Page Not Found
Page not found. Your pixels are in another canvas.
Sitemap
A list of all the posts and pages found on the site. For you robots out there is an XML version available for digesting as well.
Pages
Sixuan He / Steven He / 何斯玄
About me
Page not in menu
This is a page not in th emain menu
Posts
Set up my website by Jekyll
Published:
For many years, I always dream of my website although I am not an IT engineer. In 2023, it came true with helps from Jekyll. As a static website generator, it can transform your plain text into static websites and blogs as this website.
Econ
Python
Packages for Data Analysis
Published:
This article introduces the fundamental packages for data analysis in Python: NumPy, Pandas, SciPy, and Matplotlib.
Matplotlib: The Visualization Toolkit for Data Analysis
Published:
This article introduces Matplotlib, the fundamental library for creating static, interactive, and animated visualizations in Python.
Quan
portfolio
Portfolio item number 1
Published:
Short description of portfolio item number 1
Portfolio item number 2
Published:
Short description of portfolio item number 2
publications
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.
High-Dimensional Realized Tail Risk Forecasting Based on Tail-Event Driven Networks
Published in Working paper, 2025
This paper proposes a tail-event driven network approach for high-dimensional realized tail risk forecasting.
Recommended citation: He, Sixuan, and Cheng Liu. (2025). "High-Dimensional Realized Tail Risk Forecasting Based on Tail-Event Driven Networks." Working paper.
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
talks
Talk 1 on Relevant Topic in Your Field
Published:
This is a description of your talk, which is a markdown files that can be all markdown-ified like any other post. Yay markdown!
Conference Proceeding talk 3 on Relevant Topic in Your Field
Published:
This is a description of your conference proceedings talk, note the different field in type. You can put anything in this field.
teaching
Teaching experience 1
Undergraduate course, University 1, Department, 2014
This is a description of a teaching experience. You can use markdown like any other post.
Teaching experience 2
Workshop, University 1, Department, 2015
This is a description of a teaching experience. You can use markdown like any other post.