Ding, Yi; Li, Yingying; Liu, Guoli; Zheng, Xinghua - 2022
We propose a network model with communities to study the stock co-jump dependency. To estimate the community structure, we extend the SCORE algorithm in Jin (2015) and develop a Spectral Clustering On Ratios-of-Eigenvectors for networks with Dependent Multivariate Poisson edges (SCORE-DMP)...