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Adaptive varying-coefficient linear models

Fan, Jianqing; Yao, Qiwei; Cai, Zongwu - 2000

Persistent link: https://www.econbiz.de/10001551042

A reexamination of diffusion estimators with applications to financial model validdation

Fan, Jianqing; Zhang, Chunming - In: Journal of the American Statistical Association : JASA 98 (2003) 461, pp. 118-134

Persistent link: https://www.econbiz.de/10001754536

Local polynominal kernel regression for generalized linear models and quasi-likelihood functions

Fan, Jianqing; Heckman, Nancy E.; Wand, M. P. - 1992

Persistent link: https://www.econbiz.de/10000848322

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

Semiparametric estimation of covariance matrixes for longitudinal data

Fan, Jianqing; Wu, Yichao - In: Journal of the American Statistical Association : JASA 103 (2008) 484, pp. 1520-1533

Persistent link: https://www.econbiz.de/10003814698

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

A design-adaptive local polynomial estimator for the errors-in-variables problem

Dilaigle, Aurore; Fan, Jianqing; Carroll, Raymond J. - In: Journal of the American Statistical Association : JASA 104 (2009) 485, pp. 348-359

Persistent link: https://www.econbiz.de/10003878198

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