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 0 1 15 162
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data 0 0 2 13 0 1 22 97
Adaptive varying co-efficient linear models 0 0 0 3 0 2 14 54
Adaptive varying-coefficient linear models 0 0 0 3 0 0 15 58
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios 0 0 0 61 0 2 12 385
Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia 0 0 0 42 0 0 8 109
Bootstrapping $\ell_p$-Statistics in High Dimensions 0 0 0 9 0 0 10 39
Bridging factor and sparse models 0 0 0 31 0 2 20 90
Can a Machine Correct Option Pricing Models? 0 0 1 11 0 2 17 33
Can a Machine Correct Option Pricing Models? 0 0 0 43 0 1 13 73
Conditional nonparametric variable screening by neural factor regression 0 0 1 18 0 0 12 21
Conditional nonparametric variable screening by neural factor regression 0 0 0 17 0 1 7 19
Density and Regression Smoothing 0 0 0 25 0 1 11 199
Direct estimation of low dimensional components in additive models 0 0 0 11 5 5 8 188
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 26 0 2 13 40
Efficient estimation of conditional variance functions in stochastic regression 0 0 0 10 0 0 9 70
Endogeneity in ultrahigh dimension 0 0 1 45 0 0 17 134
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems 0 0 0 10 0 1 12 65
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data 0 0 1 13 0 1 31 73
Functional-coefficient regression models for nonlinear time series 0 0 1 41 0 1 18 279
Generalized Partially Linear Single-Index Models 0 0 0 77 0 5 27 1,490
How and When are High-Frequency Stock Returns Predictable? 3 5 47 337 14 25 159 747
Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review 0 0 0 6 0 2 15 28
Large covariance estimation by thresholding principal orthogonal complements 0 1 1 56 0 3 20 207
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 1 3 0 0 13 53
Policy Optimization Using Semi-parametric Models for Dynamic Pricing 0 0 0 3 0 3 12 37
Profile-kernel likelihood inference with diverging number of parameters 0 0 0 2 0 0 13 57
Recent Developments on Factor Models and its Applications in Econometric Learning 0 0 2 45 0 1 21 114
Risks of Large Portfolios 0 0 0 28 0 0 13 96
Risks of large portfolios 0 0 0 63 0 2 13 133
Robust Inference of Risks of Large Portfolios 0 0 0 45 0 0 4 54
Sparsistency and rates of convergence in large covariance matrix estimation 0 0 0 8 1 1 18 83
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 0 55 0 1 17 182
To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied 0 0 0 1 0 0 11 36
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection 0 0 0 61 0 1 9 223
When can weak latent factors be statistically inferred? 0 1 3 11 0 2 11 37
Total Working Papers 3 7 61 1,263 20 69 660 5,765

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 3 11 80
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation 0 0 0 21 1 1 12 102
A class of weighted dependence measures for bivariate failure time data 0 0 0 5 0 0 3 46
A crossvalidation method for estimating conditional densities 0 0 1 33 1 3 15 119
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models 0 0 0 9 2 4 16 53
A road to classification in high dimensional space: the regularized optimal affine discriminant 0 0 0 30 0 0 6 115
Adaptive Huber Regression 0 1 5 18 2 4 18 72
Adaptive varying‐coefficient linear models 0 0 0 36 0 1 12 169
Aggregation of Nonparametric Estimators for Volatility Matrix 0 0 0 6 0 0 7 43
An overview of the estimation of large covariance and precision matrices 1 1 3 50 1 2 25 167
Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function 0 0 0 13 0 0 4 86
Are Latent Factor Regression and Sparse Regression Adequate? 0 1 2 4 0 1 11 15
Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes 0 0 0 2 1 1 6 9
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia 0 0 0 18 0 3 13 57
Average Regression Surface for Dependent Data 1 1 2 13 1 2 14 66
Bayesian factor-adjusted sparse regression 0 0 0 13 0 2 18 49
Bias correction and higher order kernel functions 0 0 1 51 0 1 45 177
Can a Machine Correct Option Pricing Models? 0 0 0 7 2 2 11 34
Comment 0 0 0 0 0 1 4 35
Comment 0 0 0 4 0 0 3 56
Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression” 0 0 0 4 0 0 8 14
Comments on «Wavelets in statistics: A review» by A. Antoniadis 0 0 1 44 0 0 7 141
Comments on: Dynamic relations for sparsely sampled Gaussian processes 0 0 0 2 0 0 13 37
Comments on: ℓ 1 -penalization for mixture regression models 0 0 0 4 0 0 6 40
Communication-Efficient Accurate Statistical Estimation 0 0 0 2 0 0 10 15
Conditional Sure Independence Screening 0 1 1 4 1 3 20 41
Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs 0 0 0 1 1 1 12 17
Discussion 0 0 0 0 0 0 13 29
Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’ 0 0 0 4 0 0 5 22
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 4 0 3 8 16
Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation 0 0 0 15 1 1 9 62
Embracing the Blessing of Dimensionality in Factor Models 0 0 0 1 1 2 8 29
Error Variance Estimation in Ultrahigh-Dimensional Additive Models 0 0 0 9 1 1 9 43
Estimating Number of Factors by Adjusted Eigenvalues Thresholding 0 1 2 9 2 5 22 58
Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions 0 0 0 31 0 1 15 113
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 4 4 15 53
Estimation of the false discovery proportion with unknown dependence 0 0 0 6 0 0 8 45
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction 0 0 0 23 0 1 14 92
Factor-adjusted regularized model selection 0 0 0 36 0 1 20 146
FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control 0 0 0 1 0 0 8 28
Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification 0 0 0 5 0 0 8 44
Finance and Cluster-Based Industrial Development in China 0 0 0 120 1 2 26 478
Generalised likelihood ratio tests for spectral density 0 0 0 0 0 0 7 61
Generalized high-dimensional trace regression via nuclear norm regularization 0 0 0 18 0 2 19 95
Goodness-of-Fit Tests for Parametric Regression Models 0 0 0 20 0 2 4 112
High dimensional covariance matrix estimation using a factor model 1 1 5 469 1 5 31 1,252
High dimensional semiparametric latent graphical model for mixed data 0 0 0 8 0 0 9 60
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 1 1 24 2 7 15 149
Homogeneity Pursuit 0 0 0 3 1 1 14 44
How Much Can Machines Learn Finance from Chinese Text Data? 2 3 18 39 4 8 53 102
Implementation of generalized quantum measurements for unambiguous discrimination of multiple non-orthogonal coherent states 0 0 0 0 0 0 3 5
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 0 2 20 2 3 21 78
Large covariance estimation by thresholding principal orthogonal complements 0 1 5 37 1 4 35 209
Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors 0 0 0 1 0 1 12 16
Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency 0 1 1 79 0 2 15 288
Local maximum likelihood estimation and inference 0 0 0 8 0 1 8 36
Measuring Housing Vitality from Multi-Source Big Data and Machine Learning 0 0 0 22 0 2 8 52
Minimax estimation of a bounded squared mean 0 0 0 7 0 1 8 51
Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games 0 0 0 0 1 3 9 12
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 20 1 2 13 82
Multi-Agent Inference in Social Networks: A Finite Population Learning Approach 0 0 0 0 0 0 7 26
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data 1 1 1 85 1 2 10 280
Multitask Quantile Regression Under the Transnormal Model 0 0 0 4 0 1 12 32
Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes 0 0 0 36 1 1 10 132
New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis 0 0 0 56 0 1 9 199
NiFe/INSULATOR/CuCOMPOSITE WIRES AND THEIR GIANT MAGNETO-IMPEDANCE EFFECTS 0 0 0 1 0 1 3 11
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models 0 0 0 18 2 3 23 184
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models 0 0 0 7 0 1 24 91
Nonparametric Inferences for Additive Models 0 0 0 61 1 3 13 192
Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci 0 0 0 1 0 0 6 12
Nonparametric Transition-Based Tests for Jump Diffusions 0 0 0 10 1 1 12 73
Nonparametric inference with generalized likelihood ratio tests 0 0 0 107 2 4 15 267
Observation of optomechanical buckling transitions 0 0 0 0 0 0 6 8
One‐step local quasi‐likelihood estimation 0 0 0 31 2 3 11 115
Optimal Covariate Balancing Conditions in Propensity Score Estimation 0 0 0 1 0 2 9 17
Option Pricing With Model-Guided Nonparametric Methods 0 0 0 16 0 1 13 85
Parametrically guided generalised additive models with application to mergers and acquisitions data 0 0 0 0 1 1 5 8
Partially Linear Hazard Regression for Multivariate Survival Data 0 0 0 15 0 1 9 69
Partially linear hazard regression with varying coefficients for multivariate survival data 0 0 0 48 0 0 18 169
Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection 0 0 0 0 1 2 4 89
Policy Optimization Using Semiparametric Models for Dynamic Pricing 0 0 0 1 0 1 13 18
Power Enhancement in High‐Dimensional Cross‐Sectional Tests 1 2 3 14 1 2 12 104
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 1 2 21 1 3 16 120
Rates of convergence for the pre-asymptotic substitution bandwidth selector 0 0 0 8 1 1 9 57
Recent Developments in Factor Models and Applications in Econometric Learning 0 0 1 37 0 0 9 72
Regularization in statistics 0 0 1 217 0 0 14 620
Regularization of Wavelet Approximations 0 0 0 33 1 4 13 126
Rejoinder 0 0 0 1 0 0 3 4
Rejoinder 0 0 0 1 0 1 10 52
Rejoinder 0 0 0 0 1 1 5 29
Rejoinder on: Nonparametric inference with generalized likelihood ratio tests 0 0 1 20 0 2 11 70
Risks of large portfolios 0 0 0 14 0 1 14 98
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model 0 0 0 8 1 2 12 47
Robust Measures of Earnings Surprises 0 0 1 15 1 2 18 116
Robust covariance estimation for approximate factor models 0 0 1 23 0 1 14 100
Robust estimation of high-dimensional covariance and precision matrices 0 0 0 15 0 1 11 61
Robust inference of risks of large portfolios 0 0 0 1 1 1 10 43
Robust principal component analysis for functional data 0 0 0 179 0 2 18 590
SIMPLE: Statistical inference on membership profiles in large networks 0 0 0 14 1 3 9 41
Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency 0 0 0 27 1 1 10 120
Semiparametric Estimation of Covariance Matrixes for Longitudinal Data 0 0 0 6 2 2 8 62
Semiparametric estimation of Value at Risk 0 0 0 245 1 1 18 664
Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models 0 1 1 57 0 2 16 261
Sparse High-Dimensional Models in Economics 0 0 0 37 1 1 13 181
Sparsifying the Fisher linear discriminant by rotation 0 0 0 2 2 3 8 53
Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities 0 0 0 5 1 1 16 46
Special Issue on Big Data 0 0 0 7 0 0 8 51
Statistical Inference for High-Dimensional Matrix-Variate Factor Models 1 1 3 10 2 4 19 33
Structured volatility matrix estimation for non-synchronized high-frequency financial data 0 0 0 3 0 0 21 66
Sufficient forecasting using factor models 0 0 1 39 0 0 13 168
Sure independence screening for ultrahigh dimensional feature space 0 1 3 149 2 8 33 671
Testing and detecting jumps based on a discretely observed process 0 0 0 38 0 2 17 185
The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases 0 0 0 3 1 1 4 16
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 37 2 3 25 336
To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied? 0 0 0 12 0 0 2 84
Two‐step estimation of functional linear models with applications to longitudinal data 0 0 0 43 0 0 17 192
Understanding Implicit Regularization in Over-Parameterized Single Index Model 0 1 1 3 0 3 13 16
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties 0 1 7 256 3 7 52 1,123
Variable selection for multivariate failure time data 0 0 1 18 0 0 9 107
Variance estimation using refitted cross‐validation in ultrahigh dimensional regression 0 0 0 20 0 29 36 132
Vast Portfolio Selection With Gross-Exposure Constraints 0 2 4 27 0 3 13 155
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection 0 0 0 10 0 0 11 80
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? 0 1 1 5 2 3 15 45
Total Journal Articles 8 25 85 3,641 78 230 1,639 15,091

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 5 38 635
Total Books 0 0 0 0 1 5 38 635

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Statistics updated 2026-08-07