Jianqing Fan : Citation Profile

Princeton University (50% share)
Princeton University (50% share)

36

H index

78

i10 index

6331

Citations

RESEARCH PRODUCTION:

123

Articles

36

Papers

1

Books

RESEARCH ACTIVITY:

   33 years (1992 - 2025). See details.
   Cites by year: 191
   Journals where Jianqing Fan has often published
   Relations with other researchers
   Recent citing documents: 628.    Total self citations: 64 (1 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pfa165
   Updated: 2025-12-20    RAS profile: 2025-01-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Medeiros, Marcelo (3)

Almeida, Caio (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Jianqing Fan.

Is cited by:

LINTON, OLIVER (135)

Kim, Donggyu (100)

Li, Degui (70)

Barigozzi, Matteo (65)

Chernozhukov, Victor (61)

Härdle, Wolfgang (58)

GAO, Jiti (56)

Chen, Jia (55)

CAI, ZONGWU (51)

Hallin, Marc (51)

Hansen, Christian (50)

Cites to:

Bai, Jushan (53)

Reichlin, Lucrezia (50)

Hallin, Marc (44)

Ng, Serena (44)

Ait-Sahalia, Yacine (37)

Liao, Yuan (35)

Shephard, Neil (35)

Lippi, Marco (33)

Forni, Mario (33)

Xiu, Dacheng (32)

Giannone, Domenico (29)

Main data

Where Jianqing Fan has published?

Journals with more than one article published# docs
Journal of the American Statistical Association29
Journal of the American Statistical Association21
Journal of the Royal Statistical Society Series B17
Journal of Econometrics13
Journal of Business & Economic Statistics7
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research6
Biometrika4
Statistics & Probability Letters3
Journal of Multivariate Analysis2
Nature Communications2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org14
MPRA Paper / University Library of Munich, Germany3
Working Papers / University of California at Riverside, Department of Economics2
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2
NBER Working Papers / National Bureau of Economic Research, Inc2
Working Papers / Princeton University. Economics Department.2

Recent works citing Jianqing Fan (2025 and 2024)

YearTitle of citing document
2024A penalised bootstrap estimation procedure for the explained Gini coefficient. (2024). Pircalabelu, Eugen ; Heuchenne, Cedric ; Jacquemain, Alexandre. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2024005.

Full description at Econpapers || Download paper

2024Double/Debiased Machine Learning for Treatment and Causal Parameters. (2024). Newey, Whitney ; Hansen, Christian ; Chernozhukov, Victor ; Demirer, Mert ; Robins, James ; Duflo, Esther ; Chetverikov, Denis. In: Papers. RePEc:arx:papers:1608.00060.

Full description at Econpapers || Download paper

2024Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2024). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.03821.

Full description at Econpapers || Download paper

2024Estimation and Uniform Inference in Sparse High-Dimensional Additive Models. (2024). Klaassen, Sven ; Bach, Philipp ; Spindler, Martin ; Kueck, Jannis. In: Papers. RePEc:arx:papers:2004.01623.

Full description at Econpapers || Download paper

2024Detecting discrete processes with the Epps effect. (2024). Gebbie, Tim ; Chang, Patrick ; Pienaar, Etienne. In: Papers. RePEc:arx:papers:2005.10568.

Full description at Econpapers || Download paper

2024Tensor Factor Model Estimation by Iterative Projection. (2024). Han, Yuefeng ; Chen, Rong ; Yang, Dan ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2006.02611.

Full description at Econpapers || Download paper

2024Identification and Estimation of Partial Effects in Nonlinear Semiparametric Panel Models. (2024). Poirier, Alexandre ; Liu, Laura ; Shiu, Ji-Liang. In: Papers. RePEc:arx:papers:2105.12891.

Full description at Econpapers || Download paper

2024CP Factor Model for Dynamic Tensors. (2024). Han, Yuefeng ; Chen, Rong ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2110.15517.

Full description at Econpapers || Download paper

2025Optimal Decision Rules Under Partial Identification. (2025). Yata, Kohei. In: Papers. RePEc:arx:papers:2111.04926.

Full description at Econpapers || Download paper

2025A projection based approach for interactive fixed effects panel data models. (2025). Wang, Weining ; Rodriguez-Poo, Juan M ; Keilbar, Georg ; Soberon, Alexandra. In: Papers. RePEc:arx:papers:2201.11482.

Full description at Econpapers || Download paper

2024Fast estimation of Kendalls Tau and conditional Kendalls Tau matrices under structural assumptions. (2024). van der Spek, Rutger ; Derumigny, Alexis. In: Papers. RePEc:arx:papers:2204.03285.

Full description at Econpapers || Download paper

2025Estimation and Inference in High-Dimensional Panel Data Models with Interactive Fixed Effects. (2024). LINTON, OLIVER ; Vogt, Michael ; Walsh, Christopher. In: Papers. RePEc:arx:papers:2206.12152.

Full description at Econpapers || Download paper

2024Matrix Quantile Factor Model. (2024). Liu, Yong-Xin ; Kong, Xin-Bing ; Zhao, Peng ; Yu, Long. In: Papers. RePEc:arx:papers:2208.08693.

Full description at Econpapers || Download paper

2024Statistical inference for rough volatility: Central limit theorems. (2024). Liu, Yanghui ; Rosenbaum, Mathieu ; Hoffmann, Marc ; Szymanski, Gr'Egoire ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

Full description at Econpapers || Download paper

2025On Estimation and Inference of Large Approximate Dynamic Factor Models via the Principal Component Analysis. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2211.01921.

Full description at Econpapers || Download paper

2025Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2025). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

Full description at Econpapers || Download paper

2024On LASSO for High Dimensional Predictive Regression. (2024). Mei, Ziwei ; Shi, Zhentao. In: Papers. RePEc:arx:papers:2212.07052.

Full description at Econpapers || Download paper

2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2024). Lu, Yutong ; Cucuringu, Mihai ; Reinert, Gesine. In: Papers. RePEc:arx:papers:2302.09382.

Full description at Econpapers || Download paper

2024Bootstrap based asymptotic refinements for high-dimensional nonlinear models. (2024). Rafi, Ahnaf ; Horowitz, Joel L. In: Papers. RePEc:arx:papers:2303.09680.

Full description at Econpapers || Download paper

2024High-Frequency Volatility Estimation with Fast Multiple Change Points Detection. (2024). Polak, Pawel ; Balabhadra, Greeshma ; Ainasse, El Mehdi. In: Papers. RePEc:arx:papers:2303.10550.

Full description at Econpapers || Download paper

2024Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

Full description at Econpapers || Download paper

2024Unifying Market Microstructure and Dynamic Asset Pricing. (2024). Hu, Yuan ; Rachev, Svetlozar T ; Lauria, Davide ; Lindquist, Brent W. In: Papers. RePEc:arx:papers:2304.02356.

Full description at Econpapers || Download paper

2025Asymptotic Expansions for High-Frequency Option Data. (2025). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

Full description at Econpapers || Download paper

2024Large Global Volatility Matrix Analysis Based on Observation Structural Information. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2305.01464.

Full description at Econpapers || Download paper

2024Volatility of Volatility and Leverage Effect from Options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

Full description at Econpapers || Download paper

2024Does Principal Component Analysis Preserve the Sparsity in Sparse Weak Factor Models?. (2024). Zhang, Yonghui ; Wei, Jie. In: Papers. RePEc:arx:papers:2305.05934.

Full description at Econpapers || Download paper

2025High-Dimensional Canonical Correlation Analysis. (2025). Gorin, Vadim ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2306.16393.

Full description at Econpapers || Download paper

2025Sparsified Simultaneous Confidence Intervals for High-Dimensional Linear Models. (2025). Qin, Yichen ; Zhu, Xiaorui ; Wang, Peng. In: Papers. RePEc:arx:papers:2307.07574.

Full description at Econpapers || Download paper

2024Asymptotic equivalence of Principal Components and Quasi Maximum Likelihood estimators in Large Approximate Factor Models. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2307.09864.

Full description at Econpapers || Download paper

2025From constant to rough: A survey of continuous volatility modeling. (2023). Mishura, Yuliya ; Kubilius, Kkestutis ; di Nunno, Giulia ; Yurchenko-Tytarenko, Anton. In: Papers. RePEc:arx:papers:2309.01033.

Full description at Econpapers || Download paper

2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

Full description at Econpapers || Download paper

2024Inference for Low-rank Models without Estimating the Rank. (2024). Liao, Yuan ; Choi, Jungjun ; Kwon, Hyukjun. In: Papers. RePEc:arx:papers:2311.16440.

Full description at Econpapers || Download paper

2024Robust Inference for Multiple Predictive Regressions with an Application on Bond Risk Premia. (2024). Li, Xinjue ; Liao, Xiaosai ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2401.01064.

Full description at Econpapers || Download paper

2024On Efficient Inference of Causal Effects with Multiple Mediators. (2024). Song, Rui ; Cai, Hengrui ; Wei, Haoyu ; Shi, Chengchun. In: Papers. RePEc:arx:papers:2401.05517.

Full description at Econpapers || Download paper

2024Covariance Function Estimation for High-Dimensional Functional Time Series with Dual Factor Structures. (2024). Li, Degui ; Xia, Yingcun ; Shang, Han Lin ; Leng, Chenlei. In: Papers. RePEc:arx:papers:2401.05784.

Full description at Econpapers || Download paper

2024Sparse Portfolio Selection via Topological Data Analysis based Clustering. (2024). Pasricha, Puneet ; Filipovi, Damir ; Goel, Anubha. In: Papers. RePEc:arx:papers:2401.16920.

Full description at Econpapers || Download paper

2024The Fourier-Malliavin Volatility (FMVol) MATLAB library. (2024). Sanfelici, Simona ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2402.00172.

Full description at Econpapers || Download paper

2024Data-driven model selection within the matrix completion method for causal panel data models. (2024). Heiniger, Sandro. In: Papers. RePEc:arx:papers:2402.01069.

Full description at Econpapers || Download paper

2024Selective linear segmentation for detecting relevant parameter changes. (2024). Houndetoungan, Aristide ; Dufays, Arnaud ; Coen, Alain. In: Papers. RePEc:arx:papers:2402.05329.

Full description at Econpapers || Download paper

2024Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso. (2024). Reinschlussel, Thilo ; Arnold, Martin C. In: Papers. RePEc:arx:papers:2402.16580.

Full description at Econpapers || Download paper

2025Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523.

Full description at Econpapers || Download paper

2025Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2403.02591.

Full description at Econpapers || Download paper

2024Estimating Factor-Based Spot Volatility Matrices with Noisy and Asynchronous High-Frequency Data. (2024). Li, Degui ; LINTON, OLIVER ; Zhang, Haoxuan. In: Papers. RePEc:arx:papers:2403.06246.

Full description at Econpapers || Download paper

2024Regularization for electricity price forecasting. (2024). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2404.03968.

Full description at Econpapers || Download paper

2025Uniform Inference in High-Dimensional Threshold Regression Models. (2024). Li, Jiatong ; Yan, Hongqiang. In: Papers. RePEc:arx:papers:2404.08105.

Full description at Econpapers || Download paper

2025Kernel Three Pass Regression Filter. (2025). Jat, Rajveer ; Padha, Daanish. In: Papers. RePEc:arx:papers:2405.07292.

Full description at Econpapers || Download paper

2025A Robust Residual-Based Test for Structural Changes in Factor Models. (2025). Su, Liangjun ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2406.00941.

Full description at Econpapers || Download paper

2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

Full description at Econpapers || Download paper

2025A Contextual Online Learning Theory of Brokerage. (2024). Cesari, Tommaso ; Colomboni, Roberto ; Bachoc, Franccois. In: Papers. RePEc:arx:papers:2407.01566.

Full description at Econpapers || Download paper

2024Block-diagonal idiosyncratic covariance estimation in high-dimensional factor models for financial time series. (2024). Kostanjvcar, Zvonko ; Beguvsi, Stjepan ; Vzigni, Lucija. In: Papers. RePEc:arx:papers:2407.03781.

Full description at Econpapers || Download paper

2024Dynamic Matrix Factor Models for High Dimensional Time Series. (2024). Han, Yuefeng ; Yu, Ruofan ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2407.05624.

Full description at Econpapers || Download paper

2024Reduced-Rank Matrix Autoregressive Models: A Medium $N$ Approach. (2024). Wilms, Ines ; Hecq, Alain ; Ricardo, Ivan. In: Papers. RePEc:arx:papers:2407.07973.

Full description at Econpapers || Download paper

2024Covariance Matrix Analysis for Optimal Portfolio Selection. (2024). Shen, Lim Hao. In: Papers. RePEc:arx:papers:2407.08748.

Full description at Econpapers || Download paper

2024Attribution Methods in Asset Pricing: Do They Account for Risk?. (2024). Gao, Yuan ; Chen, Dangxing. In: Papers. RePEc:arx:papers:2407.08953.

Full description at Econpapers || Download paper

2025The Dynamic, the Static, and the Weak factor models and the analysis of high-dimensional time series. (2025). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2407.10653.

Full description at Econpapers || Download paper

2025Large-scale Time-Varying Portfolio Optimisation using Graph Attention Networks. (2025). Korangi, Kamesh ; Bravo, Cristi'An ; Mues, Christophe. In: Papers. RePEc:arx:papers:2407.15532.

Full description at Econpapers || Download paper

2024Bayesian modelling of VAR precision matrices using stochastic block networks. (2024). Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Scheckel, Tobias. In: Papers. RePEc:arx:papers:2407.16349.

Full description at Econpapers || Download paper

2024Enhanced power enhancements for testing many moment equalities: Beyond the $2$- and $\infty$-norm. (2024). Kock, Anders ; Preinerstorfer, David. In: Papers. RePEc:arx:papers:2407.17888.

Full description at Econpapers || Download paper

2024A nonparametric test for diurnal variation in spot correlation processes. (2024). Liu, Zhi ; Hounyo, Ulrich ; Christensen, Kim. In: Papers. RePEc:arx:papers:2408.02757.

Full description at Econpapers || Download paper

2025Continuous difference-in-differences with double/debiased machine learning. (2025). Zhang, Lucas. In: Papers. RePEc:arx:papers:2408.10509.

Full description at Econpapers || Download paper

2024Performance of Empirical Risk Minimization For Principal Component Regression. (2024). Brownlees, Christian ; Wang, Yaping ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2409.03606.

Full description at Econpapers || Download paper

2024Consistent Estimation of the High-Dimensional Efficient Frontier. (2024). Parolya, Nestor ; Hautsch, Nikolaus ; Okhrin, Yarema ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2409.15103.

Full description at Econpapers || Download paper

2024Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182.

Full description at Econpapers || Download paper

2024Shocks-adaptive Robust Minimum Variance Portfolio for a Large Universe of Assets. (2024). Yang, Yanrong ; Wu, Ruike ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2410.01826.

Full description at Econpapers || Download paper

2025Multi-Task Dynamic Pricing in Credit Market with Contextual Information. (2024). Xu, Renyuan ; Ji, Jingwei ; Javanmard, Adel. In: Papers. RePEc:arx:papers:2410.14839.

Full description at Econpapers || Download paper

2024Predictive Quantile Regression with High-Dimensional Predictors: The Variable Screening Approach. (2024). Lee, Ji Hyung ; Chen, Hongqi. In: Papers. RePEc:arx:papers:2410.15097.

Full description at Econpapers || Download paper

2024Difference-in-Differences with Time-varying Continuous Treatments using Double/Debiased Machine Learning. (2024). Huber, Martin ; Zhang, Lucas Z. In: Papers. RePEc:arx:papers:2410.21105.

Full description at Econpapers || Download paper

2024Bounded Rationality in Central Bank Communication. (2024). Lee, Choong Lyol ; Kim, Wonseong. In: Papers. RePEc:arx:papers:2411.04286.

Full description at Econpapers || Download paper

2024Sparse Interval-valued Time Series Modeling with Machine Learning. (2024). Wang, Shouyang ; Sun, Yuying ; Hong, Yongmiao ; Bao, Haowen. In: Papers. RePEc:arx:papers:2411.09452.

Full description at Econpapers || Download paper

2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

Full description at Econpapers || Download paper

2024Double Descent in Portfolio Optimization: Dance between Theoretical Sharpe Ratio and Estimation Accuracy. (2024). Zhang, Terry ; Yang, Yanrong ; Lu, Yonghe. In: Papers. RePEc:arx:papers:2411.18830.

Full description at Econpapers || Download paper

2025Selective Reviews of Bandit Problems in AI via a Statistical View. (2025). Zhou, Pengjie ; Zhang, Huiming ; Wei, Haoyu. In: Papers. RePEc:arx:papers:2412.02251.

Full description at Econpapers || Download paper

2025Cubic-based Prediction Approach for Large Volatility Matrix using High-Frequency Financial Data. (2024). Choi, Sung Hoon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2412.04293.

Full description at Econpapers || Download paper

2024Property of Inverse Covariance Matrix-based Financial Adjacency Matrix for Detecting Local Groups. (2024). Kim, Donggyu ; Oh, Minseog. In: Papers. RePEc:arx:papers:2412.05664.

Full description at Econpapers || Download paper

2025Diffusion on the circle and a stochastic correlation model. (2025). Laha, Arnab Kumar ; Majumdar, Sourav. In: Papers. RePEc:arx:papers:2412.06343.

Full description at Econpapers || Download paper

2025Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study. (2024). Yu, Xun ; Jia, Yanwei ; Huang, Yilie. In: Papers. RePEc:arx:papers:2412.16175.

Full description at Econpapers || Download paper

2025Growing the Efficient Frontier on Panel Trees. (2025). Feng, Guanhao ; He, Jingyu ; Cong, Lin William. In: Papers. RePEc:arx:papers:2501.16730.

Full description at Econpapers || Download paper

2025Confidence intervals for intentionally biased estimators. (2025). Liu, Xin ; Kaplan, David. In: Papers. RePEc:arx:papers:2502.00450.

Full description at Econpapers || Download paper

2025Quasi maximum likelihood estimation of high-dimensional approximate dynamic matrix factor models via the EM algorithm. (2025). Barigozzi, Matteo ; Trapin, Luca. In: Papers. RePEc:arx:papers:2502.04112.

Full description at Econpapers || Download paper

2025Dynamic Pricing with Adversarially-Censored Demands. (2025). Xu, Jianyu ; Wang, Yu-Xiang ; Chen, XI. In: Papers. RePEc:arx:papers:2502.06168.

Full description at Econpapers || Download paper

2025Generalized Factor Neural Network Model for High-dimensional Regression. (2025). Shestopaloff, Alexander Y ; Cucuringu, Mihai ; Guo, Zichuan. In: Papers. RePEc:arx:papers:2502.11310.

Full description at Econpapers || Download paper

2025Balancing Flexibility and Interpretability: A Conditional Linear Model Estimation via Random Forest. (2025). Medeiros, Marcelo ; Masini, Ricardo. In: Papers. RePEc:arx:papers:2502.13438.

Full description at Econpapers || Download paper

2025A Supervised Screening and Regularized Factor-Based Method for Time Series Forecasting. (2025). Gao, Zhaoxing ; Tu, Sihan. In: Papers. RePEc:arx:papers:2502.15275.

Full description at Econpapers || Download paper

2025To Make, or to Take, That Is the Question: Impact of LOB Mechanics on Natural Trading Strategies. (2025). Shestopaloff, Alexander Y ; Howison, Sam ; Cucuringu, Mihai ; Albers, Jakob. In: Papers. RePEc:arx:papers:2502.18625.

Full description at Econpapers || Download paper

2025The Uncertainty of Machine Learning Predictions in Asset Pricing. (2025). Neuhierl, Andreas ; Ma, Xinjie ; Liao, Yuan ; Schilling, Linda. In: Papers. RePEc:arx:papers:2503.00549.

Full description at Econpapers || Download paper

2025Dynamic Factor Correlation Model. (2025). Tong, Chen ; Hansen, Peter Reinhard. In: Papers. RePEc:arx:papers:2503.01080.

Full description at Econpapers || Download paper

2025On the Realized Joint Laplace Transform of Volatilities with Application to Test the Volatility Dependence. (2025). Jiang, YU ; Feng, Xinwei ; Liu, Zhi ; Meng, Zhe. In: Papers. RePEc:arx:papers:2503.02283.

Full description at Econpapers || Download paper

2025Matrix Time Series Modeling: A Hybrid Framework Combining Autoregression and Common Factors. (2025). Fan, Zhiyun ; Zhang, Xiaoyu ; Chen, Mingyang ; Wang, DI. In: Papers. RePEc:arx:papers:2503.05340.

Full description at Econpapers || Download paper

2025Assessing Uncertainty in Stock Returns: A Gaussian Mixture Distribution-Based Method. (2025). Wang, Yanlong ; Xu, Jian ; Huang, Shao-Lun ; Sun, Danny Dongning ; Zhang, Xiao-Ping. In: Papers. RePEc:arx:papers:2503.06929.

Full description at Econpapers || Download paper

2025On a new robust method of inference for general time series models. (2025). Wang, Zihan ; Li, Dong ; Qiao, Xinghao ; Tong, Howell. In: Papers. RePEc:arx:papers:2503.08655.

Full description at Econpapers || Download paper

2025Optimal Data Splitting for Holdout Cross-Validation in Large Covariance Matrix Estimation. (2025). Lamrani, Lamia ; Bongiorno, Christian ; Potters, Marc. In: Papers. RePEc:arx:papers:2503.15186.

Full description at Econpapers || Download paper

2025Non-parametric Quantile Regression and Uniform Inference with Unknown Error Distribution. (2025). Zhang, Zheng ; Huang, Wei ; Hou, Haoze. In: Papers. RePEc:arx:papers:2504.01761.

Full description at Econpapers || Download paper

2025Diffusion Factor Models: Generating High-Dimensional Returns with Factor Structure. (2025). Zhang, Ruixun ; Xu, Yumin ; Chen, Minshuo. In: Papers. RePEc:arx:papers:2504.06566.

Full description at Econpapers || Download paper

2025Identifying the Frontier Structural Function and Bounding Mean Deviations. (2025). Genesove, David ; Ben-Moshe, Dan. In: Papers. RePEc:arx:papers:2504.19832.

Full description at Econpapers || Download paper

2025Systemic Risk in the European Insurance Sector. (2025). Borri, Nicola ; di Giorgio, Giorgio ; Consiglio, Andrea ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635.

Full description at Econpapers || Download paper

2025A Nonparametric Test of Slutsky Symmetry. (2025). Sithole, Lonjezo ; Gunsilius, Florian. In: Papers. RePEc:arx:papers:2505.05603.

Full description at Econpapers || Download paper

2025A Scalable Gradient-Based Optimization Framework for Sparse Minimum-Variance Portfolio Selection. (2025). Moka, Sarat ; Asimit, Vali ; Quiroz, Matias ; Muller, Samuel. In: Papers. RePEc:arx:papers:2505.10099.

Full description at Econpapers || Download paper

2025Machine-learning Growth at Risk. (2025). Lee, Ji Hyung ; Dovi, Max-Sebastian ; Chen, Hongqi ; Adrian, Tobias. In: Papers. RePEc:arx:papers:2506.00572.

Full description at Econpapers || Download paper

2025The Spurious Factor Dilemma: Robust Inference in Heavy-Tailed Elliptical Factor Models. (2025). Zhou, Wang ; Zhang, Yangchun ; Hu, Jiang ; Xie, Jiahui. In: Papers. RePEc:arx:papers:2506.05116.

Full description at Econpapers || Download paper

2025Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections. (2025). Keijsers, Bart ; Boot, Tom. In: Papers. RePEc:arx:papers:2506.09575.

Full description at Econpapers || Download paper

2025Heterogeneity Analysis with Heterogeneous Treatments. (2025). Knaus, Michael ; Heiler, Phillip. In: Papers. RePEc:arx:papers:2507.01517.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Jianqing Fan:

YearTitleTypeCited
2021Recent Developments in Factor Models and Applications in Econometric Learning In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article8
2011Sparse High-Dimensional Models in Economics In: Annual Review of Economics.
[Full Text][Citation analysis]		article60
2008Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios In: Papers.
[Full Text][Citation analysis]		paper4
2010Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection In: Papers.
[Full Text][Citation analysis]		paper73
2012Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection.(2012) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 73		article
2013Risks of Large Portfolios In: Papers.
[Full Text][Citation analysis]		paper33
2015Risks of large portfolios.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2013Risks of large portfolios.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2015Robust Inference of Risks of Large Portfolios In: Papers.
[Full Text][Citation analysis]		paper33
2016Robust inference of risks of large portfolios.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2018Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia In: Papers.
[Full Text][Citation analysis]		paper11
2021Augmented factor models with applications to validating market risk factors and forecasting bond risk premia.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2020Bootstrapping $\ell_p$-Statistics in High Dimensions In: Papers.
[Full Text][Citation analysis]		paper0
2020Recent Developments on Factor Models and its Applications in Econometric Learning In: Papers.
[Full Text][Citation analysis]		paper0
2022Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction In: Papers.
[Full Text][Citation analysis]		paper5
2022Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction.(2022) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2022Bridging factor and sparse models In: Papers.
[Full Text][Citation analysis]		paper2
2022Policy Optimization Using Semi-parametric Models for Dynamic Pricing In: Papers.
[Full Text][Citation analysis]		paper6
2024Policy Optimization Using Semiparametric Models for Dynamic Pricing.(2024) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2025Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review In: Papers.
[Full Text][Citation analysis]		paper0
2024When can weak latent factors be statistically inferred? In: Papers.
[Full Text][Citation analysis]		paper3
2024Conditional nonparametric variable screening by neural factor regression In: Papers.
[Full Text][Citation analysis]		paper0
2024Conditional nonparametric variable screening by neural factor regression.(2024) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2004A selective overview of nonparametric methods in financial econometrics In: Papers.
[Full Text][Citation analysis]		paper0
2005Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article17
2005Rejoinder In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article0
2022Rejoinder.(2022) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2014Rejoinder.(2014) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2005Nonparametric Inferences for Additive Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article46
2006Comment In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article0
2007To How Many Simultaneous Hypothesis Tests Can Normal, Students t or Bootstrap Calibration Be Applied? In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article16
2007To how many simultaneous hypothesis tests can normal students t or bootstrap calibrations be applied.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2007Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article91
2007Partially Linear Hazard Regression for Multivariate Survival Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article16
2007Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article8
2007Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article53
2008Semiparametric Estimation of Covariance Matrixes for Longitudinal Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article20
2009A Design-Adaptive Local Polynomial Estimator for the Errors-in-Variables Problem In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article28
2009Comment In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article0
2009Nonparametric Transition-Based Tests for Jump Diffusions In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article43
2009Option Pricing With Model-Guided Nonparametric Methods In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article17
2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article127
2011Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article117
2001Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article1632
2001Goodness-of-Fit Tests for Parametric Regression Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article48
2001Regularization of Wavelet Approximations In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article55
2003A Reexamination of Diffusion Estimators With Applications to Financial Model Validation In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article65
2004New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article100
2009Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci In: Biometrics.
[Full Text][Citation analysis]		article2
2015Discussion In: International Statistical Review.
[Full Text][Citation analysis]		article0
2019Robust Measures of Earnings Surprises In: Journal of Finance.
[Full Text][Citation analysis]		article14
1998Local maximum likelihood estimation and inference In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article51
1999One‐step local quasi‐likelihood estimation In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article16
2000A class of weighted dependence measures for bivariate failure time data In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article3
2000Two‐step estimation of functional linear models with applications to longitudinal data In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article77
2003Adaptive varying‐coefficient linear models In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article78
2003Adaptive varying co-efficient linear models.(2003) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		paper
2000Adaptive varying-coefficient linear models.(2000) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 78		paper
2008Partially linear hazard regression with varying coefficients for multivariate survival data In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article16
2008Modelling multivariate volatilities via conditionally uncorrelated components In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article32
2008Modelling multivariate volatilities via conditionally uncorrelated components.(2008) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
2008Sure independence screening for ultrahigh dimensional feature space In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article420
2011Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection In: Journal of the Royal Statistical Society Series B.
[Citation analysis]		article33
2012Variance estimation using refitted cross‐validation in ultrahigh dimensional regression In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article30
2012A road to classification in high dimensional space: the regularized optimal affine discriminant In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article28
2013Large covariance estimation by thresholding principal orthogonal complements In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article379
2011Large covariance estimation by thresholding principal orthogonal complements.(2011) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 379		paper
2015Sparsifying the Fisher linear discriminant by rotation In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article5
2017Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article48
2017High dimensional semiparametric latent graphical model for mixed data In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article10
2017Estimation of the false discovery proportion with unknown dependence In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article7
2022SIMPLE: Statistical inference on membership profiles in large networks In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]		article2
2000Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models In: Scandinavian Journal of Statistics.
[Full Text][Citation analysis]		article75
2017The Elements of Financial Econometrics In: Cambridge Books.
[Citation analysis]		book9
2003Semiparametric estimation of Value at Risk In: Econometrics Journal.
[Full Text][Citation analysis]		article33
2008High dimensional covariance matrix estimation using a factor model In: Journal of Econometrics.
[Full Text][Citation analysis]		article242
2011Testing and detecting jumps based on a discretely observed process In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2017Sufficient forecasting using factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2019Robust covariance estimation for approximate factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article18
2019Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction In: Journal of Econometrics.
[Full Text][Citation analysis]		article32
2019Structured volatility matrix estimation for non-synchronized high-frequency financial data In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2019Generalized high-dimensional trace regression via nuclear norm regularization In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2020Factor-adjusted regularized model selection In: Journal of Econometrics.
[Full Text][Citation analysis]		article19
2020A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models In: Journal of Econometrics.
[Full Text][Citation analysis]		article5
2022Bayesian factor-adjusted sparse regression In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2013The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics.
[Full Text][Citation analysis]		article102
2011The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 102		paper
1992Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article33
2000Average Regression Surface for Dependent Data In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]		article9
1992Bias correction and higher order kernel functions In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article4
1992Minimax estimation of a bounded squared mean In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
1999Rates of convergence for the pre-asymptotic substitution bandwidth selector In: Statistics & Probability Letters.
[Full Text][Citation analysis]		article0
2009Sparsistency and rates of convergence in large covariance matrix estimation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper108
2008Profile-kernel likelihood inference with diverging number of parameters In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper30
2000Functional-coefficient regression models for nonlinear time series In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper244
1998Efficient estimation of conditional variance functions in stochastic regression In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper155
1996Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper85
2024How Much Can Machines Learn Finance from Chinese Text Data? In: Management Science.
[Full Text][Citation analysis]		article1
2024Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games In: Operations Research.
[Full Text][Citation analysis]		article0
2013Implementation of generalized quantum measurements for unambiguous discrimination of multiple non-orthogonal coherent states In: Nature Communications.
[Full Text][Citation analysis]		article0
2017Observation of optomechanical buckling transitions In: Nature Communications.
[Full Text][Citation analysis]		article0
2022How and When are High-Frequency Stock Returns Predictable? In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2018Robust estimation of high-dimensional covariance and precision matrices In: Biometrika.
[Full Text][Citation analysis]		article14
2004Generalised likelihood ratio tests for spectral density In: Biometrika.
[Citation analysis]		article13
2004A crossvalidation method for estimating conditional densities In: Biometrika.
[Full Text][Citation analysis]		article30
2005Variable selection for multivariate failure time data In: Biometrika.
[Full Text][Citation analysis]		article20
Aggregation of Nonparametric Estimators for Volatility Matrix In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article3
2012Endogeneity in ultrahigh dimension In: MPRA Paper.
[Full Text][Citation analysis]		paper8
2021Can a Machine Correct Option Pricing Models? In: Working Papers.
[Full Text][Citation analysis]		paper2
2022Can a Machine Correct Option Pricing Models?.(2022) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2023Can a Machine Correct Option Pricing Models?.(2023) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
1997Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency In: Annals of the Institute of Statistical Mathematics.
[Full Text][Citation analysis]		article25
1997Comments on «Wavelets in statistics: A review» by A. Antoniadis In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article15
2006Regularization in statistics In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article15
2007Nonparametric inference with generalized likelihood ratio tests In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article25
2007Rejoinder on: Nonparametric inference with generalized likelihood ratio tests In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article20
2010Comments on: Dynamic relations for sparsely sampled Gaussian processes In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article0
2010Comments on: ℓ 1 -penalization for mixture regression models In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article0
1999Robust principal component analysis for functional data In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
[Full Text][Citation analysis]		article69
2013Parametrically guided generalised additive models with application to mergers and acquisitions data In: Journal of Nonparametric Statistics.
[Full Text][Citation analysis]		article2
2012Vast Portfolio Selection With Gross-Exposure Constraints In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article130
2014Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article21
2014Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article55
2015Multi-Agent Inference in Social Networks: A Finite Population Learning Approach In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article1
2015Homogeneity Pursuit In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article17
2016Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article9
2016Conditional Sure Independence Screening In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article23
2016Multitask Quantile Regression Under the Transnormal Model In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article6
2017Estimation of the Continuous and Discontinuous Leverage Effects In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article36
2018Error Variance Estimation in Ultrahigh-Dimensional Additive Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article6
2018Embracing the Blessing of Dimensionality in Factor Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article6
2018Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article24
2019FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article6
2020Adaptive Huber Regression In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article36
2020Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression” In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article8
2021The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article1
2022Estimating Number of Factors by Adjusted Eigenvalues Thresholding In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article9
2022Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article5
2022Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article1
2022Measuring Housing Vitality from Multi-Source Big Data and Machine Learning In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article2
2023Communication-Efficient Accurate Statistical Estimation In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article5
2023Statistical Inference for High-Dimensional Matrix-Variate Factor Models In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article11
2023Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article0
2023Understanding Implicit Regularization in Over-Parameterized Single Index Model In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article0
2024Are Latent Factor Regression and Sparse Regression Adequate? In: Journal of the American Statistical Association.
[Full Text][Citation analysis]		article3
2014Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article80
2016Special Issue on Big Data In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1
2016Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article72
2016What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article12
2022Optimal Covariate Balancing Conditions in Propensity Score Estimation In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article2
2009Finance and Cluster-Based Industrial Development in China In: Economic Development and Cultural Change.
[Full Text][Citation analysis]		article73
2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data In: Working Papers.
[Full Text][Citation analysis]		paper0
2024Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data In: Working Papers.
[Full Text][Citation analysis]		paper0
2017Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’ In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article0
2015Power Enhancement in High‐Dimensional Cross‐Sectional Tests In: Econometrica.
[Full Text][Citation analysis]		article60
2016An overview of the estimation of large covariance and precision matrices In: Econometrics Journal.
[Full Text][Citation analysis]		article76
1995Generalized Partially Linear Single-Index Models In: Statistics Working Paper.
[Citation analysis]		paper8
2010NiFe/INSULATOR/CuCOMPOSITE WIRES AND THEIR GIANT MAGNETO-IMPEDANCE EFFECTS In: Surface Review and Letters (SRL).
[Full Text][Citation analysis]		article0
1995Density and Regression Smoothing In: SFB 373 Discussion Papers.
[Citation analysis]		paper1
1996Direct estimation of low dimensional components in additive models In: SFB 373 Discussion Papers.
[Citation analysis]		paper13

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team