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Aggregation of Nonparametric E...
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181
Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data
Fan, Jianqing
;
Wang, Yazhen
- In:
Journal of the American Statistical Association : JASA
102
(
2007
)
480
,
pp. 1349-1362
Persistent link: https://www.econbiz.de/10007897761
Saved in:
182
To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied?
Fan, Jianqing
;
Hall, Peter
;
Yao, Qiwei
- In:
Journal of the American Statistical Association : JASA
102
(
2007
)
480
,
pp. 1282-1288
Persistent link: https://www.econbiz.de/10007897768
Saved in:
183
Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection
Fan, Jianqing
;
Li, Yingying
;
Yu, Ke
- In:
Journal of the American Statistical Association : JASA
107
(
2012
)
497
,
pp. 412-429
Persistent link: https://www.econbiz.de/10009981416
Saved in:
184
Large covariance estimation by thresholding principal orthogonal complements
Fan, Jianqing
;
Liao, Yuan
;
Mincheva, Martina
- In:
Journal of the Royal Statistical Society / B
75
(
2013
)
4
,
pp. 603-680
Persistent link: https://www.econbiz.de/10010164028
Saved in:
185
Estimating False Discovery Proportion Under Arbitrary Covariance Dependence
Fan, Jianqing
;
Han, Xu
;
Gu, Weijie
- In:
Journal of the American Statistical Association : JASA
107
(
2012
)
499
,
pp. 1019-1036
Persistent link: https://www.econbiz.de/10010028412
Saved in:
186
Rejoinder
Fan, Jianqing
;
Han, Xu
;
Gu, Weijie
- In:
Journal of the American Statistical Association : JASA
107
(
2012
)
499
,
pp. 1046-1049
Persistent link: https://www.econbiz.de/10010028417
Saved in:
187
Semiparametric estimation of Value at Risk
Fan, Jianqing
;
Gu, Juan
- In:
The econometrics journal
6
(
2003
)
2
,
pp. 261-290
Persistent link: https://www.econbiz.de/10007458523
Saved in:
188
THE LEVERAGE EFFECT PUZZLE: DISENTANGLING SOURCES OF BIAS AT HIGH FREQUENCY
Ait-Sahalia, Yacine
;
Fan, Jianqing
;
Li, Yingying
-
2011
Persistent link: https://www.econbiz.de/10009833031
Saved in:
189
Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models
Fan, Jianqing
;
Feng, Yang
;
Song, Rui
- In:
Journal of the American Statistical Association : JASA
106
(
2011
)
494
,
pp. 544-558
Persistent link: https://www.econbiz.de/10009257524
Saved in:
190
Learning Latent Factors from Diversified Projections and its Applications to Over-Estimated and Weak Factors
Fan, Jianqing
-
2020
Estimations and applications of factor models often rely on the crucial condition that the number of latent factors is consistently estimated, which in turn also requires that factors be relatively strong, data are stationary and weak serial dependence, and the sample size be fairly large,...
Persistent link: https://www.econbiz.de/10012847950
Saved in:
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