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 0 2 146
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data 0 11 11 11 0 69 69 69
Adaptive varying co-efficient linear models 0 0 0 3 0 0 0 40
Adaptive varying-coefficient linear models 0 0 0 3 0 1 1 43
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios 0 0 0 61 1 1 4 370
Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia 0 0 0 42 0 0 1 100
Bootstrapping $\ell_p$-Statistics in High Dimensions 0 0 0 9 0 0 1 28
Bridging factor and sparse models 0 0 2 31 1 1 8 69
Can a Machine Correct Option Pricing Models? 0 0 0 42 0 2 8 56
Can a Machine Correct Option Pricing Models? 0 0 0 10 0 0 2 12
Conditional nonparametric variable screening by neural factor regression 0 0 17 17 0 2 11 11
Conditional nonparametric variable screening by neural factor regression 0 0 17 17 0 1 8 8
Density and Regression Smoothing 0 0 0 25 0 0 0 188
Direct estimation of low dimensional components in additive models 0 0 0 11 0 0 0 180
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 2 26 0 0 4 26
Efficient estimation of conditional variance functions in stochastic regression 0 0 1 10 0 0 2 61
Endogeneity in ultrahigh dimension 0 0 1 44 1 1 3 115
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems 0 0 1 10 1 1 3 53
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data 0 12 12 12 1 39 39 39
Functional-coefficient regression models for nonlinear time series 0 0 1 40 1 1 4 261
Generalized Partially Linear Single-Index Models 0 0 0 77 0 1 11 1,461
How and When are High-Frequency Stock Returns Predictable? 3 12 64 257 7 26 145 510
Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review 0 0 0 6 0 1 3 9
Large covariance estimation by thresholding principal orthogonal complements 0 0 2 54 0 1 6 183
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 2 0 0 1 40
Policy Optimization Using Semi-parametric Models for Dynamic Pricing 0 0 0 2 1 1 3 24
Profile-kernel likelihood inference with diverging number of parameters 0 0 0 2 0 0 0 44
Recent Developments on Factor Models and its Applications in Econometric Learning 0 0 1 43 0 0 4 91
Risks of Large Portfolios 0 0 0 28 0 0 0 83
Risks of large portfolios 0 0 0 63 0 0 0 120
Robust Inference of Risks of Large Portfolios 0 0 0 45 0 1 2 50
Sparsistency and rates of convergence in large covariance matrix estimation 0 0 0 8 0 1 2 64
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 1 53 0 2 4 162
To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied 0 0 0 1 0 0 0 23
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection 0 0 0 61 1 1 2 213
When can weak latent factors be statistically inferred? 0 0 7 7 0 3 19 19
Total Working Papers 3 35 140 1,163 15 157 372 4,971

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 0 3 69
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation 0 0 0 21 0 0 0 90
A class of weighted dependence measures for bivariate failure time data 0 0 0 5 0 1 2 43
A crossvalidation method for estimating conditional densities 0 0 4 29 0 0 6 100
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models 0 1 1 9 0 1 3 35
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 0 2 13 0 0 2 52
Adaptive varying‐coefficient linear models 0 0 0 36 0 0 0 157
Aggregation of Nonparametric Estimators for Volatility Matrix 0 0 0 6 0 0 0 35
An overview of the estimation of large covariance and precision matrices 0 0 3 46 0 0 8 138
Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function 0 0 1 13 0 1 2 82
Are Latent Factor Regression and Sparse Regression Adequate? 1 1 1 1 1 1 2 2
Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes 0 0 0 2 0 0 0 3
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia 0 0 0 17 0 0 1 42
Average Regression Surface for Dependent Data 0 0 0 11 0 0 0 52
Bayesian factor-adjusted sparse regression 0 0 0 13 0 1 1 30
Bias correction and higher order kernel functions 0 0 0 50 0 0 0 128
Can a Machine Correct Option Pricing Models? 0 0 3 6 1 6 15 21
Comment 0 0 0 4 0 0 0 53
Comment 0 0 0 0 0 0 2 31
Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression” 0 0 0 4 1 1 1 6
Comments on «Wavelets in statistics: A review» by A. Antoniadis 0 0 0 43 0 2 3 134
Comments on: Dynamic relations for sparsely sampled Gaussian processes 0 0 0 2 0 0 1 24
Comments on: ℓ 1 -penalization for mixture regression models 0 0 0 4 1 1 1 34
Communication-Efficient Accurate Statistical Estimation 1 1 1 2 1 2 2 5
Conditional Sure Independence Screening 0 0 0 3 0 0 0 21
Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs 0 0 0 1 0 0 0 4
Discussion 0 0 0 0 0 0 0 16
Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’ 0 0 1 4 0 0 1 17
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 2 4 0 0 3 7
Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation 0 0 0 15 1 1 2 53
Embracing the Blessing of Dimensionality in Factor Models 0 0 0 1 0 0 1 21
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 6 0 1 8 31
Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions 0 0 0 31 0 1 5 93
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 1 9 0 1 3 35
Estimation of the false discovery proportion with unknown dependence 0 0 0 6 0 0 2 37
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction 0 0 2 23 0 2 6 73
Factor-adjusted regularized model selection 0 0 0 36 0 1 11 122
FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control 0 0 0 1 1 1 2 19
Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification 0 0 1 5 1 1 2 36
Finance and Cluster-Based Industrial Development in China 0 0 1 119 0 1 6 449
Generalised likelihood ratio tests for spectral density 0 0 0 0 0 0 0 54
Generalized high-dimensional trace regression via nuclear norm regularization 0 0 1 18 0 0 6 76
Goodness-of-Fit Tests for Parametric Regression Models 0 0 0 19 0 0 0 107
High dimensional covariance matrix estimation using a factor model 1 2 6 461 1 6 21 1,213
High dimensional semiparametric latent graphical model for mixed data 0 0 0 8 0 1 2 50
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 1 3 3 133
Homogeneity Pursuit 0 0 0 3 0 0 3 29
How Much Can Machines Learn Finance from Chinese Text Data? 2 10 10 10 4 24 24 24
Implementation of generalized quantum measurements for unambiguous discrimination of multiple non-orthogonal coherent states 0 0 0 0 0 0 0 1
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 0 2 16 0 1 6 52
Large covariance estimation by thresholding principal orthogonal complements 0 0 5 29 2 7 20 167
Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors 0 0 0 1 1 1 1 3
Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency 0 0 0 78 0 0 0 272
Local maximum likelihood estimation and inference 0 0 1 7 3 3 6 26
Measuring Housing Vitality from Multi-Source Big Data and Machine Learning 1 1 9 19 2 2 14 39
Minimax estimation of a bounded squared mean 0 0 0 7 0 0 1 43
Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games 0 0 0 0 1 2 2 2
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 20 1 1 1 69
Multi-Agent Inference in Social Networks: A Finite Population Learning Approach 0 0 0 0 1 1 1 18
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data 1 1 1 84 2 2 3 268
Multitask Quantile Regression Under the Transnormal Model 0 1 2 3 0 1 3 17
Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes 0 0 1 36 0 0 2 120
New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis 1 1 1 56 1 1 2 190
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 2 3 3 160
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models 0 0 0 7 1 1 3 67
Nonparametric Inferences for Additive Models 0 0 0 61 0 0 0 178
Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci 0 0 0 1 1 2 2 6
Nonparametric Transition-Based Tests for Jump Diffusions 0 0 0 10 0 0 1 61
Nonparametric inference with generalized likelihood ratio tests 0 0 1 107 0 0 2 251
Observation of optomechanical buckling transitions 0 0 0 0 0 0 0 2
One‐step local quasi‐likelihood estimation 0 0 0 31 0 0 0 104
Optimal Covariate Balancing Conditions in Propensity Score Estimation 0 0 0 1 1 1 1 8
Option Pricing With Model-Guided Nonparametric Methods 0 0 0 16 0 0 1 71
Parametrically guided generalised additive models with application to mergers and acquisitions data 0 0 0 0 0 0 0 3
Partially Linear Hazard Regression for Multivariate Survival Data 0 0 0 15 0 0 0 60
Partially linear hazard regression with varying coefficients for multivariate survival data 0 0 0 47 0 0 0 150
Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection 0 0 0 0 0 2 2 85
Policy Optimization Using Semiparametric Models for Dynamic Pricing 0 0 1 1 0 0 5 5
Power Enhancement in High‐Dimensional Cross‐Sectional Tests 0 0 1 11 1 2 4 92
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 2 19 0 2 12 102
Rates of convergence for the pre-asymptotic substitution bandwidth selector 0 0 0 8 1 1 1 48
Recent Developments in Factor Models and Applications in Econometric Learning 0 1 3 36 0 2 6 63
Regularization in statistics 0 0 4 216 0 1 7 603
Regularization of Wavelet Approximations 0 0 0 33 0 0 0 112
Rejoinder 0 0 0 1 0 0 0 1
Rejoinder 0 0 0 1 0 0 2 41
Rejoinder 0 0 0 0 0 0 1 23
Rejoinder on: Nonparametric inference with generalized likelihood ratio tests 0 0 0 19 0 0 0 59
Risks of large portfolios 0 0 2 14 0 0 4 84
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model 1 1 2 8 1 2 7 33
Robust Measures of Earnings Surprises 0 0 2 13 0 0 5 96
Robust covariance estimation for approximate factor models 0 0 2 22 0 0 4 80
Robust estimation of high-dimensional covariance and precision matrices 0 0 1 14 0 0 1 49
Robust inference of risks of large portfolios 0 0 0 1 0 0 0 32
Robust principal component analysis for functional data 0 0 1 179 0 0 3 571
SIMPLE: Statistical inference on membership profiles in large networks 0 0 2 14 1 3 8 32
Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency 0 0 1 27 0 0 1 110
Semiparametric Estimation of Covariance Matrixes for Longitudinal Data 0 0 0 6 0 0 0 53
Semiparametric estimation of Value at Risk 0 0 0 245 0 1 3 645
Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models 0 0 0 56 0 1 1 241
Sparse High-Dimensional Models in Economics 0 0 0 34 0 3 4 163
Sparsifying the Fisher linear discriminant by rotation 0 0 0 2 0 1 1 45
Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities 0 0 0 4 0 1 4 29
Special Issue on Big Data 0 0 0 7 0 1 3 42
Statistical Inference for High-Dimensional Matrix-Variate Factor Models 0 1 6 7 0 2 10 14
Structured volatility matrix estimation for non-synchronized high-frequency financial data 0 0 0 3 0 1 3 41
Sufficient forecasting using factor models 0 0 1 38 2 5 12 152
Sure independence screening for ultrahigh dimensional feature space 1 1 3 146 3 4 10 630
Testing and detecting jumps based on a discretely observed process 0 0 1 38 0 1 3 167
The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases 0 0 0 3 0 0 0 12
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 2 35 1 2 12 307
To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied? 0 0 1 11 0 0 2 81
Two‐step estimation of functional linear models with applications to longitudinal data 0 0 0 43 2 2 4 174
Understanding Implicit Regularization in Over-Parameterized Single Index Model 0 0 2 2 0 0 3 3
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties 1 1 12 245 4 7 41 1,057
Variable selection for multivariate failure time data 0 0 0 17 1 1 1 98
Variance estimation using refitted cross‐validation in ultrahigh dimensional regression 0 0 0 20 0 0 1 95
Vast Portfolio Selection With Gross-Exposure Constraints 0 0 0 23 0 0 3 141
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection 0 0 2 10 1 1 4 69
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? 0 0 0 4 1 2 3 29
Total Journal Articles 11 24 120 3,510 52 141 442 13,254

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 16 48 590
Total Books 0 0 0 0 3 16 48 590

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Statistics updated 2025-03-03