setpar_filtering_alg {bbdetection} | R Documentation |
This function sets the paramters of the filtering algorithm of Lunde and Timmermann (2004)
setpar_filtering_alg(tr_bull, tr_bear)
tr_bull |
threshold to idenitfy a Bull state (in percentages) |
tr_bear |
threshold to idenitfy a Bear state (in percentages) |
None
Lunde, A. and Timmermann, A. (2004). Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets. Journal of Business and Economic Statistics, 22 (3), 253-273.