Reference: | 何興強和周開國(2006),「牛、市週期和股市間的週期熊性」,《管理世界》,4,35-40。 徐婉容(2020),「認定與預測台灣股市熊市」,《中央銀行季刊》,42(2),37-72。 Ahmed, J., Straetmans, S. (2015), “Predicting Exchange Rate Cycles Utilizing Risk Factors,” Journal of Empirical Finance, 34, 112–130. Chen, Shiu-Sheng (2009), “Predicting the Bear Stock Market: Macroeconomic Variables as Leading Indicators,” Journal of Banking & Finance,33(2), 211-223. Clewell, D., Faulkner-Macdonagh, C., Giroux, D., Page, S., Shriver, C. (2017), “Macroeconomic Dashboards for Tactical Asset Allocation,” The Journal of Portfolio Management, 44(2), 50–61. Eugene F. Fama, Kenneth R. French (1993), “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics, 33(1),3-56. Gonzalez, L., Powell, J., Shi, J., Wilson, A. (2005), “Two Centuries of Bull and Bear Market Cycles,” International Review of Economics Finance,14(4), 469–486. Granger, C., Newbold, P., Econom, J. (1974), “Spurious Regressions in Econometrics,” Baltagi, Badi H. A Companion of Theoretical Econometrics, 557–61. Grauer, R., Hakansson, N., Shen, F. (1990), “Industry Rotation in the Us Stock Market: 1934–1986 Returns on Passive, Semi-Passive, and Active Strategies,” Journal of Banking Finance, 14(2-3), 513–538. Levis, M., Liodakis, M. (1999), “The Profitability of Style Rotation Strategies in the United Kingdom,” The Journal of Portfolio Management, 26(1),73-86. Lunde, A., Timmermann, A. (2004), “Duration Dependence in Stock Prices: An Analysis of Bull and Bear Markets,” Journal of Business & Economic Statistics, 22(3), 253-273. Maheu, J., McCurdy, T. (2000), “Identifying Bull and Bear Markets in Stock Returns,”Journal of Business & Economic Statistics, 18(1), 100-112. Nelson, C., Plosser, C. (1982), “Trends and Random Walks in Macroeconomic Time Series: Some Evidence and Implications,” Journal of Monetary Economics, 10(2), 139–162. Nyberg, H. (2013), “Predicting Bear and Bull Stock Markets With Dynamic Binary Time Series Models,” Journal of Banking Finance, 37(9), 3351–3363. Pagan, A., Sossounov, K. (2003), “A Simple Framework for Analysing Bull and Bear Markets,” Journal of Applied Econometrics, 18(1), 23–46. Said, S., Dickey, D. (1984), “Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order,” Biometrika, 71(3), 599–607. Shiller, R., Black, L., Jivraj, F. (2020), CAPE and the COVID-19 Pandemic Effect, Available at SSRN 3714737. Tibshirani, R. (1996), “Regression Shrinkage and Selection via the Lasso,” Journal of the Royal Statistical Society: Series B (Methodological), 58(1),267–288.39 Wu, T., Chen, Y., Hastie, T., Sobel, E., Lange, K. (2009), “Genome-Wide Association Analysis by Lasso Penalized Logistic Regression,” Bioin-formatics, 25(6), 714–721. |