Narrow search
Showing 1 - 7 of 7
Cover Image
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
Cover Image
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing; Kim, Donggyu - In: Journal of econometrics 209 (2019) 1, pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Cover Image
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
Cover Image
A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models
Fan, Jianqing; Feng, Yang; Xia, Lucy - In: Journal of econometrics 218 (2020) 1, pp. 119-139
Persistent link: https://www.econbiz.de/10012482935
Cover Image
Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
Cover Image
Bayesian factor-adjusted sparse regression
Fan, Jianqing; Jiang, Bai; Sun, Qiang - In: Journal of econometrics 230 (2022) 1, pp. 3-19
Persistent link: https://www.econbiz.de/10013441909
Cover Image
Adaptive robust large volatility matrix estimation based on high-frequency financial data
Shin, Minseok; Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 237 (2023) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10014471480