CRAN/E | bbdetection

bbdetection

Identification of Bull and Bear States of the Market

Installation

About

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.

Key Metrics

Version 1.0
R ≥ 4.0
Published 2021-04-01 1093 days ago
Needs compilation? yes
License GPL-3
CRAN checks bbdetection results

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Maintainer

Maintainer

Valeriy Zakamulin

valeriz@uia.no

Authors

Valeriy Zakamulin

Material

Reference manual
Package source

macOS

r-release

arm64

r-oldrel

arm64

r-release

x86_64

r-oldrel

x86_64

Windows

r-devel

x86_64

r-release

x86_64

r-oldrel

x86_64

Depends

R ≥ 4.0

Imports

Rcpp ≥ 0.12.5
zoo
xtable
ggplot2

LinkingTo

Rcpp