Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets

Asger Lunde () and Allan Timmermann

Journal of Business & Economic Statistics, 2004, vol. 22, 253-273

Date: 2004
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Related works:
Working Paper: Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets (2003)
Working Paper: Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets (2000)
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