Sixuan He

Sixuan He

Love Python, Econometrics, and life

Publications

High-dimensional Multivariate Realized Volatility Forecasting with Community Network Structure

Published in Journal of Business & Economic Statistics (accepted author version), 2026

We introduce the Community Network Heterogeneous Autoregressive model with Quarticity (CNHARQ), which integrates network-based information to enhance multivariate realized volatility forecasting. A Correlation-Based Stochastic Block Model (CBSBM) uncovers latent community structures, reducing parameter dimensionality and improving out-of-sample forecast accuracy over static industry classifications.

Recommended citation: He, Sixuan, and Cheng Liu. (2026). "High-dimensional Multivariate Realized Volatility Forecasting with Community Network Structure." Journal of Business & Economic Statistics. (accepted author version, posted online February 18, 2026) https://doi.org/10.1080/07350015.2026.2632810

The Propagation Path of Jump Risk in the Stock Market

Published in Working paper, 2023

This paper identifies the propagation paths of jump risk in the stock market by combining high-frequency data with network analysis. The results reveal six risk communities and key transmission channels, showing that the securities community is the main source of jump risk, which spreads to the broader market and then to energy and infrastructure sectors.

Recommended citation: He, Sixuan, and Cheng Liu. (2023). "The Propagation Path of Jump Risk in the Stock Market." Working paper.