Welcome to Jianqing Fan's publications -- Finance

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

Fan, J. , Liao, Y., and Mincheva, M. (2011). High Dimensional Covariance Matrix Estimation in Approximate Factor Models. Manuscript.
Fan, J., Zhang, J., and Yu, K. (2008). Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios. Manuscript.
Fan, J., Li, Y. and Ke, Y. (2010). Vast volatility matrix estimation using high frequency data for portfolio selection. Journal of American Statistical Association, tentatively accepted.

Articles

Fan, Y. and Fan, J. (2011). Testing and detecting jumps based on a discretely observed process. Journal of Econometrics, , 164, 331-344.
Fan, J., Lv, J., and Qi, L. (2011). Sparse high-dimensional models in economics. Annual Review of Economics, 3, 291-317
Ait-Sahalia, Y., Fan, J., and Xiu, D.(2010). High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data . Journal of American Statistical Association, 105, 1504-1517 .
A"it-Sahalia, Y., Fan, J. and Jiang, J. (2010). Nonparametric tests of the Markov hypothesis in continuous-time models. Annals of Statistics, 38, 3129-3163.
Ait-Sahalia, Y., Fan, J. and Peng, H. (2009). Nonparametric transition-based tests for diffusions.Journal of American Statistical Association, 104, 1102-1116.
Fan, J. and Mancini, L. (2009). Option Pricing with aggregation of physical models and nonparametric statistical learning. Journal of American Statistical Association, 104, 1351-1372. Manuscript.
Fan, J. and Wang, Y. (2008). Spot volatility estimation for high-frequency data. Statistics and Its Interface, 1, 279-288.
Fan, J., Fan, Y. and Lv, J. (2008). High dimensional covariance matrix estimation using a factor model.| Journal of Econometrics, 147, 186-197. Manuscript.
Fan, J., Wang, M. and Yao, Q. (2008). Modelling Multivariate Volatilities via Conditionally Uncorrelated Components. Journal of Royal Statistical Society B, 70, 679-702. Manuscript.
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.