setpar_filtering_alg {bbdetection}

Sets the paramters of the filtering algorithm

Description

This function sets the paramters of the filtering algorithm of Lunde and Timmermann (2004)

Usage

setpar_filtering_alg(tr_bull, tr_bear)

Arguments

tr_bull

threshold to idenitfy a Bull state (in percentages)

tr_bear

threshold to idenitfy a Bear state (in percentages)

Value

None

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.