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Theory and Methods - Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation
Fan, Jianqing; Fan, Yingying; Jiang, Jiancheng - In: Journal of the American Statistical Association : JASA 102 (2007) 478, pp. 618-631
Persistent link: https://www.econbiz.de/10007741785
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Theory and Methods - Partially Linear Hazard Regression for Multivariate Survival Data
Cai, Jianwen; Fan, Jianqing; Jiang, Jiancheng; Zhou, Haibo - In: Journal of the American Statistical Association : JASA 102 (2007) 478, pp. 538-551
Persistent link: https://www.econbiz.de/10007741792
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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
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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
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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
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Sparse high-dimensional models in economics
Fan, Jianqing; Lv, Jinchi; Qi, Lei - In: Annual review of economics 3 (2011), pp. 291-317
Persistent link: https://www.econbiz.de/10009904926
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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
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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
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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
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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