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 0 2 15 162
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data 0 0 2 13 0 3 25 97
Adaptive varying co-efficient linear models 0 0 0 3 0 5 14 54
Adaptive varying-coefficient linear models 0 0 0 3 0 3 15 58
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios 0 0 0 61 1 4 13 385
Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia 0 0 0 42 0 1 8 109
Bootstrapping $\ell_p$-Statistics in High Dimensions 0 0 0 9 0 3 10 39
Bridging factor and sparse models 0 0 0 31 0 6 21 90
Can a Machine Correct Option Pricing Models? 0 0 1 11 1 5 20 33
Can a Machine Correct Option Pricing Models? 0 0 0 43 0 2 15 73
Conditional nonparametric variable screening by neural factor regression 0 0 1 18 0 1 12 21
Conditional nonparametric variable screening by neural factor regression 0 0 0 17 0 2 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 0 1 3 183
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 26 1 2 14 40
Efficient estimation of conditional variance functions in stochastic regression 0 0 0 10 0 2 9 70
Endogeneity in ultrahigh dimension 0 0 1 45 0 5 18 134
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems 0 0 0 10 1 2 12 65
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data 0 0 1 13 0 7 31 73
Functional-coefficient regression models for nonlinear time series 0 0 1 41 0 5 18 279
Generalized Partially Linear Single-Index Models 0 0 0 77 1 7 27 1,490
How and When are High-Frequency Stock Returns Predictable? 1 2 53 334 3 19 171 733
Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review 0 0 0 6 2 4 16 28
Large covariance estimation by thresholding principal orthogonal complements 0 1 1 56 2 5 21 207
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 1 3 0 5 13 53
Policy Optimization Using Semi-parametric Models for Dynamic Pricing 0 0 0 3 1 5 12 37
Profile-kernel likelihood inference with diverging number of parameters 0 0 0 2 0 2 13 57
Recent Developments on Factor Models and its Applications in Econometric Learning 0 0 2 45 0 3 22 114
Risks of Large Portfolios 0 0 0 28 0 3 13 96
Risks of large portfolios 0 0 0 63 2 5 13 133
Robust Inference of Risks of Large Portfolios 0 0 0 45 0 1 4 54
Sparsistency and rates of convergence in large covariance matrix estimation 0 0 0 8 0 3 17 82
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 1 55 0 5 18 182
To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied 0 0 0 1 0 3 13 36
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection 0 0 0 61 1 2 9 223
When can weak latent factors be statistically inferred? 1 1 3 11 1 4 13 37
Total Working Papers 2 4 68 1,260 17 138 686 5,745

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 2 4 10 79
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation 0 0 0 21 0 1 11 101
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 0 4 15 118
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models 0 0 0 9 1 6 16 51
A road to classification in high dimensional space: the regularized optimal affine discriminant 0 0 0 30 0 3 6 115
Adaptive Huber Regression 1 2 5 18 1 3 16 70
Adaptive varying‐coefficient linear models 0 0 0 36 0 3 12 169
Aggregation of Nonparametric Estimators for Volatility Matrix 0 0 0 6 0 3 8 43
An overview of the estimation of large covariance and precision matrices 0 0 3 49 0 5 25 166
Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function 0 0 0 13 0 2 4 86
Are Latent Factor Regression and Sparse Regression Adequate? 1 1 2 4 1 3 11 15
Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes 0 0 0 2 0 0 5 8
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia 0 0 0 18 0 5 13 57
Average Regression Surface for Dependent Data 0 0 1 12 1 1 13 65
Bayesian factor-adjusted sparse regression 0 0 0 13 1 6 18 49
Bias correction and higher order kernel functions 0 0 1 51 0 2 46 177
Can a Machine Correct Option Pricing Models? 0 0 1 7 0 2 11 32
Comment 0 0 0 4 0 0 3 56
Comment 0 0 0 0 1 1 4 35
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 2 7 141
Comments on: Dynamic relations for sparsely sampled Gaussian processes 0 0 0 2 0 4 13 37
Comments on: ℓ 1 -penalization for mixture regression models 0 0 0 4 0 2 6 40
Communication-Efficient Accurate Statistical Estimation 0 0 0 2 0 0 10 15
Conditional Sure Independence Screening 0 1 1 4 0 2 19 40
Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs 0 0 0 1 0 3 12 16
Discussion 0 0 0 0 0 1 13 29
Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’ 0 0 0 4 0 2 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 0 1 8 61
Embracing the Blessing of Dimensionality in Factor Models 0 0 0 1 0 2 7 28
Error Variance Estimation in Ultrahigh-Dimensional Additive Models 0 0 0 9 0 1 8 42
Estimating Number of Factors by Adjusted Eigenvalues Thresholding 0 1 2 9 2 5 20 56
Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions 0 0 0 31 1 5 16 113
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 0 3 12 49
Estimation of the false discovery proportion with unknown dependence 0 0 0 6 0 2 8 45
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction 0 0 0 23 0 2 16 92
Factor-adjusted regularized model selection 0 0 0 36 0 3 24 146
FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control 0 0 0 1 0 2 8 28
Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification 0 0 0 5 0 1 8 44
Finance and Cluster-Based Industrial Development in China 0 0 0 120 1 5 27 477
Generalised likelihood ratio tests for spectral density 0 0 0 0 0 2 7 61
Generalized high-dimensional trace regression via nuclear norm regularization 0 0 0 18 0 6 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 0 1 5 468 2 8 33 1,251
High dimensional semiparametric latent graphical model for mixed data 0 0 0 8 0 2 9 60
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 1 1 24 2 5 13 147
Homogeneity Pursuit 0 0 0 3 0 2 14 43
How Much Can Machines Learn Finance from Chinese Text Data? 0 4 16 37 2 13 50 98
Implementation of generalized quantum measurements for unambiguous discrimination of multiple non-orthogonal coherent states 0 0 0 0 0 2 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 1 5 19 76
Large covariance estimation by thresholding principal orthogonal complements 1 1 5 37 3 4 35 208
Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors 0 0 0 1 0 3 12 16
Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency 1 1 1 79 1 4 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 2 22 1 4 10 52
Minimax estimation of a bounded squared mean 0 0 0 7 1 1 8 51
Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games 0 0 0 0 0 2 8 11
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 20 0 2 12 81
Multi-Agent Inference in Social Networks: A Finite Population Learning Approach 0 0 0 0 0 1 7 26
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data 0 0 0 84 0 3 10 279
Multitask Quantile Regression Under the Transnormal Model 0 0 0 4 1 2 12 32
Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes 0 0 0 36 0 3 10 131
New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis 0 0 0 56 0 2 9 199
NiFe/INSULATOR/CuCOMPOSITE WIRES AND THEIR GIANT MAGNETO-IMPEDANCE EFFECTS 0 0 0 1 0 3 3 11
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models 0 0 0 18 0 4 21 182
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models 0 0 0 7 1 3 24 91
Nonparametric Inferences for Additive Models 0 0 0 61 1 3 13 191
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 0 1 11 72
Nonparametric inference with generalized likelihood ratio tests 0 0 0 107 2 3 13 265
Observation of optomechanical buckling transitions 0 0 0 0 0 2 6 8
One‐step local quasi‐likelihood estimation 0 0 0 31 0 1 9 113
Optimal Covariate Balancing Conditions in Propensity Score Estimation 0 0 0 1 1 5 9 17
Option Pricing With Model-Guided Nonparametric Methods 0 0 0 16 0 1 14 85
Parametrically guided generalised additive models with application to mergers and acquisitions data 0 0 0 0 0 0 4 7
Partially Linear Hazard Regression for Multivariate Survival Data 0 0 0 15 1 4 9 69
Partially linear hazard regression with varying coefficients for multivariate survival data 0 0 0 48 0 3 18 169
Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection 0 0 0 0 0 2 3 88
Policy Optimization Using Semiparametric Models for Dynamic Pricing 0 0 0 1 0 5 13 18
Power Enhancement in High‐Dimensional Cross‐Sectional Tests 0 1 2 13 0 2 11 103
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 1 2 21 0 6 16 119
Rates of convergence for the pre-asymptotic substitution bandwidth selector 0 0 0 8 0 0 8 56
Recent Developments in Factor Models and Applications in Econometric Learning 0 0 1 37 0 2 9 72
Regularization in statistics 0 0 1 217 0 2 15 620
Regularization of Wavelet Approximations 0 0 0 33 3 5 13 125
Rejoinder 0 0 0 1 0 4 10 52
Rejoinder 0 0 0 0 0 1 4 28
Rejoinder 0 0 0 1 0 1 3 4
Rejoinder on: Nonparametric inference with generalized likelihood ratio tests 0 0 1 20 1 2 11 70
Risks of large portfolios 0 0 0 14 0 5 14 98
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model 0 0 0 8 0 2 11 46
Robust Measures of Earnings Surprises 0 0 1 15 1 3 18 115
Robust covariance estimation for approximate factor models 0 0 1 23 0 3 16 100
Robust estimation of high-dimensional covariance and precision matrices 0 0 0 15 0 5 11 61
Robust inference of risks of large portfolios 0 0 0 1 0 1 10 42
Robust principal component analysis for functional data 0 0 0 179 0 3 19 590
SIMPLE: Statistical inference on membership profiles in large networks 0 0 0 14 2 3 8 40
Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency 0 0 0 27 0 3 9 119
Semiparametric Estimation of Covariance Matrixes for Longitudinal Data 0 0 0 6 0 3 6 60
Semiparametric estimation of Value at Risk 0 0 0 245 0 4 17 663
Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models 1 1 1 57 1 3 17 261
Sparse High-Dimensional Models in Economics 0 0 1 37 0 1 13 180
Sparsifying the Fisher linear discriminant by rotation 0 0 0 2 1 3 6 51
Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities 0 0 0 5 0 1 15 45
Special Issue on Big Data 0 0 0 7 0 2 9 51
Statistical Inference for High-Dimensional Matrix-Variate Factor Models 0 0 2 9 1 3 17 31
Structured volatility matrix estimation for non-synchronized high-frequency financial data 0 0 0 3 0 2 24 66
Sufficient forecasting using factor models 0 1 1 39 0 1 15 168
Sure independence screening for ultrahigh dimensional feature space 0 1 3 149 4 12 32 669
Testing and detecting jumps based on a discretely observed process 0 0 0 38 1 6 17 185
The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases 0 0 0 3 0 0 3 15
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 37 0 5 24 334
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 1 18 192
Understanding Implicit Regularization in Over-Parameterized Single Index Model 1 1 1 3 1 7 13 16
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties 1 4 8 256 1 10 54 1,120
Variable selection for multivariate failure time data 0 0 1 18 0 1 9 107
Variance estimation using refitted cross‐validation in ultrahigh dimensional regression 0 0 0 20 0 29 37 132
Vast Portfolio Selection With Gross-Exposure Constraints 2 3 4 27 3 6 13 155
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection 0 0 0 10 0 3 11 80
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? 0 1 1 5 0 3 14 43
Total Journal Articles 9 27 84 3,633 52 383 1,618 15,013

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 7 40 634
Total Books 0 0 0 0 1 7 40 634

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

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-07-10