run_filtering_alg {bbdetection} | R Documentation |
This function implements the filtering algorithm of Lunde and Timmermann (2004) to identify Bull and Bear states
run_filtering_alg(index)
index |
vector containing the stock price index |
A logical vector that contains TRUE for Bull states and FALSE for Bear states
Be aware that the states in the beginning and in the end of "index"
are not properly defined
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.