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Jianqing Fan

Personal Details

First Name:Jianqing
Middle Name:
Last Name:Fan
Suffix:
RePEc Short-ID:pfa165
[This author has chosen not to make the email address public]
http://orfe.princeton.edu/~jqfan/

Affiliation

(50%) Bendheim Center for Finance
Department of Economics
Princeton University

Princeton, New Jersey (United States)
http://www.princeton.edu/~bcf/
RePEc:edi:bcprius (more details at EDIRC)

(50%) Department of Economics
Princeton University

Princeton, New Jersey (United States)
https://economics.princeton.edu/
RePEc:edi:deprius (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Yacine Aït-Sahalia & Jianqing Fan & Lirong Xue & Yifeng Zhou, 2022. "How and When are High-Frequency Stock Returns Predictable?," NBER Working Papers 30366, National Bureau of Economic Research, Inc.
  2. Jianqing Fan & Yongyi Guo & Mengxin Yu, 2021. "Policy Optimization Using Semi-parametric Models for Dynamic Pricing," Papers 2109.06368, arXiv.org, revised May 2022.
  3. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021. "Bridging factor and sparse models," Papers 2102.11341, arXiv.org, revised Sep 2022.
  4. Caio Almeida & Jianqing Fan & Francesca Tang, 2021. "Can a Machine Correct Option Pricing Models?," Working Papers 2021-44, Princeton University. Economics Department..
  5. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020. "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers 2009.10103, arXiv.org.
  6. Jianqing Fan & Ricardo P. Masini & Marcelo C. Medeiros, 2020. "Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction," Papers 2011.03996, arXiv.org, revised Jan 2022.
  7. Alexander Giessing & Jianqing Fan, 2020. "Bootstrapping $\ell_p$-Statistics in High Dimensions," Papers 2006.13099, arXiv.org, revised Aug 2020.
  8. Jianqing Fan & Yuan Ke & Yuan Liao, 2016. "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers 1603.07041, arXiv.org, revised Sep 2018.
  9. Jianqing Fan & Fang Han & Han Liu & Byron Vickers, 2015. "Robust Inference of Risks of Large Portfolios," Papers 1501.02382, arXiv.org.
  10. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
  11. Fan, Jianqing & Liao, Yuan, 2012. "Endogeneity in ultrahigh dimension," MPRA Paper 38698, University Library of Munich, Germany.
  12. Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011. "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers 17592, National Bureau of Economic Research, Inc.
  13. Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011. "Large covariance estimation by thresholding principal orthogonal complements," MPRA Paper 38697, University Library of Munich, Germany.
  14. Jianqing Fan & Yingying Li & Ke Yu, 2010. "Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection," Papers 1004.4956, arXiv.org.
  15. Lam, Clifford & Fan, Jianqing, 2009. "Sparsistency and rates of convergence in large covariance matrix estimation," LSE Research Online Documents on Economics 31540, London School of Economics and Political Science, LSE Library.
  16. Lam, Clifford & Fan, Jianqing, 2008. "Profile-kernel likelihood inference with diverging number of parameters," LSE Research Online Documents on Economics 31548, London School of Economics and Political Science, LSE Library.
  17. Fan, Jianqing & Wang, Mingjin & Yao, Qiwei, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," LSE Research Online Documents on Economics 22875, London School of Economics and Political Science, LSE Library.
  18. Jianqing Fan & Jingjin Zhang & Ke Yu, 2008. "Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios," Papers 0812.2604, arXiv.org.
  19. Fan, Jianqing & Hall, Peter & Yao, Qiwei, 2007. "To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied," LSE Research Online Documents on Economics 5399, London School of Economics and Political Science, LSE Library.
  20. Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Papers math/0411034, arXiv.org.
  21. Fan, Jianqing & Yao, Qiwei & Cai, Zongwu, 2003. "Adaptive varying co-efficient linear models," LSE Research Online Documents on Economics 5885, London School of Economics and Political Science, LSE Library.
  22. Cai, Zongwu & Fan, Jianqing & Yao, Qiwei, 2000. "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics 6314, London School of Economics and Political Science, LSE Library.
  23. Fan, Jianqing & Yao, Qiwei, 1998. "Efficient estimation of conditional variance functions in stochastic regression," LSE Research Online Documents on Economics 6635, London School of Economics and Political Science, LSE Library.
  24. Fan, J. & Härdle, Wolfgang & Mammen, Enno, 1996. "Direct estimation of low dimensional components in additive models," SFB 373 Discussion Papers 1996,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  25. Fan, Jianqing & Yao, Qiwei & Tong, Howell, 1996. "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics 6704, London School of Economics and Political Science, LSE Library.
  26. Fan, J. & Müller, Maike, 1995. "Density and Regression Smoothing," SFB 373 Discussion Papers 1995,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  27. Carroll, R.J. & Fan, Jianqing. & Gijbels, Irene. & Wand, M.P., "undated". "Generalized Partially Linear Single-Index Models," Statistics Working Paper 95010, Australian Graduate School of Management.

Articles

  1. Jianqing Fan & Yingying Fan & Xiao Han & Jinchi Lv, 2022. "SIMPLE: Statistical inference on membership profiles in large networks," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(2), pages 630-653, April.
  2. Jianqing Fan & Kunpeng Li & Yuan Liao, 2021. "Recent Developments in Factor Models and Applications in Econometric Learning," Annual Review of Financial Economics, Annual Reviews, vol. 13(1), pages 401-430, November.
  3. Francesca Tang & Yang Feng & Hamza Chiheb & Jianqing Fan, 2021. "The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 116(534), pages 492-506, April.
  4. Fan, Jianqing & Ke, Yuan & Liao, Yuan, 2021. "Augmented factor models with applications to validating market risk factors and forecasting bond risk premia," Journal of Econometrics, Elsevier, vol. 222(1), pages 269-294.
  5. Fan, Jianqing & Ke, Yuan & Wang, Kaizheng, 2020. "Factor-adjusted regularized model selection," Journal of Econometrics, Elsevier, vol. 216(1), pages 71-85.
  6. Jianqing Fan & Cong Ma & Kaizheng Wang, 2020. "Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression”," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(532), pages 1720-1725, December.
  7. Fan, Jianqing & Feng, Yang & Xia, Lucy, 2020. "A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models," Journal of Econometrics, Elsevier, vol. 218(1), pages 119-139.
  8. Qiang Sun & Wen-Xin Zhou & Jianqing Fan, 2020. "Adaptive Huber Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 115(529), pages 254-265, January.
  9. Fan, Jianqing & Wang, Weichen & Zhong, Yiqiao, 2019. "Robust covariance estimation for approximate factor models," Journal of Econometrics, Elsevier, vol. 208(1), pages 5-22.
  10. Fan, Jianqing & Kim, Donggyu, 2019. "Structured volatility matrix estimation for non-synchronized high-frequency financial data," Journal of Econometrics, Elsevier, vol. 209(1), pages 61-78.
  11. Chin‐Han Chiang & Wei Dai & Jianqing Fan & Harrison Hong & Jun Tu, 2019. "Robust Measures of Earnings Surprises," Journal of Finance, American Finance Association, vol. 74(2), pages 943-983, April.
  12. Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
  13. Fan, Jianqing & Gong, Wenyan & Zhu, Ziwei, 2019. "Generalized high-dimensional trace regression via nuclear norm regularization," Journal of Econometrics, Elsevier, vol. 212(1), pages 177-202.
  14. Jianqing Fan & Yuan Ke & Qiang Sun & Wen-Xin Zhou, 2019. "FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 114(528), pages 1880-1893, October.
  15. Zhao Chen & Jianqing Fan & Runze Li, 2018. "Error Variance Estimation in Ultrahigh-Dimensional Additive Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(521), pages 315-327, January.
  16. Marco Avella-Medina & Heather S Battey & Jianqing Fan & Quefeng Li, 2018. "Robust estimation of high-dimensional covariance and precision matrices," Biometrika, Biometrika Trust, vol. 105(2), pages 271-284.
  17. Jianqing Fan & Donggyu Kim, 2018. "Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(523), pages 1268-1283, July.
  18. Quefeng Li & Guang Cheng & Jianqing Fan & Yuyan Wang, 2018. "Embracing the Blessing of Dimensionality in Factor Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(521), pages 380-389, January.
  19. Jianqing Fan & Xu Han, 2017. "Estimation of the false discovery proportion with unknown dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(4), pages 1143-1164, September.
  20. Jianqing Fan & Quefeng Li & Yuyan Wang, 2017. "Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(1), pages 247-265, January.
  21. Jianqing Fan, 2017. "Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 33(2), pages 121-122, March.
  22. Fan, Jianqing & Xue, Lingzhou & Yao, Jiawei, 2017. "Sufficient forecasting using factor models," Journal of Econometrics, Elsevier, vol. 201(2), pages 292-306.
  23. Yacine Aït-Sahalia & Jianqing Fan & Roger J. A. Laeven & Christina Dan Wang & Xiye Yang, 2017. "Estimation of the Continuous and Discontinuous Leverage Effects," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(520), pages 1744-1758, October.
  24. Jianqing Fan & Han Liu & Yang Ning & Hui Zou, 2017. "High dimensional semiparametric latent graphical model for mixed data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 405-421, March.
  25. H. Xu & U. Kemiktarak & J. Fan & S. Ragole & J. Lawall & J. M. Taylor, 2017. "Observation of optomechanical buckling transitions," Nature Communications, Nature, vol. 8(1), pages 1-7, April.
  26. Jianqing Fan & Lingzhou Xue & Hui Zou, 2016. "Multitask Quantile Regression Under the Transnormal Model," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(516), pages 1726-1735, October.
  27. Jianqing Fan & Yuan Liao & Han Liu, 2016. "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 1-32, February.
  28. Emre Barut & Jianqing Fan & Anneleen Verhasselt, 2016. "Conditional Sure Independence Screening," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(515), pages 1266-1277, July.
  29. Jushan Bai & Jianqing Fan & Ruey Tsay, 2016. "Special Issue on Big Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 487-488, October.
  30. Jianqing Fan & Yang Feng & Jiancheng Jiang & Xin Tong, 2016. "Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 111(513), pages 275-287, March.
  31. Jianqing Fan & Alex Furger & Dacheng Xiu, 2016. "Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 489-503, October.
  32. Jianqing Fan & Michael B. Imerman & Wei Dai, 2016. "What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 519-535, October.
  33. Fan, Jianqing & Han, Fang & Liu, Han & Vickers, Byron, 2016. "Robust inference of risks of large portfolios," Journal of Econometrics, Elsevier, vol. 194(2), pages 298-308.
  34. Zheng Tracy Ke & Jianqing Fan & Yichao Wu, 2015. "Homogeneity Pursuit," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 175-194, March.
  35. Jianqing Fan & Xin Tong & Yao Zeng, 2015. "Multi-Agent Inference in Social Networks: A Finite Population Learning Approach," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 149-158, March.
  36. Jianqing Fan & Yuan Liao & Jiawei Yao, 2015. "Power Enhancement in High‐Dimensional Cross‐Sectional Tests," Econometrica, Econometric Society, vol. 83(4), pages 1497-1541, July.
  37. Jianqing Fan & Wenyang Zhang, 2015. "Discussion," International Statistical Review, International Statistical Institute, vol. 83(1), pages 65-68, April.
  38. Ning Hao & Bin Dong & Jianqing Fan, 2015. "Sparsifying the Fisher linear discriminant by rotation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 77(4), pages 827-851, September.
  39. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015. "Risks of large portfolios," Journal of Econometrics, Elsevier, vol. 186(2), pages 367-387.
  40. Hongtu Zhu & Jianqing Fan & Linglong Kong, 2014. "Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1084-1098, September.
  41. Jianqing Fan & Yunbei Ma & Wei Dai, 2014. "Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 109(507), pages 1270-1284, September.
  42. Jianqing Fan & Lei Qi & Dacheng Xiu, 2014. "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 178-191, April.
  43. Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013. "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, vol. 109(1), pages 224-249.
  44. F. E. Becerra & J. Fan & A. Migdall, 2013. "Implementation of generalized quantum measurements for unambiguous discrimination of multiple non-orthogonal coherent states," Nature Communications, Nature, vol. 4(1), pages 1-6, October.
  45. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
  46. Jianqing Fan & Arnab Maity & Yihui Wang & Yichao Wu, 2013. "Parametrically guided generalised additive models with application to mergers and acquisitions data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 25(1), pages 109-128, March.
  47. Jianqing Fan & Jingjin Zhang & Ke Yu, 2012. "Vast Portfolio Selection With Gross-Exposure Constraints," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 592-606, June.
  48. Jianqing Fan & Yang Feng & Xin Tong, 2012. "A road to classification in high dimensional space: the regularized optimal affine discriminant," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(4), pages 745-771, September.
  49. Jianqing Fan & Yingying Li & Ke Yu, 2012. "Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(497), pages 412-428, March.
  50. Jianqing Fan & Shaojun Guo & Ning Hao, 2012. "Variance estimation using refitted cross‐validation in ultrahigh dimensional regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(1), pages 37-65, January.
  51. Jelena Bradic & Jianqing Fan & Weiwei Wang, 2011. "Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 73(3), pages 325-349, June.
  52. Fan, Jianqing & Feng, Yang & Song, Rui, 2011. "Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 544-557.
  53. Jianqing Fan & Jinchi Lv & Lei Qi, 2011. "Sparse High-Dimensional Models in Economics," Annual Review of Economics, Annual Reviews, vol. 3(1), pages 291-317, September.
  54. Fan, Yingying & Fan, Jianqing, 2011. "Testing and detecting jumps based on a discretely observed process," Journal of Econometrics, Elsevier, vol. 164(2), pages 331-344, October.
  55. Jianqing Fan & Jinchi Lv, 2010. "Comments on: ℓ 1 -penalization for mixture regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(2), pages 264-269, August.
  56. N. Ning & J. Fan & J. Wu & H. Chiriac & X. P. Li, 2010. "NiFe/INSULATOR/CuCOMPOSITE WIRES AND THEIR GIANT MAGNETO-IMPEDANCE EFFECTS," Surface Review and Letters (SRL), World Scientific Publishing Co. Pte. Ltd., vol. 17(03), pages 369-373.
  57. Aït-Sahalia, Yacine & Fan, Jianqing & Xiu, Dacheng, 2010. "High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1504-1517.
  58. Jianqing Fan & Jin-Ting Zhang & Wenyang Zhang, 2010. "Comments on: Dynamic relations for sparsely sampled Gaussian processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(1), pages 37-42, May.
  59. Jianqing Ruan & Xiaobo Zhang, 2009. "Finance and Cluster-Based Industrial Development in China," Economic Development and Cultural Change, University of Chicago Press, vol. 58(1), pages 143-164, October.
  60. Fan, Jianqing & Feng, Yang, 2009. "Comment," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1003-1007.
  61. Fan, Jianqing & Mancini, Loriano, 2009. "Option Pricing With Model-Guided Nonparametric Methods," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1351-1372.
  62. John Stephen Yap & Jianqing Fan & Rongling Wu, 2009. "Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci," Biometrics, The International Biometric Society, vol. 65(4), pages 1068-1077, December.
  63. Aït-Sahalia, Yacine & Fan, Jianqing & Peng, Heng, 2009. "Nonparametric Transition-Based Tests for Jump Diffusions," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1102-1116.
  64. Delaigle, Aurore & Fan, Jianqing & Carroll, Raymond J., 2009. "A Design-Adaptive Local Polynomial Estimator for the Errors-in-Variables Problem," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 348-359.
  65. Fan, Jianqing & Wu, Yichao, 2008. "Semiparametric Estimation of Covariance Matrixes for Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1520-1533.
  66. Jianqing Fan & Jinchi Lv, 2008. "Sure independence screening for ultrahigh dimensional feature space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(5), pages 849-911, November.
  67. Jianwen Cai & Jianqing Fan & Jiancheng Jiang & Haibo Zhou, 2008. "Partially linear hazard regression with varying coefficients for multivariate survival data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(1), pages 141-158, February.
  68. Fan, Jianqing & Fan, Yingying & Lv, Jinchi, 2008. "High dimensional covariance matrix estimation using a factor model," Journal of Econometrics, Elsevier, vol. 147(1), pages 186-197, November.
  69. Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 679-702, September.
  70. Fan, Jianqing & Fan, Yingying & Jiang, Jiancheng, 2007. "Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 618-631, June.
  71. Fan, Jianqing & Huang, Tao & Li, Runze, 2007. "Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 632-641, June.
  72. Fan, Jianqing & Wang, Yazhen, 2007. "Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1349-1362, December.
  73. Cai, Jianwen & Fan, Jianqing & Jiang, Jiancheng & Zhou, Haibo, 2007. "Partially Linear Hazard Regression for Multivariate Survival Data," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 538-551, June.
  74. Jianqing Fan & Jiancheng Jiang, 2007. "Rejoinder on: Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(3), pages 471-478, December.
  75. Fan, Jianqing & Hall, Peter & Yao, Qiwei, 2007. "To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied?," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1282-1288, December.
  76. Jianqing Fan & Jiancheng Jiang, 2007. "Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 16(3), pages 409-444, December.
  77. Peter Bickel & Bo Li & Alexandre Tsybakov & Sara Geer & Bin Yu & Teófilo Valdés & Carlos Rivero & Jianqing Fan & Aad Vaart, 2006. "Regularization in statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 15(2), pages 271-344, September.
  78. Fan, Jianqing & Fan, Yingying, 2006. "Comment," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 991-994, September.
  79. Jianwen Cai & Jianqing Fan & Runze Li & Haibo Zhou, 2005. "Variable selection for multivariate failure time data," Biometrika, Biometrika Trust, vol. 92(2), pages 303-316, June.
  80. Fan, Jianqing & Peng, Heng & Huang, Tao, 2005. "Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 781-796, September.
  81. Fan, Jianqing & Peng, Heng & Huang, Tao & Ren, Yi, 2005. "Rejoinder," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 808-813, September.
  82. Fan, Jianqing & Jiang, Jiancheng, 2005. "Nonparametric Inferences for Additive Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 890-907, September.
  83. Jianqing Fan & Runze Li, 2004. "New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 710-723, January.
  84. Jianqing Fan & Tsz Ho Yim, 2004. "A crossvalidation method for estimating conditional densities," Biometrika, Biometrika Trust, vol. 91(4), pages 819-834, December.
  85. Jianqing Fan, 2004. "Generalised likelihood ratio tests for spectral density," Biometrika, Biometrika Trust, vol. 91(1), pages 195-209, March.
  86. Jianqing Fan & Juan Gu, 2003. "Semiparametric estimation of Value at Risk," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 261-290, December.
  87. Fan J. & Zhang C., 2003. "A Reexamination of Diffusion Estimators With Applications to Financial Model Validation," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 118-134, January.
  88. Jianqing Fan & Qiwei Yao & Zongwu Cai, 2003. "Adaptive varying‐coefficient linear models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 57-80, February.
  89. Fan J. & Huang L-S., 2001. "Goodness-of-Fit Tests for Parametric Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 640-652, June.
  90. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
  91. Antoniadis A. & Fan J., 2001. "Regularization of Wavelet Approximations," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 939-967, September.
  92. J. Fan & J.‐T. Zhang, 2000. "Two‐step estimation of functional linear models with applications to longitudinal data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 303-322.
  93. Cai, Zongwu & Fan, Jianqing, 2000. "Average Regression Surface for Dependent Data," Journal of Multivariate Analysis, Elsevier, vol. 75(1), pages 112-142, October.
  94. Jianqing Fan & Wenyang Zhang, 2000. "Simultaneous Confidence Bands and Hypothesis Testing in Varying‐coefficient Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(4), pages 715-731, December.
  95. J. Fan & R. L. Prentice & L. Hsu, 2000. "A class of weighted dependence measures for bivariate failure time data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 181-190.
  96. N. Locantore & J. Marron & D. Simpson & N. Tripoli & J. Zhang & K. Cohen & Graciela Boente & Ricardo Fraiman & Babette Brumback & Christophe Croux & Jianqing Fan & Alois Kneip & John Marden & Daniel P, 1999. "Robust principal component analysis for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(1), pages 1-73, June.
  97. Fan, Jianqing & Huang, Li-Shan, 1999. "Rates of convergence for the pre-asymptotic substitution bandwidth selector," Statistics & Probability Letters, Elsevier, vol. 43(3), pages 309-316, July.
  98. J. Fan & J. Chen, 1999. "One‐step local quasi‐likelihood estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(4), pages 927-943.
  99. J. Fan & M. Farmen & I. Gijbels, 1998. "Local maximum likelihood estimation and inference," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 60(3), pages 591-608.
  100. Jianqing Fan & Theo Gasser & Irène Gijbels & Michael Brockmann & Joachim Engel, 1997. "Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 49(1), pages 79-99, March.
  101. Jianqing Fan, 1997. "Comments on «Wavelets in statistics: A review» by A. Antoniadis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 6(2), pages 131-138, August.
  102. Fan, Jianqing & Gijbels, Irène, 1992. "Minimax estimation of a bounded squared mean," Statistics & Probability Letters, Elsevier, vol. 13(5), pages 383-390, April.
  103. Fan, Jianqing & Hu, Tien-Chung, 1992. "Bias correction and higher order kernel functions," Statistics & Probability Letters, Elsevier, vol. 13(3), pages 235-243, February.
  104. Fan, Jianqing & Masry, Elias, 1992. "Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes," Journal of Multivariate Analysis, Elsevier, vol. 43(2), pages 237-271, November.
  105. Jianqing Fan & Yingying Fan & Jinchi Lv, 0. "Aggregation of Nonparametric Estimators for Volatility Matrix," Journal of Financial Econometrics, Oxford University Press, vol. 5(3), pages 321-357.

Books

  1. Fan,Jianqing & Yao,Qiwei, 2017. "The Elements of Financial Econometrics," Cambridge Books, Cambridge University Press, number 9781107191174, October.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works
  4. Number of Distinct Works, Weighted by Simple Impact Factor
  5. Number of Distinct Works, Weighted by Recursive Impact Factor
  6. Number of Distinct Works, Weighted by Number of Authors
  7. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  8. Number of Citations
  9. Number of Citations, Discounted by Citation Age
  10. Number of Citations, Weighted by Simple Impact Factor
  11. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Recursive Impact Factor
  13. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors
  15. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  20. h-index
  21. Number of Registered Citing Authors
  22. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  23. Number of Journal Pages
  24. Number of Journal Pages, Weighted by Simple Impact Factor
  25. Number of Journal Pages, Weighted by Recursive Impact Factor
  26. Number of Journal Pages, Weighted by Number of Authors
  27. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  28. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  29. Euclidian citation score
  30. Breadth of citations across fields
  31. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (13) 2010-05-02 2011-11-21 2012-05-22 2012-05-22 2013-02-16 2013-02-16 2015-01-26 2017-10-08 2020-07-27 2020-10-26 2020-11-23 2021-03-01 2022-03-14. Author is listed
  2. NEP-BIG: Big Data (3) 2020-11-23 2022-03-14 2022-09-26
  3. NEP-CMP: Computational Economics (3) 2010-05-02 2022-03-14 2022-09-26
  4. NEP-MST: Market Microstructure (3) 2010-05-02 2011-11-21 2022-09-26
  5. NEP-ETS: Econometric Time Series (2) 2012-05-22 2021-03-01
  6. NEP-RMG: Risk Management (2) 2013-02-16 2015-01-26
  7. NEP-CWA: Central and Western Asia (1) 2022-03-14
  8. NEP-FOR: Forecasting (1) 2017-10-08
  9. NEP-ISF: Islamic Finance (1) 2021-09-20
  10. NEP-ORE: Operations Research (1) 2022-03-14

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