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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

Nonparametric estimation and conformal inference of the sufficient forecasting with a diverging number of factors

Yu, Xiufan; Yao, Jiawei; Xue, Lingzhou - In: Journal of business & economic statistics : JBES ; a … 40 (2022) 1, pp. 342-354

Persistent link: https://www.econbiz.de/10012804117

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

An overview of the estimation of large covariance and precision matrices

Fan, Jianqing; Liao, Yuan; Liu, Han - In: The econometrics journal 19 (2016) 1, pp. 1-32

Persistent link: https://www.econbiz.de/10011487485

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

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

The elements of financial econometrics

Fan, Jianqing; Yao, Qiwei - 2017

Persistent link: https://www.econbiz.de/10011629322

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