run_filtering_alg {bbdetection}

Runs the filtering algorithm to identify Bull and Bear states

Description

This function implements the filtering algorithm of Lunde and Timmermann (2004) to identify Bull and Bear states

Usage

run_filtering_alg(index)

Arguments

index

vector containing the stock price index

Value

A logical vector that contains TRUE for Bull states and FALSE for Bear states

Note

Be aware that the states in the beginning and in the end of "index" are not properly defined

References

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.