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 2 147
Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data 1 1 12 12 2 5 77 77
Adaptive varying co-efficient linear models 0 0 0 3 0 0 0 40
Adaptive varying-coefficient linear models 0 0 0 3 1 1 2 44
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios 0 0 0 61 1 2 5 374
Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia 0 0 0 42 2 3 4 103
Bootstrapping $\ell_p$-Statistics in High Dimensions 0 0 0 9 0 0 1 29
Bridging factor and sparse models 0 0 1 31 1 2 7 71
Can a Machine Correct Option Pricing Models? 0 1 1 43 1 4 7 61
Can a Machine Correct Option Pricing Models? 0 0 0 10 0 3 4 16
Conditional nonparametric variable screening by neural factor regression 0 0 17 17 2 2 10 11
Conditional nonparametric variable screening by neural factor regression 0 0 17 17 0 0 12 12
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 1 1 1 181
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 1 26 0 1 2 27
Efficient estimation of conditional variance functions in stochastic regression 0 0 0 10 0 0 1 61
Endogeneity in ultrahigh dimension 0 0 1 44 0 1 4 117
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems 0 0 1 10 0 0 2 53
Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data 0 0 12 12 1 1 43 43
Functional-coefficient regression models for nonlinear time series 0 0 1 40 0 0 3 261
Generalized Partially Linear Single-Index Models 0 0 0 77 0 0 8 1,463
How and When are High-Frequency Stock Returns Predictable? 6 19 64 296 15 51 154 603
Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review 0 0 0 6 0 3 5 13
Large covariance estimation by thresholding principal orthogonal complements 0 0 2 55 0 2 8 187
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 2 0 0 0 40
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 0 0 0 44
Recent Developments on Factor Models and its Applications in Econometric Learning 0 0 0 43 0 1 4 93
Risks of Large Portfolios 0 0 0 28 2 2 2 85
Risks of large portfolios 0 0 0 63 2 2 2 122
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 0 0 3 65
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 1 2 55 0 1 6 165
To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied 0 0 0 1 0 2 2 25
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection 0 0 0 61 0 1 3 214
When can weak latent factors be statistically inferred? 1 2 5 9 1 5 16 27
Total Working Papers 8 24 138 1,210 32 96 403 5,137

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 1 2 70
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation 0 0 0 21 1 1 1 91
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 1 3 5 33 2 5 7 106
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models 0 0 1 9 0 2 5 37
A road to classification in high dimensional space: the regularized optimal affine discriminant 0 0 0 30 0 0 0 109
Adaptive Huber Regression 1 1 1 14 2 3 4 56
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 1 1 36
An overview of the estimation of large covariance and precision matrices 0 1 3 47 1 4 10 143
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 1 2 2 0 2 4 4
Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes 0 0 0 2 1 1 1 4
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia 0 0 1 18 1 1 4 45
Average Regression Surface for Dependent Data 0 0 0 11 1 1 1 53
Bayesian factor-adjusted sparse regression 0 0 0 13 2 3 4 33
Bias correction and higher order kernel functions 0 0 0 50 0 4 4 132
Can a Machine Correct Option Pricing Models? 0 1 1 7 1 3 10 24
Comment 0 0 0 4 1 1 1 54
Comment 0 0 0 0 0 0 1 31
Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression” 0 0 0 4 0 0 1 6
Comments on «Wavelets in statistics: A review» by A. Antoniadis 0 0 0 43 0 0 2 134
Comments on: Dynamic relations for sparsely sampled Gaussian processes 0 0 0 2 0 0 0 24
Comments on: ℓ 1 -penalization for mixture regression models 0 0 0 4 0 0 1 34
Communication-Efficient Accurate Statistical Estimation 0 0 1 2 0 0 2 5
Conditional Sure Independence Screening 0 0 0 3 1 1 1 22
Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs 0 0 0 1 1 2 2 6
Discussion 0 0 0 0 2 2 2 18
Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’ 0 0 0 4 0 0 0 17
Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction 0 0 0 4 1 2 2 9
Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation 0 0 0 15 0 0 1 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 1 1 3 8 1 1 9 37
Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions 0 0 0 31 3 5 11 101
Estimation of the Continuous and Discontinuous Leverage Effects 0 0 0 9 0 2 5 38
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 1 23 0 3 9 78
Factor-adjusted regularized model selection 0 0 0 36 4 8 15 130
FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control 0 0 0 1 0 0 2 20
Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification 0 0 0 5 0 0 1 36
Finance and Cluster-Based Industrial Development in China 0 1 1 120 1 4 5 453
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 0 18 0 0 3 76
Goodness-of-Fit Tests for Parametric Regression Models 0 0 1 20 0 0 1 108
High dimensional covariance matrix estimation using a factor model 2 3 9 466 5 10 24 1,226
High dimensional semiparametric latent graphical model for mixed data 0 0 0 8 1 2 4 52
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 23 1 1 5 135
Homogeneity Pursuit 0 0 0 3 2 3 3 32
How Much Can Machines Learn Finance from Chinese Text Data? 4 4 25 25 4 7 53 53
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 1 1 4 19 1 2 9 58
Large covariance estimation by thresholding principal orthogonal complements 0 0 5 32 1 4 22 175
Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors 0 0 0 1 2 2 4 6
Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency 0 0 0 78 1 2 2 274
Local maximum likelihood estimation and inference 0 0 2 8 1 1 7 29
Measuring Housing Vitality from Multi-Source Big Data and Machine Learning 0 3 8 22 0 4 13 44
Minimax estimation of a bounded squared mean 0 0 0 7 0 0 0 43
Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games 0 0 0 0 0 0 3 3
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 20 0 0 1 69
Multi-Agent Inference in Social Networks: A Finite Population Learning Approach 0 0 0 0 2 2 4 21
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data 0 0 1 84 0 1 4 270
Multitask Quantile Regression Under the Transnormal Model 0 0 2 4 0 1 4 20
Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes 0 0 1 36 1 2 5 123
New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis 0 0 1 56 1 1 3 191
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 1 1 5 162
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models 0 0 0 7 0 0 2 67
Nonparametric Inferences for Additive Models 0 0 0 61 3 4 4 182
Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci 0 0 0 1 0 0 2 6
Nonparametric Transition-Based Tests for Jump Diffusions 0 0 0 10 0 0 0 61
Nonparametric inference with generalized likelihood ratio tests 0 0 0 107 0 0 1 252
Observation of optomechanical buckling transitions 0 0 0 0 1 1 1 3
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 0 0 1 8
Option Pricing With Model-Guided Nonparametric Methods 0 0 0 16 1 2 2 73
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 1 1 1 61
Partially linear hazard regression with varying coefficients for multivariate survival data 0 1 1 48 3 4 4 154
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 1 2 6
Power Enhancement in High‐Dimensional Cross‐Sectional Tests 0 0 1 11 0 0 3 92
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 0 19 0 1 6 104
Rates of convergence for the pre-asymptotic substitution bandwidth selector 0 0 0 8 0 0 1 48
Recent Developments in Factor Models and Applications in Econometric Learning 0 0 2 36 0 0 4 63
Regularization in statistics 0 0 2 216 1 4 8 607
Regularization of Wavelet Approximations 0 0 0 33 0 1 1 113
Rejoinder 0 0 0 1 0 1 2 42
Rejoinder 0 0 0 0 0 0 2 24
Rejoinder 0 0 0 1 0 0 0 1
Rejoinder on: Nonparametric inference with generalized likelihood ratio tests 0 0 0 19 0 0 0 59
Risks of large portfolios 0 0 1 14 0 0 3 84
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model 0 0 2 8 0 1 6 35
Robust Measures of Earnings Surprises 0 0 2 14 1 2 6 99
Robust covariance estimation for approximate factor models 0 0 2 22 0 5 9 86
Robust estimation of high-dimensional covariance and precision matrices 0 0 1 15 1 1 2 51
Robust inference of risks of large portfolios 0 0 0 1 1 2 2 34
Robust principal component analysis for functional data 0 0 1 179 0 1 3 572
SIMPLE: Statistical inference on membership profiles in large networks 0 0 2 14 1 1 9 33
Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency 0 0 0 27 0 0 0 110
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 0 0 2 646
Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models 0 0 0 56 1 4 6 246
Sparse High-Dimensional Models in Economics 0 1 3 37 0 1 9 168
Sparsifying the Fisher linear discriminant by rotation 0 0 0 2 0 0 1 45
Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities 0 0 1 5 0 0 3 30
Special Issue on Big Data 0 0 0 7 2 3 4 45
Statistical Inference for High-Dimensional Matrix-Variate Factor Models 0 0 5 7 1 1 8 15
Structured volatility matrix estimation for non-synchronized high-frequency financial data 0 0 0 3 0 3 7 45
Sufficient forecasting using factor models 0 0 1 38 0 2 10 155
Sure independence screening for ultrahigh dimensional feature space 0 0 3 146 1 5 17 639
Testing and detecting jumps based on a discretely observed process 0 0 0 38 0 0 3 168
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 1 35 2 4 13 313
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 1 2 5 176
Understanding Implicit Regularization in Over-Parameterized Single Index Model 0 0 0 2 0 0 0 3
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties 0 1 12 249 0 5 32 1,071
Variable selection for multivariate failure time data 0 0 0 17 1 1 2 99
Variance estimation using refitted cross‐validation in ultrahigh dimensional regression 0 0 0 20 0 1 1 96
Vast Portfolio Selection With Gross-Exposure Constraints 0 0 0 23 1 1 2 143
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection 0 0 2 10 1 1 4 70
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? 0 0 0 4 1 2 5 31
Total Journal Articles 10 23 125 3,566 79 178 541 13,531

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 36 598
Total Books 0 0 0 0 1 5 36 598

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Statistics updated 2025-09-05