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math.ST2004★ 11 cited
A selective overview of nonparametric methods in financial econometrics
Jianqing Fan
This paper gives a brief overview on the nonparametric techniques that are useful for financial econometric problems. The problems include estimation and inferences of instantaneou…
math.ST2004★ 1.1k cited
Nonconcave penalized likelihood with a diverging number of parameters
Jianqing Fan, Heng Peng
A class of variable selection procedures for parametric models via nonconcave penalized likelihood was proposed by Fan and Li to simultaneously estimate parameters and select impor…