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)...

This paper introduces a new approach to constructing optimal mean-variance portfolios. The approach relies on a novel unconstrained regression representation of the mean-variance optimization problem combined with high-dimensional sparse-regression methods. Our estimated portfolio, under a mild...

When estimating integrated volatilities based on high-frequency data, simplifying assumptions are usually imposed on the relationship between the observation times and the price process. In this paper, we establish a central limit theorem for the Realized Volatility in a general endogenous time...

We establish a framework to study the factor structure in stock variance under a high-frequency and high-dimensional setup. We prove the consistency of conducting principal component analysis on realized variances in estimating the factor structure. Moreover, based on strong empirical evidence,...

Income elasticity dynamics of health expenditure is considered for the OECD and the Eurozone over the period 1995-2014. This paper studies a novel non-linear cointegration model with fixed effects, controlling for cross-section dependence and unobserved heterogeneity. Most importantly, its...