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Nonsparse learning with latent variables

Zheng, Zemin; Lv, Jinchi; Lin, Wei - In: Operations research 69 (2021) 1, pp. 346-359

Persistent link: https://www.econbiz.de/10012523525

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

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

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

Fan, Jianqing; Masini, Ricardo; Medeiros, Marcelo C. - 2020

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...

Persistent link: https://www.econbiz.de/10012308185

Incorporating global industrial classification standard into portfolio allocation : a simple factor-based large covariance matrix : estimator with high-frequency data

Fan, Jianqing; Furger, Alex; Xiu, Dacheng - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 489-503

Persistent link: https://www.econbiz.de/10011692389

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

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

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