Books

• Fan, J. and Yao, Q. (2003). Nonlinear Time Series: Nonparametric and Parametric Methods (576pp)Springer-Verlag, New York.
  

  Table of Contents,Figures and Computer Programs Link to Errorta   Book Review---Technometrics (2004) Book Review---Quantitative Finance (2004) Book Review--- International Institute of Statistics (2004) Book Review---Journal of American Statistical Association (2005)

  
• Manuscripts
• Ait-Sahalia, Y., Fan, J. and Peng, H. (2008). Nonparametric transition-based tests for diffusions.
  Journal of American Statistical Association, pendingfor revision.
• Fan, J., Fan, Y. and Lv, J. (2008). High dimensional covariance matrix estimation using a factor model.
  Journal of Econometrics, to appear.
• Fan, J. and Mancini, L. (2006). Option Pricing with aggregation of physical models and nonparametric statistical learning. Manuscript.

Articles

• Fan, J., Wang, M. and Yao, Q. (2008). Modelling Multivariate Volatilities via Conditionally Uncorrelated Components. Journal of Royal Statistical Society, B , to appear.
• Fan, J.and Wang, Y. (2007). Multi-scale jump and volatility analysis for high-Frequency financial data,Journal of American Statistical Association,102,1349-1362.                                  Manuscript

• Fan, J., Fan, Y. and Jiang, J. (2007). Dynamic integration of time- and state-domain methods for volatility estimation. Journal of American Statistical Association, 102, 618-631.
• Fan, J., Fan, Y. and Lv, J. (2007). Aggregation of nonparametric estimators for volatility matrix. Journal Financial Econometrics, 5, 321-357.
  Manuscript
• Fan, J. (2005). A selective overview of nonparametric methods in financial econometrics (with discussion) . Statistical Science, 20, 317-357. Rejoinder  
  Research report 2003-03 , Institute of Mathematical Sciences, Chinese University of Hong Kong.
  Related elementary introduction:  An introduction to financial econometrics.
• Fan, J. and Yim, T.H. (2004). A data-driven method for estimating conditional densities. Biometrika , 91, 819-834. Research report 2003-05, Institute of Mathematical Sciences , Chinese University of Hong Kong.
• Fan, J. and Gu, J. (2003). Semiparametric Estimation of Value-at-Risk. Econometrics Journal, 6, 261-290.
• Fan, J., Jiang, J., Zhang, C. and Zhou, Z. (2003). Time-dependent Diffusion Models for Term Structure Dynamics and the Stock Price Volatility. Statistica Sinica , 13, 965-992.
• Fan, J. and Zhang, C.(2003). A re-examination of Stanton's diffusion estimations with applications to financial model validation . Journal of American Statistical Association , 98, 118-134.

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