6 citations · 12 across the 5 of their papers we have counts for
5 papers
Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia
Jianqing Fan, Yuan Ke, Yuan Liao
We study factor models augmented by observed covariates that have explanatory powers on the unknown factors. In financial factor models, the unknown factors can be reasonably well…
Nonparametric Independence Screening in Sparse Ultra-High Dimensional Varying Coefficient Models
Jianqing Fan, Yunbei Ma, Wei Dai
The varying-coefficient model is an important nonparametric statistical model that allows us to examine how the effects of covariates vary with exposure variables. When the number…
Estimating False Discovery Proportion Under Arbitrary Covariance Dependence
Jianqing Fan, Xu Han, Weijie Gu
Multiple hypothesis testing is a fundamental problem in high dimensional inference, with wide applications in many scientific fields. In genome-wide association studies, tens of th…
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Jianqing Fan, Yingying Li, Ke Yu
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstra…
Modelling multivariate volatilies via conditionally uncorrelated components
Jianqing Fan, Mingjin Wang, Qiwei Yao
We propose to model multivariate volatility processes based on the newly defined conditionally uncorrelated components (CUCs). This model represents a parsimonious representation f…