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Nonparametric estimation and symmetry tests for conditional density functions

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Modeling multivariate volatilities via latent common factors

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A reexamination of diffusion estimators with applications to financial model validdation

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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

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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

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Do we exploit all information for counterfactual analysis? : benefits of factor models and idiosyncratic correction

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The measurement of treatment (intervention) effects on a single (or just a few) treated unit(s) based on counterfactuals constructed from artificial controls has become a popular practice in applied statistics and economics since the proposal of the synthetic control method. In high-dimensional...

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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

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Dynamic nonparametric filtering with application to finance

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