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...

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,...