Incorporating Global Industrial Classification Standard Into Portfolio Allocation: A Simple Factor-Based Large Covariance Matrix Estimator With High-Frequency Data

Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency

(2014) Markus Bibinger et al.   ANNALS OF STATISTICS

Statistical analysis of big data on pharmacogenomics

(2013) Jianqing Fan et al.   ADVANCED DRUG DELIVERY REVIEWS

Optimal sparse volatility matrix estimation for high-dimensional Itô processes with measurement errors

(2013) Minjing Tao et al.   ANNALS OF STATISTICS

Large covariance estimation by thresholding principal orthogonal complements

(2013) Jianqing Fan et al.   JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

FAST CONVERGENCE RATES IN ESTIMATING LARGE VOLATILITY MATRICES USING HIGH-FREQUENCY FINANCIAL DATA

(2013) Minjing Tao et al.   ECONOMETRIC THEORY

High-dimensional covariance matrix estimation in approximate factor models

(2012) Jianqing Fan et al.   ANNALS OF STATISTICS

Nonlinear shrinkage estimation of large-dimensional covariance matrices

(2012) Olivier Ledoit et al.   ANNALS OF STATISTICS

Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

(2012) Jianqing Fan et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Vast Portfolio Selection With Gross-Exposure Constraints

(2012) Jianqing Fan et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

(2011) Ole E. Barndorff-Nielsen et al.   JOURNAL OF ECONOMETRICS

Adaptive Thresholding for Sparse Covariance Matrix Estimation

(2011) Tony Cai et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

A Constrainedℓ1Minimization Approach to Sparse Precision Matrix Estimation

(2011) Tony Cai et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Vast volatility matrix estimation for high-frequency financial data

(2010) Yazhen Wang et al.   ANNALS OF STATISTICS

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

(2010) Kim Christensen et al.   JOURNAL OF ECONOMETRICS

Estimating covariation: Epps effect, microstructure noise

(2010) Lan Zhang   JOURNAL OF ECONOMETRICS

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

(2010) Yacine Aït-Sahalia et al.   JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION

Covariance regularization by thresholding

(2009) Peter J. Bickel et al.   ANNALS OF STATISTICS

Regularized estimation of large covariance matrices

(2008) Peter J. Bickel et al.   ANNALS OF STATISTICS

High dimensional covariance matrix estimation using a factor model

(2008) Jianqing Fan et al.   JOURNAL OF ECONOMETRICS