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Understanding Systematic Risk: A High‐Frequency Approach

Citations

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Cited by:

  1. Cheng, Mingmian & Liao, Yuan & Yang, Xiye, 2023. "Uniform predictive inference for factor models with instrumental and idiosyncratic betas," Journal of Econometrics, Elsevier, vol. 237(2).
  2. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
  3. Chao, Xiangrui & Ran, Qin & Chen, Jia & Li, Tie & Qian, Qian & Ergu, Daji, 2022. "Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions," International Review of Financial Analysis, Elsevier, vol. 80(C).
  4. Zhang, Hao & Zhang, Lu & Zhao, Hua, 2025. "Intraday variation of systematic risk in China," Finance Research Letters, Elsevier, vol. 86(PG).
  5. Jorge Guijarro-Ordonez & Markus Pelger & Greg Zanotti, 2021. "Deep Learning Statistical Arbitrage," Papers 2106.04028, arXiv.org, revised Oct 2022.
  6. Gagliardini, Patrick & Ossola, Elisa & Scaillet, Olivier, 2020. "Estimation of large dimensional conditional factor models in finance," Handbook of Econometrics, in: Steven N. Durlauf & Lars Peter Hansen & James J. Heckman & Rosa L. Matzkin (ed.), Handbook of Econometrics, edition 1, volume 7, chapter 0, pages 219-282, Elsevier.
  7. Alain-Philippe Fortin & Patrick Gagliardini & O. Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Swiss Finance Institute Research Paper Series 22-81, Swiss Finance Institute.
  8. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Testing for Multi-Asset Systemic Tail Risk," Working Papers 2023-016, Federal Reserve Bank of St. Louis, revised 29 May 2026.
  9. Zhang, Ailian & Pan, Mengmeng & Zhang, Xuan, 2025. "The pricing ability of factor model based on machine learning: Evidence from high-frequency data in China," International Review of Economics & Finance, Elsevier, vol. 101(C).
  10. Lei Jia & Shouri Hu & Zhaoxing Gao, 2026. "Structural Change Detection in High-Dimensional Transformed Factor Models via Canonical Correlation Analysis," Papers 2606.01553, arXiv.org.
  11. Dinesh Gajurel & Mardi Dungey & Wenying Yao & Nagaratnam Jeyasreedharan, 2020. "Jump Risk in the US Financial Sector," The Economic Record, The Economic Society of Australia, vol. 96(314), pages 331-349, September.
  12. A. Monta~n'es & E. Ruiz, 2026. "Interpreting (and testing) factor loadings," Papers 2607.12568, arXiv.org.
  13. Dimitrov, Daniel & van Wijnbergen, Sweder, 2023. "Macroprudential Regulation: A Risk Management Approach," CEPR Discussion Papers 17846, Centre for Economic Policy Research.
  14. Hałaj, Grzegorz & Hipp, Ruben, 2025. "Decomposing systemic risk: The roles of contagion and common exposures," Journal of Financial Stability, Elsevier, vol. 80(C).
  15. Luyang Chen & Markus Pelger & Jason Zhu, 2024. "Deep Learning in Asset Pricing," Management Science, INFORMS, vol. 70(2), pages 714-750, February.
  16. Dashan Huang & Fuwei Jiang & Kunpeng Li & Guoshi Tong & Guofu Zhou, 2022. "Scaled PCA: A New Approach to Dimension Reduction," Management Science, INFORMS, vol. 68(3), pages 1678-1695, March.
  17. Chen, Dachuan & Feng, Long & Mykland, Per A. & Zhang, Lan, 2026. "High dimensional regression coefficient test with high frequency data," Journal of Econometrics, Elsevier, vol. 254(PA).
  18. Chen, Dachuan & Lu, Wenqi & Xie, Siyu, 2025. "High frequency factor analysis with partially observable factors," Journal of Econometrics, Elsevier, vol. 251(C).
  19. Bibinger, Markus & Neely, Christopher & Winkelmann, Lars, 2019. "Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book," Journal of Econometrics, Elsevier, vol. 209(2), pages 158-184.
  20. Liyuan Cui & Yongmiao Hong & Yingxing Li & Junhui Wang, 2024. "A Regularized High-Dimensional Positive Definite Covariance Estimator with High-Frequency Data," Management Science, INFORMS, vol. 70(10), pages 7242-7264, October.
  21. Xinbing Kong & Cheng Liu & Bin Wu, 2025. "Data Synchronization at High Frequencies," Papers 2507.12220, arXiv.org.
  22. Wang, Peiwan & Zong, Lu, 2023. "Does machine learning help private sectors to alarm crises? Evidence from China’s currency market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
  23. Xiaolu Wei & Hongbing Ouyang, 2023. "Forecasting Carbon Price Using Double Shrinkage Methods," IJERPH, MDPI, vol. 20(2), pages 1-20, January.
  24. Li, Hong & Shi, Yanlin, 2021. "A new unique information share measure with applications on cross-listed Chinese banks," Journal of Banking & Finance, Elsevier, vol. 128(C).
  25. Sun, Yucheng & Xu, Wen & Zhang, Chuanhai, 2023. "Identifying latent factors based on high-frequency data," Journal of Econometrics, Elsevier, vol. 233(1), pages 251-270.
  26. Torben G. Andersen & Yi Ding & Viktor Todorov & Seunghyeon Yu, 2025. "The Factor Structure of Jump Risk," Working Papers 202531, University of Macau, Faculty of Business Administration, revised Mar 2026.
  27. Li, Qiyuan & Li, Yifan & Nolte, Ingmar & Nolte, Sandra & Yu, Shifan, 2026. "Testing for jumps in a discretely observed price process with endogenous sampling times," Journal of Econometrics, Elsevier, vol. 254(PA).
  28. Plante, Michael, 2025. "Investing in the batteries and vehicles of the future: A view through the stock market," Energy Economics, Elsevier, vol. 143(C).
  29. Zhou, Dong-hai & Liu, Xiao-xing, 2023. "Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
  30. Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
  31. Kalnina, Ilze & Tewou, Kokouvi, 2025. "Cross-sectional dependence in idiosyncratic volatility," Journal of Econometrics, Elsevier, vol. 249(PB).
  32. Choi, Jungjun & Yang, Xiye, 2022. "Asymptotic properties of correlation-based principal component analysis," Journal of Econometrics, Elsevier, vol. 229(1), pages 1-18.
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