Components of Bull and Bear Markets: Bull Corrections and Bear Rallies
提出一个概率模型来识别市场中的牛市修正和熊市反弹，分析其动态特征，并用贝叶斯方法估计参数和状态，最后通过风险价值示例展示其经济价值。
Existing methods of partitioning the market index into bull and bear regimes do not identify market corrections or bear market rallies. In contrast, our probabilistic model of the return distribution allows for rich and heterogeneous intra-regime dynamics. We focus on the characteristics and dynamics of bear market rallies and bull market corrections, including, for example, the probability of transition from a bear market rally into a bull market versus back to the primary bear state. A Bayesian estimation approach accounts for parameter and regime uncertainty and provides probability statements regarding future regimes and returns. A Value-at-Risk example illustrates the economic value of our approach.