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Implements two algorithms of detecting Bull and Bear markets in stock prices: the algorithm of Pagan and Sossounov (2002, <doi:10.1002/jae.664>) and the algorithm of Lunde and Timmermann (2004, <doi:10.1198/073500104000000136>). The package also contains functions for printing out the dating of the Bull and Bear states of the market, the descriptive statistics of the states, and functions for plotting the results. For the sake of convenience, the package includes the monthly and daily data on the prices (not adjusted for dividends) of the S&P 500 stock market index.
| Version: | 1.0 |
| Depends: | R (≥ 4.0) |
| Imports: | Rcpp (≥ 0.12.5), zoo, xtable, ggplot2 |
| LinkingTo: | Rcpp |
| Published: | 2021-04-01 |
| Author: | Valeriy Zakamulin |
| Maintainer: | Valeriy Zakamulin <valeriz at uia.no> |
| License: | GPL-3 |
| NeedsCompilation: | yes |
| CRAN checks: | bbdetection results |
| Reference manual: | bbdetection.pdf |
| Package source: | bbdetection_1.0.tar.gz |
| Windows binaries: | r-devel: bbdetection_1.0.zip, r-release: bbdetection_1.0.zip, r-oldrel: bbdetection_1.0.zip |
| macOS binaries: | r-release (arm64): bbdetection_1.0.tgz, r-oldrel (arm64): bbdetection_1.0.tgz, r-release (x86_64): bbdetection_1.0.tgz, r-oldrel (x86_64): bbdetection_1.0.tgz |
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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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