Abstract:This paper presents a new non-parametric methodology for the description of the evolution of the asset cycle in the stock market. It uses the empirical distribution of the data; in particular the structures of the tails of return distributions to build BoomBust Indicators (BBI) that describe whether a given market is a bull or a bear. These indicators, for three different time horizons, perform better than the usual binary sequence of financial crises because they measure both direction and intensity, they hav… Show more
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