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 4 14 161
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data 0 0 2 13 2 7 24 96
Adaptive varying co-efficient linear models 0 0 0 3 3 5 12 52
Adaptive varying-coefficient linear models 0 0 0 3 3 4 15 58
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios 0 0 0 61 2 3 12 383
Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia 0 0 0 42 1 1 9 109
Bootstrapping $\ell_p$-Statistics in High Dimensions 0 0 0 9 3 5 11 39
Bridging factor and sparse models 0 0 0 31 4 5 19 88
Can a Machine Correct Option Pricing Models? 0 0 1 43 1 2 15 72
Can a Machine Correct Option Pricing Models? 0 0 1 11 3 6 18 31
Conditional nonparametric variable screening by neural factor regression 0 0 1 18 1 2 12 21
Conditional nonparametric variable screening by neural factor regression 0 0 0 17 1 1 6 18
Density and Regression Smoothing 0 0 0 25 0 1 10 198
Direct estimation of low dimensional components in additive models 0 0 0 11 1 1 3 183
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 26 0 1 12 38
Efficient estimation of conditional variance functions in stochastic regression 0 0 0 10 2 4 9 70
Endogeneity in ultrahigh dimension 0 0 1 45 5 7 18 134
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems 0 0 0 10 1 3 11 64
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data 0 0 1 13 6 11 31 72
Functional-coefficient regression models for nonlinear time series 0 1 1 41 4 8 17 278
Generalized Partially Linear Single-Index Models 0 0 0 77 2 4 22 1,485
How and When are High-Frequency Stock Returns Predictable? 0 10 62 332 8 37 184 722
Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review 0 0 0 6 2 4 16 26
Large covariance estimation by thresholding principal orthogonal complements 0 0 0 55 2 3 19 204
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 1 3 5 8 13 53
Policy Optimization Using Semi-parametric Models for Dynamic Pricing 0 0 0 3 2 3 9 34
Profile-kernel likelihood inference with diverging number of parameters 0 0 0 2 2 5 13 57
Recent Developments on Factor Models and its Applications in Econometric Learning 0 0 2 45 2 7 21 113
Risks of Large Portfolios 0 0 0 28 3 3 13 96
Risks of large portfolios 0 0 0 63 3 3 11 131
Robust Inference of Risks of Large Portfolios 0 0 0 45 1 2 4 54
Sparsistency and rates of convergence in large covariance matrix estimation 0 0 0 8 3 5 18 82
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 2 55 4 7 18 181
To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied 0 0 0 1 3 4 13 36
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection 0 0 0 61 1 1 9 222
When can weak latent factors be statistically inferred? 0 0 3 10 2 2 15 35
Total Working Papers 0 11 78 1,256 89 179 676 5,696

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 2 8 77
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation 0 0 0 21 1 2 11 101
A class of weighted dependence measures for bivariate failure time data 0 0 0 5 0 2 3 46
A crossvalidation method for estimating conditional densities 0 0 4 33 2 5 16 116
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models 0 0 0 9 4 4 14 49
A road to classification in high dimensional space: the regularized optimal affine discriminant 0 0 0 30 3 4 6 115
Adaptive Huber Regression 1 2 4 17 1 3 15 68
Adaptive varying‐coefficient linear models 0 0 0 36 2 3 11 168
Aggregation of Nonparametric Estimators for Volatility Matrix 0 0 0 6 3 3 8 43
An overview of the estimation of large covariance and precision matrices 0 0 3 49 4 8 26 165
Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function 0 0 0 13 2 2 4 86
Are Latent Factor Regression and Sparse Regression Adequate? 0 1 2 3 2 3 12 14
Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes 0 0 0 2 0 1 5 8
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia 0 0 0 18 2 2 10 54
Average Regression Surface for Dependent Data 0 1 1 12 0 1 12 64
Bayesian factor-adjusted sparse regression 0 0 0 13 4 8 17 47
Bias correction and higher order kernel functions 0 0 1 51 1 13 48 176
Can a Machine Correct Option Pricing Models? 0 0 1 7 2 4 11 32
Comment 0 0 0 0 0 1 3 34
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 1 8 14
Comments on «Wavelets in statistics: A review» by A. Antoniadis 0 0 1 44 2 3 7 141
Comments on: Dynamic relations for sparsely sampled Gaussian processes 0 0 0 2 4 6 13 37
Comments on: ℓ 1 -penalization for mixture regression models 0 0 0 4 2 2 6 40
Communication-Efficient Accurate Statistical Estimation 0 0 0 2 0 2 10 15
Conditional Sure Independence Screening 0 0 0 3 0 1 17 38
Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs 0 0 0 1 3 3 12 16
Discussion 0 0 0 0 1 2 13 29
Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’ 0 0 0 4 2 3 5 22
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 4 0 0 6 13
Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation 0 0 0 15 1 2 8 61
Embracing the Blessing of Dimensionality in Factor Models 0 0 0 1 1 2 6 27
Error Variance Estimation in Ultrahigh-Dimensional Additive Models 0 0 0 9 1 3 8 42
Estimating Number of Factors by Adjusted Eigenvalues Thresholding 0 0 1 8 2 6 20 53
Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions 0 0 0 31 4 5 16 112
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 3 4 13 49
Estimation of the false discovery proportion with unknown dependence 0 0 0 6 2 4 8 45
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction 0 0 0 23 1 2 16 91
Factor-adjusted regularized model selection 0 0 0 36 2 3 23 145
FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control 0 0 0 1 2 3 8 28
Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification 0 0 0 5 1 2 8 44
Finance and Cluster-Based Industrial Development in China 0 0 1 120 4 8 27 476
Generalised likelihood ratio tests for spectral density 0 0 0 0 2 2 7 61
Generalized high-dimensional trace regression via nuclear norm regularization 0 0 0 18 4 9 17 93
Goodness-of-Fit Tests for Parametric Regression Models 0 0 1 20 0 0 3 110
High dimensional covariance matrix estimation using a factor model 1 2 5 468 4 11 31 1,247
High dimensional semiparametric latent graphical model for mixed data 0 0 0 8 2 4 10 60
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 0 1 9 142
Homogeneity Pursuit 0 0 0 3 2 2 14 43
How Much Can Machines Learn Finance from Chinese Text Data? 3 6 19 36 9 21 52 94
Implementation of generalized quantum measurements for unambiguous discrimination of multiple non-orthogonal coherent states 0 0 0 0 2 3 3 5
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 0 3 20 4 8 21 75
Large covariance estimation by thresholding principal orthogonal complements 0 2 4 36 1 9 34 205
Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors 0 0 0 1 2 2 11 15
Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency 0 0 0 78 2 5 14 286
Local maximum likelihood estimation and inference 0 0 0 8 0 1 8 35
Measuring Housing Vitality from Multi-Source Big Data and Machine Learning 0 0 3 22 2 3 11 50
Minimax estimation of a bounded squared mean 0 0 0 7 0 2 7 50
Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games 0 0 0 0 0 2 7 9
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 20 1 4 11 80
Multi-Agent Inference in Social Networks: A Finite Population Learning Approach 0 0 0 0 1 2 8 26
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data 0 0 0 84 2 3 9 278
Multitask Quantile Regression Under the Transnormal Model 0 0 1 4 1 4 14 31
Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes 0 0 0 36 3 4 10 131
New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis 0 0 0 56 1 2 8 198
NiFe/INSULATOR/CuCOMPOSITE WIRES AND THEIR GIANT MAGNETO-IMPEDANCE EFFECTS 0 0 0 1 2 2 2 10
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models 0 0 0 18 3 7 20 181
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models 0 0 0 7 2 3 23 90
Nonparametric Inferences for Additive Models 0 0 0 61 1 1 11 189
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 2 11 72
Nonparametric inference with generalized likelihood ratio tests 0 0 0 107 1 1 11 263
Observation of optomechanical buckling transitions 0 0 0 0 2 2 6 8
One‐step local quasi‐likelihood estimation 0 0 0 31 0 2 8 112
Optimal Covariate Balancing Conditions in Propensity Score Estimation 0 0 0 1 3 4 7 15
Option Pricing With Model-Guided Nonparametric Methods 0 0 0 16 0 1 13 84
Parametrically guided generalised additive models with application to mergers and acquisitions data 0 0 0 0 0 2 4 7
Partially Linear Hazard Regression for Multivariate Survival Data 0 0 0 15 3 3 8 68
Partially linear hazard regression with varying coefficients for multivariate survival data 0 0 1 48 3 4 19 169
Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection 0 0 0 0 1 1 2 87
Policy Optimization Using Semiparametric Models for Dynamic Pricing 0 0 0 1 4 4 12 17
Power Enhancement in High‐Dimensional Cross‐Sectional Tests 0 1 1 12 1 3 10 102
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 1 1 20 4 7 15 117
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 2 3 9 72
Regularization in statistics 0 1 1 217 2 6 17 620
Regularization of Wavelet Approximations 0 0 0 33 2 2 10 122
Rejoinder 0 0 0 1 3 5 10 51
Rejoinder 0 0 0 1 1 1 3 4
Rejoinder 0 0 0 0 1 1 4 28
Rejoinder on: Nonparametric inference with generalized likelihood ratio tests 0 0 1 20 0 0 9 68
Risks of large portfolios 0 0 0 14 4 5 13 97
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model 0 0 0 8 1 4 12 45
Robust Measures of Earnings Surprises 0 0 1 15 2 7 17 114
Robust covariance estimation for approximate factor models 0 0 1 23 2 4 19 99
Robust estimation of high-dimensional covariance and precision matrices 0 0 0 15 4 4 10 60
Robust inference of risks of large portfolios 0 0 0 1 1 2 10 42
Robust principal component analysis for functional data 0 0 0 179 1 5 17 588
SIMPLE: Statistical inference on membership profiles in large networks 0 0 0 14 1 1 6 38
Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency 0 0 0 27 3 4 9 119
Semiparametric Estimation of Covariance Matrixes for Longitudinal Data 0 0 0 6 3 5 7 60
Semiparametric estimation of Value at Risk 0 0 0 245 4 8 17 663
Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models 0 0 0 56 1 2 17 259
Sparse High-Dimensional Models in Economics 0 0 1 37 1 3 14 180
Sparsifying the Fisher linear discriminant by rotation 0 0 0 2 2 2 5 50
Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities 0 0 1 5 1 2 16 45
Special Issue on Big Data 0 0 0 7 2 3 9 51
Statistical Inference for High-Dimensional Matrix-Variate Factor Models 0 0 2 9 1 5 15 29
Structured volatility matrix estimation for non-synchronized high-frequency financial data 0 0 0 3 2 7 25 66
Sufficient forecasting using factor models 1 1 1 39 1 3 16 168
Sure independence screening for ultrahigh dimensional feature space 0 1 2 148 6 14 30 663
Testing and detecting jumps based on a discretely observed process 0 0 0 38 4 7 15 183
The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases 0 0 0 3 0 1 3 15
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 37 4 6 25 333
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 1 1 18 192
Understanding Implicit Regularization in Over-Parameterized Single Index Model 0 0 0 2 4 4 10 13
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties 3 4 7 255 6 19 54 1,116
Variable selection for multivariate failure time data 0 1 1 18 1 3 9 107
Variance estimation using refitted cross‐validation in ultrahigh dimensional regression 0 0 0 20 0 1 8 103
Vast Portfolio Selection With Gross-Exposure Constraints 1 2 2 25 3 6 11 152
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection 0 0 0 10 3 4 11 80
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? 0 0 0 4 2 7 13 42
Total Journal Articles 10 26 82 3,616 231 458 1,541 14,861

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 3 7 38 630
Total Books 0 0 0 0 3 7 38 630

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Statistics updated 2026-05-06