Access Statistics for Jianqing Fan

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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 9 13 159
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data 0 1 2 13 0 8 20 89
Adaptive varying co-efficient linear models 0 0 0 3 1 6 8 48
Adaptive varying-coefficient linear models 0 0 0 3 1 7 12 55
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios 0 0 0 61 1 5 11 381
Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia 0 0 0 42 0 5 8 108
Bootstrapping $\ell_p$-Statistics in High Dimensions 0 0 0 9 1 6 7 35
Bridging factor and sparse models 0 0 0 31 0 6 14 83
Can a Machine Correct Option Pricing Models? 0 1 1 11 1 8 14 26
Can a Machine Correct Option Pricing Models? 0 0 1 43 1 5 15 71
Conditional nonparametric variable screening by neural factor regression 0 0 1 18 0 7 11 19
Conditional nonparametric variable screening by neural factor regression 0 0 0 17 0 5 6 17
Density and Regression Smoothing 0 0 0 25 1 9 10 198
Direct estimation of low dimensional components in additive models 0 0 0 11 0 0 2 182
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 26 0 6 11 37
Efficient estimation of conditional variance functions in stochastic regression 0 0 0 10 1 5 6 67
Endogeneity in ultrahigh dimension 0 1 1 45 1 5 13 128
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems 0 0 0 10 1 8 9 62
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data 0 1 1 13 2 14 24 63
Functional-coefficient regression models for nonlinear time series 1 1 1 41 3 9 12 273
Generalized Partially Linear Single-Index Models 0 0 0 77 1 14 21 1,482
How and When are High-Frequency Stock Returns Predictable? 7 21 72 329 14 58 189 699
Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review 0 0 0 6 1 7 14 23
Large covariance estimation by thresholding principal orthogonal complements 0 0 1 55 1 7 19 202
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 1 3 2 5 7 47
Policy Optimization Using Semi-parametric Models for Dynamic Pricing 0 0 1 3 0 6 7 31
Profile-kernel likelihood inference with diverging number of parameters 0 0 0 2 1 5 9 53
Recent Developments on Factor Models and its Applications in Econometric Learning 0 1 2 45 4 11 19 110
Risks of Large Portfolios 0 0 0 28 0 2 10 93
Risks of large portfolios 0 0 0 63 0 4 8 128
Robust Inference of Risks of Large Portfolios 0 0 0 45 1 3 3 53
Sparsistency and rates of convergence in large covariance matrix estimation 0 0 0 8 1 10 14 78
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 2 55 2 6 14 176
To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied 0 0 0 1 0 6 9 32
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection 0 0 0 61 0 4 8 221
When can weak latent factors be statistically inferred? 0 0 3 10 0 3 14 33
Total Working Papers 8 27 90 1,253 45 284 591 5,562

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 0 2 6 75
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation 0 0 0 21 1 7 10 100
A class of weighted dependence measures for bivariate failure time data 0 0 0 5 2 3 3 46
A crossvalidation method for estimating conditional densities 0 0 4 33 2 7 13 113
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models 0 0 0 9 0 6 10 45
A road to classification in high dimensional space: the regularized optimal affine discriminant 0 0 0 30 0 2 2 111
Adaptive Huber Regression 0 0 2 15 0 4 13 65
Adaptive varying‐coefficient linear models 0 0 0 36 1 5 9 166
Aggregation of Nonparametric Estimators for Volatility Matrix 0 0 0 6 0 1 5 40
An overview of the estimation of large covariance and precision matrices 0 1 3 49 3 13 22 160
Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function 0 0 0 13 0 2 2 84
Are Latent Factor Regression and Sparse Regression Adequate? 0 0 1 2 0 6 9 11
Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes 0 0 0 2 1 3 5 8
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia 0 0 1 18 0 2 10 52
Average Regression Surface for Dependent Data 1 1 1 12 1 8 12 64
Bayesian factor-adjusted sparse regression 0 0 0 13 2 6 11 41
Bias correction and higher order kernel functions 0 0 1 51 3 13 38 166
Can a Machine Correct Option Pricing Models? 0 0 1 7 2 5 9 30
Comment 0 0 0 0 1 3 3 34
Comment 0 0 0 4 0 2 3 56
Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression” 0 0 0 4 0 2 7 13
Comments on «Wavelets in statistics: A review» by A. Antoniadis 0 0 1 44 0 2 4 138
Comments on: Dynamic relations for sparsely sampled Gaussian processes 0 0 0 2 0 6 7 31
Comments on: ℓ 1 -penalization for mixture regression models 0 0 0 4 0 2 4 38
Communication-Efficient Accurate Statistical Estimation 0 0 0 2 1 7 9 14
Conditional Sure Independence Screening 0 0 0 3 0 8 16 37
Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs 0 0 0 1 0 7 9 13
Discussion 0 0 0 0 1 7 12 28
Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’ 0 0 0 4 1 1 3 20
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 4 0 1 6 13
Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation 0 0 0 15 1 6 7 60
Embracing the Blessing of Dimensionality in Factor Models 0 0 0 1 1 4 5 26
Error Variance Estimation in Ultrahigh-Dimensional Additive Models 0 0 0 9 2 7 7 41
Estimating Number of Factors by Adjusted Eigenvalues Thresholding 0 0 2 8 3 9 19 50
Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions 0 0 0 31 1 6 15 108
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 1 5 11 46
Estimation of the false discovery proportion with unknown dependence 0 0 0 6 1 4 5 42
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction 0 0 0 23 1 8 17 90
Factor-adjusted regularized model selection 0 0 0 36 1 8 21 143
FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control 0 0 0 1 1 5 7 26
Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification 0 0 0 5 0 5 6 42
Finance and Cluster-Based Industrial Development in China 0 0 1 120 0 13 19 468
Generalised likelihood ratio tests for spectral density 0 0 0 0 0 2 5 59
Generalized high-dimensional trace regression via nuclear norm regularization 0 0 0 18 2 9 10 86
Goodness-of-Fit Tests for Parametric Regression Models 0 0 1 20 0 1 3 110
High dimensional covariance matrix estimation using a factor model 0 0 5 466 2 8 25 1,238
High dimensional semiparametric latent graphical model for mixed data 0 0 0 8 1 5 7 57
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 1 6 9 142
Homogeneity Pursuit 0 0 0 3 0 4 12 41
How Much Can Machines Learn Finance from Chinese Text Data? 0 5 20 30 4 18 53 77
Implementation of generalized quantum measurements for unambiguous discrimination of multiple non-orthogonal coherent states 0 0 0 0 1 1 2 3
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 1 4 20 2 8 17 69
Large covariance estimation by thresholding principal orthogonal complements 1 1 6 35 5 17 34 201
Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors 0 0 0 1 0 5 10 13
Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency 0 0 0 78 2 6 11 283
Local maximum likelihood estimation and inference 0 0 1 8 1 6 9 35
Measuring Housing Vitality from Multi-Source Big Data and Machine Learning 0 0 3 22 0 0 8 47
Minimax estimation of a bounded squared mean 0 0 0 7 2 4 7 50
Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games 0 0 0 0 1 3 6 8
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 20 1 6 8 77
Multi-Agent Inference in Social Networks: A Finite Population Learning Approach 0 0 0 0 1 2 7 25
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data 0 0 0 84 0 3 7 275
Multitask Quantile Regression Under the Transnormal Model 0 0 1 4 0 4 10 27
Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes 0 0 0 36 0 3 7 127
New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis 0 0 0 56 1 3 7 197
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 3 10 17 177
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models 0 0 0 7 0 17 20 87
Nonparametric Inferences for Additive Models 0 0 0 61 0 3 10 188
Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci 0 0 0 1 0 5 6 12
Nonparametric Transition-Based Tests for Jump Diffusions 0 0 0 10 0 7 9 70
Nonparametric inference with generalized likelihood ratio tests 0 0 0 107 0 7 11 262
Observation of optomechanical buckling transitions 0 0 0 0 0 2 4 6
One‐step local quasi‐likelihood estimation 0 0 0 31 1 5 7 111
Optimal Covariate Balancing Conditions in Propensity Score Estimation 0 0 0 1 0 3 3 11
Option Pricing With Model-Guided Nonparametric Methods 0 0 0 16 1 7 13 84
Parametrically guided generalised additive models with application to mergers and acquisitions data 0 0 0 0 2 2 4 7
Partially Linear Hazard Regression for Multivariate Survival Data 0 0 0 15 0 3 5 65
Partially linear hazard regression with varying coefficients for multivariate survival data 0 0 1 48 0 6 15 165
Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection 0 0 0 0 0 1 1 86
Policy Optimization Using Semiparametric Models for Dynamic Pricing 0 0 0 1 0 4 8 13
Power Enhancement in High‐Dimensional Cross‐Sectional Tests 0 0 0 11 1 8 8 100
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 1 1 1 20 2 4 10 112
Rates of convergence for the pre-asymptotic substitution bandwidth selector 0 0 0 8 0 7 8 56
Recent Developments in Factor Models and Applications in Econometric Learning 0 1 1 37 1 6 7 70
Regularization in statistics 1 1 1 217 4 11 15 618
Regularization of Wavelet Approximations 0 0 0 33 0 3 8 120
Rejoinder 0 0 0 0 0 3 4 27
Rejoinder 0 0 0 1 2 4 7 48
Rejoinder 0 0 0 1 0 2 2 3
Rejoinder on: Nonparametric inference with generalized likelihood ratio tests 0 0 1 20 0 5 9 68
Risks of large portfolios 0 0 0 14 1 9 9 93
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model 0 0 0 8 2 6 10 43
Robust Measures of Earnings Surprises 0 0 2 15 3 7 14 110
Robust covariance estimation for approximate factor models 0 0 1 23 1 7 16 96
Robust estimation of high-dimensional covariance and precision matrices 0 0 1 15 0 2 7 56
Robust inference of risks of large portfolios 0 0 0 1 1 4 9 41
Robust principal component analysis for functional data 0 0 0 179 2 6 14 585
SIMPLE: Statistical inference on membership profiles in large networks 0 0 0 14 0 3 5 37
Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency 0 0 0 27 0 1 5 115
Semiparametric Estimation of Covariance Matrixes for Longitudinal Data 0 0 0 6 2 3 4 57
Semiparametric estimation of Value at Risk 0 0 0 245 2 8 12 657
Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models 0 0 0 56 0 6 16 257
Sparse High-Dimensional Models in Economics 0 0 3 37 1 7 15 178
Sparsifying the Fisher linear discriminant by rotation 0 0 0 2 0 1 3 48
Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities 0 0 1 5 0 9 14 43
Special Issue on Big Data 0 0 0 7 1 4 7 49
Statistical Inference for High-Dimensional Matrix-Variate Factor Models 0 1 2 9 2 8 12 26
Structured volatility matrix estimation for non-synchronized high-frequency financial data 0 0 0 3 1 12 19 60
Sufficient forecasting using factor models 0 0 0 38 1 7 14 166
Sure independence screening for ultrahigh dimensional feature space 1 2 2 148 5 9 24 654
Testing and detecting jumps based on a discretely observed process 0 0 0 38 1 5 10 177
The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases 0 0 0 3 0 1 2 14
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 1 2 37 0 6 20 327
To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied? 0 0 1 12 0 2 3 84
Two‐step estimation of functional linear models with applications to longitudinal data 0 0 0 43 0 11 17 191
Understanding Implicit Regularization in Over-Parameterized Single Index Model 0 0 0 2 0 5 6 9
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties 0 0 6 251 8 16 48 1,105
Variable selection for multivariate failure time data 1 1 1 18 2 6 8 106
Variance estimation using refitted cross‐validation in ultrahigh dimensional regression 0 0 0 20 0 3 7 102
Vast Portfolio Selection With Gross-Exposure Constraints 1 1 1 24 2 4 7 148
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection 0 0 0 10 0 4 7 76
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? 0 0 0 4 3 7 9 38
Total Journal Articles 7 18 87 3,597 120 671 1,269 14,523

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 1 15 34 624
Total Books 0 0 0 0 1 15 34 624

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Statistics updated 2026-03-04