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Large covariance estimation by thresholding principal orthogonal complements

Fan, Jianqing; Liao, Yuan; Mincheva, Martina - In: Journal of the Royal Statistical Society Series B 75 (2013) 4, pp. 603-680

Persistent link: https://www.econbiz.de/10010713427

An overview of the estimation of large covariance and precision matrices

Fan, Jianqing; Liao, Yuan; Liu, Han - In: The econometrics journal 19 (2016) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10011487485

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

Recent developments in factor models and applications in econometric learning

Fan, Jianqing; Li, Kunpeng; Liao, Yuan - In: Annual review of financial economics 13 (2021), pp. 401-430

Persistent link: https://www.econbiz.de/10012795259

A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models

Fan, Jianqing; Yang, Feng; Xia, Lucy - In: Journal of econometrics 218 (2020) 1, pp. 119-139

Persistent link: https://www.econbiz.de/10012482935

Factor-adjusted regularized model selection

Fan, Jianqing; Ke, Yuan; Wang, Kaizheng - In: Journal of econometrics 216 (2020) 1, pp. 71-85

Persistent link: https://www.econbiz.de/10012439637

The leverage effect puzzle : disentangling sources of bias at high frequency

Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - 2011

"The leverage effect refers to the generally negative correlation between an asset return and its changes of volatility. A natural estimate consists in using the empirical correlation between the daily returns and the changes of daily volatility estimated from high-frequency data. The puzzle...

Persistent link: https://www.econbiz.de/10009423529