Before revision:  Our empirical application redefines the meaning of big in big data, in the context of TVP VAR models, and track dynamic connections among illiquidity ratios of all S\&P500 constituents. We then study the information content of these measures for the market return and real economy .
After revision:  Our empirical application on firm-level realized volatilities documents substantial heterogeneities in dynamic network structures that may be useful as an online monitoring tool to help guide macro-prudential policy .