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Details about Jianqing Fan

E-mail:
Homepage:http://orfe.princeton.edu/~jqfan/
Workplace:Bendheim Center for Finance, Department of Economics, Princeton University, (more information at EDIRC)
Department of Economics, Princeton University, (more information at EDIRC)

Access statistics for papers by Jianqing Fan.

Last updated 2017-02-27. Update your information in the RePEc Author Service.

Short-id: pfa165


Jump to Journal Articles

Working Papers

2015

  1. Robust Inference of Risks of Large Portfolios
    Papers, arXiv.org Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2016)

2013

  1. Risks of Large Portfolios
    Papers, arXiv.org Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2013) Downloads View citations (4)

    See also Journal Article in Journal of Econometrics (2015)

2012

  1. Endogeneity in ultrahigh dimension
    MPRA Paper, University Library of Munich, Germany Downloads View citations (5)

2011

  1. Large covariance estimation by thresholding principal orthogonal complements
    MPRA Paper, University Library of Munich, Germany Downloads View citations (26)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2013)
  2. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Financial Economics (2013)

2010

  1. Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
    Papers, arXiv.org Downloads View citations (1)
    See also Journal Article in Journal of the American Statistical Association (2012)

2009

  1. Sparsistency and rates of convergence in large covariance matrix estimation
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (19)

2008

  1. Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios
    Papers, arXiv.org Downloads View citations (4)
  2. Modelling multivariate volatilities via conditionally uncorrelated components
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (6)
    See also Journal Article in Journal of the Royal Statistical Society Series B (2008)
  3. Profile-kernel likelihood inference with diverging number of parameters
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (15)

2007

  1. To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (5)
    See also Journal Article in Journal of the American Statistical Association (2007)

2004

  1. A selective overview of nonparametric methods in financial econometrics
    Papers, arXiv.org Downloads

2003

  1. Adaptive varying co-efficient linear models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (13)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000) Downloads

    See also Journal Article in Journal of the Royal Statistical Society Series B (2003)

2000

  1. Functional-coefficient regression models for nonlinear time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (124)

1998

  1. Efficient estimation of conditional variance functions in stochastic regression
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (67)

1996

  1. Direct estimation of low dimensional components in additive models
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (13)
  2. Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (39)

1995

  1. Density and Regression Smoothing
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)

Undated

  1. Generalized Partially Linear Single-Index Models
    Statistics Working Paper, Australian Graduate School of Management View citations (2)

Journal Articles

2016

  1. An overview of the estimation of large covariance and precision matrices
    Econometrics Journal, 2016, 19, (1), C1-C32 Downloads
  2. Robust inference of risks of large portfolios
    Journal of Econometrics, 2016, 194, (2), 298-308 Downloads
    See also Working Paper (2015)

2015

  1. Discussion
    International Statistical Review, 2015, 83, (1), 65-68 Downloads
  2. Homogeneity Pursuit
    Journal of the American Statistical Association, 2015, 110, (509), 175-194 Downloads View citations (1)
  3. Multi-Agent Inference in Social Networks: A Finite Population Learning Approach
    Journal of the American Statistical Association, 2015, 110, (509), 149-158 Downloads
  4. Power Enhancement in High‐Dimensional Cross‐Sectional Tests
    Econometrica, 2015, 83, (4), 1497-1541 Downloads View citations (2)
  5. Risks of large portfolios
    Journal of Econometrics, 2015, 186, (2), 367-387 Downloads View citations (3)
    See also Working Paper (2013)
  6. Sparsifying the Fisher linear discriminant by rotation
    Journal of the Royal Statistical Society Series B, 2015, 77, (4), 827-851 Downloads View citations (2)

2014

  1. Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models
    Journal of the American Statistical Association, 2014, 109, (507), 1270-1284 Downloads View citations (7)
  2. Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
    Journal of Business & Economic Statistics, 2014, 32, (2), 178-191 Downloads View citations (16)
  3. Rejoinder
    Journal of Business & Economic Statistics, 2014, 32, (2), 204-205 Downloads
    Also in Journal of the American Statistical Association, 2005, 100, 808-813 (2005) Downloads
  4. Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities
    Journal of the American Statistical Association, 2014, 109, (507), 1084-1098 Downloads View citations (1)

2013

  1. Large covariance estimation by thresholding principal orthogonal complements
    Journal of the Royal Statistical Society Series B, 2013, 75, (4), 603-680 Downloads View citations (44)
    See also Working Paper (2011)
  2. Parametrically guided generalised additive models with application to mergers and acquisitions data
    Journal of Nonparametric Statistics, 2013, 25, (1), 109-128 Downloads
  3. The leverage effect puzzle: Disentangling sources of bias at high frequency
    Journal of Financial Economics, 2013, 109, (1), 224-249 Downloads View citations (13)
    See also Working Paper (2011)

2012

  1. A road to classification in high dimensional space: the regularized optimal affine discriminant
    Journal of the Royal Statistical Society Series B, 2012, 74, (4), 745-771 Downloads View citations (6)
  2. Variance estimation using refitted cross‐validation in ultrahigh dimensional regression
    Journal of the Royal Statistical Society Series B, 2012, 74, (1), 37-65 Downloads View citations (3)
  3. Vast Portfolio Selection With Gross-Exposure Constraints
    Journal of the American Statistical Association, 2012, 107, (498), 592-606 Downloads View citations (22)
  4. Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
    Journal of the American Statistical Association, 2012, 107, (497), 412-428 Downloads View citations (16)
    See also Working Paper (2010)

2011

  1. Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models
    Journal of the American Statistical Association, 2011, 106, (494), 544-557 Downloads View citations (19)
  2. Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection
    Journal of the Royal Statistical Society Series B, 2011, 73, (3), 325-349 View citations (6)
  3. Sparse High-Dimensional Models in Economics
    Annual Review of Economics, 2011, 3, (1), 291-317 Downloads View citations (11)
  4. Testing and detecting jumps based on a discretely observed process
    Journal of Econometrics, 2011, 164, (2), 331-344 Downloads View citations (6)

2010

  1. Comments on: Dynamic relations for sparsely sampled Gaussian processes
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2010, 19, (1), 37-42 Downloads
  2. Comments on: ℓ 1 -penalization for mixture regression models
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2010, 19, (2), 264-269 Downloads
  3. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
    Journal of the American Statistical Association, 2010, 105, (492), 1504-1517 Downloads View citations (38)

2009

  1. A Design-Adaptive Local Polynomial Estimator for the Errors-in-Variables Problem
    Journal of the American Statistical Association, 2009, 104, (485), 348-359 Downloads View citations (8)
  2. Comment
    Journal of the American Statistical Association, 2009, 104, (487), 1003-1007 Downloads
  3. Finance and Cluster-Based Industrial Development in China
    Economic Development and Cultural Change, 2009, 58, (1), 143-164 Downloads View citations (16)
  4. Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci
    Biometrics, 2009, 65, (4), 1068-1077 Downloads
  5. Nonparametric Transition-Based Tests for Jump Diffusions
    Journal of the American Statistical Association, 2009, 104, (487), 1102-1116 Downloads View citations (23)
  6. Option Pricing With Model-Guided Nonparametric Methods
    Journal of the American Statistical Association, 2009, 104, (488), 1351-1372 Downloads View citations (7)

2008

  1. High dimensional covariance matrix estimation using a factor model
    Journal of Econometrics, 2008, 147, (1), 186-197 Downloads View citations (85)
  2. Modelling multivariate volatilities via conditionally uncorrelated components
    Journal of the Royal Statistical Society Series B, 2008, 70, (4), 679-702 Downloads View citations (11)
    See also Working Paper (2008)
  3. Partially linear hazard regression with varying coefficients for multivariate survival data
    Journal of the Royal Statistical Society Series B, 2008, 70, (1), 141-158 Downloads View citations (9)
  4. Semiparametric Estimation of Covariance Matrixes for Longitudinal Data
    Journal of the American Statistical Association, 2008, 103, (484), 1520-1533 Downloads View citations (7)
  5. Sure independence screening for ultrahigh dimensional feature space
    Journal of the Royal Statistical Society Series B, 2008, 70, (5), 849-911 Downloads View citations (68)

2007

  1. Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function
    Journal of the American Statistical Association, 2007, 102, 632-641 Downloads View citations (22)
  2. Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation
    Journal of the American Statistical Association, 2007, 102, 618-631 Downloads View citations (4)
  3. Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
    Journal of the American Statistical Association, 2007, 102, 1349-1362 Downloads View citations (54)
  4. Nonparametric inference with generalized likelihood ratio tests
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2007, 16, (3), 409-444 Downloads View citations (10)
  5. Partially Linear Hazard Regression for Multivariate Survival Data
    Journal of the American Statistical Association, 2007, 102, 538-551 Downloads View citations (6)
  6. Rejoinder on: Nonparametric inference with generalized likelihood ratio tests
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2007, 16, (3), 471-478 Downloads View citations (6)
  7. To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied?
    Journal of the American Statistical Association, 2007, 102, 1282-1288 Downloads View citations (7)
    See also Working Paper (2007)

2006

  1. Comment
    Journal of the American Statistical Association, 2006, 101, 991-994 Downloads
  2. Regularization in statistics
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2006, 15, (2), 271-344 Downloads View citations (5)

2005

  1. Nonparametric Inferences for Additive Models
    Journal of the American Statistical Association, 2005, 100, 890-907 Downloads View citations (25)
  2. Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency
    Journal of the American Statistical Association, 2005, 100, 781-796 Downloads View citations (14)
  3. Variable selection for multivariate failure time data
    Biometrika, 2005, 92, (2), 303-316 Downloads View citations (6)

2004

  1. A crossvalidation method for estimating conditional densities
    Biometrika, 2004, 91, (4), 819-834 Downloads View citations (18)
  2. Generalised likelihood ratio tests for spectral density
    Biometrika, 2004, 91, (1), 195-209 View citations (10)
  3. New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis
    Journal of the American Statistical Association, 2004, 99, 710-723 Downloads View citations (52)

2003

  1. A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
    Journal of the American Statistical Association, 2003, 98, 118-134 Downloads View citations (34)
  2. Adaptive varying-coefficient linear models
    Journal of the Royal Statistical Society Series B, 2003, 65, (1), 57-80 Downloads View citations (39)
    See also Working Paper (2003)
  3. Semiparametric estimation of Value at Risk
    Econometrics Journal, 2003, 6, (2), 261-290 Downloads View citations (14)

2001

  1. Goodness-of-Fit Tests for Parametric Regression Models
    Journal of the American Statistical Association, 2001, 96, 640-652 Downloads View citations (31)
  2. Regularization of Wavelet Approximations
    Journal of the American Statistical Association, 2001, 96, 939-967 Downloads View citations (15)
  3. Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
    Journal of the American Statistical Association, 2001, 96, 1348-1360 Downloads View citations (368)

2000

  1. A class of weighted dependence measures for bivariate failure time data
    Journal of the Royal Statistical Society Series B, 2000, 62, (1), 181-190 Downloads
  2. Average Regression Surface for Dependent Data
    Journal of Multivariate Analysis, 2000, 75, (1), 112-142 Downloads View citations (6)
  3. Simultaneous Confidence Bands and Hypothesis Testing in Varying-coefficient Models
    Scandinavian Journal of Statistics, 2000, 27, (4), 715-731 Downloads View citations (34)
  4. Two-step estimation of functional linear models with applications to longitudinal data
    Journal of the Royal Statistical Society Series B, 2000, 62, (2), 303-322 Downloads View citations (39)

1999

  1. One-step local quasi-likelihood estimation
    Journal of the Royal Statistical Society Series B, 1999, 61, (4), 927-943 Downloads View citations (9)
  2. Rates of convergence for the pre-asymptotic substitution bandwidth selector
    Statistics & Probability Letters, 1999, 43, (3), 309-316 Downloads
  3. Robust principal component analysis for functional data
    TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 1999, 8, (1), 1-73 Downloads View citations (28)

1997

  1. Comments on «Wavelets in statistics: A review» by A. Antoniadis
    Statistical Methods & Applications, 1997, 6, (2), 131-138 Downloads View citations (4)
  2. Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency
    Annals of the Institute of Statistical Mathematics, 1997, 49, (1), 79-99 Downloads View citations (15)

1992

  1. Bias correction and higher order kernel functions
    Statistics & Probability Letters, 1992, 13, (3), 235-243 Downloads View citations (3)
  2. Minimax estimation of a bounded squared mean
    Statistics & Probability Letters, 1992, 13, (5), 383-390 Downloads
  3. Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes
    Journal of Multivariate Analysis, 1992, 43, (2), 237-271 Downloads View citations (14)

Undated

  1. Aggregation of Nonparametric Estimators for Volatility Matrix
    Journal of Financial Econometrics, 5, (3), 321-357 Downloads
 
Page updated 2017-03-27