7 citations · 9 across the 2 of their papers we have counts for
2 papers
stat.AP2013★ 2 cited
Risks of Large Portfolios
Jianqing Fan, Yuan Liao, Xiaofeng Shi
Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good…
math.ST2012★ 7 cited
Partial Consistency with Sparse Incidental Parameters
Jianqing Fan, Runlong Tang, Xiaofeng Shi
Penalized estimation principle is fundamental to high-dimensional problems. In the literature, it has been extensively and successfully applied to various models with only structur…