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

31

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CITATIONS
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103

Scholarly Papers (31)

1.

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 1,424 (12,516)
Citation 4

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

2.

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
Downloads 1,340 (13,785)
Citation 1

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

3.

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 1,331 (13,916)
Citation 10

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

4.

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 1,177 (16,835)
Citation 1

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

5.

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 USI Lugano - Institute of Finance
Downloads 926 (24,036)
Citation 2

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

6.

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 902 (25,008)
Citation 6

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

7.

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 - New Brunswick/Piscataway and Princeton University
Downloads 824 (28,402)
Citation 7

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

8.
Downloads 739 ( 32,945)
Citation 2

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 739 (32,443)
Citation 2

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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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9.

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 and Ke Yu
Princeton University - Bendheim Center for Finance, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of Finance and Princeton University - Bendheim Center for Finance
Downloads 696 (35,761)
Citation 5

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10.

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 544 (49,447)
Citation 1

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

11.

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 516 (52,892)

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

12.

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 506 (54,209)
Citation 7

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

13.

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, Claremont Colleges - Peter F. Drucker Graduate School of Management and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 500 (55,034)
Citation 2

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

14.

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 - New Brunswick/Piscataway and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 472 (59,223)
Citation 1

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

15.

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 430 (66,318)
Citation 4

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

16.

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 398 (72,795)
Citation 5

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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

17.

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 374 (78,167)
Citation 3

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18.

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 - New Brunswick/Piscataway
Downloads 283 (106,718)
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

19.

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 - New Brunswick/Piscataway and Princeton University
Downloads 270 (112,171)
Citation 7

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

20.

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 - New Brunswick/Piscataway and Princeton University
Downloads 242 (125,591)

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

21.

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 172 (173,051)

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

22.

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 164 (180,322)

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

23.

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 - New Brunswick/Piscataway
Downloads 156 (188,122)
Citation 2

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

24.

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 - New Brunswick/Piscataway and Princeton University
Downloads 150 (194,412)
Citation 1

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25.

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 126 (223,450)

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

26.

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 98 (267,209)

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

27.

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

NBER Working Paper No. w17592
Number of pages: 52 Posted: 15 Nov 2011
Yacine Ait-Sahalia, Jianqing Fan and Yingying Li
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 Finance
Downloads 32 (455,538)
Citation 1

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28.

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 30 (464,949)

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

29.

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 18 (530,860)

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

30.

An Overview of the Estimation of Large Covariance and Precision Matrices

The Econometrics Journal, Vol. 19, Issue 1, pp. C1-C32, 2016
Number of pages: 32 Posted: 10 May 2016
Jianqing Fan, Yuan Liao and Han Liu
Princeton University - Bendheim Center for Finance, Rutgers, The State University of New Jersey - New Brunswick/Piscataway and Princeton University - Department of Operations Research & Financial Engineering (ORFE)
Downloads 0 (666,709)
Citation 1
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Approximate factor model, Elliptical distribution, Graphical model, Heavy‐tailed, High‐dimensionality, Low‐rank matrix, Principal components, Rank‐based methods, Sparse matrix, Thresholding

31.

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