News-implied linkages and local dependency in the equity market

DOI10.1016/j.jeconom.2022.07.004OpenAlexW4296371182MaRDI QIDQ6108277

Shaoran Li, Oliver B. Linton, Shuyi Ge

Publication date: 29 June 2023

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2022.07.004

zbMATH Keywords

networksbig datalocal dependencylarge heterogeneous panelspatial asset pricing modelweak and strong cross-sectional dependence

Mathematics Subject Classification ID

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

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