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~isPartOf:"IZA Discussion Paper"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of econometrics"
~person:"Fan, Jianqing"
~subject:"Capital income"
~subject:"Volatility"
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Fan, Jianqing
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IZA Discussion Paper
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
KAIST College of Business Working Paper Series No
1
Source
All
ECONIS (ZBW)
4
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1
Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing
;
Ke, Yuan
;
Liao, Yuan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
Saved in:
2
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu
;
Fan, Jianqing
- In:
Journal of econometrics
208
(
2019
)
2
,
pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Saved in:
3
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
4
What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?
Fan, Jianqing
;
Imerman, Michael B.
;
Dai, Wei
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
4
,
pp. 519-535
Persistent link: https://www.econbiz.de/10011692397
Saved in:
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