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High dimensional covariance matrix estimation using a factor model
Fan, Jianqing; Fan, Yingying; Lv, Jinchi - In: Journal of econometrics 147 (2008) 1, pp. 186-197
Persistent link: https://www.econbiz.de/10003783799
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Testing and detecting jumps based on a discretely observed process
Fan, Yingying; Fan, Jianqing - In: Journal of econometrics 164 (2011) 2, pp. 331-344
Persistent link: https://www.econbiz.de/10009301902
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Risks of large portfolios
Fan, Jianqing; Liao, Yuan; Shi, Xiaofeng - In: Journal of econometrics 186 (2015) 2, pp. 367-387
Persistent link: https://www.econbiz.de/10011349458
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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
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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
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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
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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
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Generalized high-dimensional trace regression via nuclear norm regularization
Fan, Jianqing; Gong, Wenyan; Zhu, Ziwei - In: Journal of econometrics 212 (2019) 1, pp. 177-202
Persistent link: https://www.econbiz.de/10012303917
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Sufficient forecasting using factor models
Fan, Jianqing; Xue, Lingzhou; Yao, Jiawei - In: Journal of econometrics 201 (2017) 2, pp. 292-306
Persistent link: https://www.econbiz.de/10011920495
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Robust covariance estimation for approximate factor models
Fan, Jianqing; Wang, Weichen; Zhong, Yiqiao - In: Journal of econometrics 208 (2019) 1, pp. 5-22
Persistent link: https://www.econbiz.de/10012139773