This paper investigates the inter-connectedness between WTI oil price returns and the
returns of listed firms in the US energy sector. Specifically, we focus on the issue of whether …

Bridging factor and sparse models Page 1 The Annals of Statistics 2023, Vol. 51, No. 4,
1692–1717 https://doi.org/10.1214/23-AOS2304 © Institute of Mathematical Statistics, 2023 …

This paper examines the impact of economic policy uncertainty (EPU) on market‐driven
common stock returns and individual‐driven idiosyncratic stock returns as well as explores …

Interconnectedness between stocks and firms plays a crucial role in the volatility contagion
phenomena that characterize financial crises, and graphs are a natural tool in their analysis …

We propose FNETS, a methodology for network estimation and forecasting of high-
dimensional time series exhibiting strong serial-and cross-sectional correlations. We …

Since the beginning of the twenty-first century, several pandemics, including SARS and
COVID-19, have spread faster and on a broader scale. Not only do they harm people's …

To accurately measure the dynamic characteristics of systemic risk contagion under the
impact of extreme financial events, we construct a research framework that analyzes the …

In this article, which consists of two parts (Part I: representation results; Part II: estimation and
forecasting methods), we set up the theoretical foundations for a high‐dimensional …

This article is the second one in a set of two laying the theoretical foundations for a high‐
dimensional functional factor model approach in the analysis of large cross‐sections …

Several novel large volatility matrix estimation methods have been developed based on the
high-frequency financial data. They often employ the approximate factor model that leads to …