The tourism industry is highly susceptible to global economic fluctuations and uncertainties. Understanding the asymmetric effects of macroeconomic factors on tourism demand is crucial for developing effective policies and strategies in the sector. This study examines the asymmetric impacts of...

We propose a network model with communities to study the stock co-jump dependency. To estimate the community structure, we extend the SCORE algorithm in Jin (2015) and develop a Spectral Clustering On Ratios-of-Eigenvectors for networks with Dependent Multivariate Poisson edges (SCORE-DMP)...

The long-memory and nonlinearity coexist in realised volatility. This paper incorporates the linear AR and HAR models with regime-switching models, including the smooth transition and Markov-switching approaches, to assess the forecasting performance of realized volatility. In-sample results...

Using the staggered changes in unemployment insurance (UI) benefits across states in the US as an exogenous shock to employees’ costs of unemployment and the hiring firm’s costs of disclosure, this study investigates whether and how a firm’s relationship with its employees impacts its...