Details about Jianqing Fan

E-mail:
Homepage:	https://fan.princeton.edu/
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 2025-01-06. Update your information in the RePEc Author Service.

Short-id: pfa165

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Working Papers

2025

1. Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review
   Papers, arXiv.org

2024

2. Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data
   Working Papers, University of California at Riverside, Department of Economics
3. Conditional nonparametric variable screening by neural factor regression
   Papers, arXiv.org
   Also in CeMMAP working papers, Institute for Fiscal Studies (2024)
4. Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data
   Working Papers, University of California at Riverside, Department of Economics
5. When can weak latent factors be statistically inferred?
   Papers, arXiv.org View citations (2)

2022

6. Bridging factor and sparse models
   Papers, arXiv.org View citations (2)
7. Can a Machine Correct Option Pricing Models?
   Working Papers, Princeton University. Economics Department.
   Also in Working Papers, Princeton University. Economics Department. (2021)
   See also Journal Article Can a Machine Correct Option Pricing Models?, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (2) (2023)
8. Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction
   Papers, arXiv.org View citations (4)
   See also Journal Article Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction, Journal of the American Statistical Association, Taylor & Francis Journals (2022) View citations (3) (2022)
9. How and When are High-Frequency Stock Returns Predictable?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
10. Policy Optimization Using Semi-parametric Models for Dynamic Pricing
    Papers, arXiv.org View citations (2)
    See also Journal Article Policy Optimization Using Semiparametric Models for Dynamic Pricing, Journal of the American Statistical Association, Taylor & Francis Journals (2024) View citations (4) (2024)

2020

11. Bootstrapping $\ell_p$-Statistics in High Dimensions
    Papers, arXiv.org
12. Recent Developments on Factor Models and its Applications in Econometric Learning
    Papers, arXiv.org

2018

13. Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia
    Papers, arXiv.org
    See also Journal Article Augmented factor models with applications to validating market risk factors and forecasting bond risk premia, Journal of Econometrics, Elsevier (2021) View citations (9) (2021)

2015

14. Robust Inference of Risks of Large Portfolios
    Papers, arXiv.org View citations (29)
    See also Journal Article Robust inference of risks of large portfolios, Journal of Econometrics, Elsevier (2016) View citations (6) (2016)

2013

15. Risks of Large Portfolios
    Papers, arXiv.org View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2013) View citations (8)
    See also Journal Article Risks of large portfolios, Journal of Econometrics, Elsevier (2015) View citations (31) (2015)

2012

16. Endogeneity in ultrahigh dimension
    MPRA Paper, University Library of Munich, Germany View citations (8)

2011

17. Large covariance estimation by thresholding principal orthogonal complements
    MPRA Paper, University Library of Munich, Germany View citations (30)
    See also Journal Article Large covariance estimation by thresholding principal orthogonal complements, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2013) View citations (365) (2013)
18. The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article The leverage effect puzzle: Disentangling sources of bias at high frequency, Journal of Financial Economics, Elsevier (2013) View citations (94) (2013)

2010

19. Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
    Papers, arXiv.org View citations (1)
    See also Journal Article Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection, Journal of the American Statistical Association, Taylor & Francis Journals (2012) View citations (70) (2012)

2009

20. 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 View citations (109)

2008

21. Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios
    Papers, arXiv.org View citations (6)
22. Modelling multivariate volatilities via conditionally uncorrelated components
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (28)
    See also Journal Article Modelling multivariate volatilities via conditionally uncorrelated components, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2008) View citations (32) (2008)
23. Profile-kernel likelihood inference with diverging number of parameters
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (30)

2007

24. 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 View citations (10)
    See also Journal Article To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied?, Journal of the American Statistical Association, American Statistical Association (2007) View citations (16) (2007)

2004

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

2003

26. Adaptive varying co-efficient linear models
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (43)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
    See also Journal Article Adaptive varying‐coefficient linear models, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2003) View citations (75) (2003)

2000

27. Functional-coefficient regression models for nonlinear time series
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (236)

1998

28. Efficient estimation of conditional variance functions in stochastic regression
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (153)

1996

29. 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)
30. 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 View citations (86)

1995

31. 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

32. Generalized Partially Linear Single-Index Models
    Statistics Working Paper, Australian Graduate School of Management View citations (8)

Journal Articles

2024

1. Are Latent Factor Regression and Sparse Regression Adequate?
   Journal of the American Statistical Association, 2024, 119, (546), 1076-1088 View citations (2)
2. How Much Can Machines Learn Finance from Chinese Text Data?
   Management Science, 2024, 70, (12), 8962-8987
3. Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games
   Operations Research, 2024, 72, (6), 2430-2445
4. Policy Optimization Using Semiparametric Models for Dynamic Pricing
   Journal of the American Statistical Association, 2024, 119, (545), 552-564 View citations (4)
   See also Working Paper Policy Optimization Using Semi-parametric Models for Dynamic Pricing, Papers (2022) View citations (2) (2022)

2023

5. Can a Machine Correct Option Pricing Models?
   Journal of Business & Economic Statistics, 2023, 41, (3), 995-1009 View citations (2)
   See also Working Paper Can a Machine Correct Option Pricing Models?, Working Papers (2022) (2022)
6. Communication-Efficient Accurate Statistical Estimation
   Journal of the American Statistical Association, 2023, 118, (542), 1000-1010 View citations (1)
7. Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs
   Journal of the American Statistical Association, 2023, 118, (542), 858-868 View citations (1)
8. Statistical Inference for High-Dimensional Matrix-Variate Factor Models
   Journal of the American Statistical Association, 2023, 118, (542), 1038-1055 View citations (4)
9. Understanding Implicit Regularization in Over-Parameterized Single Index Model
   Journal of the American Statistical Association, 2023, 118, (544), 2315-2328

2022

10. Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes
    Journal of the American Statistical Association, 2022, 117, (538), 996-1009 View citations (1)
11. Bayesian factor-adjusted sparse regression
    Journal of Econometrics, 2022, 230, (1), 3-19 View citations (1)
12. Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction
    Journal of the American Statistical Association, 2022, 117, (538), 574-590 View citations (3)
    See also Working Paper Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction, Papers (2022) View citations (4) (2022)
13. Estimating Number of Factors by Adjusted Eigenvalues Thresholding
    Journal of the American Statistical Association, 2022, 117, (538), 852-861 View citations (6)
14. Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
    Journal of the American Statistical Association, 2022, 117, (538), 909-924 View citations (3)
15. Measuring Housing Vitality from Multi-Source Big Data and Machine Learning
    Journal of the American Statistical Association, 2022, 117, (539), 1045-1059 View citations (1)
16. Optimal Covariate Balancing Conditions in Propensity Score Estimation
    Journal of Business & Economic Statistics, 2022, 41, (1), 97-110 View citations (2)
17. Rejoinder
    Journal of the American Statistical Association, 2022, 117, (539), 1066-1067
    Also in Journal of the American Statistical Association, 2005, 100, 808-813 (2005)
    Journal of Business & Economic Statistics, 2014, 32, (2), 204-205 (2014)
18. SIMPLE: Statistical inference on membership profiles in large networks
    Journal of the Royal Statistical Society Series B, 2022, 84, (2), 630-653 View citations (2)

2021

19. Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
    Journal of Econometrics, 2021, 222, (1), 269-294 View citations (9)
    See also Working Paper Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia, Papers (2018) (2018)
20. Recent Developments in Factor Models and Applications in Econometric Learning
    Annual Review of Financial Economics, 2021, 13, (1), 401-430 View citations (5)
21. The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases
    Journal of the American Statistical Association, 2021, 116, (534), 492-506 View citations (1)

2020

22. A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models
    Journal of Econometrics, 2020, 218, (1), 119-139 View citations (5)
23. Adaptive Huber Regression
    Journal of the American Statistical Association, 2020, 115, (529), 254-265 View citations (33)
24. Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression”
    Journal of the American Statistical Association, 2020, 115, (532), 1720-1725 View citations (7)
25. Factor-adjusted regularized model selection
    Journal of Econometrics, 2020, 216, (1), 71-85 View citations (19)

2019

26. Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
    Journal of Econometrics, 2019, 208, (2), 395-417 View citations (25)
27. FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control
    Journal of the American Statistical Association, 2019, 114, (528), 1880-1893 View citations (6)
28. Generalized high-dimensional trace regression via nuclear norm regularization
    Journal of Econometrics, 2019, 212, (1), 177-202 View citations (12)
29. Robust Measures of Earnings Surprises
    Journal of Finance, 2019, 74, (2), 943-983 View citations (12)
30. Robust covariance estimation for approximate factor models
    Journal of Econometrics, 2019, 208, (1), 5-22 View citations (18)
31. Structured volatility matrix estimation for non-synchronized high-frequency financial data
    Journal of Econometrics, 2019, 209, (1), 61-78 View citations (10)

2018

32. Embracing the Blessing of Dimensionality in Factor Models
    Journal of the American Statistical Association, 2018, 113, (521), 380-389 View citations (5)
33. Error Variance Estimation in Ultrahigh-Dimensional Additive Models
    Journal of the American Statistical Association, 2018, 113, (521), 315-327 View citations (6)
34. Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model
    Journal of the American Statistical Association, 2018, 113, (523), 1268-1283 View citations (27)
35. Robust estimation of high-dimensional covariance and precision matrices
    Biometrika, 2018, 105, (2), 271-284 View citations (13)

2017

36. Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’
    Applied Stochastic Models in Business and Industry, 2017, 33, (2), 121-122
37. Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions
    Journal of the Royal Statistical Society Series B, 2017, 79, (1), 247-265 View citations (51)
38. Estimation of the Continuous and Discontinuous Leverage Effects
    Journal of the American Statistical Association, 2017, 112, (520), 1744-1758 View citations (34)
39. Estimation of the false discovery proportion with unknown dependence
    Journal of the Royal Statistical Society Series B, 2017, 79, (4), 1143-1164 View citations (6)
40. High dimensional semiparametric latent graphical model for mixed data
    Journal of the Royal Statistical Society Series B, 2017, 79, (2), 405-421 View citations (9)
41. Observation of optomechanical buckling transitions
    Nature Communications, 2017, 8, (1), 1-7
42. Sufficient forecasting using factor models
    Journal of Econometrics, 2017, 201, (2), 292-306 View citations (17)

2016

43. An overview of the estimation of large covariance and precision matrices
    Econometrics Journal, 2016, 19, (1), C1-C32 View citations (67)
44. Conditional Sure Independence Screening
    Journal of the American Statistical Association, 2016, 111, (515), 1266-1277 View citations (23)
45. Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification
    Journal of the American Statistical Association, 2016, 111, (513), 275-287 View citations (7)
46. Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data
    Journal of Business & Economic Statistics, 2016, 34, (4), 489-503 View citations (70)
47. Multitask Quantile Regression Under the Transnormal Model
    Journal of the American Statistical Association, 2016, 111, (516), 1726-1735 View citations (6)
48. Robust inference of risks of large portfolios
    Journal of Econometrics, 2016, 194, (2), 298-308 View citations (6)
    See also Working Paper Robust Inference of Risks of Large Portfolios, Papers (2015) View citations (29) (2015)
49. Special Issue on Big Data
    Journal of Business & Economic Statistics, 2016, 34, (4), 487-488 View citations (1)
50. What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?
    Journal of Business & Economic Statistics, 2016, 34, (4), 519-535 View citations (12)

2015

51. Discussion
    International Statistical Review, 2015, 83, (1), 65-68
52. Homogeneity Pursuit
    Journal of the American Statistical Association, 2015, 110, (509), 175-194 View citations (16)
53. Multi-Agent Inference in Social Networks: A Finite Population Learning Approach
    Journal of the American Statistical Association, 2015, 110, (509), 149-158 View citations (1)
54. Power Enhancement in High‐Dimensional Cross‐Sectional Tests
    Econometrica, 2015, 83, (4), 1497-1541 View citations (47)
55. Risks of large portfolios
    Journal of Econometrics, 2015, 186, (2), 367-387 View citations (31)
    See also Working Paper Risks of Large Portfolios, Papers (2013) View citations (3) (2013)
56. Sparsifying the Fisher linear discriminant by rotation
    Journal of the Royal Statistical Society Series B, 2015, 77, (4), 827-851 View citations (5)

2014

57. Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models
    Journal of the American Statistical Association, 2014, 109, (507), 1270-1284 View citations (54)
58. Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods
    Journal of Business & Economic Statistics, 2014, 32, (2), 178-191 View citations (73)
59. Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities
    Journal of the American Statistical Association, 2014, 109, (507), 1084-1098 View citations (19)

2013

60. Implementation of generalized quantum measurements for unambiguous discrimination of multiple non-orthogonal coherent states
    Nature Communications, 2013, 4, (1), 1-6
61. Large covariance estimation by thresholding principal orthogonal complements
    Journal of the Royal Statistical Society Series B, 2013, 75, (4), 603-680 View citations (365)
    See also Working Paper Large covariance estimation by thresholding principal orthogonal complements, MPRA Paper (2011) View citations (30) (2011)
62. Parametrically guided generalised additive models with application to mergers and acquisitions data
    Journal of Nonparametric Statistics, 2013, 25, (1), 109-128 View citations (2)
63. The leverage effect puzzle: Disentangling sources of bias at high frequency
    Journal of Financial Economics, 2013, 109, (1), 224-249 View citations (94)
    See also Working Paper The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency, NBER Working Papers (2011) (2011)

2012

64. 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 View citations (28)
65. Variance estimation using refitted cross‐validation in ultrahigh dimensional regression
    Journal of the Royal Statistical Society Series B, 2012, 74, (1), 37-65 View citations (31)
66. Vast Portfolio Selection With Gross-Exposure Constraints
    Journal of the American Statistical Association, 2012, 107, (498), 592-606 View citations (127)
67. Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
    Journal of the American Statistical Association, 2012, 107, (497), 412-428 View citations (70)
    See also Working Paper Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection, Papers (2010) View citations (1) (2010)

2011

68. Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models
    Journal of the American Statistical Association, 2011, 106, (494), 544-557 View citations (117)
69. Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection
    Journal of the Royal Statistical Society Series B, 2011, 73, (3), 325-349 View citations (35)
70. Sparse High-Dimensional Models in Economics
    Annual Review of Economics, 2011, 3, (1), 291-317 View citations (62)
71. Testing and detecting jumps based on a discretely observed process
    Journal of Econometrics, 2011, 164, (2), 331-344 View citations (14)

2010

72. 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
73. 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
74. High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
    Journal of the American Statistical Association, 2010, 105, (492), 1504-1517 View citations (130)
75. NiFe/INSULATOR/CuCOMPOSITE WIRES AND THEIR GIANT MAGNETO-IMPEDANCE EFFECTS
    Surface Review and Letters (SRL), 2010, 17, (03), 369-373

2009

76. A Design-Adaptive Local Polynomial Estimator for the Errors-in-Variables Problem
    Journal of the American Statistical Association, 2009, 104, (485), 348-359 View citations (26)
77. Comment
    Journal of the American Statistical Association, 2009, 104, (487), 1003-1007
78. Finance and Cluster-Based Industrial Development in China
    Economic Development and Cultural Change, 2009, 58, (1), 143-164 View citations (60)
79. Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci
    Biometrics, 2009, 65, (4), 1068-1077 View citations (4)
80. Nonparametric Transition-Based Tests for Jump Diffusions
    Journal of the American Statistical Association, 2009, 104, (487), 1102-1116 View citations (42)
81. Option Pricing With Model-Guided Nonparametric Methods
    Journal of the American Statistical Association, 2009, 104, (488), 1351-1372 View citations (16)

2008

82. High dimensional covariance matrix estimation using a factor model
    Journal of Econometrics, 2008, 147, (1), 186-197 View citations (249)
83. Modelling multivariate volatilities via conditionally uncorrelated components
    Journal of the Royal Statistical Society Series B, 2008, 70, (4), 679-702 View citations (32)
    See also Working Paper Modelling multivariate volatilities via conditionally uncorrelated components, LSE Research Online Documents on Economics (2008) View citations (28) (2008)
84. Partially linear hazard regression with varying coefficients for multivariate survival data
    Journal of the Royal Statistical Society Series B, 2008, 70, (1), 141-158 View citations (16)
85. Semiparametric Estimation of Covariance Matrixes for Longitudinal Data
    Journal of the American Statistical Association, 2008, 103, (484), 1520-1533 View citations (20)
86. Sure independence screening for ultrahigh dimensional feature space
    Journal of the Royal Statistical Society Series B, 2008, 70, (5), 849-911 View citations (391)

2007

87. Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function
    Journal of the American Statistical Association, 2007, 102, 632-641 View citations (53)
88. Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation
    Journal of the American Statistical Association, 2007, 102, 618-631 View citations (8)
89. Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
    Journal of the American Statistical Association, 2007, 102, 1349-1362 View citations (99)
90. 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 View citations (24)
91. Partially Linear Hazard Regression for Multivariate Survival Data
    Journal of the American Statistical Association, 2007, 102, 538-551 View citations (16)
92. 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 View citations (19)
93. 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 View citations (16)
    See also Working Paper To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied, LSE Research Online Documents on Economics (2007) View citations (10) (2007)

2006

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

2005

96. Nonparametric Inferences for Additive Models
    Journal of the American Statistical Association, 2005, 100, 890-907 View citations (46)
97. 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 View citations (19)
98. Variable selection for multivariate failure time data
    Biometrika, 2005, 92, (2), 303-316 View citations (19)

2004

99. A crossvalidation method for estimating conditional densities
    Biometrika, 2004, 91, (4), 819-834 View citations (30)
100. Generalised likelihood ratio tests for spectral density
     Biometrika, 2004, 91, (1), 195-209 View citations (13)
101. New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis
     Journal of the American Statistical Association, 2004, 99, 710-723 View citations (100)

2003

102. A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
     Journal of the American Statistical Association, 2003, 98, 118-134 View citations (65)
103. Adaptive varying‐coefficient linear models
     Journal of the Royal Statistical Society Series B, 2003, 65, (1), 57-80 View citations (75)
     See also Working Paper Adaptive varying co-efficient linear models, LSE Research Online Documents on Economics (2003) View citations (43) (2003)
104. Semiparametric estimation of Value at Risk
     Econometrics Journal, 2003, 6, (2), 261-290 View citations (34)

2001

105. Goodness-of-Fit Tests for Parametric Regression Models
     Journal of the American Statistical Association, 2001, 96, 640-652 View citations (47)
106. Regularization of Wavelet Approximations
     Journal of the American Statistical Association, 2001, 96, 939-967 View citations (57)
107. Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
     Journal of the American Statistical Association, 2001, 96, 1348-1360 View citations (1534)

2000

108. A class of weighted dependence measures for bivariate failure time data
     Journal of the Royal Statistical Society Series B, 2000, 62, (1), 181-190 View citations (3)
109. Average Regression Surface for Dependent Data
     Journal of Multivariate Analysis, 2000, 75, (1), 112-142 View citations (9)
110. Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models
     Scandinavian Journal of Statistics, 2000, 27, (4), 715-731 View citations (73)
111. 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 View citations (75)

1999

112. One‐step local quasi‐likelihood estimation
     Journal of the Royal Statistical Society Series B, 1999, 61, (4), 927-943 View citations (16)
113. Rates of convergence for the pre-asymptotic substitution bandwidth selector
     Statistics & Probability Letters, 1999, 43, (3), 309-316
114. 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 View citations (65)

1998

115. Local maximum likelihood estimation and inference
     Journal of the Royal Statistical Society Series B, 1998, 60, (3), 591-608 View citations (51)

1997

116. Comments on «Wavelets in statistics: A review» by A. Antoniadis
     Statistical Methods & Applications, 1997, 6, (2), 131-138 View citations (14)
117. Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency
     Annals of the Institute of Statistical Mathematics, 1997, 49, (1), 79-99 View citations (25)

1992

118. Bias correction and higher order kernel functions
     Statistics & Probability Letters, 1992, 13, (3), 235-243 View citations (3)
119. Minimax estimation of a bounded squared mean
     Statistics & Probability Letters, 1992, 13, (5), 383-390
120. Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes
     Journal of Multivariate Analysis, 1992, 43, (2), 237-271 View citations (33)

Undated

121. Aggregation of Nonparametric Estimators for Volatility Matrix
     Journal of Financial Econometrics, 5, (3), 321-357 View citations (5)

Books

2017

1. The Elements of Financial Econometrics
   Cambridge Books, Cambridge University Press View citations (9)