Jianqing Fan

Princeton University - Bendheim Center for Finance

Frederick L. Moore Professor of Finance

26 Prospect Avenue

Princeton, NJ 08540

United States

http://orfe.princeton.edu/~jqfan/

SCHOLARLY PAPERS

50

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28,333

SSRN CITATIONS
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Top 2,996

in Total Papers Citations

550

CROSSREF CITATIONS

68

Scholarly Papers (50)

How and When are High-Frequency Stock Returns Predictable?

Number of pages: 57 Posted: 03 May 2022
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University
Downloads 2,231 (12,920)
Citation 1

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High-frequency returns, durations, predictability, millisecond, machine learning, random forests, LASSO, penalized regression.

How and When are High-Frequency Stock Returns Predictable?

NBER Working Paper No. w30366
Number of pages: 58 Posted: 22 Aug 2022 Last Revised: 23 Jun 2023
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance, Princeton University and Princeton University
Downloads 35 (857,983)
Citation 1

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2.

Structural Deep Learning in Conditional Asset Pricing

Number of pages: 90 Posted: 02 Jun 2022 Last Revised: 04 Jun 2023
Princeton University - Bendheim Center for Finance, Harvard University, Rutgers University, New Brunswick and Washington University in St. Louis - John M. Olin Business School
Downloads 2,009 (15,502)
Citation 4

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factor pricing model, neural network, double descent, alphas, characteristics, risk premium

3.

How Much Can Machines Learn Finance From Chinese Text Data?

Management Science
Number of pages: 61 Posted: 04 Mar 2021 Last Revised: 21 Jul 2023
Yang Zhou, Lirong Xue and Jianqing Fan
Institute for Big Data, Fudan University, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Bendheim Center for Finance
Downloads 1,972 (15,981)
Citation 8

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Machine Learning, Farmpredict, Factor Model, Sparse Regression, Textual Analysis

4.

Robust Measures of Earnings Surprises

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 29 Jul 2014 Last Revised: 06 May 2018
Independent, Princeton University - Department of Operations Research & Financial Engineering (ORFE), Princeton University - Bendheim Center for Finance, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Singapore Management University - Lee Kong Chian School of Business
Downloads 1,916 (16,713)
Citation 3

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Event Studies, Efficient Markets, Earnings Announcements, Post-Earnings Announcement Drift

5.

Can a Machine Correct Option Pricing Models?

Almeida, Fan, Freire, Tang (2022)
Number of pages: 35 Posted: 04 May 2021 Last Revised: 28 Dec 2022
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Princeton University - Department of Political Science
Downloads 1,553 (23,164)
Citation 2

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Deep Learning, Boosting, Implied Volatility, Stochastic Volatility, Model Correction

6.

Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods

Number of pages: 36 Posted: 24 Jan 2010 Last Revised: 06 Aug 2012
Jianqing Fan, Lei Qi and Dacheng Xiu
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 1,551 (23,209)
Citation 10

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quasi-likelihood, two-step estimator, heavy-tailed error

7.

Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios

Number of pages: 41 Posted: 14 Mar 2009 Last Revised: 22 Mar 2009
Jianqing Fan, Jingjin Zhang and Ke Yu
Princeton University - Bendheim Center for Finance, Princeton University - Bendheim Center for Finance and Princeton University - Bendheim Center for Finance
Downloads 1,442 (25,887)
Citation 19

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Short-sale constraint, mean-variance efficiency, portfolio selection, risk assessment, risk optimization, portfolio improvement

8.

Testing and Detecting Jumps Based on a Discretely Observed Process

Number of pages: 39 Posted: 06 Jan 2009
Yingying Fan and Jianqing Fan
University of Southern California - Marshall school of Business and Princeton University - Bendheim Center for Finance
Downloads 1,265 (31,367)
Citation 5

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Jump diffusion process, test for jumps, high frequency, stable convergence, FDR

9.

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
Downloads 1,020 (42,746)
Citation 9

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

10.

Large Covariance Estimation by Thresholding Principal Orthogonal Complements

Number of pages: 57 Posted: 31 Dec 2011 Last Revised: 05 Jan 2013
Jianqing Fan, Yuan Liao and Martina Mincheva
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Department of Economics and Princeton University
Downloads 989 (44,632)
Citation 34

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High dimensionality, approximate factor model, unknown factors, principal components, sparse matrix, low-rank matrix, thresholding, cross-sectional correlation

11.

Option Pricing with Model-Guided Nonparametric Methods

Number of pages: 55 Posted: 20 Feb 2007 Last Revised: 13 Feb 2009
Jianqing Fan and Loriano Mancini
Princeton University - Bendheim Center for Finance and Università della Svizzera italiana (USI Lugano)
Downloads 977 (45,397)
Citation 6

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Nonparametric regression, state price distribution, model misspecification, out-of-sample analysis, generalized likelihood ratio test

12.
Downloads 884 (52,105)
Citation 7

Sparse High Dimensional Models in Economics

Number of pages: 53 Posted: 16 Aug 2010
Jianqing Fan, Jinchi Lv and Lei Qi
Princeton University - Bendheim Center for Finance, University of Southern California - Marshall School of Business and Princeton University - Bendheim Center for Finance
Downloads 884 (51,421)
Citation 7

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Variable selection, independence screening, sparsity, oracle properties, penalized least squares, penalized likelihood, spurious correlation, sparse VAR, factor models, volatility estimation, portfolio selection

Sparse High-Dimensional Models in Economics

Annual Review of Economics, Vol. 3, pp. 291-317, 2011
Posted: 31 Aug 2011
Jianqing Fan, Jinchi Lv and Lei Qi
Princeton University - Bendheim Center for Finance, University of Southern California - Marshall School of Business and Princeton University

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13.

Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection

Number of pages: 45 Posted: 27 Apr 2010 Last Revised: 08 Feb 2013
Jianqing Fan, Yingying Li, Yingying Li and Ke Yu
Princeton University - Bendheim Center for Finance, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management and Princeton University - Bendheim Center for Finance
Downloads 762 (63,785)
Citation 24

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14.

Sufficient Forecasting Using Factor Models

Number of pages: 32 Posted: 20 May 2015
Jianqing Fan, Lingzhou Xue and Jiawei Yao
Princeton University - Bendheim Center for Finance, Pennsylvania State University - Department of Statistics and Princeton University
Downloads 666 (75,863)
Citation 8

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Regression, forecast, deep learning, approximate factor model, principal components, learning indices, sliced inverse regression, dimension reduction.

15.

Projected Principal Component Analysis in Factor Models

Number of pages: 50 Posted: 18 Jun 2014
Jianqing Fan, Yuan Liao and Weichen Wang
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Department of Economics and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 604 (85,680)
Citation 69

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approximate factor model, high dimensionality, sieve approximation, semi-parametric

16.

What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?

Journal of Business and Economic Statistics (Forthcoming)
Number of pages: 58 Posted: 17 Mar 2013 Last Revised: 03 Feb 2016
Jianqing Fan, Michael B. Imerman and Wei Dai
Princeton University - Bendheim Center for Finance, University of California, Irvine - Paul Merage School of Business and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 601 (86,232)
Citation 7

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volatility risk premium, integrated volatility, ultra-high-frequency data, microstructure noise, Fourier transform, tail risk, Big Data risk analytics

17.

High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data

Number of pages: 37 Posted: 28 Jun 2010
Yacine Ait-Sahalia, Jianqing Fan and Dacheng Xiu
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and University of Chicago - Booth School of Business
Downloads 598 (86,818)
Citation 36

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Market microstructure noise, Covariance, Quasi-Maximum Likelihood Estimator, Refresh Time, Generalized Synchronization

18.

Incorporating Global Industrial Classification Standard into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data

Chicago Booth Research Paper No. 15-01
Number of pages: 34 Posted: 13 Jan 2015 Last Revised: 22 Apr 2015
Jianqing Fan, Alex Furger and Dacheng Xiu
Princeton University - Bendheim Center for Finance, Princeton University and University of Chicago - Booth School of Business
Downloads 585 (89,480)
Citation 39

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big data, high-frequency factor model, GICS, location-based thresholding, low rank plus sparse, precision matrix, positive-definite, concentration inequality, SDPR sector ETF’s

19.

Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data

Number of pages: 36 Posted: 16 Jan 2007
Jianqing Fan and Yazhen Wang
Princeton University - Bendheim Center for Finance and University of Wisconsin - Madison - Department of Statistics
Downloads 568 (92,646)
Citation 25

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High-frequency data, integrated volality, microstructure noise, quadratic variation, jump-diffusion, wavelets

20.

On Estimation of Deep Nested CES Production Functions

Number of pages: 63 Posted: 03 Oct 2018
Haoqi Qian, Libo Wu and Jianqing Fan
Fudan University, School of Economics, Fudan University - School of Economics and Princeton University - Bendheim Center for Finance
Downloads 517 (104,149)
Citation 1

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Nested CES Function, Nonlinear Least Squares Estimation, Gradient Descent, Energy Substitution, Model Selection

21.

Unearthing Financial Statement Fraud: Insights from News Coverage Analysis

Number of pages: 59 Posted: 27 Jan 2023 Last Revised: 06 Nov 2023
Jianqing Fan, Qingfu Liu, Bo Wang and Kaixin Zheng
Princeton University - Bendheim Center for Finance, Fudan University - School of Economics, Shanghai Stock Exchange and Shanghai Jiao Tong University (SJTU) - Antai College of Economics and Management
Downloads 500 (108,814)

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Financial statement fraud, News coverage, Detection framework, Peer effects, Machine learning

22.

Nonparametric Transition-Based Tests for Jump-Diffusions

Number of pages: 54 Posted: 11 Jan 2007
Yacine Ait-Sahalia, Jianqing Fan and Heng Peng
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and Hong Kong Baptist University (HKBU)
Downloads 454 (121,706)
Citation 7

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Generalized likelihood ratio tests, local linear fit, null distribution, jump-diffusions, Markovian processes, power, specification tests, transition density

23.

Estimation of the Continuous and Discontinuous Leverage Effects

Number of pages: 67 Posted: 19 Nov 2014 Last Revised: 02 Oct 2015
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance, University of Amsterdam - Department of Quantitative Economics (KE), Columbia University - Department of Statistics and Rutgers, The State University of New Jersey - Department of Economics
Downloads 428 (130,422)
Citation 6

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24.

Endogeneity in Ultrahigh Dimension

Number of pages: 53 Posted: 25 Apr 2012
Jianqing Fan and Yuan Liao
Princeton University - Bendheim Center for Finance and Rutgers, The State University of New Jersey - Department of Economics
Downloads 357 (160,054)
Citation 1

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Focused GMM, Sparsity recovery, Endogenous variables, Oracle property, Conditional moment restriction, Estimating equation, Over identification, Global minimization, Semi-parametric efficiency

25.

Factor GARCH-ITO Models for High-Frequency Data with Application to Large Volatility Matrix Prediction

Number of pages: 41 Posted: 13 Dec 2017
Donggyu Kim and Jianqing Fan
College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Princeton University - Bendheim Center for Finance
Downloads 355 (161,031)
Citation 18

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Factor model, GARCH, low-rank, POET, quasi-maximum likelihood estimator, sparsity

26.

Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model

Number of pages: 42 Posted: 13 Dec 2017
Jianqing Fan and Donggyu Kim
Princeton University - Bendheim Center for Finance and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 345 (166,041)
Citation 5

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Concentration inequality; Huber loss; low-rank matrix; pre-averaging; spasrity

27.

Bridging Factor and Sparse Models

Number of pages: 65 Posted: 09 Mar 2021 Last Revised: 06 Sep 2022
Princeton University - Bendheim Center for Finance, Princeton University and The University of Illinois at Urbana-Champaign
Downloads 334 (171,939)
Citation 7

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Factor models, sparse regression, high-dimensional, supervised learning, hypothesis testing, covariance structure.

28.

High Dimensional Covariance Matrix Estimation in Approximate Factor Models

Number of pages: 29 Posted: 23 May 2011 Last Revised: 26 May 2011
Jianqing Fan, Yuan Liao and Martina Mincheva
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Department of Economics and Princeton University
Downloads 315 (182,917)
Citation 68

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sparse estimation, thresholding, cross-sectional correlation, common factors, idiosyncratic, seemingly unrelated regression

29.

Measuring Housing Activeness from Multi-Source Big Data and Machine Learning

Number of pages: 38 Posted: 11 Oct 2021
Yang Zhou, Lirong Xue, Zhengyu Shi, Libo Wu and Jianqing Fan
Institute for Big Data, Fudan University, Princeton University - Department of Operations Research & Financial Engineering (ORFE), Fudan University - School of Data Science, Fudan University - School of Economics and Princeton University - Bendheim Center for Finance
Downloads 278 (208,382)

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Housing Activeness, Machine Learning, Factor Model, FarmPredict, Computational Social Science

30.

Power Enhancement in High Dimensional Cross-Sectional Tests

Number of pages: 60 Posted: 16 Oct 2013 Last Revised: 17 Aug 2014
Jianqing Fan, Yuan Liao and Jiawei Yao
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Department of Economics and Princeton University
Downloads 273 (212,399)
Citation 25

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sparse alternatives, thresholding, large covariance matrix estimation, Wald-test, screening, cross-sectional independence, factor pricing model

31.

Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia

Number of pages: 49 Posted: 23 Mar 2016 Last Revised: 24 Sep 2018
Jianqing Fan, Yuan Ke and Yuan Liao
Princeton University - Bendheim Center for Finance, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Rutgers, The State University of New Jersey - Department of Economics
Downloads 258 (224,637)
Citation 5

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Huber loss, Heavy tails, Forecasts, Fama-French factors, Large dimensions

32.

Structured Volatility Matrix Estimation for Non-Synchronized High-Frequency Financial Data

Number of pages: 35 Posted: 13 Dec 2017
Jianqing Fan and Donggyu Kim
Princeton University - Bendheim Center for Finance and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 239 (242,247)
Citation 1

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Diffusion process, factor model, high-frequency data, low-rank matrix, matrix completion, POET, sparsity

33.

Risks of Large Portfolios

Number of pages: 40 Posted: 05 Feb 2013
Jianqing Fan, Yuan Liao and Xiaofeng Shi
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - Department of Economics and Princeton University
Downloads 191 (298,374)
Citation 9

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34.

Learning Latent Factors from Diversified Projections and its Applications to Over-Estimated and Weak Factors

Number of pages: 74 Posted: 18 Sep 2019 Last Revised: 04 Jun 2020
Jianqing Fan and Yuan Liao
Princeton University - Bendheim Center for Finance and Rutgers, The State University of New Jersey - Department of Economics
Downloads 181 (313,074)
Citation 5

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Large dimensions, random projections, over-estimating the number of factors, principal components, factor-augmented regression

35.

Recent Developments on Factor Models and its Applications in Econometric Learning

Annual Review of Financial Economics, Forthcoming
Number of pages: 60 Posted: 02 Oct 2020
Jianqing Fan, Kunpeng Li and Yuan Liao
Princeton University - Bendheim Center for Finance, Capital University of Economics and Business and Rutgers, The State University of New Jersey - Department of Economics
Downloads 176 (321,046)
Citation 1

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factor models, spiked low rank matrix, matrix completion, unbalanced panel, factor adjustments, robustness, model section, multiple testing, high-dimensional

36.

Policy Optimization Using Semiparametric Models for Dynamic Pricing

Number of pages: 71 Posted: 16 Sep 2021 Last Revised: 06 May 2022
Jianqing Fan, Yongyi Guo and Mengxin Yu
Princeton University - Bendheim Center for Finance, Princeton University and University of Pennsylvania - Statistics Department
Downloads 175 (322,679)
Citation 5

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37.

Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data

KAIST College of Business Working Paper Series
Number of pages: 58 Posted: 13 Sep 2021 Last Revised: 13 Aug 2023
Minseok Shin, Donggyu Kim, Yazhen Wang and Jianqing Fan
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST), University of Wisconsin - Madison - Department of Statistics and Princeton University - Bendheim Center for Finance
Downloads 135 (399,860)
Citation 3

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Diffusion process, robust estimation, high-dimensionality, POET, Huber loss, LASSO

38.

Robust Inference of Risks of Large Portfolios

Number of pages: 45 Posted: 12 Jan 2015
Jianqing Fan, Fang Han, Han Liu and Byron Vickers
Princeton University - Bendheim Center for Finance, Johns Hopkins University, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 129 (414,307)
Citation 3

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High dimensionality; robust inference; rank statistics; quantile statistics; risk management; covariance matrix.

39.

Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data

Journal of Econometrics, Forthcoming
Number of pages: 65 Posted: 26 Mar 2021 Last Revised: 14 Aug 2023
Minseok Shin, Donggyu Kim and Jianqing Fan
College of Business, Korea Advanced Institute of Science and Technology (KAIST), College of Business, Korea Advanced Institute of Science and Technology (KAIST) and Princeton University - Bendheim Center for Finance
Downloads 95 (516,611)
Citation 1

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Heterogeneity, tail index, pre-averaging, minimax lower bound, optimality, POET, factor model

40.

The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency

NBER Working Paper No. w17592
Number of pages: 52 Posted: 15 Nov 2011 Last Revised: 26 Jan 2023
Princeton University - Department of Economics, Princeton University - Bendheim Center for Finance and Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 90 (534,717)
Citation 28

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41.

Factor-Adjusted Regularized Model Selection

Number of pages: 39 Posted: 03 Oct 2018
Jianqing Fan, Yuan Ke and Kaizheng Wang
Princeton University - Bendheim Center for Finance, Princeton University - Department of Operations Research & Financial Engineering (ORFE) and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 83 (561,987)
Citation 16

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High dimension, Model selection consistency, Correlated covariates, Factor model, Regularized M-estimator, Time series

42.

The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases

Number of pages: 39 Posted: 14 Jan 2021
Princeton University - Department of Political Science, New York University (NYU) - New York University, Princeton University - Bendheim Center for Finance and Princeton UniversityPrinceton University
Downloads 65 (643,489)
Citation 1

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COVID-19, Stochastic Block Model, Spectral Clustering, Community Detection, Machine Learning, Neural Networks.

43.

Do We Exploit All Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction

Number of pages: 33 Posted: 07 Jan 2021
Princeton University - Bendheim Center for Finance, Princeton University and The University of Illinois at Urbana-Champaign
Downloads 51 (721,759)
Citation 3

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counterfactual estimation, synthetic controls, ArCo, treatment effects, factor models, high-dimensional testing, LASSO, FarmTreat.

44.

Spectral Ranking Inferences based on General Multiway Comparisons

The Wharton School Research Paper Forthcoming
Number of pages: 62 Posted: 13 Aug 2023
Jianqing Fan, Zhipeng Lou, Weichen Wang and Mengxin Yu
Princeton University - Bendheim Center for Finance, affiliation not provided to SSRN, The University of Hong Kong - Faculty of Business and Economics and University of Pennsylvania - Statistics Department
Downloads 25 (922,177)

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45.

Tests for Principal Eigenvalues and Eigenvectors

Number of pages: 65 Posted: 14 May 2024
Princeton University - Bendheim Center for Finance, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Shanghai University of Finance and Economics - School of Statistics and Management and Hong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management
Downloads 23 (941,706)

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Factor model, principal eigenvalues, principal eigenvectors, central limit theorem, two-sample test

46.

Factor Augmented Matrix Regression

Number of pages: 71 Posted: 07 Jun 2024
Elynn Chen, Jianqing Fan and Xiaonan Zhu
New York University (NYU) - Leonard N. Stern School of Business, Princeton University - Bendheim Center for Finance and Princeton University
Downloads 13 (1,045,430)

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Matrix factor models, Matrix regression, Factor-augmented regression, Diversified projections, High-dimensionality

47.

Covariate Assisted Entity Ranking with Sparse Intrinsic Scores

Number of pages: 77 Posted: 12 Jul 2024
Jianqing Fan, Jikai Hou and Mengxin Yu
Princeton University - Bendheim Center for Finance, Princeton University and University of Pennsylvania - Statistics Department
Downloads 10 (1,075,960)

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48.

Factor and Idiosyncratic Var-Itô Volatility Matrix Models for Heavy-Tailed High-Frequency Financial Observations

Number of pages: 58 Posted: 21 Mar 2024
Donggyu Kim, Yazhen Wang, Jianqing Fan and Minseok Shin
College of Business, Korea Advanced Institute of Science and Technology (KAIST), University of Wisconsin - Madison - Department of Statistics, Princeton University - Bendheim Center for Finance and College of Business, Korea Advanced Institute of Science and Technology (KAIST)
Downloads 10 (1,075,960)

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robust estimation, high-dimensionality, POET, Huber loss, LASSO

49.

Recent Developments in Factor Models and Applications in Econometric Learning

Annual Review of Financial Economics, Vol. 13, pp. 401-430, 2021
Posted: 09 Nov 2021
Jianqing Fan, Kunpeng Li and Yuan Liao
Princeton University - Bendheim Center for Finance, Capital University of Economics and Business and Rutgers University, New Brunswick

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50.

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

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