Report NEP-ETS-2013-09-26This is the archive for NEP-ETS, a report on new working papers in the area of Econometric Time Series. Yong Yin issued this report. It is usually issued weekly.
The following items were announced in this report:
- Takero Ibuki & Shunsuke Higano & Sei Suzuki & Jun-ichi Inoue & Anirban Chakraborti, 2013. "Statistical inference of co-movements of stocks during a financial crisis," Papers 1309.1871, arXiv.org.
- Raffaello Morales & T. Di Matteo & Tomaso Aste, 2013. "Dependency Structure and Scaling Properties of Financial Time Series Are Related," Papers 1309.2411, arXiv.org.
- R\'emy Chicheportiche, 2013. "Non-linear dependences in finance," Papers 1309.5073, arXiv.org.
- Andreou, Elena & Werker, Bas J M, 2013. "Residual-based Rank Specification Tests for AR-GARCH type models," CEPR Discussion Papers 9583, C.E.P.R. Discussion Papers.
- Peter C.B. Phillips & Shu-Ping Shi & Jun Yu, 2013. "Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500," Cowles Foundation Discussion Papers 1914, Cowles Foundation for Research in Economics, Yale University.