John M. Maheu, Thomas H. McCurdy, Yong Song
arXiv 3 Dec 2020 · Econometrics · publishedFinance research letters (2021) · 12 citations (OpenAlex)
arXiv:2012.01623 · PDF · DOI · OpenAlex · Extracted main text
The COVID-19 pandemic has caused severe disruption to economic and financial activity worldwide. We assess what happened to the aggregate U.S. stock market during this period, including implications for both short and long-horizon investors. Using the model of Maheu, McCurdy and Song (2012), we provide smoothed estimates and out-of-sample forecasts associated with stock market dynamics during the pandemic. We identify bull and bear market regimes including their bull correction and bear rally components, demonstrate the model's performance in capturing periods of significant regime change, and provide forecasts that improve risk management and investment decisions. The paper concludes with out-of-sample forecasts of market states one year ahead.
appendix boundary found by appendix_titled_section at “Appendix” · 71% of the source is main text. Read the extracted text to check this.
The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Maheu, McCurdy \ Song (2012) `Components of bull and bear markets: Bull corrections and bear rallies', Journal of Business & Economic Statistics 30(3), 391–403 | 1.000 | 8 | 5 | 100% |
| 2 | Chib (1996) `Calculating posterior distributions and modal estimates in markov mixture models', Journal of Econometrics 75, 79–97 | 0.405 | 1 | 1 | 100% |
| 3 | Lunde \ Timmermann (2004) `Duration dependence in stock prices: An analysis of bull and bear markets', Journal of Business & Economic Statistics 22(3), 25… | 0.405 | 1 | 1 | 100% |
| 4 | Pagan \ Sossounov (2003) `A simple framework for analysing bull and bear markets', Journal of Applied Econometrics 18(1), 23–46 | 0.405 | 1 | 1 | 100% |
| 5 | Schwert (1990) `Indexes of u.s | 0.405 | 1 | 1 | 100% |
| 6 | Kass \ Raftery (1995) `Bayes factors', Journal of the American Statistical Association 90(420), 773–795 | 0.000 | 1 | 1 | 0% |
| 7 | Fine, Singer \ Tishby (1998) `The hierarchical hidden markov model: Analysis and applications', Machine learning 32(1), 41–62 | 0.000 | 1 | 1 | 0% |
Showing the top 7 of 7 scored citations.