bbdetection: Identification of Bull and Bear States of the Market

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

Downloads:

Reference manual: bbdetection.pdf
Package source: bbdetection_1.0.tar.gz
Windows binaries: r-devel: bbdetection_1.0.zip, r-devel-UCRT: 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-release (x86_64): bbdetection_1.0.tgz, r-oldrel: bbdetection_1.0.tgz

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