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Robust inference of risks of large portfolios

Fan, Jianqing; Han, Fang; Liu, Han; Vickers, Byron - In: Journal of econometrics 194 (2016) 2, pp. 298-308

Persistent link: https://www.econbiz.de/10011705149

Optimal covariate balancing conditions in propensity score estimation

Fan, Jianqing; Imai, Kosuke; Lee, Inbeom; Liu, Han; … - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 1, pp. 97-110

Persistent link: https://www.econbiz.de/10013540648

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

How much can machines learn finance from Chinese text data?

Zhou, Yang; Fan, Jianqing; Xue, Lirong - In: Management science : journal of the Institute for … 70 (2024) 12, pp. 8962-8987

Persistent link: https://www.econbiz.de/10015145627

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

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

Special issue on big data

Bai, Jushan; Fan, Jianqing; Tsay, Ruey S. - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 487-488

Persistent link: https://www.econbiz.de/10011691679

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

What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?

Fan, Jianqing; Imerman, Michael B.; Dai, Wei - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 519-535

Persistent link: https://www.econbiz.de/10011692397