65 citations · 107 across the 5 of their papers we have counts for
4 papers · 1 filter
Time-Varying Model Averaging of Multi-layer Network Vector Autoregressions
Degui Li, Yuying Sun, Boyao Wu
In this paper, we introduce a flexible time-varying multi-layer network vector autoregression (VAR) model framework for large-scale time series, allowing agents in dynamic systems…
Estimating the Impact of Social Distance Policy in Mitigating COVID-19 Spread with Factor-Based Imputation Approach
Difang Huang, Ying Liang, Boyao Wu +1
We identify the effectiveness of social distancing policies in reducing the transmission of the COVID-19 spread. We build a model that measures the relative frequency and geographi…
Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy
Muzi Chen, Yuhang Wang, Boyao Wu +1
The interactive effect is significant in the Chinese stock market, exacerbating the abnormal market volatilities and risk contagion. Based on daily stock returns in the Shanghai St…
Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price
Muzi Chen, Nan Li, Lifen Zheng +2
The connectivity of stock markets reflects the information efficiency of capital markets and contributes to interior risk contagion and spillover effects. We compare Shanghai Stock…