The Predictability of Stock Market Regime: Evidence from the Toronto Stock Exchange
利用切换回归框架，检验股票价格偏离基本面是否有助于预测下一期市场处于上涨还是下跌机制，以及该机制下的回报大小。研究发现，大多数实际崩盘前，崩盘概率会上升。
Are stock market crashes and rallies related to deviations from the apparent fundamental share price? Using a switching-regression framework, the authors test whether apparent deviations help to predict the regime from which the next period's stock market return is drawn and the magnitude of returns in that regime. They find that the probability of a collapse rises before most actual crashes. Likelihood ratio tests confirm that regime switches are influenced by apparent deviations. Copyright 1993 by MIT Press.