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Estimation of low-rank covariance function

Koltchinskii, Vladimir; Lounici, K.; Cybakov, Aleksandr B. - 2016

Persistent link: https://www.econbiz.de/10011855350

Sparse covariance matrix estimation in high-dimensional deconvolution

Belomestny, Denis; Trabs, Mathias; Cybakov, Aleksandr B. - 2017

Persistent link: https://www.econbiz.de/10012198572

The leverage effect puzzle : disentangling sources of bias at high frequency

Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249

Persistent link: https://www.econbiz.de/10009765821

Semiparametric estimation of covariance matrixes for longitudinal data

Fan, Jianqing; Wu, Yichao - In: Journal of the American Statistical Association : JASA 103 (2008) 484, pp. 1520-1533

Persistent link: https://www.econbiz.de/10003814698

Analysis of longitudinal data with semiparametric estimation of covariance function

Fan, Jianqing; Huang, Tao; Li, Runze - In: Journal of the American Statistical Association : JASA 102 (2007) 478, pp. 632-641

Persistent link: https://www.econbiz.de/10003490446

High dimensional covariance matrix estimation using a factor model

Fan, Jianqing; Fan, Yingying; Lv, Jinchi - In: Journal of econometrics 147 (2008) 1, pp. 186-197

Persistent link: https://www.econbiz.de/10003783799

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

Power enhancement in high-dimensional cross-sectional tests

Fan, Jianqing; Liao, Yuan; Yao, Jiawei - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 4, pp. 1497-1541

Persistent link: https://www.econbiz.de/10011405086

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

Incorporating Global Industrial Classification Standard into Portfolio Allocation : A Simple Factor-Based Large Covariance Matrix Estimator with High Frequency Data

Fan, Jianqing - 2015

We document a striking block-diagonal pattern in the factor model residual covariances of the S&P 500 Equity Index constituents, after sorting the assets by their assigned Global Industry Classification Standard (GICS) codes. Cognizant of this structure, we propose combining a location-based...

Persistent link: https://www.econbiz.de/10013030559