Access Statistics for Jianqing Fan

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A selective overview of nonparametric methods in financial econometrics 0 0 0 30 2 2 3 149
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data 0 1 12 12 2 4 79 79
Adaptive varying co-efficient linear models 0 0 0 3 0 0 0 40
Adaptive varying-coefficient linear models 0 0 0 3 2 3 4 46
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios 0 0 0 61 2 3 7 376
Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia 0 0 0 42 0 2 4 103
Bootstrapping $\ell_p$-Statistics in High Dimensions 0 0 0 9 0 0 1 29
Bridging factor and sparse models 0 0 1 31 1 3 6 73
Can a Machine Correct Option Pricing Models? 0 0 0 10 1 2 6 18
Can a Machine Correct Option Pricing Models? 0 0 1 43 1 3 9 63
Conditional nonparametric variable screening by neural factor regression 1 1 1 18 1 3 7 12
Conditional nonparametric variable screening by neural factor regression 0 0 0 17 0 0 5 12
Density and Regression Smoothing 0 0 0 25 0 0 0 188
Direct estimation of low dimensional components in additive models 0 0 0 11 0 2 2 182
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 26 3 4 5 31
Efficient estimation of conditional variance functions in stochastic regression 0 0 0 10 0 0 1 61
Endogeneity in ultrahigh dimension 0 0 0 44 4 4 7 121
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems 0 0 0 10 1 1 2 54
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data 0 0 12 12 0 4 46 46
Functional-coefficient regression models for nonlinear time series 0 0 0 40 1 1 2 262
Generalized Partially Linear Single-Index Models 0 0 0 77 1 1 4 1,464
How and When are High-Frequency Stock Returns Predictable? 2 15 65 305 13 41 158 629
Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review 0 0 0 6 0 1 6 14
Large covariance estimation by thresholding principal orthogonal complements 0 0 1 55 5 5 12 192
Modelling multivariate volatilities via conditionally uncorrelated components 1 1 1 3 2 2 2 42
Policy Optimization Using Semi-parametric Models for Dynamic Pricing 0 0 1 3 0 0 2 25
Profile-kernel likelihood inference with diverging number of parameters 0 0 0 2 1 1 1 45
Recent Developments on Factor Models and its Applications in Econometric Learning 1 1 1 44 4 4 7 97
Risks of Large Portfolios 0 0 0 28 4 7 7 90
Risks of large portfolios 0 0 0 63 0 2 2 122
Robust Inference of Risks of Large Portfolios 0 0 0 45 0 0 1 50
Sparsistency and rates of convergence in large covariance matrix estimation 0 0 0 8 1 2 4 67
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 2 55 1 1 7 166
To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied 0 0 0 1 0 0 2 25
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection 0 0 0 61 2 2 5 216
When can weak latent factors be statistically inferred? 0 2 3 10 1 3 15 29
Total Working Papers 5 21 101 1,223 56 113 431 5,218

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Design-Adaptive Local Polynomial Estimator for the Errors-in-Variables Problem 0 0 0 21 1 2 2 71
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation 0 0 0 21 2 3 3 93
A class of weighted dependence measures for bivariate failure time data 0 0 0 5 0 0 1 43
A crossvalidation method for estimating conditional densities 0 1 4 33 0 2 6 106
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models 0 0 1 9 1 1 4 38
A road to classification in high dimensional space: the regularized optimal affine discriminant 0 0 0 30 0 0 0 109
Adaptive Huber Regression 1 2 2 15 1 3 5 57
Adaptive varying‐coefficient linear models 0 0 0 36 1 1 1 158
Aggregation of Nonparametric Estimators for Volatility Matrix 0 0 0 6 2 3 4 39
An overview of the estimation of large covariance and precision matrices 0 0 1 47 1 2 6 144
Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function 0 0 0 13 0 0 1 82
Are Latent Factor Regression and Sparse Regression Adequate? 0 0 2 2 0 0 4 4
Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes 0 0 0 2 1 2 2 5
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia 0 0 1 18 2 3 6 47
Average Regression Surface for Dependent Data 0 0 0 11 2 3 3 55
Bayesian factor-adjusted sparse regression 0 0 0 13 1 3 5 34
Bias correction and higher order kernel functions 1 1 1 51 9 9 13 141
Can a Machine Correct Option Pricing Models? 0 0 1 7 1 2 10 25
Comment 0 0 0 0 0 0 0 31
Comment 0 0 0 4 0 1 1 54
Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression” 0 0 0 4 3 3 4 9
Comments on «Wavelets in statistics: A review» by A. Antoniadis 1 1 1 44 2 2 4 136
Comments on: Dynamic relations for sparsely sampled Gaussian processes 0 0 0 2 1 1 1 25
Comments on: ℓ 1 -penalization for mixture regression models 0 0 0 4 1 1 2 35
Communication-Efficient Accurate Statistical Estimation 0 0 1 2 0 1 3 6
Conditional Sure Independence Screening 0 0 0 3 2 6 6 27
Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs 0 0 0 1 0 1 2 6
Discussion 0 0 0 0 3 5 5 21
Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’ 0 0 0 4 1 2 2 19
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 4 1 2 3 10
Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation 0 0 0 15 1 1 2 54
Embracing the Blessing of Dimensionality in Factor Models 0 0 0 1 1 1 2 22
Error Variance Estimation in Ultrahigh-Dimensional Additive Models 0 0 0 9 0 0 0 34
Estimating Number of Factors by Adjusted Eigenvalues Thresholding 0 1 2 8 3 4 10 40
Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions 0 0 0 31 0 3 9 101
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 1 1 6 39
Estimation of the false discovery proportion with unknown dependence 0 0 0 6 1 1 2 38
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction 0 0 0 23 2 2 9 80
Factor-adjusted regularized model selection 0 0 0 36 3 8 17 134
FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control 0 0 0 1 0 0 2 20
Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification 0 0 0 5 0 0 1 36
Finance and Cluster-Based Industrial Development in China 0 0 1 120 0 1 5 453
Generalised likelihood ratio tests for spectral density 0 0 0 0 1 1 1 55
Generalized high-dimensional trace regression via nuclear norm regularization 0 0 0 18 1 1 1 77
Goodness-of-Fit Tests for Parametric Regression Models 0 0 1 20 0 0 1 108
High dimensional covariance matrix estimation using a factor model 0 2 7 466 3 8 24 1,229
High dimensional semiparametric latent graphical model for mixed data 0 0 0 8 0 1 4 52
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 0 1 5 135
Homogeneity Pursuit 0 0 0 3 2 4 5 34
How Much Can Machines Learn Finance from Chinese Text Data? 0 4 25 25 3 8 57 57
Implementation of generalized quantum measurements for unambiguous discrimination of multiple non-orthogonal coherent states 0 0 0 0 0 0 1 2
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 1 3 19 2 3 9 60
Large covariance estimation by thresholding principal orthogonal complements 0 0 4 32 1 5 22 179
Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors 0 0 0 1 1 3 5 7
Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency 0 0 0 78 0 2 3 275
Local maximum likelihood estimation and inference 0 0 1 8 0 1 6 29
Measuring Housing Vitality from Multi-Source Big Data and Machine Learning 0 0 5 22 1 2 10 46
Minimax estimation of a bounded squared mean 0 0 0 7 2 2 2 45
Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games 0 0 0 0 2 2 5 5
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 20 0 0 1 69
Multi-Agent Inference in Social Networks: A Finite Population Learning Approach 0 0 0 0 2 4 6 23
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data 0 0 1 84 1 1 5 271
Multitask Quantile Regression Under the Transnormal Model 0 0 2 4 2 2 6 22
Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes 0 0 1 36 1 2 5 124
New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis 0 0 1 56 1 2 4 192
NiFe/INSULATOR/CuCOMPOSITE WIRES AND THEIR GIANT MAGNETO-IMPEDANCE EFFECTS 0 0 0 1 0 0 0 8
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models 0 0 0 18 2 3 7 164
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models 0 0 0 7 1 1 2 68
Nonparametric Inferences for Additive Models 0 0 0 61 1 4 5 183
Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci 0 0 0 1 1 1 3 7
Nonparametric Transition-Based Tests for Jump Diffusions 0 0 0 10 0 0 0 61
Nonparametric inference with generalized likelihood ratio tests 0 0 0 107 0 1 2 253
Observation of optomechanical buckling transitions 0 0 0 0 1 2 2 4
One‐step local quasi‐likelihood estimation 0 0 0 31 1 2 2 106
Optimal Covariate Balancing Conditions in Propensity Score Estimation 0 0 0 1 0 0 1 8
Option Pricing With Model-Guided Nonparametric Methods 0 0 0 16 3 4 5 76
Parametrically guided generalised additive models with application to mergers and acquisitions data 0 0 0 0 1 1 1 4
Partially Linear Hazard Regression for Multivariate Survival Data 0 0 0 15 0 1 1 61
Partially linear hazard regression with varying coefficients for multivariate survival data 0 0 1 48 1 5 6 156
Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection 0 0 0 0 0 0 2 85
Policy Optimization Using Semiparametric Models for Dynamic Pricing 0 0 0 1 1 3 4 8
Power Enhancement in High‐Dimensional Cross‐Sectional Tests 0 0 1 11 0 0 3 92
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 0 19 2 2 6 106
Rates of convergence for the pre-asymptotic substitution bandwidth selector 0 0 0 8 1 1 2 49
Recent Developments in Factor Models and Applications in Econometric Learning 0 0 1 36 0 0 2 63
Regularization in statistics 0 0 0 216 0 1 6 607
Regularization of Wavelet Approximations 0 0 0 33 0 0 1 113
Rejoinder 0 0 0 1 0 0 1 42
Rejoinder 0 0 0 0 0 0 1 24
Rejoinder 0 0 0 1 0 0 0 1
Rejoinder on: Nonparametric inference with generalized likelihood ratio tests 1 1 1 20 3 4 4 63
Risks of large portfolios 0 0 0 14 0 0 1 84
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model 0 0 1 8 0 0 4 35
Robust Measures of Earnings Surprises 0 0 1 14 1 2 6 100
Robust covariance estimation for approximate factor models 0 1 1 23 1 3 9 89
Robust estimation of high-dimensional covariance and precision matrices 0 0 1 15 0 1 2 51
Robust inference of risks of large portfolios 0 0 0 1 2 3 4 36
Robust principal component analysis for functional data 0 0 0 179 3 3 4 575
SIMPLE: Statistical inference on membership profiles in large networks 0 0 0 14 1 2 6 34
Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency 0 0 0 27 2 2 2 112
Semiparametric Estimation of Covariance Matrixes for Longitudinal Data 0 0 0 6 0 0 1 54
Semiparametric estimation of Value at Risk 0 0 0 245 2 2 4 648
Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models 0 0 0 56 2 5 10 250
Sparse High-Dimensional Models in Economics 0 0 3 37 0 0 8 168
Sparsifying the Fisher linear discriminant by rotation 0 0 0 2 0 0 1 45
Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities 0 0 1 5 2 3 5 33
Special Issue on Big Data 0 0 0 7 0 2 4 45
Statistical Inference for High-Dimensional Matrix-Variate Factor Models 1 1 3 8 2 4 7 18
Structured volatility matrix estimation for non-synchronized high-frequency financial data 0 0 0 3 0 1 7 46
Sufficient forecasting using factor models 0 0 1 38 2 2 11 157
Sure independence screening for ultrahigh dimensional feature space 0 0 3 146 3 4 18 642
Testing and detecting jumps based on a discretely observed process 0 0 0 38 1 3 5 171
The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases 0 0 0 3 1 1 1 13
The leverage effect puzzle: Disentangling sources of bias at high frequency 1 1 1 36 3 5 11 316
To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied? 0 0 1 12 0 0 1 82
Two‐step estimation of functional linear models with applications to longitudinal data 0 0 0 43 2 3 6 178
Understanding Implicit Regularization in Over-Parameterized Single Index Model 0 0 0 2 1 1 1 4
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties 2 2 9 251 8 10 34 1,081
Variable selection for multivariate failure time data 0 0 0 17 1 2 3 100
Variance estimation using refitted cross‐validation in ultrahigh dimensional regression 0 0 0 20 1 1 2 97
Vast Portfolio Selection With Gross-Exposure Constraints 0 0 0 23 0 1 2 143
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection 0 0 2 10 0 1 4 70
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? 0 0 0 4 0 1 4 31
Total Journal Articles 8 19 101 3,575 137 245 619 13,697

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
The Elements of Financial Econometrics 0 0 0 0 4 6 36 603
Total Books 0 0 0 0 4 6 36 603

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-11-08