Jianqing Fan : Citation Profile


Are you Jianqing Fan?

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

21

H index

37

i10 index

1677

Citations

RESEARCH PRODUCTION:

72

Articles

21

Papers

RESEARCH ACTIVITY:

   24 years (1992 - 2016). See details.
   Cites by year: 69
   Journals where Jianqing Fan has often published
   Relations with other researchers
   Recent citing documents: 266.    Total self citations: 21 (1.24 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pfa165
   Updated: 2017-04-29    RAS profile: 2017-02-27    
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Relations with other researchers


Works with:

Liao, Yuan (7)

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 (36)

Cai, Zongwu (31)

Li, Degui (28)

Härdle, Wolfgang (28)

Pesaran, M (23)

Kock, Anders (22)

Parolya, Nestor (19)

Zhu, Lixing (18)

Chen, Song (17)

GAO, Jiti (17)

Liao, Yuan (16)

Cites to:

Ait-Sahalia, Yacine (18)

Shephard, Neil (9)

Barndorff-Nielsen, Ole (8)

Wolf, Michael (7)

French, Kenneth (7)

Ledoit, Olivier (7)

Lunde, Asger (7)

Bollerslev, Tim (6)

Liao, Yuan (6)

Hansen, Lars (6)

Fama, Eugene (6)

Main data


Where Jianqing Fan has published?


Journals with more than one article published# docs
Journal of the American Statistical Association21
Journal of the Royal Statistical Society Series B12
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research6
Journal of the American Statistical Association6
Journal of Econometrics4
Biometrika3
Statistics & Probability Letters3
Journal of Business & Economic Statistics2
Journal of Multivariate Analysis2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org5
MPRA Paper / University Library of Munich, Germany3
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2

Recent works citing Jianqing Fan (2017 and 2016)


YearTitle of citing document
2016Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions. (2016). Quaedvlieg, Rogier ; Patton, Andrew ; Bollerslev, Tim . In: CREATES Research Papers. RePEc:aah:create:2016-10.

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2016Inference in partially identified models with many moment inequalities using Lasso. (2016). Kock, Anders ; Caner, Mehmet ; Lahiri, Soumendra ; Bugni, Federico A. In: CREATES Research Papers. RePEc:aah:create:2016-12.

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2016Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures. (2016). Martin, Gael ; Forbes, Catherine ; Maneesoonthorn, Worapree . In: Papers. RePEc:arx:papers:1401.3911.

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2016Principal Components Analysis for Semimartingales and Stochastic PDE. (2016). Ohashi, Alberto ; Simas, Alexandre B. In: Papers. RePEc:arx:papers:1503.05909.

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2016Estimation of integrated quadratic covariation with endogenous sampling times. (2016). Potiron, Yoann ; Mykland, Per . In: Papers. RePEc:arx:papers:1507.01033.

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2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175.

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2016Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series. (2016). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1510.05118.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2016Sparse Kalman Filtering Approaches to Covariance Estimation from High Frequency Data in the Presence of Jumps. (2016). Ho, Michael ; Xin, Jack . In: Papers. RePEc:arx:papers:1602.02185.

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2016Do co-jumps impact correlations in currency markets?. (2016). Vacha, Lukas ; Baruník, Jozef ; Barunik, Jozef . In: Papers. RePEc:arx:papers:1602.05489.

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2017Local Parametric Estimation in High Frequency Data. (2017). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

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2016The microstructural foundations of leverage effect and rough volatility. (2016). Euch, EL ; Mathieu, Rosenbaum ; Masaaki, Fukasawa . In: Papers. RePEc:arx:papers:1609.05177.

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2016Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2016). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap . In: Papers. RePEc:arx:papers:1610.09292.

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2016`To Have What They are Having: Portfolio Choice for Mimicking Mean-Variance Savers. (2016). Parolya, Nestor ; Golosnoy, Vasyl. In: Papers. RePEc:arx:papers:1611.01524.

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2017Optimal shrinkage-based portfolio selection in high dimensions. (2017). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Yarema . In: Papers. RePEc:arx:papers:1611.01958.

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2016Random matrix approach to estimation of high-dimensional factor models. (2016). Yeo, Joongyeub ; Papanicolaou, George . In: Papers. RePEc:arx:papers:1611.05571.

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2017Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2017). Potiron, Yoann ; Clinet, Simon . In: Papers. RePEc:arx:papers:1701.01185.

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2016Statistical modelling of citation exchange between statistics journals. (2016). Varin, Cristiano ; Firth, David ; Cattelan, Manuela . In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:179:y:2016:i:1:p:1-63.

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2016The use of vector bootstrapping to improve variable selection precision in Lasso models. (2016). Charles, Laurin ; Gitta, Lubke ; Dorret, Boomsma . In: Statistical Applications in Genetics and Molecular Biology. RePEc:bpj:sagmbi:v:15:y:2016:i:4:p:305-320:n:3.

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2016Finding causative genes from high-dimensional data: an appraisal of statistical and machine learning approaches. (2016). Jana, Gevertz ; Chamont, Wang . In: Statistical Applications in Genetics and Molecular Biology. RePEc:bpj:sagmbi:v:15:y:2016:i:4:p:321-347:n:4.

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2016Implied basket correlation dynamics. (2016). Härdle, Wolfgang ; Karl, Hardle Wolfgang ; Elena, Silyakova . In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:33:y:2016:i:1-2:p:1-20:n:2.

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2016Big Data Analytics: A New Perspective. (2016). Pesaran, M ; Chudik, A ; Kapetanios, G. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1611.

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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case. (2016). LINTON, OLIVER ; Hafner, Christian. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1664.

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2016A One-Covariate at a Time, Multiple Testing Approach to Variable Selection in High-Dimensional Linear Regression Models. (2016). Pesaran, M ; Chudik, A ; Kapetanios, G. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1677.

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2016Specification testing for errors-in-variables models. (2016). Otsu, Taisuke ; Taylor, Luke . In: STICERD - Econometrics Paper Series. RePEc:cep:stiecm:/2015/586.

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2016Big Data Analytics: A New Perspective. (2016). Pesaran, M ; Chudik, Alexander ; Kapetanios, George . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5824.

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2016How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?. (2016). Auer, Benjamin R ; Mogel, Benjamin . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6288.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Estimation of a Multiplicative Covariance Structure in the Large Dimensional Case. (2016). LINTON, OLIVER ; Hafner, Christian M ; Tang, Haihan . In: CORE Discussion Papers. RePEc:cor:louvco:2016044.

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2016In-sample Inference and Forecasting in Misspecified Factor Models. (2016). Rossi, Barbara ; Carrasco, Marine . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11388.

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2016Simple and Honest Confidence Intervals in Nonparametric Regression. (2016). Armstrong, Timothy B ; Kolesar, Michal . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2044.

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2016Regularization parameter selection via cross-validation in the presence of dependent regressors: a simulation study. (2016). Uematsu, Yoshimasa ; Tanaka, Shinya . In: Economics Bulletin. RePEc:ebl:ecbull:eb-16-00034.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Hallin, Marc ; Barigozzi, Matteo ; Soccorsi, Stefano . In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2016Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects. (2016). Li, Rui ; You, Jinhong ; Alan, . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:401-423.

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2016Generalized nonparametric smoothing with mixed discrete and continuous data. (2016). Zelenyuk, Valentin ; Simar, Leopold ; Li, Degui. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:424-444.

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2016Linking Tukey’s legacy to financial risk measurement. (2016). Vijverberg, Wim ; Tapinar, Suleyman . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:595-615.

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2016Feature screening for generalized varying coefficient models with application to dichotomous responses. (2016). Li, Jialiang ; Xia, Xiaochao . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:102:y:2016:i:c:p:85-97.

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2016A new nested Cholesky decomposition and estimation for the covariance matrix of bivariate longitudinal data. (2016). Feng, Sanying ; Xue, Liugen ; Lian, Heng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:102:y:2016:i:c:p:98-109.

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2016Ensemble sufficient dimension folding methods for analyzing matrix-valued data. (2016). Xue, Yuan ; Jiang, Xiaolin ; Yin, Xiangrong . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:103:y:2016:i:c:p:193-205.

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2016A relative error-based approach for variable selection. (2016). Hao, Meiling ; Zhao, Xingqiu ; Lin, Yunyuan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:103:y:2016:i:c:p:250-262.

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2016Ridge estimation of inverse covariance matrices from high-dimensional data. (2016). van Wieringen, Wessel N. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:103:y:2016:i:c:p:284-303.

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2016The use of random-effect models for high-dimensional variable selection problems. (2016). Kwon, Sunghoon ; Lee, Youngjo ; Oh, SeungYoung. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:103:y:2016:i:c:p:401-412.

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2016Bayesian model selection in ordinal quantile regression. (2016). Alhamzawi, Rahim . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:103:y:2016:i:c:p:68-78.

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2016Integrative weighted group lasso and generalized local quadratic approximation. (2016). Pan, Qing ; Zhao, Yunpeng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:104:y:2016:i:c:p:66-78.

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2017Asymptotically optimal differenced estimators of error variance in nonparametric regression. (2017). Wang, Wenwu ; Yu, Ping . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:125-143.

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2017Model free feature screening for ultrahigh dimensional data with responses missing at random. (2017). Lai, Peng ; Wan, YI ; Liu, Zhi . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:201-216.

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2017Depth-based nonparametric description of functional data, with emphasis on use of spatial depth. (2017). Serfling, Robert ; Wijesuriya, Uditha . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:24-45.

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2017Variable selection using shrinkage priors. (2017). Li, Hanning ; Pati, Debdeep . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:107:y:2017:i:c:p:107-119.

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2017Canonical kernel dimension reduction. (2017). Tao, Chenyang ; Feng, Jianfeng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:107:y:2017:i:c:p:131-148.

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2017Correlation rank screening for ultrahigh-dimensional survival data. (2017). Zhang, Jing ; Wu, Yuanshan ; Liu, Yanyan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:108:y:2017:i:c:p:121-132.

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2017Sparse vector Markov switching autoregressive models. Application to multivariate time series of temperature. (2017). Monbet, Valerie ; Ailliot, Pierre . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:108:y:2017:i:c:p:40-51.

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2017Composite quantile regression for correlated data. (2017). Song, Xinyuan ; Zhao, Weihua ; Lian, Heng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:15-33.

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2017Robust and efficient estimation of multivariate scatter and location. (2017). Yohai, Victor J ; Maronna, Ricardo A. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:64-75.

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2017Robust and sparse estimators for linear regression models. (2017). Smucler, Ezequiel ; Yohai, Victor J. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:111:y:2017:i:c:p:116-130.

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2017Subject-wise empirical likelihood inference in partial linear models for longitudinal data. (2017). Qian, Lianfen ; Wang, Suojin . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:111:y:2017:i:c:p:77-87.

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2016Sparse estimation of high-dimensional correlation matrices. (2016). Cui, Ying ; Sun, Defeng ; Leng, Chenlei . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:93:y:2016:i:c:p:390-403.

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2016On stepwise pattern recovery of the fused Lasso. (2016). Qian, Junyang ; Jia, Jinzhu. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:221-237.

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2016A modified local quadratic approximation algorithm for penalized optimization problems. (2016). Lee, Sangin ; Kim, Yongdai ; Kwon, Sunghoon . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:275-286.

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2016Adaptive conditional feature screening. (2016). Lin, LU ; Sun, Jing . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:287-301.

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2016Jackknife empirical likelihood test for high-dimensional regression coefficients. (2016). Zang, Yangguang ; Zhang, Qingzhao ; Li, Qizhai . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:302-316.

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2016Bayesian variable selection for finite mixture model of linear regressions. (2016). Lee, Kuo-Jung ; Wu, Ying Nian ; Chen, Ray-Bing . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:95:y:2016:i:c:p:1-16.

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2016Regularized quantile regression under heterogeneous sparsity with application to quantitative genetic traits. (2016). He, Qianchuan ; Holland, Eric ; Chan, Timothy A ; Wang, Sijian ; Kong, Linglong . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:95:y:2016:i:c:p:222-239.

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2016Comparison of linear shrinkage estimators of a large covariance matrix in normal and non-normal distributions. (2016). Ikeda, Yuki ; Srivastava, Muni S ; Kubokawa, Tatsuya . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:95:y:2016:i:c:p:95-108.

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2016The Expectation–Maximization approach for Bayesian quantile regression. (2016). Zhao, Kaifeng ; Lian, Heng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:96:y:2016:i:c:p:1-11.

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2016Regularized estimation for the least absolute relative error models with a diverging number of covariates. (2016). Xia, Xiaochao ; Liu, Zhi . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:96:y:2016:i:c:p:104-119.

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2016Estimation and variable selection for proportional response data with partially linear single-index models. (2016). Zhao, Weihua ; Lai, Peng ; Zhang, Riquan ; Lian, Heng . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:96:y:2016:i:c:p:40-56.

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2016Mixture of functional linear models and its application to CO2-GDP functional data. (2016). Wu, Xing ; Huang, Mian ; Wang, Shaoli ; Yao, Weixin . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:97:y:2016:i:c:p:1-15.

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2016High dimensional classifiers in the imbalanced case. (2016). Bak, Britta Anker ; Jensen, Jens Ledet . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:98:y:2016:i:c:p:46-59.

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2016A generalized likelihood ratio test for normal mean when p is greater than n. (2016). Zhao, Junguang ; Xu, Xingzhong . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:99:y:2016:i:c:p:91-104.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2016Jumps in equilibrium prices and asymmetric news in foreign exchange markets. (2016). El Ouadghiri, Imane ; Uctum, Remzi . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:218-234.

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2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Barunik, Jozef ; Hlinkova, Michaela . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

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2016A large CVaR-based portfolio selection model with weight constraints. (2016). Xu, Qifa ; Niu, Xufeng ; Yu, Keming ; Jiang, Cuixia ; Zhou, Yingying . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:436-447.

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2016Nonstationary GARCH with t-distributed innovations. (2016). Pedersen, Rasmus ; Rahbek, Anders . In: Economics Letters. RePEc:eee:ecolet:v:138:y:2016:i:c:p:19-21.

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2016A practical test for strict exogeneity in linear panel data models with fixed effects. (2016). Su, Liangjun ; Wei, Jie ; Zhang, Yonghui . In: Economics Letters. RePEc:eee:ecolet:v:147:y:2016:i:c:p:27-31.

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2016Model averaging with high-dimensional dependent data. (2016). Li, Hongjun ; Zhou, Jianhong ; Zhao, Shangwei . In: Economics Letters. RePEc:eee:ecolet:v:148:y:2016:i:c:p:68-71.

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2016Shrinkage estimation of dynamic panel data models with interactive fixed effects. (2016). Su, Liangjun ; Lu, Xun . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:148-175.

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2016A tale of two option markets: Pricing kernels and volatility risk. (2016). SONG, ZHAOGANG ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:176-196.

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2016Efficient estimation of approximate factor models via penalized maximum likelihood. (2016). Liao, Yuan ; Bai, Jushan. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:1-18.

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2016Nonparametric errors in variables models with measurement errors on both sides of the equation. (2016). Lewbel, Arthur ; de Nadai, Michele . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:19-32.

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2016Variation-based tests for volatility misspecification. (2016). Papanicolaou, Alex ; Giesecke, Kay . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:217-230.

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2016Sieve instrumental variable quantile regression estimation of functional coefficient models. (2016). Su, Liangjun ; Hoshino, Tadao. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:231-254.

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2016ℓ1-regularization of high-dimensional time-series models with non-Gaussian and heteroskedastic errors. (2016). Medeiros, Marcelo ; Mendes, Eduardo F. In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:255-271.

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2016Shrinkage estimation of common breaks in panel data models via adaptive group fused Lasso. (2016). Su, Liangjun ; Qian, Junhui . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:1:p:86-109.

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2016Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error. (2016). LINTON, OLIVER ; Hong, Seok Young ; Park, Sujin . In: Journal of Econometrics. RePEc:eee:econom:v:191:y:2016:i:2:p:325-347.

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2016Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models. (2016). Ait-Sahalia, Yacine ; Park, Joon Y. In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:119-138.

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2016Model averaging based on leave-subject-out cross-validation. (2016). Gao, Yan ; Zou, Guohua ; Wang, Shouyang ; Zhang, Xinyu . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:139-151.

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2016TENET: Tail-Event driven NETwork risk. (2016). Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Yu, Lining ; Wang, Weining . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:2:p:499-513.

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2016A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous. (2016). Ikeda, Shin. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:203-214.

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2016A nonparametric test of a strong leverage hypothesis. (2016). LINTON, OLIVER ; Yen, Yu-Min ; Whang, Yoon-Jae . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:153-186.

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2016Local composite quantile regression smoothing for Harris recurrent Markov processes. (2016). Li, Degui. In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:1:p:44-56.

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2016Increased correlation among asset classes: Are volatility or jumps to blame, or both?. (2016). Ait-Sahalia, Yacine ; Xiu, Dacheng . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:205-219.

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2016Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data. (2016). Kim, Donggyu ; Wang, Yazhen . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:220-230.

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2016Copula structured M4 processes with application to high-frequency financial data. (2016). Zhang, Zhengjun ; Zhu, Bin . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:231-241.

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2016Convolutional autoregressive models for functional time series. (2016). Liu, Xialu ; Chen, Rong ; Xiao, Han . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:263-282.

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2016Testing super-diagonal structure in high dimensional covariance matrices. (2016). Chen, Song. In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:283-297.

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2016Asymptotics for parametric GARCH-in-Mean models. (2016). Conrad, Christian ; Mammen, Enno . In: Journal of Econometrics. RePEc:eee:econom:v:194:y:2016:i:2:p:319-329.

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2016Econometric estimation with high-dimensional moment equalities. (2016). Shi, Zhentao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:104-119.

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2016Testing a single regression coefficient in high dimensional linear models. (2016). Wang, Hansheng ; Li, Runze ; Zhong, Ping-Shou ; Lan, Wei ; Tsai, Chih-Ling . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:154-168.

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2016Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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2016Oracle inequalities, variable selection and uniform inference in high-dimensional correlated random effects panel data models. (2016). Kock, Anders Bredahl . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:71-85.

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

Works by Jianqing Fan:


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2011Sparse High-Dimensional Models in Economics In: Annual Review of Economics.
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2014Rejoinder.(2014) In: Journal of Business & Economic Statistics.
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2005Nonparametric Inferences for Additive Models In: Journal of the American Statistical Association.
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2007To How Many Simultaneous Hypothesis Tests Can Normal, Students t or Bootstrap Calibration Be Applied? In: Journal of the American Statistical Association.
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2007To how many simultaneous hypothesis tests can normal students t or bootstrap calibrations be applied.(2007) In: LSE Research Online Documents on Economics.
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2007Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data In: Journal of the American Statistical Association.
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2007Partially Linear Hazard Regression for Multivariate Survival Data In: Journal of the American Statistical Association.
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2007Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation In: Journal of the American Statistical Association.
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2008Semiparametric Estimation of Covariance Matrixes for Longitudinal Data In: Journal of the American Statistical Association.
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2009Nonparametric Transition-Based Tests for Jump Diffusions In: Journal of the American Statistical Association.
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2009Option Pricing With Model-Guided Nonparametric Methods In: Journal of the American Statistical Association.
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2010High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data In: Journal of the American Statistical Association.
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2011Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models In: Journal of the American Statistical Association.
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2001Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties In: Journal of the American Statistical Association.
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2001Goodness-of-Fit Tests for Parametric Regression Models In: Journal of the American Statistical Association.
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2001Regularization of Wavelet Approximations In: Journal of the American Statistical Association.
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2003A Reexamination of Diffusion Estimators With Applications to Financial Model Validation In: Journal of the American Statistical Association.
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2004New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis In: Journal of the American Statistical Association.
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1999One-step local quasi-likelihood estimation In: Journal of the Royal Statistical Society Series B.
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2000A class of weighted dependence measures for bivariate failure time data In: Journal of the Royal Statistical Society Series B.
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2000Two-step estimation of functional linear models with applications to longitudinal data In: Journal of the Royal Statistical Society Series B.
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2003Adaptive varying-coefficient linear models In: Journal of the Royal Statistical Society Series B.
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2008Modelling multivariate volatilities via conditionally uncorrelated components In: Journal of the Royal Statistical Society Series B.
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2012Variance estimation using refitted cross‐validation in ultrahigh dimensional regression In: Journal of the Royal Statistical Society Series B.
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2012A road to classification in high dimensional space: the regularized optimal affine discriminant In: Journal of the Royal Statistical Society Series B.
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2013Large covariance estimation by thresholding principal orthogonal complements In: Journal of the Royal Statistical Society Series B.
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2011Large covariance estimation by thresholding principal orthogonal complements.(2011) In: MPRA Paper.
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2011Testing and detecting jumps based on a discretely observed process In: Journal of Econometrics.
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2013The leverage effect puzzle: Disentangling sources of bias at high frequency In: Journal of Financial Economics.
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2011The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency.(2011) In: NBER Working Papers.
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1992Bias correction and higher order kernel functions In: Statistics & Probability Letters.
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1992Minimax estimation of a bounded squared mean In: Statistics & Probability Letters.
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1999Rates of convergence for the pre-asymptotic substitution bandwidth selector In: Statistics & Probability Letters.
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2009Sparsistency and rates of convergence in large covariance matrix estimation In: LSE Research Online Documents on Economics.
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2008Profile-kernel likelihood inference with diverging number of parameters In: LSE Research Online Documents on Economics.
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2000Functional-coefficient regression models for nonlinear time series In: LSE Research Online Documents on Economics.
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1998Efficient estimation of conditional variance functions in stochastic regression In: LSE Research Online Documents on Economics.
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1996Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems In: LSE Research Online Documents on Economics.
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1997Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency In: Annals of the Institute of Statistical Mathematics.
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1997Comments on «Wavelets in statistics: A review» by A. Antoniadis In: Statistical Methods & Applications.
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2006Regularization in statistics In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2007Nonparametric inference with generalized likelihood ratio tests In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2010Comments on: ℓ 1 -penalization for mixture regression models In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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1999Robust principal component analysis for functional data In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
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2014Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities In: Journal of the American Statistical Association.
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2014Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models In: Journal of the American Statistical Association.
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2015Multi-Agent Inference in Social Networks: A Finite Population Learning Approach In: Journal of the American Statistical Association.
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2015Homogeneity Pursuit In: Journal of the American Statistical Association.
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2015Power Enhancement in High‐Dimensional Cross‐Sectional Tests In: Econometrica.
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