# Access Statistics for Jianqing Fan

Author contact details at EconPapers.

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 1 29 2 2 6 129
Adaptive varying co-efficient linear models 0 0 0 3 1 3 4 34
Adaptive varying-coefficient linear models 0 0 0 2 0 1 3 35
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios 0 0 1 53 0 1 8 338
Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia 1 2 4 39 1 4 18 70
Bootstrapping $\ell_p$-Statistics in High Dimensions 0 0 6 6 1 1 7 7
Density and Regression Smoothing 0 0 0 25 0 1 4 188
Direct estimation of low dimensional components in additive models 0 0 0 11 0 0 2 171
Efficient estimation of conditional variance functions in stochastic regression 0 0 0 6 1 1 6 45
Endogeneity in ultrahigh dimension 0 0 1 38 0 5 9 94
Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems 0 1 2 6 1 3 5 40
Functional-coefficient regression models for nonlinear time series 0 0 1 29 0 1 8 213
Generalized Partially Linear Single-Index Models 0 0 0 77 0 0 7 1,386
Large covariance estimation by thresholding principal orthogonal complements 0 1 5 45 0 3 16 144
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 2 0 1 4 32
Profile-kernel likelihood inference with diverging number of parameters 0 0 0 2 1 3 8 35
Recent Developments on Factor Models and its Applications in Econometric Learning 2 21 22 22 3 13 14 14
Risks of Large Portfolios 0 0 1 28 0 0 6 79
Risks of large portfolios 0 0 0 63 1 2 6 109
Robust Inference of Risks of Large Portfolios 0 0 2 45 0 0 4 45
Sparsistency and rates of convergence in large covariance matrix estimation 0 0 0 5 0 0 1 40
The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency 0 0 0 51 1 1 9 146
To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied 0 0 0 1 0 0 2 18
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection 0 0 1 59 0 0 4 205
Total Working Papers 3 25 47 647 13 46 161 3,617

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 20 0 1 2 59
A Reexamination of Diffusion Estimators With Applications to Financial Model Validation 0 1 1 18 2 3 14 85
A class of weighted dependence measures for bivariate failure time data 0 0 0 4 0 0 1 36
A crossvalidation method for estimating conditional densities 0 0 1 21 0 0 5 81
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models 0 1 1 1 0 4 10 10
A road to classification in high dimensional space: the regularized optimal affine discriminant 0 0 2 28 0 0 7 100
Adaptive Huber Regression 0 0 1 1 1 4 13 13
Adaptive varying‐coefficient linear models 0 0 0 34 2 2 3 149
Aggregation of Nonparametric Estimators for Volatility Matrix 0 0 1 5 1 1 2 29
An overview of the estimation of large covariance and precision matrices 0 3 13 31 1 5 20 88
Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function 0 0 1 12 0 0 2 79
Average Regression Surface for Dependent Data 0 1 1 11 0 1 1 47
Bias correction and higher order kernel functions 0 0 1 43 1 2 4 117
Comment 0 0 0 0 0 1 3 21
Comment 0 0 0 4 0 0 1 43
Comments on «Wavelets in statistics: A review» by A. Antoniadis 0 2 2 39 1 4 6 116
Comments on: Dynamic relations for sparsely sampled Gaussian processes 0 0 0 2 0 0 1 23
Comments on: ℓ 1 -penalization for mixture regression models 0 0 0 4 0 0 1 33
Conditional Sure Independence Screening 0 0 0 1 1 2 4 11
Discussion 0 0 0 0 0 1 1 8
Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’ 0 0 0 2 0 1 1 5
Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation 0 0 0 14 0 0 3 46
Embracing the Blessing of Dimensionality in Factor Models 0 0 1 1 1 1 4 11
Error Variance Estimation in Ultrahigh-Dimensional Additive Models 0 0 1 4 0 0 5 15
Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions 0 0 1 11 2 2 15 36
Estimation of the Continuous and Discontinuous Leverage Effects 1 1 2 2 1 1 7 11
Estimation of the false discovery proportion with unknown dependence 0 0 2 6 0 2 10 28
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction 1 1 6 16 2 7 22 46
Factor-adjusted regularized model selection 0 0 5 5 4 8 22 22
FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control 0 0 1 1 1 5 7 7
Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification 0 0 1 3 0 3 7 23
Finance and Cluster-Based Industrial Development in China 0 0 1 114 0 4 14 423
Generalised likelihood ratio tests for spectral density 0 0 0 0 0 0 2 46
Generalized high-dimensional trace regression via nuclear norm regularization 0 1 6 6 3 7 25 30
Goodness-of-Fit Tests for Parametric Regression Models 0 0 0 18 1 2 6 101
High dimensional covariance matrix estimation using a factor model 1 2 13 380 3 7 39 1,019
High dimensional semiparametric latent graphical model for mixed data 0 0 1 7 1 1 9 31
High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 0 0 0 22 0 0 3 120
Homogeneity Pursuit 0 0 1 1 0 0 1 12
Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data 0 0 2 6 1 1 11 24
Large covariance estimation by thresholding principal orthogonal complements 0 0 4 13 1 2 19 87
Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency 0 0 2 72 0 2 9 247
Local maximum likelihood estimation and inference 0 0 0 0 2 3 3 3
Minimax estimation of a bounded squared mean 0 0 0 7 0 0 0 41
Modelling multivariate volatilities via conditionally uncorrelated components 0 0 0 20 0 0 0 65
Multi-Agent Inference in Social Networks: A Finite Population Learning Approach 0 0 0 0 0 0 1 17
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data 0 4 5 79 1 6 14 253
Multitask Quantile Regression Under the Transnormal Model 0 0 1 1 0 0 4 8
Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes 0 0 0 34 0 2 3 110
New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis 0 1 2 50 1 2 10 176
NiFe/INSULATOR/CuCOMPOSITE WIRES AND THEIR GIANT MAGNETO-IMPEDANCE EFFECTS 0 0 0 0 0 0 1 4
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models 0 0 1 14 1 1 8 138
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models 0 0 0 3 0 0 12 50
Nonparametric Inferences for Additive Models 0 0 0 61 0 1 2 175
Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci 0 0 0 1 0 0 0 3
Nonparametric Transition-Based Tests for Jump Diffusions 0 0 0 10 0 0 2 57
Nonparametric inference with generalized likelihood ratio tests 0 0 1 103 1 1 3 237
One‐step local quasi‐likelihood estimation 0 0 0 29 1 1 1 100
Option Pricing With Model-Guided Nonparametric Methods 0 0 2 12 0 0 3 63
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 14 0 0 1 56
Partially linear hazard regression with varying coefficients for multivariate survival data 0 0 0 46 0 0 0 144
Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection 0 0 0 0 0 2 11 78
Power Enhancement in High‐Dimensional Cross‐Sectional Tests 0 0 1 9 1 5 12 64
Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods 0 0 1 9 0 2 7 59
Rates of convergence for the pre-asymptotic substitution bandwidth selector 0 0 0 7 0 0 0 46
Regularization in statistics 0 0 1 200 1 4 9 551
Regularization of Wavelet Approximations 0 1 1 29 1 5 9 102
Rejoinder 0 0 0 0 0 0 2 13
Rejoinder 0 0 0 1 0 0 1 32
Rejoinder on: Nonparametric inference with generalized likelihood ratio tests 0 0 0 19 0 0 0 54
Risks of large portfolios 0 0 2 12 1 4 9 66
Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model 0 0 0 2 0 1 5 10
Robust Measures of Earnings Surprises 0 0 1 8 1 4 25 70
Robust covariance estimation for approximate factor models 0 0 6 10 0 0 14 41
Robust estimation of high-dimensional covariance and precision matrices 0 0 0 1 0 1 4 17
Robust inference of risks of large portfolios 0 0 1 1 0 0 6 24
Robust principal component analysis for functional data 0 1 4 175 0 3 13 544
Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency 0 0 0 24 0 0 0 103
Semiparametric Estimation of Covariance Matrixes for Longitudinal Data 0 0 0 6 0 0 0 52
Semiparametric estimation of Value at Risk 0 0 0 245 0 0 1 639
Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models 0 0 0 52 0 1 4 222
Sparse High-Dimensional Models in Economics 0 0 3 28 1 1 11 137
Sparsifying the Fisher linear discriminant by rotation 1 1 1 2 4 4 6 39
Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities 0 0 0 3 1 1 3 18
Special Issue on Big Data 0 0 1 5 1 1 10 27
Structured volatility matrix estimation for non-synchronized high-frequency financial data 0 0 0 1 1 4 10 27
Sufficient forecasting using factor models 1 1 2 22 3 5 15 103
Sure independence screening for ultrahigh dimensional feature space 0 0 1 129 2 6 26 512
Testing and detecting jumps based on a discretely observed process 0 0 0 37 0 0 0 155
The leverage effect puzzle: Disentangling sources of bias at high frequency 0 0 1 26 1 1 10 241
To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied? 0 0 0 10 0 1 2 66
Two‐step estimation of functional linear models with applications to longitudinal data 0 0 0 36 1 1 2 151
Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties 1 2 11 204 6 14 68 899
Variable selection for multivariate failure time data 0 0 1 17 0 0 4 92
Variance estimation using refitted cross‐validation in ultrahigh dimensional regression 0 0 1 19 0 0 6 85
Vast Portfolio Selection With Gross-Exposure Constraints 0 0 0 13 1 4 11 98
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection 0 0 0 8 0 1 5 60
What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? 1 1 1 2 2 2 3 15
Total Journal Articles 7 25 128 2,839 67 182 734 10,753