Yingying Fan

Princeton University

22 Chambers Street

Princeton, NJ 08544-0708

United States

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Large Dimensional Covariance Matrix Estimation Via a Factor Model

Number of pages: 55 Posted: 16 Jan 2007
Jianqing Fan, Yingying Fan and Jinchi Lv
Princeton University - Bendheim Center for Finance, Princeton University and Princeton University
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Abstract:

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Factor model, diverging dimensionality,covariance matrix estimation, consistency, asymptotic normality, ptimal portfolio, risk management

2.

Aggregation of Nonparametric Estimators for Volatility Matrix

Journal of Financial Econometrics, Vol. 5, Issue 3, pp. 321-357, 2007
Posted: 16 Jun 2008
Jianqing Fan, Yingying Fan and Jinchi Lv
Princeton University - Bendheim Center for Finance, Princeton University and Princeton University

Abstract:

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aggregation, affine model, diffusion, factor, local time, nonparametric function estimation, volatility matrix