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Publications

by members of

Bendheim Center for Finance
Department of Economics
Princeton University
Princeton, New Jersey (United States)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institutions, not those affilated at the time of publication. List of registered members. Register yourself. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

Undated material is listed at the end

2013

  1. Markus K. Brunnermeier & Martin Oehmke, 2013. "Predatory Short Selling," NBER Working Papers 19514, National Bureau of Economic Research, Inc.
  2. Yacine Aït-Sahalia & Mehmet Saglam, 2013. "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers 19531, National Bureau of Economic Research, Inc.
  3. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2013. "Risks of large portfolios," MPRA Paper 44206, University Library of Munich, Germany.
  4. Augustin Landier & David Sraer & David Thesmar, 2013. "Banks' Exposure to Interest Rate Risk and The Transmission of Monetary Policy," NBER Working Papers 18857, National Bureau of Economic Research, Inc.
  5. Landier, Augustin & Sraer, David & Thesmar, David, 2013. "Banking Deregulation and The Rise in House Price Comovement," IDEI Working Papers 799, Institut d'Économie Industrielle (IDEI), Toulouse.
  6. Hombert, Johan & Schoar, Antoinette & Sraer, David Alexandre & Thesmar, David, 2013. "Can Unemployment Insurance Spur Entrepreneurial Activity? Evidence from France," Les Cahiers de Recherche 1020, HEC Paris.
  7. Martin C. Schmalz & David A. Sraer & David Thesmar, 2013. "Housing Collateral and Entrepreneurship," NBER Working Papers 19680, National Bureau of Economic Research, Inc.

2012

  1. Markus K. Brunnermeier & Thomas M. Eisenbach & Yuliy Sannikov, 2012. "Macroeconomics with Financial Frictions: A Survey," Levine's Working Paper Archive 786969000000000384, David K. Levine.
  2. Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
  3. Yuliy Sannikov & Markus Brunnermeier, 2012. "The I Theory of Money," 2012 Meeting Papers 411, Society for Economic Dynamics.
  4. Fan, Jianqing & Liao, Yuan, 2012. "Endogeneity in ultrahigh dimension," MPRA Paper 38698, University Library of Munich, Germany.
  5. Harrison Hong & David Sraer, 2012. "Speculative Betas," NBER Working Papers 18548, National Bureau of Economic Research, Inc.
  6. Harrison Hong & David Sraer, 2012. "Quiet Bubbles," NBER Working Papers 18547, National Bureau of Economic Research, Inc.
  7. Zhiguo He & Wei Xiong, 2012. "Debt Financing in Asset Markets," NBER Working Papers 17935, National Bureau of Economic Research, Inc.
  8. Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2012. "Convective Risk Flows in Commodity Futures Markets," NBER Working Papers 17921, National Bureau of Economic Research, Inc.

2011

  1. Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011. "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers 17592, National Bureau of Economic Research, Inc.
  2. Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011. "Large covariance estimation by thresholding principal orthogonal complements," MPRA Paper 38697, University Library of Munich, Germany.
  3. Landier, Augustin & Sraer, David & Thesmar, David, 2011. "The risk-Shifting Hypothesis : Evidence from Subprime Originations," TSE Working Papers 11-279, Toulouse School of Economics (TSE).
  4. Landier, Augustin & Sraer, David & Thesmar, David, 2011. "The risk-Shifting Hypothesis," IDEI Working Papers 699, Institut d'Économie Industrielle (IDEI), Toulouse.

2010

  1. Markus K. Brunnermeier & Martin Oehmke, 2010. "The Maturity Rat Race," NBER Working Papers 16607, National Bureau of Economic Research, Inc.
  2. Yuliy Sannikov & Markus K. Brunnermeier, 2010. "A Macroeconomic Model with a Financial Sector," 2010 Meeting Papers 1114, Society for Economic Dynamics.
  3. Yacine Aït-Sahalia & Jean Jacod, 2010. "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," NBER Working Papers 15808, National Bureau of Economic Research, Inc.
  4. Yacine Aït-Sahalia & Jochen Andritzky & Andreas Jobst & Sylwia Nowak & Natalia Tamirisa, 2010. "Market Response to Policy Initiatives during the Global Financial Crisis," NBER Working Papers 15809, National Bureau of Economic Research, Inc.
  5. Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010. "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers 15850, National Bureau of Economic Research, Inc.
  6. Jianqing Fan & Yingying Li & Ke Yu, 2010. "Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection," Papers 1004.4956, arXiv.org.
  7. Thomas Chaney & David Sraer & David Thesmar, 2010. "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," NBER Working Papers 16060, National Bureau of Economic Research, Inc.
  8. Landier, Augustin & Sraer, David & Thesmar, David, 2010. "Going for broke: New Century Financial Corporation, 2004-2006," IDEI Working Papers 649, Institut d'Économie Industrielle (IDEI), Toulouse.
  9. Zhiguo He & Wei Xiong, 2010. "Financing Speculative Booms," Levine's Working Paper Archive 661465000000000327, David K. Levine.
  10. Ke Tang & Wei Xiong, 2010. "Index Investment and Financialization of Commodities," NBER Working Papers 16385, National Bureau of Economic Research, Inc.
  11. Wei Xiong & Zhiguo He, 2010. "Rollover Risk and Credit Risk," 2010 Meeting Papers 98, Society for Economic Dynamics.

2009

  1. Markus K. Brunnermeier & Motohiro Yogo, 2009. "A Note on Liquidity Risk Management," NBER Working Papers 14727, National Bureau of Economic Research, Inc.
  2. Zhiguo He & Wei Xiong, 2009. "Dynamic Debt Runs," NBER Working Papers 15482, National Bureau of Economic Research, Inc.
  3. Wei Xiong & Jialin Yu, 2009. "The Chinese Warrants Bubble," NBER Working Papers 15481, National Bureau of Economic Research, Inc.

2008

  1. Markus K. Brunnermeier & Filippos Papakonstantinou & Jonathan A. Parker, 2008. "An Economic Model of the Planning Fallacy," NBER Working Papers 14228, National Bureau of Economic Research, Inc.
  2. Patrick Bolton & Markus K. Brunnermeier & Laura Veldkamp, 2008. "Leadership, Coordination and Mission-Driven Management," NBER Working Papers 14339, National Bureau of Economic Research, Inc.
  3. Tobias Adrian & Markus K. Brunnermeier, 2008. "CoVaR," Staff Reports 348, Federal Reserve Bank of New York.
    • Tobias Adrian & Markus K. Brunnermeier, 2011. "CoVaR," NBER Working Papers 17454, National Bureau of Economic Research, Inc.
  4. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc.
  5. Markus K. Brunnermeier, 2008. "Deciphering the Liquidity and Credit Crunch 2007-08," NBER Working Papers 14612, National Bureau of Economic Research, Inc.
  6. Yacine Ait-Sahalia & Jialin Yu, 2008. "High Frequency Market Microstructure Noise Estimates and Liquidity Measures," NBER Working Papers 13825, National Bureau of Economic Research, Inc.
  7. Yacine Aït-Sahalia & Michael W. Brandt, 2008. "Consumption and Portfolio Choice with Option-Implied State Prices," NBER Working Papers 13854, National Bureau of Economic Research, Inc.
  8. Jianqing Fan & Jingjin Zhang & Ke Yu, 2008. "Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios," Papers 0812.2604, arXiv.org.
  9. Foucault, Thierry & Themar, David & Sraer, David, 2008. "Individual investors and volatility," Les Cahiers de Recherche 899, HEC Paris.
  10. C. Lelarge & D. Sraer & D. Thesmar, 2008. "Entrepreurship and Credit Constraints - Evidence from a French Loan Guarantee Program," Documents de Travail de la DESE - Working Papers of the DESE g2008-07, Institut National de la Statistique et des Etudes Economiques, DESE.
  11. Zhiguo He & Wei Xiong, 2008. "Delegated Asset Management, Investment Mandates, and Capital Immobility," NBER Working Papers 14574, National Bureau of Economic Research, Inc.
  12. Nicholas C. Barberis & Wei Xiong, 2008. "Realization Utility," NBER Working Papers 14440, National Bureau of Economic Research, Inc.

2007

  1. Markus K. Brunnermeier & Lasse Heje Pedersen, 2007. "Market Liquidity and Funding Liquidity," NBER Working Papers 12939, National Bureau of Economic Research, Inc.
  2. Brunnermeier, Markus K & Gollier, Christian & Parker, Jonathan A, 2007. "Optimal Beliefs, Asset Prices and the Preference for Skewed Returns," CEPR Discussion Papers 6181, C.E.P.R. Discussion Papers.
  3. D. Sraer, 2007. "Payroll tax reduction and wage dynamic," Documents de Travail de la DESE - Working Papers of the DESE g2007-01, Institut National de la Statistique et des Etudes Economiques, DESE.
  4. T. Chaney & D. Sraer & D. Thesmar, 2007. "Collateral Value and Corporate Investment: Evidence from the French Real Estate Market," Documents de Travail de la DESE - Working Papers of the DESE g2007-08, Institut National de la Statistique et des Etudes Economiques, DESE.

2006

  1. Markus K. Brunnermeier & Stefan Nagel, 2006. "Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation," NBER Working Papers 12809, National Bureau of Economic Research, Inc.
  2. Markus K. Brunnermeier & Christian Julliard, 2006. "Money Illusion and Housing Frenzies," NBER Working Papers 12810, National Bureau of Economic Research, Inc.
  3. Landier, Augustin & Sraer, David & Thesmar, David, 2006. "Bottom-Up Corporate Governance," CEPR Discussion Papers 5500, C.E.P.R. Discussion Papers.
  4. Patrick Bolton & Jose Scheinkman & Wei Xiong, 2006. "Pay for Short-Term Performance: Executive Compensation in Speculative Markets," NBER Working Papers 12107, National Bureau of Economic Research, Inc.
  5. Wei Xiong & Hongjun Yan, 2006. "Heterogeneous Expectations and Bond Markets," NBER Working Papers 12781, National Bureau of Economic Research, Inc.
  6. Hou, Kewei & Peng, Lin & Xiong, Wei, 2006. "R2 and Price Inefficiency," Working Paper Series 2006-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  7. Nicholas Barberis & Wei Xiong, 2006. "What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation," NBER Working Papers 12397, National Bureau of Economic Research, Inc.

2005

  1. Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang, 2005. "Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise," NBER Working Papers 11380, National Bureau of Economic Research, Inc.
  2. Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2005. "Edgeworth Expansions for Realized Volatility and Related Estimators," NBER Technical Working Papers 0319, National Bureau of Economic Research, Inc.
  3. Patrick Bolton & Jose Scheinkman & Wei Xiong, 2005. "Pay for Short-Term Performance: Executive Compensation in Speculative," Levine's Bibliography 666156000000000673, UCLA Department of Economics.
  4. Lin Peng & Wei Xiong, 2005. "Investor Attention: Overconfidence and Category Learning," NBER Working Papers 11400, National Bureau of Economic Research, Inc.
  5. Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Asset Float and Speculative Bubbles," NBER Working Papers 11367, National Bureau of Economic Research, Inc.
  6. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: An Analysis of Chinese A-B Share Premia," Levine's Bibliography 122247000000000867, UCLA Department of Economics.
  7. Jianping Mei & Jose Scheinkman & Wei Xiong, 2005. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," NBER Working Papers 11362, National Bureau of Economic Research, Inc.
  8. Harrison Hong & Jose Scheinkman & Wei Xiong, 2005. "Advisors and Asset Prices: A Model of the Origins of Bubbles," Levine's Bibliography 122247000000001003, UCLA Department of Economics.

2004

  1. Markus K Brunnermeier & John Morgan, 2004. "Clock Games: Theory and Experiments," Levine's Bibliography 122247000000000401, UCLA Department of Economics.
  2. Yacine Ait-Sahalia, 2004. "Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)," Econometric Society 2004 North American Winter Meetings 575, Econometric Society.
  3. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc.
  4. Jianqing Fan, 2004. "A selective overview of nonparametric methods in financial econometrics," Papers math/0411034, arXiv.org.
  5. Sraer, David & Thesmar, David, 2004. "Performance and Behaviour of Family Firms: Evidence from the French Stock Market," CEPR Discussion Papers 4520, C.E.P.R. Discussion Papers.
  6. Wei Xiong & Ronnie Sircar, 2004. "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings 253, Econometric Society.

2003

  1. Markus K Brunnermeier & Lasse Heje Pederson, 2003. "Predatory Trading," FMG Discussion Papers dp441, Financial Markets Group.
  2. Yacine Ait-Sahalia & Per A. Mykland, 2003. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," NBER Working Papers 9611, National Bureau of Economic Research, Inc.
  3. Yacine Ait-Sahalia, 2003. "Disentangling Volatility from Jumps," NBER Working Papers 9915, National Bureau of Economic Research, Inc.
  4. Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2003. "A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data," NBER Working Papers 10111, National Bureau of Economic Research, Inc.
  5. Patrick Bolton & Jose Scheinkman & Wei Xiong, 2003. "Executive Compensation and Short-termist Behavior in Speculative Markets," NBER Working Papers 9722, National Bureau of Economic Research, Inc.

2002

  1. Jonathan Parker & Markus K Brunnermeier, 2002. "Optimal Expectations," FMG Discussion Papers dp434, Financial Markets Group.
  2. Markus K Brunnermeier, 2002. "Bubbles and Crashes," FMG Discussion Papers dp401, Financial Markets Group.
  3. Yacine Ait-Sahalia & Per A. Mykland, 2002. "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions," NBER Technical Working Papers 0276, National Bureau of Economic Research, Inc.
  4. Yacine Ait-Sahalia & Jefferson Duarte, 2002. "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers 8944, National Bureau of Economic Research, Inc.
  5. Yacine Aït-Sahalia & Robert Kimmel, 2002. "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," NBER Technical Working Papers 0286, National Bureau of Economic Research, Inc.
  6. Yacine Ait-Sahalia, 2002. "Closed-Form Likelihood Expansions for Multivariate Diffusions," NBER Working Papers 8956, National Bureau of Economic Research, Inc.
  7. J. Scheinkman & W. Xiong, 2002. "Overconfidence, Short-Sale Constraints and Bubbles," Princeton Economic Theory Working Papers 98734966f1c1a57373801367f, David K. Levine.

2001

  1. Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc.
  2. Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2001. "Luxury Goods and the Equity Premium," NBER Working Papers 8417, National Bureau of Economic Research, Inc.
  3. Yacine Ait-Sahalia, 2001. "Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion," NBER Working Papers 8504, National Bureau of Economic Research, Inc.

2000

  1. Yacine Ait-Sahalia & Andrew W. Lo, 2000. "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers 6130, National Bureau of Economic Research, Inc.

1999

  1. Markus K Brunnermeier, 1999. "Contrasting Different Forms of Price Stickiness: An Analysis of Exchange Rate Overshooting and the Beggar Thy Neighbour Policy," FMG Discussion Papers dp329, Financial Markets Group.

1998

  1. Markus K Brunnermeier, 1998. "Buy on Rumours - Sell on News: A Manipulative Trading Strategy," FMG Discussion Papers dp309, Financial Markets Group.
  2. John S. Hughes & Steven Huddart & Markus K Brunnermeier, 1998. "Disclosure Requirements and Stock Exchange Listing Choice in an International Context," FMG Discussion Papers dp282, Financial Markets Group.
  3. Yacine Ait-Sahalia, 1998. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers 0222, National Bureau of Economic Research, Inc.

1997

  1. Markus K Brunnermeier, 1997. "On Bounded Rationality and Risk Aversion," FMG Discussion Papers dp255, Financial Markets Group.
  2. Markus K Brunnermeier, 1997. "Prices, Price Processes, Volume and Their Information: A Literature Survey," FMG Discussion Papers dp270, Financial Markets Group.

1996

  1. J. FAN & Wolfgang HÄRDLE & Enno MAMMEN, 1996. "Direct estimation of low dimensional components in additive models," SFB 373 Discussion Papers 1996,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

1995

  1. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
  2. Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
  3. J. FAN & Maike MÜLLER, 1995. "Density and Regression Smoothing," SFB 373 Discussion Papers 1995,1, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

1994

  1. Aït-Sahalia, Yacine. & Bickel, Peter J. & Stoker, Thomas M., 1994. "Goodness-of-fit tests for regression using kernel methods," Working papers 3747-94., Massachusetts Institute of Technology (MIT), Sloan School of Management.

Undated

  1. Yacine Aït-Sahalia & Andrew W. Lo, . "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," CRSP working papers 332, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  2. Yacine Aït-Sahalia, . "Dynamic Equilibrium and Volatility in Financial Asset Markets," CRSP working papers 331, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  3. Carroll, R.J. & Fan, Jianqing. & Gijbels, Irene. & Wand, M.P., . "Generalized Partially Linear Single-Index Models," Statistics Working Paper 95010, Australian Graduate School of Management.

Journal articles

Undated material is listed at the end

2013

  1. Markus K. Brunnermeier & Martin Oehmke, 2013. "The Maturity Rat Race," Journal of Finance, American Finance Association, vol. 68(2), pages 483-521, 04.
  2. Markus K. Brunnermeier & Laura Veldkamp, 2013. "Leadership, Coordination, and Corporate Culture," Review of Economic Studies, Oxford University Press, vol. 80(2), pages 512-537.
  3. Brunnermeier, M. & Clerc, L. & Scheicher, M., 2013. "Assessing contagion risks in the CDS market," Financial Stability Review, Banque de France, issue 17, pages 123-134, April.
  4. Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013. "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, vol. 109(1), pages 224-249.
  5. Jianqing Fan & Yuan Liao & Martina Mincheva, 2013. "Large covariance estimation by thresholding principal orthogonal complements," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, 09.
  6. Augustin Landier & Julien Sauvagnat & David Sraer & David Thesmar, 2013. "Bottom-Up Corporate Governance," Review of Finance, European Finance Association, vol. 17(1), pages 161-201.
  7. Hong, Harrison & Sraer, David, 2013. "Quiet bubbles," Journal of Financial Economics, Elsevier, vol. 110(3), pages 596-606.

2012

  1. Markus K. Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2012. "Risk Topography," NBER Macroeconomics Annual, University of Chicago Press, vol. 26(1), pages 149 - 176.
    • Markus K. Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2011. "Risk Topography," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 149-176 National Bureau of Economic Research, Inc.
  2. Markus K. Brunnermeier & Yuliy Sannikov, 2012. "Redistributive monetary policy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 331-384.
  3. Aït-Sahalia, Yacine & Jacod, Jean & Li, Jia, 2012. "Testing for jumps in noisy high frequency data," Journal of Econometrics, Elsevier, vol. 168(2), pages 207-222.
  4. Aït-Sahalia, Yacine & Park, Joon Y., 2012. "Stationarity-based specification tests for diffusions when the process is nonstationary," Journal of Econometrics, Elsevier, vol. 169(2), pages 279-292.
  5. Aït-Sahalia, Yacine & Andritzky, Jochen & Jobst, Andreas & Nowak, Sylwia & Tamirisa, Natalia, 2012. "Market response to policy initiatives during the global financial crisis," Journal of International Economics, Elsevier, vol. 87(1), pages 162-177.
  6. Jianqing Fan & Shaojun Guo & Ning Hao, 2012. "Variance estimation using refitted cross‐validation in ultrahigh dimensional regression," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(1), pages 37-65, 01.
  7. Jianqing Fan & Yingying Li & Ke Yu, 2012. "Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(497), pages 412-428, March.
  8. Jianqing Fan & Yang Feng & Xin Tong, 2012. "A road to classification in high dimensional space: the regularized optimal affine discriminant," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 74(4), pages 745-771, 09.
  9. Jianqing Fan & Jingjin Zhang & Ke Yu, 2012. "Vast Portfolio Selection With Gross-Exposure Constraints," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 107(498), pages 592-606, June.
  10. Thomas Chaney & David Sraer & David Thesmar, 2012. "The Collateral Channel: How Real Estate Shocks Affect Corporate Investment," American Economic Review, American Economic Association, vol. 102(6), pages 2381-2409, October.
  11. Barberis, Nicholas & Xiong, Wei, 2012. "Realization utility," Journal of Financial Economics, Elsevier, vol. 104(2), pages 251-271.
  12. Zhiguo He & Wei Xiong, 2012. "Rollover Risk and Credit Risk," Journal of Finance, American Finance Association, vol. 67(2), pages 391-430, 04.
  13. Zhiguo He & Wei Xiong, 2012. "Debt Financing in Asset Markets," American Economic Review, American Economic Association, vol. 102(3), pages 88-94, May.

2011

  1. Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011. "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, vol. 160(1), pages 160-175, January.
  2. Zhang, Lan & Mykland, Per A. & Aït-Sahalia, Yacine, 2011. "Edgeworth expansions for realized volatility and related estimators," Journal of Econometrics, Elsevier, vol. 160(1), pages 190-203, January.
  3. Fan, Yingying & Fan, Jianqing, 2011. "Testing and detecting jumps based on a discretely observed process," Journal of Econometrics, Elsevier, vol. 164(2), pages 331-344, October.
  4. Jianqing Fan & Jinchi Lv & Lei Qi, 2011. "Sparse High-Dimensional Models in Economics," Annual Review of Economics, Annual Reviews, vol. 3(1), pages 291-317, 09.
  5. Fan, Jianqing & Feng, Yang & Song, Rui, 2011. "Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Additive Models," Journal of the American Statistical Association, American Statistical Association, vol. 106(494), pages 544-557.
  6. Jelena Bradic & Jianqing Fan & Weiwei Wang, 2011. "Penalized composite quasi‐likelihood for ultrahigh dimensional variable selection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 73(3), pages 325-349, 06.
  7. Thierry Foucault & David Sraer & David J. Thesmar, 2011. "Individual Investors and Volatility," Journal of Finance, American Finance Association, vol. 66(4), pages 1369-1406, 08.
  8. Boucly, Quentin & Sraer, David & Thesmar, David, 2011. "Growth LBOs," Journal of Financial Economics, Elsevier, vol. 102(2), pages 432-453.
  9. Wei Xiong & Jialin Yu, 2011. "The Chinese Warrants Bubble," American Economic Review, American Economic Association, vol. 101(6), pages 2723-53, October.

2010

  1. Brunnermeier, Markus K. & Morgan, John, 2010. "Clock games: Theory and experiments," Games and Economic Behavior, Elsevier, vol. 68(2), pages 532-550, March.
  2. Aït-Sahalia, Yacine & Kimmel, Robert L., 2010. "Estimating affine multifactor term structure models using closed-form likelihood expansions," Journal of Financial Economics, Elsevier, vol. 98(1), pages 113-144, October.
  3. Jianqing Fan & Jinchi Lv, 2010. "Comments on: ℓ 1 -penalization for mixture regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 19(2), pages 264-269, August.
  4. Aït-Sahalia, Yacine & Fan, Jianqing & Xiu, Dacheng, 2010. "High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1504-1517.
  5. Jianqing Fan & Jin-Ting Zhang & Wenyang Zhang, 2010. "Comments on: Dynamic relations for sparsely sampled Gaussian processes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 19(1), pages 37-42, May.
  6. Wei Xiong & Hongjun Yan, 2010. "Heterogeneous Expectations and Bond Markets," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1433-1466, April.

2009

  1. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009. "Market Liquidity and Funding Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 22(6), pages 2201-2238, June.
  2. Markus K. Brunnermeier & Motohiro Yogo, 2009. "A Note on Liquidity Risk Management," American Economic Review, American Economic Association, vol. 99(2), pages 578-83, May.
  3. Markus K. Brunnermeier, 2009. "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, vol. 23(1), pages 77-100, Winter.
  4. Delaigle, Aurore & Fan, Jianqing & Carroll, Raymond J., 2009. "A Design-Adaptive Local Polynomial Estimator for the Errors-in-Variables Problem," Journal of the American Statistical Association, American Statistical Association, vol. 104(485), pages 348-359.
  5. Jianqing Ruan & Xiaobo Zhang, 2009. "Finance and Cluster-Based Industrial Development in China," Economic Development and Cultural Change, University of Chicago Press, vol. 58(1), pages 143-164, October.
  6. Fan, Jianqing & Mancini, Loriano, 2009. "Option Pricing With Model-Guided Nonparametric Methods," Journal of the American Statistical Association, American Statistical Association, vol. 104(488), pages 1351-1372.
  7. Fan, Jianqing & Feng, Yang, 2009. "Comment," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1003-1007.
  8. Aït-Sahalia, Yacine & Fan, Jianqing & Peng, Heng, 2009. "Nonparametric Transition-Based Tests for Jump Diffusions," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1102-1116.
  9. Augustin Landier & David Sraer & David Thesmar, 2009. "Financial Risk Management: When Does Independence Fail?," American Economic Review, American Economic Association, vol. 99(2), pages 454-58, May.
  10. David Sraer & Romain Aeberhardt, 2009. "Allégements de cotisations patronales et dynamique salariale," Économie et Statistique, Programme National Persée, vol. 429(1), pages 177-189.
  11. Augustin Landier & David Sraer & David Thesmar, 2009. "Optimal Dissent in Organizations," Review of Economic Studies, Oxford University Press, vol. 76(2), pages 761-794.
  12. Nicholas Barberis & Wei Xiong, 2009. "What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation," Journal of Finance, American Finance Association, vol. 64(2), pages 751-784, 04.
  13. Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009. "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 225-255, November.

2008

  1. Markus K. Brunnermeier & Stefan Nagel, 2008. "Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals," American Economic Review, American Economic Association, vol. 98(3), pages 713-36, June.
  2. Markus K. Brunnermeier & Christian Julliard, 2008. "Money Illusion and Housing Frenzies," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 135-180, January.
  3. Aït-Sahalia, Yacine & Mancini, Loriano, 2008. "Out of sample forecasts of quadratic variation," Journal of Econometrics, Elsevier, vol. 147(1), pages 17-33, November.
  4. Aït-Sahalia, Yacine & Mykland, Per A., 2008. "An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions," Journal of Econometrics, Elsevier, vol. 144(1), pages 1-26, May.
  5. Yacine Aït-Sahalia & Jean Jacod, 2008. "Fisher's Information for Discretely Sampled Lévy Processes," Econometrica, Econometric Society, vol. 76(4), pages 727-761, 07.
  6. Jianwen Cai & Jianqing Fan & Jiancheng Jiang & Haibo Zhou, 2008. "Partially linear hazard regression with varying coefficients for multivariate survival data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(1), pages 141-158.
  7. Jianqing Fan & Jinchi Lv, 2008. "Sure independence screening for ultrahigh dimensional feature space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(5), pages 849-911.
  8. Jianqing Fan & Mingjin Wang & Qiwei Yao, 2008. "Modelling multivariate volatilities via conditionally uncorrelated components," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 70(4), pages 679-702.
  9. Fan, Jianqing & Fan, Yingying & Lv, Jinchi, 2008. "High dimensional covariance matrix estimation using a factor model," Journal of Econometrics, Elsevier, vol. 147(1), pages 186-197, November.
  10. Fan, Jianqing & Wu, Yichao, 2008. "Semiparametric Estimation of Covariance Matrixes for Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, vol. 103(484), pages 1520-1533.
  11. Hong, Harrison & Scheinkman, José & Xiong, Wei, 2008. "Advisors and asset prices: A model of the origins of bubbles," Journal of Financial Economics, Elsevier, vol. 89(2), pages 268-287, August.

2007

  1. Markus K. Brunnermeier & Jonathan A. Parker & Christian Gollier, 2007. "Optimal Beliefs, Asset Prices, and the Preference for Skewed Returns," American Economic Review, American Economic Association, vol. 97(2), pages 159-165, May.
  2. Jianqing Fan & Jiancheng Jiang, 2007. "Rejoinder on: Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(3), pages 471-478, December.
  3. Jianqing Fan & Jiancheng Jiang, 2007. "Nonparametric inference with generalized likelihood ratio tests," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 16(3), pages 409-444, December.
  4. Fan, Jianqing & Hall, Peter & Yao, Qiwei, 2007. "To How Many Simultaneous Hypothesis Tests Can Normal, Student's t or Bootstrap Calibration Be Applied?," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1282-1288, December.
  5. Cai, Jianwen & Fan, Jianqing & Jiang, Jiancheng & Zhou, Haibo, 2007. "Partially Linear Hazard Regression for Multivariate Survival Data," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 538-551, June.
  6. Fan, Jianqing & Wang, Yazhen, 2007. "Multi-Scale Jump and Volatility Analysis for High-Frequency Financial Data," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 1349-1362, December.
  7. Fan, Jianqing & Fan, Yingying & Jiang, Jiancheng, 2007. "Dynamic Integration of Time- and State-Domain Methods for Volatility Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 618-631, June.
  8. Fan, Jianqing & Huang, Tao & Li, Runze, 2007. "Analysis of Longitudinal Data With Semiparametric Estimation of Covariance Function," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 632-641, June.
  9. David Sraer & David Thesmar, 2007. "Performance and Behavior of Family Firms: Evidence from the French Stock Market," Journal of the European Economic Association, MIT Press, vol. 5(4), pages 709-751, 06.
  10. Lin Peng & Wei Xiong & Tim Bollerslev, 2007. "Investor Attention and Time-varying Comovements," European Financial Management, European Financial Management Association, vol. 13(3), pages 394-422.
  11. Sircar, Ronnie & Xiong, Wei, 2007. "A general framework for evaluating executive stock options," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2317-2349, July.

2006

  1. Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2006. "Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 162-167, April.
  2. Peter Bickel & Bo Li & Alexandre Tsybakov & Sara Geer & Bin Yu & Teófilo Valdés & Carlos Rivero & Jianqing Fan & Aad Vaart, 2006. "Regularization in statistics," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 15(2), pages 271-344, September.
  3. Fan, Jianqing & Fan, Yingying, 2006. "Comment," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 991-994, September.
  4. Peng, Lin & Xiong, Wei, 2006. "Investor attention, overconfidence and category learning," Journal of Financial Economics, Elsevier, vol. 80(3), pages 563-602, June.
  5. Kyle, Albert S. & Ou-Yang, Hui & Xiong, Wei, 2006. "Prospect theory and liquidation decisions," Journal of Economic Theory, Elsevier, vol. 129(1), pages 273-288, July.
  6. Harrison Hong & José Scheinkman & Wei Xiong, 2006. "Asset Float and Speculative Bubbles," Journal of Finance, American Finance Association, vol. 61(3), pages 1073-1117, 06.

2005

  1. Markus K. Brunnermeier, 2005. "Information Leakage and Market Efficiency," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 417-457.
  2. Markus K. Brunnermeier & Lasse Heje Pedersen, 2005. "Predatory Trading," Journal of Finance, American Finance Association, vol. 60(4), pages 1825-1863, 08.
  3. Markus K. Brunnermeier & Jonathan A. Parker, 2005. "Optimal Expectations," American Economic Review, American Economic Association, vol. 95(4), pages 1092-1118, September.
  4. Yacine Aït-Sahalia, 2005. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 351-416.
  5. Zhang, Lan & Mykland, Per A. & Ait-Sahalia, Yacine, 2005. "A Tale of Two Time Scales: Determining Integrated Volatility With Noisy High-Frequency Data," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 1394-1411, December.
  6. Fan, Jianqing & Peng, Heng & Huang, Tao & Ren, Yi, 2005. "Rejoinder," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 808-813, September.
  7. Fan, Jianqing & Peng, Heng & Huang, Tao, 2005. "Semilinear High-Dimensional Model for Normalization of Microarray Data: A Theoretical Analysis and Partial Consistency," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 781-796, September.
  8. Fan, Jianqing & Jiang, Jiancheng, 2005. "Nonparametric Inferences for Additive Models," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 890-907, September.
  9. Jianwen Cai & Jianqing Fan & Runze Li & Haibo Zhou, 2005. "Variable selection for multivariate failure time data," Biometrika, Biometrika Trust, vol. 92(2), pages 303-316, June.

2004

  1. Markus K. Brunnermeier, 2004. "Learning to Reoptimize Consumption at New Income Levels: A Rationale for Prospect Theory," Journal of the European Economic Association, MIT Press, vol. 2(1), pages 98-114, 03.
  2. Markus K. Brunnermeier & Stefan Nagel, 2004. "Hedge Funds and the Technology Bubble," Journal of Finance, American Finance Association, vol. 59(5), pages 2013-2040, October.
  3. Ait-Sahalia, Yacine, 2004. "Disentangling diffusion from jumps," Journal of Financial Economics, Elsevier, vol. 74(3), pages 487-528, December.
  4. Jianqing Fan & Runze Li, 2004. "New Estimation and Model Selection Procedures for Semiparametric Modeling in Longitudinal Data Analysis," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 710-723, January.
  5. Jianqing Fan & Tsz Ho Yim, 2004. "A crossvalidation method for estimating conditional densities," Biometrika, Biometrika Trust, vol. 91(4), pages 819-834, December.
  6. Jianqing Fan, 2004. "Generalised likelihood ratio tests for spectral density," Biometrika, Biometrika Trust, vol. 91(1), pages 195-209, March.

2003

  1. Dilip Abreu & Markus K. Brunnermeier, 2003. "Bubbles and Crashes," Econometrica, Econometric Society, vol. 71(1), pages 173-204, January.
  2. Yacine Ait--Sahalia & Per A. Mykland, 2003. "The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions," Econometrica, Econometric Society, vol. 71(2), pages 483-549, March.
  3. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003. "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 9-47.
  4. Jianqing Fan & Juan Gu, 2003. "Semiparametric estimation of Value at Risk," Econometrics Journal, Royal Economic Society, vol. 6(2), pages 261-290, December.
  5. Jianqing Fan & Qiwei Yao & Zongwu Cai, 2003. "Adaptive varying-coefficient linear models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 57-80.
  6. Fan J. & Zhang C., 2003. "A Reexamination of Diffusion Estimators With Applications to Financial Model Validation," Journal of the American Statistical Association, American Statistical Association, vol. 98, pages 118-134, January.
  7. Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.

2002

  1. Abreu, Dilip & Brunnermeier, Markus K., 2002. "Synchronization risk and delayed arbitrage," Journal of Financial Economics, Elsevier, vol. 66(2-3), pages 341-360.
  2. Yacine Ait-Sahalia, 2002. "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Econometrica, Econometric Society, vol. 70(1), pages 223-262, January.
  3. Yacine Aït-Sahalia, 2002. "Telling from Discrete Data Whether the Underlying Continuous-Time Model Is a Diffusion," Journal of Finance, American Finance Association, vol. 57(5), pages 2075-2112, October.
  4. Ait-Sahalia, Yacine, 2002. "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 317-21, July.

2001

  1. Yacine Aït-Sahalia, 2001. "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, 08.
  2. Ait-Sahalia, Yacine & Bickel, Peter J. & Stoker, Thomas M., 2001. "Goodness-of-fit tests for kernel regression with an application to option implied volatilities," Journal of Econometrics, Elsevier, vol. 105(2), pages 363-412, December.
  3. Ait-Sahalia, Yacine & Wang, Yubo & Yared, Francis, 2001. "Do option markets correctly price the probabilities of movement of the underlying asset?," Journal of Econometrics, Elsevier, vol. 102(1), pages 67-110, May.
  4. Antoniadis A. & Fan J., 2001. "Regularization of Wavelet Approximations," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 939-967, September.
  5. Fan J. & Li R., 2001. "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1348-1360, December.
  6. Fan J. & Huang L-S., 2001. "Goodness-of-Fit Tests for Parametric Regression Models," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 640-652, June.
  7. Xiong, Wei, 2001. "Convergence trading with wealth effects: an amplification mechanism in financial markets," Journal of Financial Economics, Elsevier, vol. 62(2), pages 247-292, November.

2000

  1. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
  2. J. Fan & J.-T. Zhang, 2000. "Two-step estimation of functional linear models with applications to longitudinal data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(2), pages 303-322.
  3. Jianqing Fan, 2000. "Simultaneous Confidence Bands and Hypothesis Testing in Varying-coefficient Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 27(4), pages 715-731.
  4. J. Fan & R. L. Prentice & L. Hsu, 2000. "A class of weighted dependence measures for bivariate failure time data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 181-190.
  5. Cai, Zongwu & Fan, Jianqing, 2000. "Average Regression Surface for Dependent Data," Journal of Multivariate Analysis, Elsevier, vol. 75(1), pages 112-142, October.

1999

  1. Huddart, Steven & Hughes, John S. & Brunnermeier, Markus, 1999. "Disclosure requirements and stock exchange listing choice in an international context," Journal of Accounting and Economics, Elsevier, vol. 26(1-3), pages 237-269, January.
  2. Yacine Aït-Sahalia, 1999. "Transition Densities for Interest Rate and Other Nonlinear Diffusions," Journal of Finance, American Finance Association, vol. 54(4), pages 1361-1395, 08.
  3. J. Fan & J. Chen, 1999. "One-step local quasi-likelihood estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(4), pages 927-943.
  4. N. Locantore & J. Marron & D. Simpson & N. Tripoli & J. Zhang & K. Cohen & Graciela Boente & Ricardo Fraiman & Babette Brumback & Christophe Croux & Jianqing Fan & Alois Kneip & John Marden & Daniel P, 1999. "Robust principal component analysis for functional data," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 8(1), pages 1-73, June.
  5. Fan, Jianqing & Huang, Li-Shan, 1999. "Rates of convergence for the pre-asymptotic substitution bandwidth selector," Statistics & Probability Letters, Elsevier, vol. 43(3), pages 309-316, July.

1998

  1. Yacine Aït-Sahalia & Andrew W. Lo, 1998. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," Journal of Finance, American Finance Association, vol. 53(2), pages 499-547, 04.
  2. Ait-Sahalia, Yacine, 1998. "Dynamic equilibrium and volatility in financial asset markets," Journal of Econometrics, Elsevier, vol. 84(1), pages 93-127, May.

1997

  1. Jianqing Fan & Theo Gasser & Irène Gijbels & Michael Brockmann & Joachim Engel, 1997. "Local Polynomial Regression: Optimal Kernels and Asymptotic Minimax Efficiency," Annals of the Institute of Statistical Mathematics, Springer, vol. 49(1), pages 79-99, March.
  2. Jianqing Fan, 1997. "Comments on «Wavelets in statistics: A review» by A. Antoniadis," Statistical Methods and Applications, Springer, vol. 6(2), pages 131-138, August.

1996

  1. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-60, May.
  2. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.

1994

  1. Yacine AIT-SAHALIA, 1994. "Entry-Exit Decisions of Foreign Firms and Import Prices," Annales d'Economie et de Statistique, ENSAE, issue 34, pages 219-244.

1992

  1. Fan, Jianqing & Masry, Elias, 1992. "Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes," Journal of Multivariate Analysis, Elsevier, vol. 43(2), pages 237-271, November.
  2. Fan, Jianqing & Hu, Tien-Chung, 1992. "Bias correction and higher order kernel functions," Statistics & Probability Letters, Elsevier, vol. 13(3), pages 235-243, February.
  3. Fan, Jianqing & Gijbels, Irène, 1992. "Minimax estimation of a bounded squared mean," Statistics & Probability Letters, Elsevier, vol. 13(5), pages 383-390, April.

Undated

  1. Jianqing Fan & Yingying Fan & Jinchi Lv, 0. "Aggregation of Nonparametric Estimators for Volatility Matrix," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 5(3), pages 321-357.

Books

2014

  1. Brunnermeier, Markus & Krishnamurthy, Arvind (ed.), 2014. "Risk Topography," National Bureau of Economic Research Books, University of Chicago Press, number 9780226077734, янваÑ.

2001

  1. Brunnermeier, Markus K., 2001. "Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding," OUP Catalogue, Oxford University Press, number 9780198296980.

Chapters

2013

  1. Markus K. Brunnermeier & Arvind Krishnamurthy, 2013. "Introduction to "Risk Topography: Systemic Risk and Macro Modeling"," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling National Bureau of Economic Research, Inc.
  2. Markus Brunnermeier & Arvind Krishnamurthy & Gary Gorton, 2013. "Liquidity Mismatch Measurement," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling National Bureau of Economic Research, Inc.
  3. Gang Liu, 2013. "Measuring the Stock of Human Capital for International and Inter-temporal Comparisons," NBER Chapters, in: Measuring Economic Sustainability and Progress National Bureau of Economic Research, Inc.

2011

  1. Tobias Adrian & Markus K. Brunnermeier & Hoai-Luu Q. Nguyen, 2011. "Hedge Fund Tail Risk," NBER Chapters, in: Quantifying Systemic Risk, pages 155-172 National Bureau of Economic Research, Inc.
  2. Markus K. Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2011. "Risk Topography," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 149-176 National Bureau of Economic Research, Inc.
  3. Markus K. Brunnermeier & Arvind Krishnamurthy, 2011. "Front matter, table of contents, acknowledgments," NBER Chapters, in: Risk Topography: Systemic Risk and Macro Modeling National Bureau of Economic Research, Inc.

2010

  1. Claire Lelarge & David Sraer & David Thesmar, 2010. "Entrepreneurship and Credit Constraints: Evidence from a French Loan Guarantee Program," NBER Chapters, in: International Differences in Entrepreneurship, pages 243-273 National Bureau of Economic Research, Inc.

2009

  1. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2009. "Carry Trades and Currency Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 313-347 National Bureau of Economic Research, Inc.