In this paper, we describe a method for clustering financial time series which is based on community analysis, a recently developed approach for partitioning the nodes of a network (graph). A network with N nodes is associated to the set of N time series. The weight of the link (i; j), which...

Cycles in the behavior of stock markets have been widely documented. There is an increasing body of literature on whether stock markets anticipate business cycles or its turning points. Several recent studies assert that financial integration impacts positively on business cycle comovements of...

Many time-series exhibit "long memory": Their autocorrelation function decays slowly with lag. This behavior has traditionally been modeled via unit roots or fractional Brownian motion and explained via aggregation of heterogenous processes, nonlinearity, learning dynamics, regime switching or...

We propose the dynamic network effect (DNE) model for the study of high-dimensional multivariate time series data. Cross-sectional dependencies between units are captured via one or multiple observed networks and a low-dimensional vector of latent stochastic network effects. The...