.
Fan, Jianqing's
Scholarly Papers
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column.
Aggregate Statistics
Total 7,515
Total Citations 60
1.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Zhang, Jingjin Princeton University - Bendheim Center for Finance
Yu, Ke Princeton University - Bendheim Center for Finance
Posted:
14 Mar 09
Last Revised:
22 Mar 09
1,036(8,770)
7
Short-sale constraint, mean-variance efficiency, portfolio selection, risk assessment, risk optimization, portfolio improvement
2.
Fan, Yingying University of Southern California - Marshall school of Business
Fan, Jianqing Princeton University - Bendheim Center for Finance
958(9,887)
3
Jump diffusion process, test for jumps, high frequency, stable convergence, FDR
3.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Mancini, Loriano Ecole Polytechnique Fédérale de Lausanne
Posted:
20 Feb 07
Last Revised:
13 Feb 09
825(12,514)
4
Nonparametric regression, state price distribution, model misspecification, out-of-sample analysis, generalized likelihood ratio test
4.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Fan, Yingying Princeton University
Lv, Jinchi Princeton University
763(14,088)
2
Factor model, diverging dimensionality,covariance matrix estimation, consistency, asymptotic normality, ptimal portfolio, risk management
5.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Qi, Lei Princeton University - Bendheim Center for Finance
Xiu, Dacheng University of Chicago - Booth School of Business
Posted:
24 Jan 10
Last Revised:
06 Aug 12
707(15,716)
1
quasi-likelihood, two-step estimator, heavy-tailed error
6.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Li, Yingying Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Yu, Ke Princeton University - Bendheim Center for Finance
Posted:
27 Apr 10
Last Revised:
08 Feb 13
588(20,465)
4
7.
Sparse High-Dimensional Models in Economics
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Fan, Jianqing Princeton University - Bendheim Center for Finance
Lv, Jinchi University of Southern California - Marshall School of Business
Qi, Lei Princeton University
Posted:
16 Aug 10
Last Revised:
31 Aug 11
559(21,948)
1
Fan, Jianqing Princeton University - Bendheim Center for Finance
Lv, Jinchi University of Southern California - Marshall School of Business
Qi, Lei Princeton University
0
Fan, Jianqing Princeton University - Bendheim Center for Finance
Lv, Jinchi University of Southern California - Marshall School of Business
Qi, Lei Princeton University - Bendheim Center for Finance
559
1
Variable selection, independence screening, sparsity, oracle properties, penalized least squares, penalized likelihood, spurious correlation, sparse VAR, factor models, volatility estimation, portfolio selection
8.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Wang, Yazhen University of Wisconsin - Madison - Department of Statistics
454(28,914)
22
High-frequency data, integrated volality, microstructure noise, quadratic variation, jump-diffusion, wavelets
9.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Fan, Jianqing Princeton University - Bendheim Center for Finance
Peng, Heng Hong Kong Baptist University (HKBU)
415(32,506)
9
Generalized likelihood ratio tests, local linear fit, null distribution, jump-diffusions, Markovian processes, power, specification tests, transition density
10.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Fan, Jianqing Princeton University - Bendheim Center for Finance
Xiu, Dacheng University of Chicago - Booth School of Business
410(32,994)
4
Market microstructure noise, Covariance, Quasi-Maximum Likelihood Estimator, Refresh Time, Generalized Synchronization
11.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Liao, Yuan University of Maryland
Mincheva, Martina Princeton University
Posted:
31 Dec 11
Last Revised:
05 Jan 13
297(48,890)
High dimensionality, approximate factor model, unknown factors, principal components, sparse matrix, low-rank matrix, thresholding, cross-sectional correlation
12.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Liao, Yuan University of Maryland
Mincheva, Martina Princeton University
Posted:
23 May 11
Last Revised:
26 May 11
177(83,992)
2
sparse estimation, thresholding, cross-sectional correlation, common factors, idiosyncratic, seemingly unrelated regression
13.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Liao, Yuan University of Maryland
141(103,176)
Focused GMM, Sparsity recovery, Endogenous variables, Oracle property, Conditional moment restriction, Estimating equation, Over identification, Global minimization, Semi-parametric efficiency
14.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Liao, Yuan University of Maryland
Shi, Xiaofeng Princeton University
89(146,053)
15.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Imerman, Michael B. Lehigh University
Dai, Wei Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Posted:
17 Mar 13
Last Revised:
10 Apr 13
87(148,195)
16.
Ait-Sahalia, Yacine Princeton University - Department of Economics
Fan, Jianqing Princeton University - Bendheim Center for Finance
Li, Yingying Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
9(313,229)
1
17.
Fan, Jianqing Princeton University - Bendheim Center for Finance
Fan, Yingying Princeton University
Lv, Jinchi Princeton University
aggregation, affine model, diffusion, factor, local time, nonparametric function estimation, volatility matrix
