arXiv subjects

Boyao Wu

Publications and source records attributed to Boyao Wu.

5 recordsLinked to original sources

arXiv2026

Time-Varying Model Averaging of Multi-layer Network Vector Autoregressions

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 to interact through multiple channels and incorporating multiple adjacency matrices to capture network spillover effects. We propose a penalized model averaging method to determine a time-varying optimal combination of multi-layer network VAR candidate models whose number may be divergent. Under some regularity conditions, the asymptotic properties such as asymptotic optimality and convergence rates of the proposed time-varying weight estimation are derived in the contexts of both the in-sample fitting and out-of-sample prediction. In addition, we extend the conformal prediction method to construct prediction bands for locally stationary time series. Monte-Carlo simulation studies and an empirical application to forecast CPI inflation by combining multiple network information are given to illustrate reliable finite-sample estimation and predictive performance of the developed methodology.

econ.EM↗

arXiv2024

Estimating the Impact of Social Distance Policy in Mitigating COVID-19 Spread with Factor-Based Imputation Approach

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 geographic distribution of the virus growth rate and provides hypothetical infection distribution in the states that enacted the social distancing policies, where we control time-varying, observed and unobserved, state-level heterogeneities. Using panel data on infection and deaths in all US states from February 20 to April 20, 2020, we find that stay-at-home orders and other types of social distancing policies significantly reduced the growth rate of infection and deaths. We show that the effects are time-varying and range from the weakest at the beginning of policy intervention to the strongest by the end of our sample period. We also found that social distancing policies were more effective in states with higher income, better education, more white people, more democratic voters, and higher CNN viewership.

econ.EM↗

arXiv2024

Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect

This paper proposes a time-zone vector autoregression (VAR) model to investigate comovements in the global financial market. Analyzing daily data from 36 national equity markets, we explore the subprime and European debt crises using static analysis and the COVID-19 crisis through a rolling window method. Our study of comovements using VAR coefficients reveals a resonance effect in the global system. Findings on densities and assortativities suggest the existence of the transmission mechanism in all periods and abnormal structural changes during the crises. Strength analysis uncovers the information transmission mechanism across continents over normal and turmoil periods and emphasizes specific stock markets' unique roles. We examine dynamic continent strengths to demonstrate the contagion mechanism in the global equity market over an extended period. Incorporating the time-zone effect significantly enhances the VAR model's interpretability. Signed networks provide more information on global equity markets and better identifies critical contagion patterns than unsigned networks.

econ.GN↗

arXiv2024

Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price

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 Exchange A-shares (SSE A-shares) during tranquil periods, with high leverage periods associated with the 2015 subprime mortgage crisis. We use Pearson correlations of returns, the maximum strongly connected subgraph, and $3σ$ principle to iteratively determine the threshold value for building a dynamic correlation network of SSE A-shares. Analyses are carried out based on the networking structure, intra-sector connectivity, and node status, identifying several contributions. First, compared with tranquil periods, the SSE A-shares network experiences a more significant small-world and connective effect during the subprime mortgage crisis and the high leverage period in 2015. Second, the finance, energy and utilities sectors have a stronger intra-industry connectivity than other sectors. Third, HUB nodes drive the growth of the SSE A-shares market during bull periods, while stocks have a think-tail degree distribution in bear periods and show distinct characteristics in terms of market value and finance. Granger linear and non-linear causality networks are also considered for the comparison purpose. Studies on the evolution of inter-cycle connectivity in the SSE A-share market may help investors improve portfolios and develop more robust risk management policies.

econ.EM↗

arXiv2024

Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy

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 Stock Exchange (SSE) A-shares, this paper divides the period between 2005 and 2018 into eight bull and bear market stages to investigate interactive patterns in the Chinese financial market. We employ the LASSO method to construct the stock network and further use the Map Equation method to analyze the evolution of modules in the SSE A-shares market. Empirical results show: (1) The connected effect is more significant in bear markets than bull markets; (2) A system module can be found in the network during the first four stages, and the industry aggregation effect leads to module differentiation in the last four stages; (3) Some stocks have leading effects on others throughout eight periods, and medium- and small-cap stocks with poor financial conditions are more likely to become risk sources, especially in bear markets. Our conclusions are beneficial to improving investment strategies and making regulatory policies.

econ.EM↗