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 1 3 4 150
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data 0 0 12 12 2 4 81 81
Adaptive varying co-efficient linear models 0 0 0 3 2 2 2 42
Adaptive varying-coefficient linear models 0 0 0 3 2 4 6 48
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios 0 0 0 61 0 2 7 376
Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia 0 0 0 42 0 0 3 103
Bootstrapping $\ell_p$-Statistics in High Dimensions 0 0 0 9 0 0 1 29
Bridging factor and sparse models 0 0 0 31 4 6 9 77
Can a Machine Correct Option Pricing Models? 0 0 0 10 0 2 6 18
Can a Machine Correct Option Pricing Models? 0 0 1 43 3 5 12 66
Conditional nonparametric variable screening by neural factor regression 0 1 1 18 0 1 5 12
Conditional nonparametric variable screening by neural factor regression 0 0 0 17 0 0 3 12
Density and Regression Smoothing 0 0 0 25 1 1 1 189
Direct estimation of low dimensional components in additive models 0 0 0 11 0 1 2 182
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 26 0 4 5 31
Efficient estimation of conditional variance functions in stochastic regression 0 0 0 10 1 1 1 62
Endogeneity in ultrahigh dimension 0 0 0 44 2 6 9 123
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems 0 0 0 10 0 1 2 54
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data 0 0 12 12 3 6 49 49
Functional-coefficient regression models for nonlinear time series 0 0 0 40 2 3 4 264
Generalized Partially Linear Single-Index Models 0 0 0 77 4 5 8 1,468
How and When are High-Frequency Stock Returns Predictable? 3 12 63 308 12 38 157 641
Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review 0 0 0 6 2 3 8 16
Large covariance estimation by thresholding principal orthogonal complements 0 0 1 55 3 8 13 195
Modelling multivariate volatilities via conditionally uncorrelated components 0 1 1 3 0 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 3 4 4 48
Recent Developments on Factor Models and its Applications in Econometric Learning 0 1 1 44 2 6 8 99
Risks of Large Portfolios 0 0 0 28 1 6 8 91
Risks of large portfolios 0 0 0 63 2 2 4 124
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 3 5 68
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 2 55 4 5 10 170
To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied 0 0 0 1 1 1 3 26
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection 0 0 0 61 1 3 5 217
When can weak latent factors be statistically inferred? 0 1 3 10 1 3 14 30
Total Working Papers 3 16 98 1,226 60 141 464 5,278

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 3 4 73
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation 0 0 0 21 0 2 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 0 4 33 0 0 6 106
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models 0 0 1 9 1 2 5 39
A road to classification in high dimensional space: the regularized optimal affine discriminant 0 0 0 30 0 0 0 109
Adaptive Huber Regression 0 1 2 15 4 5 9 61
Adaptive varying‐coefficient linear models 0 0 0 36 3 4 4 161
Aggregation of Nonparametric Estimators for Volatility Matrix 0 0 0 6 0 3 4 39
An overview of the estimation of large covariance and precision matrices 1 1 2 48 3 4 9 147
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 1 1 4 5
Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes 0 0 0 2 0 1 2 5
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia 0 0 1 18 3 5 8 50
Average Regression Surface for Dependent Data 0 0 0 11 1 3 4 56
Bayesian factor-adjusted sparse regression 0 0 0 13 1 2 6 35
Bias correction and higher order kernel functions 0 1 1 51 12 21 25 153
Can a Machine Correct Option Pricing Models? 0 0 1 7 0 1 10 25
Comment 0 0 0 4 0 0 1 54
Comment 0 0 0 0 0 0 0 31
Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression” 0 0 0 4 2 5 6 11
Comments on «Wavelets in statistics: A review» by A. Antoniadis 0 1 1 44 0 2 4 136
Comments on: Dynamic relations for sparsely sampled Gaussian processes 0 0 0 2 0 1 1 25
Comments on: ℓ 1 -penalization for mixture regression models 0 0 0 4 1 2 3 36
Communication-Efficient Accurate Statistical Estimation 0 0 1 2 1 2 4 7
Conditional Sure Independence Screening 0 0 0 3 2 7 8 29
Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs 0 0 0 1 0 0 2 6
Discussion 0 0 0 0 0 3 5 21
Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’ 0 0 0 4 0 2 2 19
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 4 2 3 5 12
Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation 0 0 0 15 0 1 2 54
Embracing the Blessing of Dimensionality in Factor Models 0 0 0 1 0 1 1 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 0 2 8 1 4 11 41
Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions 0 0 0 31 1 1 10 102
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 2 3 7 41
Estimation of the false discovery proportion with unknown dependence 0 0 0 6 0 1 1 38
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction 0 0 0 23 2 4 11 82
Factor-adjusted regularized model selection 0 0 0 36 1 5 14 135
FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control 0 0 0 1 1 1 3 21
Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification 0 0 0 5 1 1 2 37
Finance and Cluster-Based Industrial Development in China 0 0 1 120 2 2 7 455
Generalised likelihood ratio tests for spectral density 0 0 0 0 2 3 3 57
Generalized high-dimensional trace regression via nuclear norm regularization 0 0 0 18 0 1 1 77
Goodness-of-Fit Tests for Parametric Regression Models 0 0 1 20 1 1 2 109
High dimensional covariance matrix estimation using a factor model 0 0 7 466 1 4 23 1,230
High dimensional semiparametric latent graphical model for mixed data 0 0 0 8 0 0 3 52
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 1 1 6 136
Homogeneity Pursuit 0 0 0 3 3 5 8 37
How Much Can Machines Learn Finance from Chinese Text Data? 0 0 25 25 2 6 59 59
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 0 3 19 1 3 10 61
Large covariance estimation by thresholding principal orthogonal complements 2 2 5 34 5 9 24 184
Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors 0 0 0 1 1 2 6 8
Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency 0 0 0 78 2 3 5 277
Local maximum likelihood estimation and inference 0 0 1 8 0 0 6 29
Measuring Housing Vitality from Multi-Source Big Data and Machine Learning 0 0 4 22 1 3 10 47
Minimax estimation of a bounded squared mean 0 0 0 7 1 3 3 46
Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games 0 0 0 0 0 2 5 5
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 20 2 2 3 71
Multi-Agent Inference in Social Networks: A Finite Population Learning Approach 0 0 0 0 0 2 6 23
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data 0 0 1 84 1 2 6 272
Multitask Quantile Regression Under the Transnormal Model 0 0 2 4 1 3 7 23
Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes 0 0 0 36 0 1 4 124
New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis 0 0 1 56 2 3 5 194
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 5 10 167
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models 0 0 0 7 2 3 4 70
Nonparametric Inferences for Additive Models 0 0 0 61 2 3 7 185
Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci 0 0 0 1 0 1 3 7
Nonparametric Transition-Based Tests for Jump Diffusions 0 0 0 10 2 2 2 63
Nonparametric inference with generalized likelihood ratio tests 0 0 0 107 2 3 4 255
Observation of optomechanical buckling transitions 0 0 0 0 0 1 2 4
One‐step local quasi‐likelihood estimation 0 0 0 31 0 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 1 4 6 77
Parametrically guided generalised additive models with application to mergers and acquisitions data 0 0 0 0 1 2 2 5
Partially Linear Hazard Regression for Multivariate Survival Data 0 0 0 15 1 1 2 62
Partially linear hazard regression with varying coefficients for multivariate survival data 0 0 1 48 3 5 9 159
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 9
Power Enhancement in High‐Dimensional Cross‐Sectional Tests 0 0 0 11 0 0 2 92
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 0 19 2 4 8 108
Rates of convergence for the pre-asymptotic substitution bandwidth selector 0 0 0 8 0 1 2 49
Recent Developments in Factor Models and Applications in Econometric Learning 0 0 1 36 1 1 3 64
Regularization in statistics 0 0 0 216 0 0 5 607
Regularization of Wavelet Approximations 0 0 0 33 4 4 5 117
Rejoinder 0 0 0 0 0 0 1 24
Rejoinder 0 0 0 1 2 2 3 44
Rejoinder 0 0 0 1 0 0 0 1
Rejoinder on: Nonparametric inference with generalized likelihood ratio tests 0 1 1 20 0 4 4 63
Risks of large portfolios 0 0 0 14 0 0 0 84
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model 0 0 1 8 2 2 6 37
Robust Measures of Earnings Surprises 1 1 2 15 3 4 7 103
Robust covariance estimation for approximate factor models 0 1 1 23 0 3 9 89
Robust estimation of high-dimensional covariance and precision matrices 0 0 1 15 3 3 5 54
Robust inference of risks of large portfolios 0 0 0 1 1 3 5 37
Robust principal component analysis for functional data 0 0 0 179 4 7 8 579
SIMPLE: Statistical inference on membership profiles in large networks 0 0 0 14 0 1 5 34
Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency 0 0 0 27 2 4 4 114
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 1 3 5 649
Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models 0 0 0 56 1 5 11 251
Sparse High-Dimensional Models in Economics 0 0 3 37 3 3 11 171
Sparsifying the Fisher linear discriminant by rotation 0 0 0 2 2 2 3 47
Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities 0 0 1 5 1 4 6 34
Special Issue on Big Data 0 0 0 7 0 0 4 45
Statistical Inference for High-Dimensional Matrix-Variate Factor Models 0 1 2 8 0 3 6 18
Structured volatility matrix estimation for non-synchronized high-frequency financial data 0 0 0 3 2 3 8 48
Sufficient forecasting using factor models 0 0 0 38 2 4 12 159
Sure independence screening for ultrahigh dimensional feature space 0 0 1 146 3 6 19 645
Testing and detecting jumps based on a discretely observed process 0 0 0 38 1 4 6 172
The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases 0 0 0 3 0 1 1 13
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 1 1 36 5 8 16 321
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 4 8 180
Understanding Implicit Regularization in Over-Parameterized Single Index Model 0 0 0 2 0 1 1 4
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties 0 2 7 251 8 18 39 1,089
Variable selection for multivariate failure time data 0 0 0 17 0 1 3 100
Variance estimation using refitted cross‐validation in ultrahigh dimensional regression 0 0 0 20 2 3 4 99
Vast Portfolio Selection With Gross-Exposure Constraints 0 0 0 23 1 1 3 144
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection 0 0 0 10 2 2 4 72
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? 0 0 0 4 0 0 4 31
Total Journal Articles 4 13 93 3,579 155 321 739 13,852

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 6 11 35 609
Total Books 0 0 0 0 6 11 35 609

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Statistics updated 2025-12-06