Description Usage Arguments Value References
This function sets the paramters of the filtering algorithm of Lunde and Timmermann (2004)
1 | setpar_filtering_alg(tr_bull, tr_bear)
|
tr_bull |
threshold to idenitfy a Bull state (in percentages) |
tr_bear |
threshold to idenitfy a Bear state (in percentages) |
None
Lunde, A. and Timmermann, A. (2004). Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets. Journal of Business and Economic Statistics, 22 (3), 253-273.
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