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Jianqing Fan

Global rank #1510 98%

Institution: Princeton University

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://fan.princeton.edu/

First Publication: 2008

Most Recent: 2024

RePEc ID: pfa165 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 2.18 7.94 0.00 12.30
Last 10 Years 0.00 10.46 13.54 0.00 34.45
All Time 0.67 14.14 18.57 0.00 49.53

Publication Statistics

Raw Publications 53
Coauthorship-Adjusted Count 33.52

Publications (53)

Year Article Journal Tier Authors
2024 Policy Optimization Using Semiparametric Models for Dynamic Pricing Journal of the American Statistical Association B 3
2024 Are Latent Factor Regression and Sparse Regression Adequate? Journal of the American Statistical Association B 3
2023 Can a Machine Correct Option Pricing Models? Journal of Business & Economic Statistics A 4
2023 Communication-Efficient Accurate Statistical Estimation Journal of the American Statistical Association B 3
2023 Statistical Inference for High-Dimensional Matrix-Variate Factor Models Journal of the American Statistical Association B 2
2023 Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs Journal of the American Statistical Association B 4
2023 Understanding Implicit Regularization in Over-Parameterized Single Index Model Journal of the American Statistical Association B 3
2022 Bayesian factor-adjusted sparse regression Journal of Econometrics A 3
2022 Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction Journal of the American Statistical Association B 3
2022 Estimating Number of Factors by Adjusted Eigenvalues Thresholding Journal of the American Statistical Association B 3
2022 Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors Journal of the American Statistical Association B 2
2022 Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes Journal of the American Statistical Association B 4
2022 Measuring Housing Vitality from Multi-Source Big Data and Machine Learning Journal of the American Statistical Association B 5
2022 Rejoinder Journal of the American Statistical Association B 5
2022 Optimal Covariate Balancing Conditions in Propensity Score Estimation Journal of Business & Economic Statistics A 6
2021 Augmented factor models with applications to validating market risk factors and forecasting bond risk premia Journal of Econometrics A 3
2021 The Interplay of Demographic Variables and Social Distancing Scores in Deep Prediction of U.S. COVID-19 Cases Journal of the American Statistical Association B 4
2020 Factor-adjusted regularized model selection Journal of Econometrics A 3
2020 A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models Journal of Econometrics A 3
2020 Adaptive Huber Regression Journal of the American Statistical Association B 3
2020 Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression” Journal of the American Statistical Association B 3
2019 Robust Measures of Earnings Surprises Journal of Finance A 5
2019 Robust covariance estimation for approximate factor models Journal of Econometrics A 3
2019 Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction Journal of Econometrics A 2
2019 Structured volatility matrix estimation for non-synchronized high-frequency financial data Journal of Econometrics A 2
2019 Generalized high-dimensional trace regression via nuclear norm regularization Journal of Econometrics A 3
2019 FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control Journal of the American Statistical Association B 4
2018 Error Variance Estimation in Ultrahigh-Dimensional Additive Models Journal of the American Statistical Association B 3
2018 Embracing the Blessing of Dimensionality in Factor Models Journal of the American Statistical Association B 4
2018 Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model Journal of the American Statistical Association B 2
2017 Estimation of the Continuous and Discontinuous Leverage Effects Journal of the American Statistical Association B 5
2017 Sufficient forecasting using factor models Journal of Econometrics A 3
2016 Special Issue on Big Data Journal of Business & Economic Statistics A 3
2016 Robust inference of risks of large portfolios Journal of Econometrics A 4
2016 Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification Journal of the American Statistical Association B 4
2016 Conditional Sure Independence Screening Journal of the American Statistical Association B 3
2016 Multitask Quantile Regression Under the Transnormal Model Journal of the American Statistical Association B 3
2016 Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data Journal of Business & Economic Statistics A 3
2016 What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk? Journal of Business & Economic Statistics A 3
2015 Risks of large portfolios Journal of Econometrics A 3
2015 Multi-Agent Inference in Social Networks: A Finite Population Learning Approach Journal of the American Statistical Association B 3
2015 Homogeneity Pursuit Journal of the American Statistical Association B 3
2015 Power Enhancement in High‐Dimensional Cross‐Sectional Tests Econometrica S 3
2014 Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities Journal of the American Statistical Association B 3
2014 Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models Journal of the American Statistical Association B 3
2014 Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods Journal of Business & Economic Statistics A 3
2014 Rejoinder Journal of Business & Economic Statistics A 3
2013 The leverage effect puzzle: Disentangling sources of bias at high frequency Journal of Financial Economics A 3
2012 Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection Journal of the American Statistical Association B 3
2012 Vast Portfolio Selection With Gross-Exposure Constraints Journal of the American Statistical Association B 3
2011 Testing and detecting jumps based on a discretely observed process Journal of Econometrics A 2
2009 Finance and Cluster-Based Industrial Development in China Economic Development & Cultural Change B 2
2008 High dimensional covariance matrix estimation using a factor model Journal of Econometrics A 3