Stock co-jump networks

DOI10.1016/j.jeconom.2023.01.026OpenAlexW4353048386MaRDI QIDQ6150522

Xinghua Zheng, Yi Ding, Guoli Liu, Ying-Ying Li

Publication date: 6 March 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.01.026

zbMATH Keywords

networkjumpshigh-frequency datacommunity detectionco-jumpsstock dependence

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method
• Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps
• Jump Regressions
• Jump factor models in large cross‐sections
• A goodness-of-fit test for stochastic block models

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