, common cycles, and asymmetry in economic fluctuations. (2001). Piger, Jeremy ; Kim, Chang-Jin.
    In: Working Papers.
    RePEc:fip:fedlwp:2001-014.

    Full description at Econpapers || Download paper

  33. European business cycles: new indices and analysis of their synchronicity. (2001). Assenmacher, Katrin.
    In: Working Papers.
    RePEc:fip:fedlwp:1999-019.

    Full description at Econpapers || Download paper

  34. On Inflation and the Persistence of Shocks to Output. (2001). Luger, Richard ; Kichian, Maral.
    In: Staff Working Papers.
    RePEc:bca:bocawp:01-22.

    Full description at Econpapers || Download paper

  35. Asymmetric and Common Absorption of Shocks in Nonlinear Autoregressive Models. (2000). van Dijk, Dick ; Franses, Philip Hans ; Boswijk, H. Peter.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0765.

    Full description at Econpapers || Download paper

  36. The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach. (2000). Pesaran, Mohammad.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_346.

    Full description at Econpapers || Download paper

  37. The Cost Efficiency of UK Debt Management: A Recursive Modelling Approach. (2000). Vahey, Shaun ; Pesaran, Mohammad ; Coe, Patrick.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0005.

    Full description at Econpapers || Download paper

  38. Time Irreversible Unemployment Rates. (1999). Rothman, Philip.
    In: Working Papers.
    RePEc:wop:eacaec:9903.

    Full description at Econpapers || Download paper

  39. Nonlinear time series modelling: an introduction. (1999). Potter, Simon.
    In: Staff Reports.
    RePEc:fip:fednsr:87.

    Full description at Econpapers || Download paper

  40. Indirect Inference, Nuisance Parameter and Threshold Moving Average. (1999). Scaillet, Olivier ; Guay, Alain.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:95.

    Full description at Econpapers || Download paper

  41. Learning and Asymmetric Business Cycles. (1998). Chalkley, Martin ; Lee, Inho.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:1:y:1998:i:3:p:623-645.

    Full description at Econpapers || Download paper

  42. Business cycle asymmetries and the nominal exchange rate regimes. (1998). Razzak, Weshah.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:1998/04.

    Full description at Econpapers || Download paper

  43. MODELOS DE DURACIÃN:UNA APLICACIÃN EN EL CASO DE LA INFLACÃÃN Y LA TASA DE INTERÃS. (1998). Hugo Oliveros C., .
    In: Borradores de Economia.
    RePEc:col:000094:003241.

    Full description at Econpapers || Download paper

  44. Threshold autoregression with a near unit root. (1998). Hansen, Bruce ; Caner, Mehmet.
    In: Working papers.
    RePEc:att:wimass:199827.

    Full description at Econpapers || Download paper

  45. The Current Depth of Recession and Unemployment Rate Forecasts. (1997). Rothman, Philip ; Parker, Randall E..
    In: Working Papers.
    RePEc:wop:eacaec:9729.

    Full description at Econpapers || Download paper

  46. Threshold Autoregressions with a Unit Root. (1997). Hansen, Bruce ; Caner, Mehmet.
    In: Boston College Working Papers in Economics.
    RePEc:boc:bocoec:381.

    Full description at Econpapers || Download paper

  47. Capacity utilization as a real-time predictor of manufacturing output. (1996). Koenig, Evan.
    In: Economic and Financial Policy Review.
    RePEc:fip:fedder:y:1996:i:qiii:p:16-23.

    Full description at Econpapers || Download paper

  48. The Bank of Canadas New Quarterly Porjection Model Part 4 : A Semi- Structural Method to Estimate Potential Output : Combining Economic Theory with a Time-Series Filter.. (1996). Butler, L.
    In: Technical Reports.
    RePEc:bca:bocatr:77.

    Full description at Econpapers || Download paper

  49. Are the Effects of Monetary Policy Asymmetric?. (1995). Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-06.

    Full description at Econpapers || Download paper

  50. Are the Effects of Monetary Policy Asymmetric in Australia?. (). Bodman, Philip.
    In: MRG Discussion Paper Series.
    RePEc:qld:uqmrg6:04.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-13 01:32:12 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.