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Publications

by members of

Princeton University → Department of Economics → Bendheim Center for Finance

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 institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2026

  1. Zhiguo He & Wenxi Jiang & Wei Xiong, 2026, "Earnings Management and Price Informativeness," NBER Working Papers, National Bureau of Economic Research, Inc, number 35178, May.
  2. Zhenyu Gao & Wei Xiong & Jian Yuan, 2026, "Beliefs That Predict Returns and Beliefs That Attract Flows: Policy Insights and Sentiment Catering in Mutual Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 35528, Jul.
  3. Jeffery (Jinfan) Chang & Wei Xiong, 2026, "Monetary Policy in Mandarin Capitalism," NBER Working Papers, National Bureau of Economic Research, Inc, number 35562, Jul.
  4. Yucheng Yang & Tao Zha, 2026, "Algorithm-Driven SVARs: Navigating the Wilderness of Big Data," Papers, arXiv.org, number 2608.05017, Aug.

2025

  1. Jeffery (Jinfan) Chang & Yuheng Wang & Wei Xiong, 2025, "Taming Cycles: China’s Growth Targets and Macroeconomic Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 33718, Apr.
  2. Shuoge Qian & Hong Ru & Wei Xiong, 2025, "State versus Market: China's Infrastructure Investment," NBER Working Papers, National Bureau of Economic Research, Inc, number 33725, Apr.
  3. Jeffery (Jinfan) Chang & Yuheng Wang & Wei Xiong, 2025, "Price and Volume Divergence in China’s Real Estate Markets: The Role of Local Governments," NBER Working Papers, National Bureau of Economic Research, Inc, number 34303, Sep.
  4. Chengfeng Shen & Felix Kubler & Yucheng Yang & Zhennan Zhou, 2025, "A Lagrangian Approach to Optimal Randomization," Papers, arXiv.org, number 2504.15997, Apr, revised May 2026.
  5. Yucheng Yang & Chiyuan Wang & Andreas Schaab & Benjamin Moll, 2025, "Structural Reinforcement Learning for Heterogeneous Agent Macroeconomics," Papers, arXiv.org, number 2512.18892, Dec.
  6. Jianping Mei & Michael Moses & Jan Waelty & Yucheng Yang, 2025, "Deep Learning for Art Market Valuation," Papers, arXiv.org, number 2512.23078, Dec.
  7. Jonathan Payne & Adam Rebei & Yucheng Yang, 2025, "Deep Learning for Search and Matching Models," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-05, Jan.
  8. Yucheng Yang, 2025, "Redistributive Inflation and Optimal Monetary Policy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-07, Jan.
  9. Chengfeng Shen & Felix Kubler & Yucheng Yang & Zhennan Zhou, 2025, "A Lagrangian Approach to Optimal Lotteries in Non-Convex Economies," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 25-48, Apr.

2024

  1. Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüß, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Menac, 2024, "Nonstandard errors," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 123002, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024, "Nonstandard Errors," Journal of Finance, American Finance Association, volume 79, issue 3, pages 2339-2390, June, DOI: 10.1111/jofi.13337.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Hasse, Jean-Baptiste & e.a.,, 2023, "Non-Standard Errors," LIDAM Reprints LFIN, Université catholique de Louvain, Louvain Finance (LFIN), number 2023002, Jan.
    • Utz Weitzel & Michael Razen & Sebastian Neussüs & Michael Kirchler & Magnus Johannesson & Juergen Huber & Felix Holzmeister & Anna Dreber & Albert J. Menkveld & Javier Gil-Bazo, 2021, "Non-Standard Errors," Working Papers, Barcelona School of Economics, number 1303, Dec.
    • Gerardo Ferrara & Simon Jurkatis, 2021, "Non-standard errors," Bank of England Staff Working Paper series, Bank of England, number 955, Dec.
    • Menkveld, A. & Dreber, A. & Holzmeister, F. & Huber, J. & Johannesson, M. & Kirchler, M. & Neusüss, S. & Razen, M. & Neusüss, S. & Neusüss, S., 2021, "Non-Standard Errors," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2182, Nov.
    • Albert J. et al. Menkveld, 2021, "Non-Standard Errors," CESifo Working Paper Series, CESifo, number 9453.
    • Francesco Franzoni & Roxana Mihet & Markus Leippold & Per Ostberg & Olivier Scaillet & Norman Schürhoff & Oksana Bashchenko & Nicola Mano & Michele Pelli, 2022, "Non-Standard Errors," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 22-09, Jan.
    • Wolff, Christian & Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüess, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-Standard Errors," CEPR Discussion Papers, Centre for Economic Policy Research, number 16751, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-03500882, Nov.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-04676112, Apr, DOI: 10.1111/jofi.13337.
    • Albert Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad-Díaz & Tobias Adrian & Yacine Ai, 2024, "Nonstandard Errors," Post-Print, HAL, number hal-05077550, Apr, DOI: 10.1111/jofi.13337.
    • Albert J Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard & David Abad-Dí, 2021, "Non-Standard Errors," Post-Print, HAL, number halshs-03500882, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Juergen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz & Abad-Díaz, David & Abudy, Mena, 2021, "Non-Standard Errors," Working Papers, Lund University, Department of Economics, number 2021:17, Nov.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021, "Non-Standard Errors," Working Papers, Faculty of Economics and Statistics, Universität Innsbruck, number 2021-31.
    • Albert J. Menkveld & Anna Dreber & Félix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & Gunther Capelle-Blancard, 2021, "Non-Standard Errors," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, number 21033, Nov.
    • Ciril Bosch-Rosa & Bernhard Kassner, 2023, "Non-Standard Errors," Rationality and Competition Discussion Paper Series, CRC TRR 190 Rationality and Competition, number 385, Feb.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neus ss & Michael Razen & Utz Weitzel & Edwin Baidoo & Michael Fr mmel & et al, 2021, "Non-Standard Errors," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 21/1032, Nov.
    • Menkveld, Albert J. & Dreber, Anna & Declerck, Fany & Moinas, Sophie, 2023, "Non-Standard Errors," TSE Working Papers, Toulouse School of Economics (TSE), number 23-1451, Jun.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neussüs & Michael Razen & Utz Weitzel & Christian T. Brownlees & Javier Gil-Baz, 2021, "Non-standard errors," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 1807, Dec.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2021.
    • Menkveld, Albert J. & Dreber, Anna & Holzmeister, Felix & Huber, Jürgen & Johannesson, Magnus & Kirchler, Michael & Neusüss, Sebastian & Razen, Michael & Weitzel, Utz, 2021, "Non-standard errors," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 327, DOI: 10.2139/ssrn.3961574.
  2. Yacine Aït-Sahalia & Chen Xu Li & Chenxu Li, 2024, "So Many Jumps, So Few News," NBER Working Papers, National Bureau of Economic Research, Inc, number 32746, Jul.
  3. Viral V. Acharya & Markus K. Brunnermeier & Diane Pierret, 2024, "Systemic Risk Measures: From the Panic of 1907 to the Banking Stress of 2023," NBER Working Papers, National Bureau of Economic Research, Inc, number 33211, Nov.
  4. Jianqing Fan & Yuling Yan & Yuheng Zheng, 2024, "When can weak latent factors be statistically inferred?," Papers, arXiv.org, number 2407.03616, Jul, revised Sep 2024.
  5. Jianqing Fan & Weining Wang & Yue Zhao, 2024, "Conditional nonparametric variable screening by neural factor regression," Papers, arXiv.org, number 2408.10825, Aug.
  6. Jianqing Fan & Donggyu Kim & Minseok Shin & Yazhen Wang, 2024, "Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data," Working Papers, University of California at Riverside, Department of Economics, number 202415, Dec.
  7. Jianqing Fan & Donggyu Kim & Minseok Shin, 2024, "Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data," Working Papers, University of California at Riverside, Department of Economics, number 202419, Dec.
  8. Michael Sockin & Wei Xiong, 2024, "Information Discovery for Industrial Policy," NBER Working Papers, National Bureau of Economic Research, Inc, number 33107, Nov.

2023

  1. Brunnermeier, Markus & Limodio, Nicola & Spadavecchia, Lorenzo, 2023, "Mobile Money, Interoperability and Financial Inclusion," CEPR Discussion Papers, Centre for Economic Policy Research, number 18124, Apr.
  2. Markus K. Brunnermeier & Sergio A. Correia & Stephan Luck & Emil Verner & Tom Zimmermann, 2023, "Inflating Away the Debt: The Debt-Inflation Channel of German Hyperinflation," Liberty Street Economics, Federal Reserve Bank of New York, number 20230713, Jul.
  3. Markus K. Brunnermeier & Sergio A. Correia & Stephan Luck & Emil Verner & Tom Zimmermann, 2023, "The Debt-Inflation Channel of the German Hyperinflation," NBER Working Papers, National Bureau of Economic Research, Inc, number 31298, Jun.
  4. Markus K. Brunnermeier & Jonathan Payne, 2023, "Strategic Money and Credit Ledgers," NBER Working Papers, National Bureau of Economic Research, Inc, number 31561, Aug.
  5. Yuling Yan & Weijie J. Su & Jianqing Fan, 2023, "Isotonic Mechanism for Exponential Family Estimation in Machine Learning Peer Review," Papers, arXiv.org, number 2304.11160, Apr, revised Feb 2025.
  6. Wei Xiong, 2023, "Derisking Real Estate in China’s Hybrid Economy," NBER Working Papers, National Bureau of Economic Research, Inc, number 31118, Apr.
  7. Zhuang Liu & Michael Sockin & Wei Xiong, 2023, "Data Privacy and Algorithmic Inequality," NBER Working Papers, National Bureau of Economic Research, Inc, number 31250, May.
  8. Zhenyu Gao & Wenxi Jiang & Wei A. Xiong & Wei Xiong, 2023, "Daily Momentum and New Investors in an Emerging Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 31839, Nov.

2022

  1. Yacine Aït-Sahalia & Jianqing Fan & Lirong Xue & Yifeng Zhou, 2022, "How and When are High-Frequency Stock Returns Predictable?," NBER Working Papers, National Bureau of Economic Research, Inc, number 30366, Aug.
  2. Kristian S. Blickle & Markus K. Brunnermeier & Stephan Luck, 2022, "How (Un-)Informed Are Depositors in a Banking Panic? A Lesson from History," Liberty Street Economics, Federal Reserve Bank of New York, number 20220217, Feb.
  3. Kristian S. Blickle & Markus K. Brunnermeier & Stephan Luck, 2022, "Who Can Tell Which Banks Will Fail?," Staff Reports, Federal Reserve Bank of New York, number 1005, Feb.
  4. Joseph Abadi & Markus K. Brunnermeier & Yann Koby, 2022, "The Reversal Interest Rate," Working Papers, Federal Reserve Bank of Philadelphia, number 22-28, Sep, DOI: 10.21799/frbp.wp.2022.28.
  5. Markus Brunnermeier & Jonathan Payne, 2022, "Platforms, Tokens, and Interoperability," Working Papers, Princeton University. Economics Department., number 2022-8, Jun.
  6. Michael Sockin & Wei Xiong, 2022, "Decentralization Through Tokenization," NBER Working Papers, National Bureau of Economic Research, Inc, number 29720, Feb.
  7. Lei Liu & Guangli Lu & Wei Xiong, 2022, "The Big Tech Lending Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 30160, Jun.

2021

  1. Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021, "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2021-063, Sep, DOI: 10.17016/FEDS.2021.063.
  2. Markus Brunnermeier & Harold James & Jean-Pierre Landau, 2021, "The digitalization of money," BIS Working Papers, Bank for International Settlements, number 941, May.
  3. Markus K. Brunnermeier & Sebastian Merkel & Yuliy Sannikov, 2021, "Debt as Safe Asset," CESifo Working Paper Series, CESifo, number 9500.
  4. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2021, "Bridging factor and sparse models," Papers, arXiv.org, number 2102.11341, Feb, revised Sep 2022.
  5. Jianqing Fan & Yongyi Guo & Mengxin Yu, 2021, "Policy Optimization Using Semi-parametric Models for Dynamic Pricing," Papers, arXiv.org, number 2109.06368, Sep, revised May 2022.
  6. Caio Almeida & Jianqing Fan & Francesca Tang, 2021, "Can a Machine Correct Option Pricing Models?," Working Papers, Princeton University. Economics Department., number 2021-44, May.
  7. Long Chen & Yadong Huang & Shumiao Ouyang & Wei Xiong, 2021, "The Data Privacy Paradox and Digital Demand," NBER Working Papers, National Bureau of Economic Research, Inc, number 28854, May.
  8. Jiequn Han & Yucheng Yang & Weinan E, 2021, "DeepHAM: A Global Solution Method for Heterogeneous Agent Models with Aggregate Shocks," Papers, arXiv.org, number 2112.14377, Dec, revised Feb 2022.

2020

  1. Yacine Aït-Sahalia & Jean Jacod & Dacheng Xiu, 2020, "Inference on Risk Premia in Continuous-Time Asset Pricing Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 28140, Nov.
  2. Markus K. Brunnermeier & Sebastian Merkel & Yuliy Sannikov, 2020, "The Fiscal Theory of the Price Level with a Bubble," CESifo Working Paper Series, CESifo, number 8278.
  3. Brunnermeier, Markus & Krishnamurthy, Arvind, 2020, "Corporate Debt Overhang and Credit Policy," Research Papers, Stanford University, Graduate School of Business, number 3876, Jun.
  4. Reis, Ricardo & Boon, Gert-Jan & Brunnermeier, Markus & Eidenmüller, Horst & Gurrea-Martínez, Aurelio & Enriques, Luca & Judge, Kathryn & Landau, Jean-Pierre & Pagano, Marco & van Zwieten, Kristin, 2020, "The Covid-19 pandemic and business law: a series of posts from the Oxford business law blog," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 104548, Apr.
  5. Markus K. Brunnermeier & Michael Sockin & Wei Xiong, 2020, "China's Model of Managing the Financial System," NBER Working Papers, National Bureau of Economic Research, Inc, number 27171, May.
  6. Kristian Blickle & Markus Brunnermeier & Stephan Luck, 2020, "Micro-evidence from a System-wide Financial Meltdown: The German Crisis of 1931," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 275, Jun.
  7. Markus K. Brunnermeier & Michael Sockin & Wei Xiong, 2020, "China’s Model of Managing the Financial System," Working Papers, Princeton University. Economics Department., number 2020-45, May.
  8. Markus Brunnermeier & Rohit Lamba & Carlos Segura-Rodriguez, 2020, "Inverse Selection," Working Papers, Princeton University. Economics Department., number 2020-50, Apr.
  9. Markus K. Brunnermeier & Sebastian Merkel & Yuliy Sannikov, 2020, "A Safe Asset Perspective for an Integrated Policy Framework," Working Papers, Princeton University. Economics Department., number 2020-58, May.
  10. Alexander Giessing & Jianqing Fan, 2020, "Bootstrapping $\ell_p$-Statistics in High Dimensions," Papers, arXiv.org, number 2006.13099, Jun, revised Aug 2020.
  11. Jianqing Fan & Kunpeng Li & Yuan Liao, 2020, "Recent Developments on Factor Models and its Applications in Econometric Learning," Papers, arXiv.org, number 2009.10103, Sep.
  12. Jianqing Fan & Ricardo P. Masini & Marcelo C. Medeiros, 2020, "Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction," Papers, arXiv.org, number 2011.03996, Nov, revised Jan 2022.
  13. Yi Ding & Wei Xiong & Jinfan Zhang, 2020, "Issuance Overpricing of China’s Corporate Debt Securities," NBER Working Papers, National Bureau of Economic Research, Inc, number 26815, Mar.
  14. Michael Sockin & Wei Xiong, 2020, "A Model of Cryptocurrencies," NBER Working Papers, National Bureau of Economic Research, Inc, number 26816, Mar.
  15. Zhenyu Gao & Michael Sockin & Wei Xiong, 2020, "Learning about the Neighborhood," NBER Working Papers, National Bureau of Economic Research, Inc, number 26907, Mar.
  16. Matthew Baron & Emil Verner & Wei Xiong, 2020, "Banking Crises without Panics," NBER Working Papers, National Bureau of Economic Research, Inc, number 26908, Mar.
  17. Hongqi Liu & Cameron Peng & Wei A. Xiong & Wei Xiong, 2020, "Taming the Bias Zoo," NBER Working Papers, National Bureau of Economic Research, Inc, number 26911, Mar.
  18. Zhuang Liu & Michael Sockin & Wei Xiong, 2020, "Data Privacy and Temptation," NBER Working Papers, National Bureau of Economic Research, Inc, number 27653, Aug.
  19. Yucheng Yang & Yue Pang & Guanhua Huang & Weinan E, 2020, "The Knowledge Graph for Macroeconomic Analysis with Alternative Big Data," Papers, arXiv.org, number 2010.05172, Oct.
  20. Yucheng Yang & Zhong Zheng & Weinan E, 2020, "Interpretable Neural Networks for Panel Data Analysis in Economics," Papers, arXiv.org, number 2010.05311, Oct, revised Nov 2020.

2019

  1. Markus Brunnermeier & Simon Rother & Isabel Schnabel, 2019, "Asset Price Bubbles and Systemic Risk," CRC TR 224 Discussion Paper Series, University of Bonn and University of Mannheim, Germany, number crctr224_2019_095, May.
  2. Markus K. Brunnermeier & Dirk Niepelt, 2019, "On the Equivalence of Private and Public Money," CESifo Working Paper Series, CESifo, number 7741.
  3. Markus K. Bunnermeier & Ricardo Reis, 2019, "A Crash Course on the Euro Crisis," Discussion Papers, Centre for Macroeconomics (CFM), number 1915, Aug.
  4. Markus K. Brunnermeier & Darius Palia & Karthik A. Sastry & Christopher A. Sims, 2019, "Feedbacks: Financial Markets and Economic Activity," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 257, Aug.
  5. Markus K. Brunnermeier & Yuliy Sannikov, 2019, "International Monetary Theory: A Risk Perspective," Working Papers, Princeton University. Economics Department., number 2019-20, Jun.
  6. Zhenyu Gao & Michael Sockin & Wei Xiong, 2019, "Economic Consequences of Housing Speculation," NBER Working Papers, National Bureau of Economic Research, Inc, number 26457, Nov.

2018

  1. Yacine Ait-Sahalia & Mustafa Karaman & Loriano Mancini, 2018, "The Term Structure of Variance Swaps and Risk Premia," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 18-37, May.
  2. Brunnermeier, Markus & Huang, Lunyang, 2018, "A Global Safe Asset for and from Emerging Market Economies," CEPR Discussion Papers, Centre for Economic Policy Research, number 13387, Dec.
  3. Brunnermeier, Markus & Abadi, Joseph, 2018, "Blockchain Economics," CEPR Discussion Papers, Centre for Economic Policy Research, number 13420, Dec.
  4. Markus Brunnermeier & Oleg Itskhoki & Pierre-Olivier Gourinchas, 2018, "Consumption-led Growth," 2018 Meeting Papers, Society for Economic Dynamics, number 198.
  5. Jason Anastasopoulos & George J. Borjas & Gavin G. Cook & Michael Lachanski, 2018, "Job Vacancies, the Beveridge Curve, and Supply Shocks: The Frequency and Content of Help-Wanted Ads in Pre- and Post-Mariel Miami," NBER Working Papers, National Bureau of Economic Research, Inc, number 24580, May.
  6. Zheng Michael Song & Wei Xiong, 2018, "Risks in China’s Financial System," NBER Working Papers, National Bureau of Economic Research, Inc, number 24230, Jan.
  7. Wei Xiong, 2018, "The Mandarin Model of Growth," NBER Working Papers, National Bureau of Economic Research, Inc, number 25296, Nov.
  8. Chang Liu & Wei Xiong, 2018, "China's Real Estate Market," NBER Working Papers, National Bureau of Economic Research, Inc, number 25297, Nov.

2017

  1. Markus K. Brunnermeier & Michael Sockin & Wei Xiong, 2017, "China's Gradualistic Economic Approach and Financial Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 23194, Feb.
  2. Ting Chen & Zhenyu Gao & Jibao He & Wenxi Jiang & Wei Xiong, 2017, "Daily Price Limits and Destructive Market Behavior," NBER Working Papers, National Bureau of Economic Research, Inc, number 24014, Nov.
  3. Yu Zhang, 2017, "Liquidity Constraints, Transition Dynamics, and the Chinese Housing Return Premium," 2017 Meeting Papers, Society for Economic Dynamics, number 1217.

2016

  1. Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016, "The sovereign-bank diabolic loop and ESBies," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1414, Mar.
  2. Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016, "ESBies: Safety in the tranches," Discussion Papers, Centre for Macroeconomics (CFM), number 1627, Sep.
  3. Brunnermeier, Markus & Sannikov, Yuliy, 2016, "Macro, Money and Finance: A Continuous Time Approach," CEPR Discussion Papers, Centre for Economic Policy Research, number 11329, Jun.
  4. Brunnermeier, Markus & Sannikov, Yuliy, 2016, "The I Theory of Money," CEPR Discussion Papers, Centre for Economic Policy Research, number 11444, Aug.
  5. Markus K. Brunnermeier & Yuliy Sannikov, 2016, "On the Optimal Inflation Rate," NBER Working Papers, National Bureau of Economic Research, Inc, number 22133, Mar.
  6. Brunnermeier, Markus & James, Harold & Landau, Jean-Pierre, 2016, "The Euro and the Battle of Ideas," VfS Annual Conference 2016 (Augsburg): Demographic Change, Verein für Socialpolitik / German Economic Association, number 145852.
  7. Jianqing Fan & Yuan Ke & Yuan Liao, 2016, "Augmented Factor Models with Applications to Validating Market Risk Factors and Forecasting Bond Risk Premia," Papers, arXiv.org, number 1603.07041, Mar, revised Sep 2018.
  8. Matthew Baron & Wei Xiong, 2016, "Credit Expansion and Neglected Crash Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 22695, Sep.

2015

  1. Yacine Aït-Sahalia & Dacheng Xiu, 2015, "Principal Component Analysis of High Frequency Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 21584, Sep.
  2. Markus Brunnermeier & Yuliy Sannikov, 2015, "International Credit Flows and Pecuniary Externalities," CESifo Working Paper Series, CESifo, number 5170.
  3. Brunnermeier, Markus & Schnabel, Isabel, 2015, "Bubbles and Central Banks: Historical Perspectives," CEPR Discussion Papers, Centre for Economic Policy Research, number 10528, Apr.
  4. Jianqing Fan & Fang Han & Han Liu & Byron Vickers, 2015, "Robust Inference of Risks of Large Portfolios," Papers, arXiv.org, number 1501.02382, Jan.
  5. Chunxin Jia & Yaping Wang & Wei Xiong, 2015, "Social Trust and Differential Reactions of Local and Foreign Investors to Public News," NBER Working Papers, National Bureau of Economic Research, Inc, number 21075, Apr.
  6. Hanming Fang & Quanlin Gu & Wei Xiong & Li-An Zhou, 2015, "Demystifying the Chinese Housing Boom," NBER Working Papers, National Bureau of Economic Research, Inc, number 21112, Apr.

2014

  1. Aït-Sahalia, Yacine & Laeven, Roger J. A. & Pelizzon, Loriana, 2014, "Mutual excitation in eurozone sovereign CDS," SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE, number 51, DOI: 10.2139/ssrn.2438625.
  2. Brunnermeier, Markus K. & Oehmke, Martin, 2014, "Predatory short selling," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 84517, Oct.
  3. Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014, "A Welfare Criterion for Models with Distorted Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 20691, Nov.
  4. Markus Brunnermeier, 2014, "Pecuniary Externalities and Capital Controls," 2014 Meeting Papers, Society for Economic Dynamics, number 1416.
  5. Marco Pagano & Sam Langfield & Viral V. Acharya & Arnoud Boot & Markus K. Brunnermeier & Claudia Buch & Martin F. Hellwig & André Sapir & Ieke van den Burg, 2014, "Is Europe Overbanked?," Report of the Advisory Scientific Committee, European Systemic Risk Board, number 4, Jun.

2013

  1. Yacine Aït-Sahalia & Mehmet Saglam, 2013, "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers, National Bureau of Economic Research, Inc, number 19531, Oct.
  2. André Sapir & Martin F. Hellwig & Marco Pagano & Viral V. Acharya & Leszek Balcerowicz & Arnoud Boot & Markus K. Brunnermeier & Claudia Buch & Ieke van den Burg & Charles Calomiris & Daniel Gros & Da, 2013, "The consequences of the single supervisory mechanism for Europe's macro-prudential policy framework," Report of the Advisory Scientific Committee, European Systemic Risk Board, number 3, Sep.
  3. Jianqing Fan & Yuan Liao & Xiaofeng Shi, 2013, "Risks of Large Portfolios," Papers, arXiv.org, number 1302.0926, Feb.
  4. Ing-Haw Cheng & Sahil Raina & Wei Xiong, 2013, "Wall Street and the Housing Bubble," NBER Working Papers, National Bureau of Economic Research, Inc, number 18904, Mar.
  5. Wei Xiong, 2013, "Bubbles, Crises, and Heterogeneous Beliefs," NBER Working Papers, National Bureau of Economic Research, Inc, number 18905, Mar.
  6. Michael Sockin & Wei Xiong, 2013, "Informational Frictions and Commodity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 18906, Mar.
  7. Ing-Haw Cheng & Wei Xiong, 2013, "The Financialization of Commodity Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 19642, Nov.
  8. Ing-Haw Cheng & Wei Xiong, 2013, "Why Do Hedgers Trade So Much?," NBER Working Papers, National Bureau of Economic Research, Inc, number 19670, Nov.
  9. Conghui Hu & Wei Xiong, 2013, "Are Commodity Futures Prices Barometers of the Global Economy?," NBER Working Papers, National Bureau of Economic Research, Inc, number 19706, Dec.

2012

  1. Yacine Ait-Sahalia & T. R. Hurd, 2012, "Portfolio Choice in Markets with Contagion," Papers, arXiv.org, number 1210.1598, Oct.
  2. Markus K. Brunnermeier & Thomas M. Eisenbach & Yuliy Sannikov, 2012, "Macroeconomics with Financial Frictions: A Survey," Levine's Working Paper Archive, David K. Levine, number 786969000000000384, Feb.
  3. Brunnermeier, Markus & De Gregorio, José & Eichengreen, Barry & El-Erian, Mohamed & Fraga, Arminio & Ito, Takatoshi & Lane, Philip R. & Pisani-Ferry, Jean & Prasad, Eswar & Rajan, Raghuram & Ramos, Ma, 2012, "Banks and cross-border capital flows: challenges and regulatory responses," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 102439, Sep.
  4. Markus K. Brunnermeier & Yuliy Sannikov, 2012, "A macroeconomic model with a financial sector," Working Paper Research, National Bank of Belgium, number 236, Oct.
  5. Markus K. Brunnermeier & Martin Oehmke, 2012, "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 18398, Sep.
  6. Hellwig, Martin F. & Sapir, André & Pagano, Marco & Acharya, Viral & Balcerowicz, Leszek & Boot, Arnoud & Brunnermeier, Markus K. & Buch, Claudia M. & van den Burg, Ieke & Calomiris, Charles & Gros, D, 2012, "Forbearance, resolution and deposit insurance," Report of the Advisory Scientific Committee, European Systemic Risk Board, number 1, Jul.
  7. Fan, Jianqing & Liao, Yuan, 2012, "Endogeneity in ultrahigh dimension," MPRA Paper, University Library of Munich, Germany, number 38698.
  8. Ing-Haw Cheng & Andrei Kirilenko & Wei Xiong, 2012, "Convective Risk Flows in Commodity Futures Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17921, Mar.
  9. Zhiguo He & Wei Xiong, 2012, "Debt Financing in Asset Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 17935, Mar.

2011

  1. Yacine Ait-Sahalia & Jianqing Fan & Yingying Li, 2011, "The Leverage Effect Puzzle: Disentangling Sources of Bias at High Frequency," NBER Working Papers, National Bureau of Economic Research, Inc, number 17592, Nov.
  2. Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011, "Large covariance estimation by thresholding principal orthogonal complements," MPRA Paper, University Library of Munich, Germany, number 38697.

2010

  1. Yacine Aït-Sahalia & Jean Jacod, 2010, "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," NBER Working Papers, National Bureau of Economic Research, Inc, number 15808, Mar.
  2. 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, National Bureau of Economic Research, Inc, number 15809, Mar.
  3. Yacine Aït-Sahalia & Julio Cacho-Diaz & Roger J.A. Laeven, 2010, "Modeling Financial Contagion Using Mutually Exciting Jump Processes," NBER Working Papers, National Bureau of Economic Research, Inc, number 15850, Mar.
  4. Markus K. Brunnermeier & Martin Oehmke, 2010, "The Maturity Rat Race," NBER Working Papers, National Bureau of Economic Research, Inc, number 16607, Dec.
  5. Jianqing Fan & Yingying Li & Ke Yu, 2010, "Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection," Papers, arXiv.org, number 1004.4956, Apr.
  6. Zhiguo He & Wei Xiong, 2010, "Financing Speculative Booms," Levine's Working Paper Archive, David K. Levine, number 661465000000000327, Nov.
  7. Zhiguo He & Wei Xiong, 2010, "Rollover Risk and Credit Risk," NBER Working Papers, National Bureau of Economic Research, Inc, number 15653, Jan.
  8. Ke Tang & Wei Xiong, 2010, "Index Investment and Financialization of Commodities," NBER Working Papers, National Bureau of Economic Research, Inc, number 16385, Sep.

2009

  1. Yacine Ait-Sahalia & Jialin Yu, 2009, "High frequency market microstructure noise estimates and liquidity measures," Papers, arXiv.org, number 0906.1444, Jun.
  2. Markus K. Brunnermeier & Motohiro Yogo, 2009, "A Note on Liquidity Risk Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 14727, Feb.
  3. Sanjeev Arora & Boaz Barak & Markus Brunnermeier & Rong Ge, 2009, "Computational Complexity and Information Asymmetry in Financial Products," Working Papers, Princeton University. Economics Department., number 2009-1, Oct.
  4. Lam, Clifford & Fan, Jianqing, 2009, "Sparsistency and rates of convergence in large covariance matrix estimation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 31540.
  5. Jianping Mei & Jose A. Scheinkman & Wei Xiong, 2009, "Speculative Trading and Stock Prices: Evidence from Chinese A-B Share Premia," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 504, Nov.
  6. Wei Xiong & Jialin Yu, 2009, "The Chinese Warrants Bubble," NBER Working Papers, National Bureau of Economic Research, Inc, number 15481, Nov.
  7. Zhiguo He & Wei Xiong, 2009, "Dynamic Debt Runs," NBER Working Papers, National Bureau of Economic Research, Inc, number 15482, Nov.

2008

  1. Ait-Sahalia, Yacine & Kimmel, Robert L., 2008, "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2008-19, Oct.
  2. Yacine Aït-Sahalia & Michael W. Brandt, 2008, "Consumption and Portfolio Choice with Option-Implied State Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 13854, Mar.
  3. Tobias Adrian & Markus K. Brunnermeier, 2008, "CoVaR," Staff Reports, Federal Reserve Bank of New York, number 348.
    • Tobias Adrian & Markus K. Brunnermeier, 2016, "CoVaR," American Economic Review, American Economic Association, volume 106, issue 7, pages 1705-1741, July.
    • Tobias Adrian & Markus K. Brunnermeier, 2011, "CoVaR," NBER Working Papers, National Bureau of Economic Research, Inc, number 17454, Oct.
  4. Markus K. Brunnermeier & Filippos Papakonstantinou & Jonathan A. Parker, 2008, "An Economic Model of the Planning Fallacy," NBER Working Papers, National Bureau of Economic Research, Inc, number 14228, Aug.
  5. Patrick Bolton & Markus K. Brunnermeier & Laura Veldkamp, 2008, "Leadership, Coordination and Mission-Driven Management," NBER Working Papers, National Bureau of Economic Research, Inc, number 14339, Sep.
  6. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008, "Carry Trades and Currency Crashes," NBER Working Papers, National Bureau of Economic Research, Inc, number 14473, Nov.
  7. Markus K. Brunnermeier, 2008, "Deciphering the Liquidity and Credit Crunch 2007-08," NBER Working Papers, National Bureau of Economic Research, Inc, number 14612, Dec.
  8. Jianqing Fan & Jingjin Zhang & Ke Yu, 2008, "Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios," Papers, arXiv.org, number 0812.2604, Dec.
  9. Fan, Jianqing & Wang, Mingjin & Yao, Qiwei, 2008, "Modelling multivariate volatilities via conditionally uncorrelated components," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 22875.
  10. Lam, Clifford & Fan, Jianqing, 2008, "Profile-kernel likelihood inference with diverging number of parameters," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 31548, Oct.
  11. Nicholas C. Barberis & Wei Xiong, 2008, "Realization Utility," NBER Working Papers, National Bureau of Economic Research, Inc, number 14440, Oct.
  12. Zhiguo He & Wei Xiong, 2008, "Delegated Asset Management, Investment Mandates, and Capital Immobility," NBER Working Papers, National Bureau of Economic Research, Inc, number 14574, Dec.

2007

  1. Brunnermeier, Markus & Pedersen, Lasse Heje, 2007, "Market Liquidity and Funding Liquidity," CEPR Discussion Papers, Centre for Economic Policy Research, number 6179, Mar.
  2. Gollier, Christian & Brunnermeier, Markus & Parker, Jonathan A, 2007, "Optimal Beliefs, Asset Prices and the Preference for Skewed Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 6181, Mar.
  3. Brunnermeier, Markus & Julliard, Christian, 2007, "Money Illusion and Housing Frenzies," CEPR Discussion Papers, Centre for Economic Policy Research, number 6183, Mar.
  4. Fan, Jianqing & Hall, Peter & Yao, Qiwei, 2007, "To how many simultaneous hypothesis tests can normal student's t or bootstrap calibrations be applied," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 5399, Dec.
  5. Harrison Hong & Jose A. Scheinkman & Wei Xiong, 2007, "Advisors and Asset Prices: A Model of the Origins of Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 13504, Oct.

2006

  1. Brunnermeier, Markus K & Morgan, John, 2006, "Clock Games: Theory and Experiments," Competition Policy Center, Working Paper Series, Competition Policy Center, Institute for Business and Economic Research, UC Berkeley, number qt9c11m09n, Oct.
  2. Markus K. Brunnermeier & Stefan Nagel, 2006, "Do Wealth Fluctuations Generate Time-varying Risk Aversion? Micro-Evidence on Individuals' Asset Allocation," NBER Working Papers, National Bureau of Economic Research, Inc, number 12809, Dec.
  3. Hou, Kewei & Peng, Lin & Xiong, Wei, 2006, "R2 and Price Inefficiency," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics, number 2006-23, Nov.
  4. Patrick Bolton & Jose Scheinkman & Wei Xiong, 2006, "Pay for Short-Term Performance: Executive Compensation in Speculative Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12107, Mar.
  5. Nicholas Barberis & Wei Xiong, 2006, "What Drives the Disposition Effect? An Analysis of a Long-Standing Preference-Based Explanation," NBER Working Papers, National Bureau of Economic Research, Inc, number 12397, Jul.
  6. Wei Xiong & Hongjun Yan, 2006, "Heterogeneous Expectations and Bond Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 12781, Dec.

2005

  1. Lan Zhang & Per A. Mykland & Yacine Ait-Sahalia, 2005, "Edgeworth Expansions for Realized Volatility and Related Estimators," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0319, Oct.
  2. Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang, 2005, "Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise," NBER Working Papers, National Bureau of Economic Research, Inc, number 11380, May.
  3. Harrison Hong & Jose Scheinkman & Wei Xiong, 2005, "Asset Float and Speculative Bubbles," NBER Working Papers, National Bureau of Economic Research, Inc, number 11367, May.
  4. Lin Peng & Wei Xiong, 2005, "Investor Attention: Overconfidence and Category Learning," NBER Working Papers, National Bureau of Economic Research, Inc, number 11400, Jun.

2004

  1. Yacine Ait-Sahalia, 2004, "Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 575, Aug.
  2. Yacine Ait-Sahalia & Robert Kimmel, 2004, "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers, National Bureau of Economic Research, Inc, number 10579, Jun.
  3. Brunnermeier, Markus & Pedersen, Lasse Heje, 2004, "Predatory Trading," CEPR Discussion Papers, Centre for Economic Policy Research, number 4639, Sep.
  4. Brunnermeier, Markus & Parker, Jonathan A, 2004, "Optimal Expectation," CEPR Discussion Papers, Centre for Economic Policy Research, number 4656, Oct.
  5. Jianqing Fan, 2004, "A selective overview of nonparametric methods in financial econometrics," Papers, arXiv.org, number math/0411034, Nov.
  6. Wei Xiong & Ronnie Sircar, 2004, "Evaluating Incentive Options," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 253, Aug.

2003

  1. 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, National Bureau of Economic Research, Inc, number 10111, Nov.
  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, National Bureau of Economic Research, Inc, number 9611, Apr.
  3. Yacine Ait-Sahalia, 2003, "Disentangling Volatility from Jumps," NBER Working Papers, National Bureau of Economic Research, Inc, number 9915, Aug.
  4. Fan, Jianqing & Yao, Qiwei & Cai, Zongwu, 2003, "Adaptive varying co-efficient linear models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 5885, Feb.
  5. Patrick Bolton & Jose A. Scheinkman & Wei Xiong, 2003, "Executive Compensation and Short-termist Behavior in Speculative Markets," Levine's Working Paper Archive, David K. Levine, number 506439000000000124, Jan.

2002

  1. Yacine Ait-Sahalia & Per A. Mykland, 2002, "The Effects of Random and Discrete Sampling When Estimating Continuous-Time Diffusions," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0276, Apr.
  2. Yacine Ait-Sahalia & Jefferson Duarte, 2002, "Nonparametric Option Pricing under Shape Restrictions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8944, May.
  3. Yacine Ait-Sahalia, 2002, "Closed-Form Likelihood Expansions for Multivariate Diffusions," NBER Working Papers, National Bureau of Economic Research, Inc, number 8956, May.
  4. Abreu, Dilip & Brunnermeier, Markus K., 2002, "Bubbles and crashes," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24905, Feb.
  5. J. Scheinkman & W. Xiong, 2002, "Overconfidence, Short-Sale Constraints and Bubbles," Princeton Economic Theory Working Papers, David K. Levine, number 98734966f1c1a57373801367f, Jan.

2001

  1. Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001, "Variable Selection for Portfolio Choice," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp34, Feb.
  2. Yacine Ait-Sahalia & Jonathan A. Parker & Motohiro Yogo, 2001, "Luxury Goods and the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 8417, Aug.
  3. Yacine Ait-Sahalia, 2001, "Telling from Discrete Data Whether the Underlying Continuous-Time Model is a Diffusion," NBER Working Papers, National Bureau of Economic Research, Inc, number 8504, Oct.

2000

  1. Yacine Ait-Sahalia & Andrew W. Lo, 2000, "Nonparametric Risk Management and Implied Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 6130, Mar.
  2. Cai, Zongwu & Fan, Jianqing & Yao, Qiwei, 2000, "Functional-coefficient regression models for nonlinear time series," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6314, Sep.

1999

  1. Brunnermeier, Markus & Grafe, Clemens, 1999, "Contrasting different forms of price stickiness: an analysis of exchange rate overshooting and the beggar thy neighbour policy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119119, Jun.

1998

  1. Yacine Ait-Sahalia, 1998, "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approach," NBER Technical Working Papers, National Bureau of Economic Research, Inc, number 0222, Feb.
  2. Brunnermeier, Markus, 1998, "Buy on rumours - sell on news: a manipulative trading strategy," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119135, Nov.
  3. Huddart, Steven & Hughes, John & Brunnermeier, Markus, 1998, "Disclosure requirements and stock exchange listing choice in an international context," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119158, Jan.
  4. Fan, Jianqing & Yao, Qiwei, 1998, "Efficient estimation of conditional variance functions in stochastic regression," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6635, Sep.

1997

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

1996

  1. Yacine Ait-Sahalia, 1996, "Dynamic Equilibrium and Volatility in Financial Asset Markets," NBER Working Papers, National Bureau of Economic Research, Inc, number 5479, Mar.
  2. Fan, Jianqing & Yao, Qiwei & Tong, Howell, 1996, "Estimation of conditional densities and sensitivity measures in nonlinear dynamical systems," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 6704, Mar.
  3. Fan, J. & Härdle, Wolfgang & Mammen, Enno, 1996, "Direct estimation of low dimensional components in additive models," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1996,17.

1995

  1. Yacine Ait-Sahalia, 1995, "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers, National Bureau of Economic Research, Inc, number 5345, Nov.
  2. Yacine Ait-Sahalia, 1995, "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers, National Bureau of Economic Research, Inc, number 5346, Nov.
  3. Yacine Ait-Sahalia & Andrew W. Lo, 1995, "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," NBER Working Papers, National Bureau of Economic Research, Inc, number 5351, Nov.
  4. Fan, J. & Müller, Maike, 1995, "Density and Regression Smoothing," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1995,1.

1994

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

1988

  1. Gabrielle Demange & Balinski M.L & It-Sahalia Y.A, 1988, "Le redressement des Tables de Contingence : Deux nouvelles approches," Post-Print, HAL, number halshs-00576799.

Undated

  1. Carroll, R.J. & Fan, Jianqing. & Gijbels, Irene. & Wand, M.P., undated, "Generalized Partially Linear Single-Index Models," Statistics Working Paper, Australian Graduate School of Management, number 95010.

Journal articles

2026

  1. Jiequn Han & Yucheng Yang & Weinan E, 2026, "DeepHAM: A global solution method for heterogeneous agent models with aggregate shocks," Quantitative Economics, Econometric Society, volume 17, issue 2, pages 297-341, May, DOI: 10.3982/QE2190.

2024

  1. Aït-Sahalia, Yacine & Sağlam, Mehmet, 2024, "High frequency market making: The role of speed," Journal of Econometrics, Elsevier, volume 239, issue 2, DOI: 10.1016/j.jeconom.2022.12.015.
  2. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2024, "Maximum likelihood estimation of latent Markov models using closed-form approximations," Journal of Econometrics, Elsevier, volume 240, issue 2, DOI: 10.1016/j.jeconom.2020.09.001.
  3. Yang Zhou & Jianqing Fan & Lirong Xue, 2024, "How Much Can Machines Learn Finance from Chinese Text Data?," Management Science, INFORMS, volume 70, issue 12, pages 8962-8987, December, DOI: 10.1287/mnsc.2022.01468.
  4. Yuling Yan & Gen Li & Yuxin Chen & Jianqing Fan, 2024, "Model-Based Reinforcement Learning for Offline Zero-Sum Markov Games," Operations Research, INFORMS, volume 72, issue 6, pages 2430-2445, November, DOI: 10.1287/opre.2022.0342.
  5. Jianqing Fan & Yongyi Guo & Mengxin Yu, 2024, "Policy Optimization Using Semiparametric Models for Dynamic Pricing," Journal of the American Statistical Association, Taylor & Francis Journals, volume 119, issue 545, pages 552-564, January, DOI: 10.1080/01621459.2022.2128359.
  6. Jianqing Fan & Zhipeng Lou & Mengxin Yu, 2024, "Are Latent Factor Regression and Sparse Regression Adequate?," Journal of the American Statistical Association, Taylor & Francis Journals, volume 119, issue 546, pages 1076-1088, April, DOI: 10.1080/01621459.2023.2169700.

2023

  1. Joseph Abadi & Markus Brunnermeier & Yann Koby, 2023, "The Reversal Interest Rate," American Economic Review, American Economic Association, volume 113, issue 8, pages 2084-2120, August, DOI: 10.1257/aer.20190150.
  2. Jianqing Fan & Yongyi Guo & Kaizheng Wang, 2023, "Communication-Efficient Accurate Statistical Estimation," Journal of the American Statistical Association, Taylor & Francis Journals, volume 118, issue 542, pages 1000-1010, April, DOI: 10.1080/01621459.2021.1969238.
  3. Elynn Y. Chen & Jianqing Fan, 2023, "Statistical Inference for High-Dimensional Matrix-Variate Factor Models," Journal of the American Statistical Association, Taylor & Francis Journals, volume 118, issue 542, pages 1038-1055, April, DOI: 10.1080/01621459.2021.1970569.
  4. Yuxin Chen & Jianqing Fan & Bingyan Wang & Yuling Yan, 2023, "Convex and Nonconvex Optimization Are Both Minimax-Optimal for Noisy Blind Deconvolution Under Random Designs," Journal of the American Statistical Association, Taylor & Francis Journals, volume 118, issue 542, pages 858-868, April, DOI: 10.1080/01621459.2021.1956501.
  5. Jianqing Fan & Zhuoran Yang & Mengxin Yu, 2023, "Understanding Implicit Regularization in Over-Parameterized Single Index Model," Journal of the American Statistical Association, Taylor & Francis Journals, volume 118, issue 544, pages 2315-2328, October, DOI: 10.1080/01621459.2022.2044824.
  6. Caio Almeida & Jianqing Fan & Gustavo Freire & Francesca Tang, 2023, "Can a Machine Correct Option Pricing Models?," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 3, pages 995-1009, July, DOI: 10.1080/07350015.2022.2099871.

2022

  1. Markus K Brunnermeier & Michael Sockin & Wei Xiong, 2022, "China’s Model of Managing the Financial System," The Review of Economic Studies, Review of Economic Studies Ltd, volume 89, issue 6, pages 3115-3153.
  2. Jianqing Fan & Yingying Fan & Xiao Han & Jinchi Lv, 2022, "SIMPLE: Statistical inference on membership profiles in large networks," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 84, issue 2, pages 630-653, April, DOI: 10.1111/rssb.12505.
  3. Fan, Jianqing & Jiang, Bai & Sun, Qiang, 2022, "Bayesian factor-adjusted sparse regression," Journal of Econometrics, Elsevier, volume 230, issue 1, pages 3-19, DOI: 10.1016/j.jeconom.2020.06.012.
  4. Jianqing Fan & Ricardo Masini & Marcelo C. Medeiros, 2022, "Do We Exploit all Information for Counterfactual Analysis? Benefits of Factor Models and Idiosyncratic Correction," Journal of the American Statistical Association, Taylor & Francis Journals, volume 117, issue 538, pages 574-590, April, DOI: 10.1080/01621459.2021.2004895.
  5. Jianqing Fan & Jianhua Guo & Shurong Zheng, 2022, "Estimating Number of Factors by Adjusted Eigenvalues Thresholding," Journal of the American Statistical Association, Taylor & Francis Journals, volume 117, issue 538, pages 852-861, April, DOI: 10.1080/01621459.2020.1825448.
  6. Jianqing Fan & Yuan Liao, 2022, "Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors," Journal of the American Statistical Association, Taylor & Francis Journals, volume 117, issue 538, pages 909-924, April, DOI: 10.1080/01621459.2020.1831927.
  7. Jianqing Fan & Yingying Fan & Xiao Han & Jinchi Lv, 2022, "Asymptotic Theory of Eigenvectors for Random Matrices With Diverging Spikes," Journal of the American Statistical Association, Taylor & Francis Journals, volume 117, issue 538, pages 996-1009, April, DOI: 10.1080/01621459.2020.1840990.
  8. Yang Zhou & Lirong Xue & Zhengyu Shi & Libo Wu & Jianqing Fan, 2022, "Measuring Housing Vitality from Multi-Source Big Data and Machine Learning," Journal of the American Statistical Association, Taylor & Francis Journals, volume 117, issue 539, pages 1045-1059, September, DOI: 10.1080/01621459.2022.2096038.
  9. Jianqing Fan & Kosuke Imai & Inbeom Lee & Han Liu & Yang Ning & Xiaolin Yang, 2022, "Optimal Covariate Balancing Conditions in Propensity Score Estimation," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 41, issue 1, pages 97-110, December, DOI: 10.1080/07350015.2021.2002159.

2021

  1. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021, "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 364-392, DOI: 10.1016/j.jeconom.2020.07.006.
  2. Yacine Aït-Sahalia & Chenxu Li & Chen Xu Li, 2021, "Implied Stochastic Volatility Models
    [Testing continuous-time models of the spot interest rate]    ," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 1, pages 394-450.
  3. Markus Brunnermeier & Darius Palia & Karthik A. Sastry & Christopher A. Sims, 2021, "Feedbacks: Financial Markets and Economic Activity," American Economic Review, American Economic Association, volume 111, issue 6, pages 1845-1879, June, DOI: 10.1257/aer.20180733.
  4. Markus Brunnermeier & Emmanuel Farhi & Ralph S J Koijen & Arvind Krishnamurthy & Sydney C Ludvigson & Hanno Lustig & Stefan Nagel & Monika Piazzesi, 2021, "Review Article: Perspectives on the Future of Asset Pricing
    [Do survey expectations of stock returns reflect risk-adjustments?]    ," The Review of Financial Studies, Society for Financial Studies, volume 34, issue 4, pages 2126-2160.
  5. Jianqing Fan & Kunpeng Li & Yuan Liao, 2021, "Recent Developments in Factor Models and Applications in Econometric Learning," Annual Review of Financial Economics, Annual Reviews, volume 13, issue 1, pages 401-430, November, DOI: 10.1146/annurev-financial-091420-01.
  6. Fan, Jianqing & Ke, Yuan & Liao, Yuan, 2021, "Augmented factor models with applications to validating market risk factors and forecasting bond risk premia," Journal of Econometrics, Elsevier, volume 222, issue 1, pages 269-294, DOI: 10.1016/j.jeconom.2020.07.002.
  7. Francesca Tang & Yang Feng & Hamza Chiheb & Jianqing Fan, 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, Taylor & Francis Journals, volume 116, issue 534, pages 492-506, April, DOI: 10.1080/01621459.2021.1901717.

2020

  1. Aït-Sahalia, Yacine & Kalnina, Ilze & Xiu, Dacheng, 2020, "High-frequency factor models and regressions," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 86-105, DOI: 10.1016/j.jeconom.2020.01.007.
  2. Aït-Sahalia, Yacine & Brunetti, Celso, 2020, "High frequency traders and the price process," Journal of Econometrics, Elsevier, volume 217, issue 1, pages 20-45, DOI: 10.1016/j.jeconom.2019.11.005.
  3. Aït-Sahalia, Yacine & Karaman, Mustafa & Mancini, Loriano, 2020, "The term structure of equity and variance risk premia," Journal of Econometrics, Elsevier, volume 219, issue 2, pages 204-230, DOI: 10.1016/j.jeconom.2020.03.002.
  4. Markus K Brunnermeier & Gang Nathan Dong & Darius Palia, 2020, "Banks’ Noninterest Income and Systemic Risk
    [A theory of systemic risk and design of prudential bank regulation]    ," The Review of Corporate Finance Studies, Society for Financial Studies, volume 9, issue 2, pages 229-255.
  5. Markus Brunnermeier & Arvind Krishnamurthy, 2020, "The Macroeconomics of Corporate Debt," The Review of Corporate Finance Studies, Society for Financial Studies, volume 9, issue 3, pages 656-665.
  6. Markus Brunnermeier & Simon Rother & Isabel Schnabel & Itay Goldstein, 2020, "Asset Price Bubbles and Systemic Risk," The Review of Financial Studies, Society for Financial Studies, volume 33, issue 9, pages 4272-4317.
  7. Fan, Jianqing & Ke, Yuan & Wang, Kaizheng, 2020, "Factor-adjusted regularized model selection," Journal of Econometrics, Elsevier, volume 216, issue 1, pages 71-85, DOI: 10.1016/j.jeconom.2020.01.006.
  8. Fan, Jianqing & Feng, Yang & Xia, Lucy, 2020, "A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models," Journal of Econometrics, Elsevier, volume 218, issue 1, pages 119-139, DOI: 10.1016/j.jeconom.2019.12.016.
  9. Qiang Sun & Wen-Xin Zhou & Jianqing Fan, 2020, "Adaptive Huber Regression," Journal of the American Statistical Association, Taylor & Francis Journals, volume 115, issue 529, pages 254-265, January, DOI: 10.1080/01621459.2018.1543124.
  10. Jianqing Fan & Cong Ma & Kaizheng Wang, 2020, "Comment on “A Tuning-Free Robust and Efficient Approach to High-Dimensional Regression”," Journal of the American Statistical Association, Taylor & Francis Journals, volume 115, issue 532, pages 1720-1725, December, DOI: 10.1080/01621459.2020.1837138.

2019

  1. Aït-Sahalia, Yacine & Xiu, Dacheng, 2019, "A Hausman test for the presence of market microstructure noise in high frequency data," Journal of Econometrics, Elsevier, volume 211, issue 1, pages 176-205, DOI: 10.1016/j.jeconom.2018.12.013.
  2. Aït-Sahalia, Yacine & Matthys, Felix, 2019, "Robust consumption and portfolio policies when asset prices can jump," Journal of Economic Theory, Elsevier, volume 179, issue C, pages 1-56, DOI: 10.1016/j.jet.2018.09.006.
  3. Yacine Aït-Sahalia & Dacheng Xiu, 2019, "Principal Component Analysis of High-Frequency Data," Journal of the American Statistical Association, Taylor & Francis Journals, volume 114, issue 525, pages 287-303, January, DOI: 10.1080/01621459.2017.1401542.
  4. Brunnermeier, Markus K. & Niepelt, Dirk, 2019, "On the equivalence of private and public money," Journal of Monetary Economics, Elsevier, volume 106, issue C, pages 27-41, DOI: 10.1016/j.jmoneco.2019.07.004.
  5. Markus K. Brunnermeier & Patrick Cheridito, 2019, "Measuring and Allocating Systemic Risk," Risks, MDPI, volume 7, issue 2, pages 1-19, April.
  6. Chin‐Han Chiang & Wei Dai & Jianqing Fan & Harrison Hong & Jun Tu, 2019, "Robust Measures of Earnings Surprises," Journal of Finance, American Finance Association, volume 74, issue 2, pages 943-983, April, DOI: 10.1111/jofi.12746.
  7. Fan, Jianqing & Wang, Weichen & Zhong, Yiqiao, 2019, "Robust covariance estimation for approximate factor models," Journal of Econometrics, Elsevier, volume 208, issue 1, pages 5-22, DOI: 10.1016/j.jeconom.2018.09.003.
  8. Kim, Donggyu & Fan, Jianqing, 2019, "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, volume 208, issue 2, pages 395-417, DOI: 10.1016/j.jeconom.2018.10.003.
  9. Fan, Jianqing & Kim, Donggyu, 2019, "Structured volatility matrix estimation for non-synchronized high-frequency financial data," Journal of Econometrics, Elsevier, volume 209, issue 1, pages 61-78, DOI: 10.1016/j.jeconom.2018.12.019.
  10. Fan, Jianqing & Gong, Wenyan & Zhu, Ziwei, 2019, "Generalized high-dimensional trace regression via nuclear norm regularization," Journal of Econometrics, Elsevier, volume 212, issue 1, pages 177-202, DOI: 10.1016/j.jeconom.2019.04.026.
  11. Jianqing Fan & Yuan Ke & Qiang Sun & Wen-Xin Zhou, 2019, "FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control," Journal of the American Statistical Association, Taylor & Francis Journals, volume 114, issue 528, pages 1880-1893, October, DOI: 10.1080/01621459.2018.1527700.

2018

  1. Aït-Sahalia, Yacine & Jacod, Jean, 2018, "Semimartingale: Itô or not ?," Stochastic Processes and their Applications, Elsevier, volume 128, issue 1, pages 233-254, DOI: 10.1016/j.spa.2017.04.006.
  2. Marco Avella-Medina & Heather S Battey & Jianqing Fan & Quefeng Li, 2018, "Robust estimation of high-dimensional covariance and precision matrices," Biometrika, Biometrika Trust, volume 105, issue 2, pages 271-284.
  3. Zhao Chen & Jianqing Fan & Runze Li, 2018, "Error Variance Estimation in Ultrahigh-Dimensional Additive Models," Journal of the American Statistical Association, Taylor & Francis Journals, volume 113, issue 521, pages 315-327, January, DOI: 10.1080/01621459.2016.1251440.
  4. Quefeng Li & Guang Cheng & Jianqing Fan & Yuyan Wang, 2018, "Embracing the Blessing of Dimensionality in Factor Models," Journal of the American Statistical Association, Taylor & Francis Journals, volume 113, issue 521, pages 380-389, January, DOI: 10.1080/01621459.2016.1256815.
  5. Jianqing Fan & Donggyu Kim, 2018, "Robust High-Dimensional Volatility Matrix Estimation for High-Frequency Factor Model," Journal of the American Statistical Association, Taylor & Francis Journals, volume 113, issue 523, pages 1268-1283, July, DOI: 10.1080/01621459.2017.1340888.

2017

  1. Aït-Sahalia, Yacine & Xiu, Dacheng, 2017, "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 384-399, DOI: 10.1016/j.jeconom.2017.08.015.
  2. Yacine Aït-Sahalia & Jianqing Fan & Roger J. A. Laeven & Christina Dan Wang & Xiye Yang, 2017, "Estimation of the Continuous and Discontinuous Leverage Effects," Journal of the American Statistical Association, Taylor & Francis Journals, volume 112, issue 520, pages 1744-1758, October, DOI: 10.1080/01621459.2016.1240082.
  3. Markus K. Brunnermeier & Michael Sockin & Wei Xiong, 2017, "China's Gradualistic Economic Approach and Financial Markets," American Economic Review, American Economic Association, volume 107, issue 5, pages 608-613, May.
  4. Markus K. Brunnermeier & Filippos Papakonstantinou & Jonathan A. Parker, 2017, "Optimal Time-Inconsistent Beliefs: Misplanning, Procrastination, and Commitment," Management Science, INFORMS, volume 63, issue 5, pages 1318-1340, May, DOI: 10.1287/mnsc.2015.2360.
  5. Markus K. Brunnermeier & Sam Langfield & Marco Pagano & Ricardo Reis & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2017, "ESBies: safety in the tranches," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, volume 32, issue 90, pages 175-219.
  6. Markus Brunnermeier, 2017, "Comment," NBER Macroeconomics Annual, University of Chicago Press, volume 31, issue 1, pages 92-99, DOI: 10.1086/690247.
  7. Jianqing Fan & Quefeng Li & Yuyan Wang, 2017, "Estimation of high dimensional mean regression in the absence of symmetry and light tail assumptions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 79, issue 1, pages 247-265, January.
  8. Jianqing Fan & Han Liu & Yang Ning & Hui Zou, 2017, "High dimensional semiparametric latent graphical model for mixed data," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 79, issue 2, pages 405-421, March.
  9. Jianqing Fan & Xu Han, 2017, "Estimation of the false discovery proportion with unknown dependence," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 79, issue 4, pages 1143-1164, September.
  10. Fan, Jianqing & Xue, Lingzhou & Yao, Jiawei, 2017, "Sufficient forecasting using factor models," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 292-306, DOI: 10.1016/j.jeconom.2017.08.009.
  11. H. Xu & U. Kemiktarak & J. Fan & S. Ragole & J. Lawall & J. M. Taylor, 2017, "Observation of optomechanical buckling transitions," Nature Communications, Nature, volume 8, issue 1, pages 1-7, April, DOI: 10.1038/ncomms14481.
  12. Jianqing Fan, 2017, "Discussion of ‘Post selection shrinkage estimation for high‐dimensional data analysis’," Applied Stochastic Models in Business and Industry, John Wiley & Sons, volume 33, issue 2, pages 121-122, March, DOI: 10.1002/asmb.2224.

2016

  1. Aït-Sahalia, Yacine & Park, Joon Y., 2016, "Bandwidth selection and asymptotic properties of local nonparametric estimators in possibly nonstationary continuous-time models," Journal of Econometrics, Elsevier, volume 192, issue 1, pages 119-138, DOI: 10.1016/j.jeconom.2015.11.002.
  2. Aït-Sahalia, Yacine & Xiu, Dacheng, 2016, "Increased correlation among asset classes: Are volatility or jumps to blame, or both?," Journal of Econometrics, Elsevier, volume 194, issue 2, pages 205-219, DOI: 10.1016/j.jeconom.2016.05.002.
  3. Yacine Aït-Sahalia & Thomas Robert Hurd, 2016, "Portfolio Choice in Markets with Contagion," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 1, pages 1-28.
  4. Markus K. Brunnermeier & Yuliy Sannikov, 2016, "On the Optimal Inflation Rate," American Economic Review, American Economic Association, volume 106, issue 5, pages 484-489, May.
  5. Markus K. Brunnermeier & Luis Garicano & Philip R. Lane & Marco Pagano & Ricardo Reis & Tano Santos & David Thesmar & Stijn Van Nieuwerburgh & Dimitri Vayanos, 2016, "The Sovereign-Bank Diabolic Loop and ESBies," American Economic Review, American Economic Association, volume 106, issue 5, pages 508-512, May.
  6. Tobias Adrian & Markus K. Brunnermeier, 2016, "CoVaR," American Economic Review, American Economic Association, volume 106, issue 7, pages 1705-1741, July.
    • Tobias Adrian & Markus K. Brunnermeier, 2008, "CoVaR," Staff Reports, Federal Reserve Bank of New York, number 348.
    • Tobias Adrian & Markus K. Brunnermeier, 2011, "CoVaR," NBER Working Papers, National Bureau of Economic Research, Inc, number 17454, Oct.
  7. Fan, Jianqing & Han, Fang & Liu, Han & Vickers, Byron, 2016, "Robust inference of risks of large portfolios," Journal of Econometrics, Elsevier, volume 194, issue 2, pages 298-308, DOI: 10.1016/j.jeconom.2016.05.008.
  8. Jianqing Fan & Yang Feng & Jiancheng Jiang & Xin Tong, 2016, "Feature Augmentation via Nonparametrics and Selection (FANS) in High-Dimensional Classification," Journal of the American Statistical Association, Taylor & Francis Journals, volume 111, issue 513, pages 275-287, March, DOI: 10.1080/01621459.2015.1005212.
  9. Emre Barut & Jianqing Fan & Anneleen Verhasselt, 2016, "Conditional Sure Independence Screening," Journal of the American Statistical Association, Taylor & Francis Journals, volume 111, issue 515, pages 1266-1277, July, DOI: 10.1080/01621459.2015.1092974.
  10. Jianqing Fan & Lingzhou Xue & Hui Zou, 2016, "Multitask Quantile Regression Under the Transnormal Model," Journal of the American Statistical Association, Taylor & Francis Journals, volume 111, issue 516, pages 1726-1735, October, DOI: 10.1080/01621459.2015.1113973.
  11. Jushan Bai & Jianqing Fan & Ruey Tsay, 2016, "Special Issue on Big Data," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 4, pages 487-488, October, DOI: 10.1080/07350015.2016.1197681.
  12. Jianqing Fan & Alex Furger & Dacheng Xiu, 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, Taylor & Francis Journals, volume 34, issue 4, pages 489-503, October, DOI: 10.1080/07350015.2015.1052458.
  13. Jianqing Fan & Michael B. Imerman & Wei Dai, 2016, "What Does the Volatility Risk Premium Say About Liquidity Provision and Demand for Hedging Tail Risk?," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 34, issue 4, pages 519-535, October, DOI: 10.1080/07350015.2016.1152968.
  14. Jianqing Fan & Yuan Liao & Han Liu, 2016, "An overview of the estimation of large covariance and precision matrices," Econometrics Journal, Royal Economic Society, volume 19, issue 1, pages 1-32, February.
  15. Sun, Andrew & Lachanski, Michael & Fabozzi, Frank J., 2016, "Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction," International Review of Financial Analysis, Elsevier, volume 48, issue C, pages 272-281, DOI: 10.1016/j.irfa.2016.10.009.

2015

  1. Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena, 2015, "Market-based estimation of stochastic volatility models," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 418-435, DOI: 10.1016/j.jeconom.2015.02.028.
  2. Aït-Sahalia, Yacine & Cacho-Diaz, Julio & Laeven, Roger J.A., 2015, "Modeling financial contagion using mutually exciting jump processes," Journal of Financial Economics, Elsevier, volume 117, issue 3, pages 585-606, DOI: 10.1016/j.jfineco.2015.03.002.
  3. Markus K. Brunnermeier & Yuliy Sannikov, 2015, "International Credit Flows and Pecuniary Externalities," American Economic Journal: Macroeconomics, American Economic Association, volume 7, issue 1, pages 297-338, January.
  4. Jianqing Fan & Wenyang Zhang, 2015, "Discussion," International Statistical Review, International Statistical Institute, volume 83, issue 1, pages 65-68, April.
  5. Ning Hao & Bin Dong & Jianqing Fan, 2015, "Sparsifying the Fisher linear discriminant by rotation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 77, issue 4, pages 827-851, September.
  6. Fan, Jianqing & Liao, Yuan & Shi, Xiaofeng, 2015, "Risks of large portfolios," Journal of Econometrics, Elsevier, volume 186, issue 2, pages 367-387, DOI: 10.1016/j.jeconom.2015.02.015.
  7. Jianqing Fan & Xin Tong & Yao Zeng, 2015, "Multi-Agent Inference in Social Networks: A Finite Population Learning Approach," Journal of the American Statistical Association, Taylor & Francis Journals, volume 110, issue 509, pages 149-158, March, DOI: 10.1080/01621459.2014.893885.
  8. Zheng Tracy Ke & Jianqing Fan & Yichao Wu, 2015, "Homogeneity Pursuit," Journal of the American Statistical Association, Taylor & Francis Journals, volume 110, issue 509, pages 175-194, March, DOI: 10.1080/01621459.2014.892882.
  9. Jianqing Fan & Yuan Liao & Jiawei Yao, 2015, "Power Enhancement in High‐Dimensional Cross‐Sectional Tests," Econometrica, Econometric Society, volume 83, issue 4, pages 1497-1541, July.

2014

  1. Aït-Sahalia, Yacine & Laeven, Roger J.A. & Pelizzon, Loriana, 2014, "Mutual excitation in Eurozone sovereign CDS," Journal of Econometrics, Elsevier, volume 183, issue 2, pages 151-167, DOI: 10.1016/j.jeconom.2014.05.006.
  2. Markus K. Brunnermeier & Yuliy Sannikov, 2014, "A Macroeconomic Model with a Financial Sector," American Economic Review, American Economic Association, volume 104, issue 2, pages 379-421, February.
  3. Brunnermeier Markus K., 2014, "„Das letzte Kapitel ist noch nicht geschrieben“: Ein Gespräch mit Markus K. Brunnermeier, Princeton University, über die Lehren aus der Finanzkrise und der Großen Rezession," Perspektiven der Wirtschaftspolitik, De Gruyter, volume 15, issue 3, pages 234-245, October, DOI: 10.1515/pwp-2014-0018.
  4. Markus K. Brunnermeier & Alp Simsek & Wei Xiong, 2014, "A Welfare Criterion For Models With Distorted Beliefs," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 129, issue 4, pages 1753-1797.
  5. Markus K. Brunnermeier & Martin Oehmke, 2014, "Predatory Short Selling," Review of Finance, European Finance Association, volume 18, issue 6, pages 2153-2195.
  6. Hongtu Zhu & Jianqing Fan & Linglong Kong, 2014, "Spatially Varying Coefficient Model for Neuroimaging Data With Jump Discontinuities," Journal of the American Statistical Association, Taylor & Francis Journals, volume 109, issue 507, pages 1084-1098, September, DOI: 10.1080/01621459.2014.881742.
  7. Jianqing Fan & Yunbei Ma & Wei Dai, 2014, "Nonparametric Independence Screening in Sparse Ultra-High-Dimensional Varying Coefficient Models," Journal of the American Statistical Association, Taylor & Francis Journals, volume 109, issue 507, pages 1270-1284, September, DOI: 10.1080/01621459.2013.879828.
  8. Jianqing Fan & Lei Qi & Dacheng Xiu, 2014, "Quasi-Maximum Likelihood Estimation of GARCH Models With Heavy-Tailed Likelihoods," Journal of Business & Economic Statistics, Taylor & Francis Journals, volume 32, issue 2, pages 178-191, April, DOI: 10.1080/07350015.2013.840239.

2013

  1. Aït-Sahalia, Yacine & Fan, Jianqing & Li, Yingying, 2013, "The leverage effect puzzle: Disentangling sources of bias at high frequency," Journal of Financial Economics, Elsevier, volume 109, issue 1, pages 224-249, DOI: 10.1016/j.jfineco.2013.02.018.
  2. 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.
  3. Markus K. Brunnermeier & Martin Oehmke, 2013, "The Maturity Rat Race," Journal of Finance, American Finance Association, volume 68, issue 2, pages 483-521, April, DOI: jofi.12005.
  4. Markus K. Brunnermeier & Laura Veldkamp, 2013, "Leadership, Coordination, and Corporate Culture," The Review of Economic Studies, Review of Economic Studies Ltd, volume 80, issue 2, pages 512-537.
  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, volume 75, issue 4, pages 603-680, September.
  6. F. E. Becerra & J. Fan & A. Migdall, 2013, "Implementation of generalized quantum measurements for unambiguous discrimination of multiple non-orthogonal coherent states," Nature Communications, Nature, volume 4, issue 1, pages 1-6, October, DOI: 10.1038/ncomms3028.
  7. Jianqing Fan & Arnab Maity & Yihui Wang & Yichao Wu, 2013, "Parametrically guided generalised additive models with application to mergers and acquisitions data," Journal of Nonparametric Statistics, Taylor & Francis Journals, volume 25, issue 1, pages 109-128, March, DOI: 10.1080/10485252.2012.735233.

2012

  1. Yacine Aït-Sahalia & Jean Jacod, 2012, "Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data," Journal of Economic Literature, American Economic Association, volume 50, issue 4, pages 1007-1050, December.
  2. Aït-Sahalia, Yacine & Jacod, Jean & Li, Jia, 2012, "Testing for jumps in noisy high frequency data," Journal of Econometrics, Elsevier, volume 168, issue 2, pages 207-222, DOI: 10.1016/j.jeconom.2011.12.004.
  3. Aït-Sahalia, Yacine & Park, Joon Y., 2012, "Stationarity-based specification tests for diffusions when the process is nonstationary," Journal of Econometrics, Elsevier, volume 169, issue 2, pages 279-292, DOI: 10.1016/j.jeconom.2012.01.030.
  4. 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, volume 87, issue 1, pages 162-177, DOI: 10.1016/j.jinteco.2011.12.001.
  5. Markus K. Brunnermeier & Yuliy Sannikov, 2012, "Redistributive monetary policy," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 331-384.
  6. Markus K. Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2012, "Risk Topography," NBER Macroeconomics Annual, University of Chicago Press, volume 26, issue 1, pages 149-176, DOI: 10.1086/663991.
    • Markus K. Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2011, "Risk Topography," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2011, Volume 26".
  7. 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, volume 74, issue 1, pages 37-65, January, DOI: j.1467-9868.2011.01005.x.
  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, volume 74, issue 4, pages 745-771, September, DOI: j.1467-9868.2012.01029.x.
  9. 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, volume 107, issue 497, pages 412-428, March, DOI: 10.1080/01621459.2012.656041.
  10. Jianqing Fan & Jingjin Zhang & Ke Yu, 2012, "Vast Portfolio Selection With Gross-Exposure Constraints," Journal of the American Statistical Association, Taylor & Francis Journals, volume 107, issue 498, pages 592-606, June, DOI: 10.1080/01621459.2012.682825.
  11. Zhiguo He & Wei Xiong, 2012, "Debt Financing in Asset Markets," American Economic Review, American Economic Association, volume 102, issue 3, pages 88-94, May.
  12. Zhiguo He & Wei Xiong, 2012, "Rollover Risk and Credit Risk," Journal of Finance, American Finance Association, volume 67, issue 2, pages 391-430, April, DOI: j.1540-6261.2012.01721.x.
  13. Barberis, Nicholas & Xiong, Wei, 2012, "Realization utility," Journal of Financial Economics, Elsevier, volume 104, issue 2, pages 251-271, DOI: 10.1016/j.jfineco.2011.10.005.

2011

  1. Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011, "Ultra high frequency volatility estimation with dependent microstructure noise," Journal of Econometrics, Elsevier, volume 160, issue 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, volume 160, issue 1, pages 190-203, January.
  3. Jianqing Fan & Jinchi Lv & Lei Qi, 2011, "Sparse High-Dimensional Models in Economics," Annual Review of Economics, Annual Reviews, volume 3, issue 1, pages 291-317, September.
  4. 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, volume 106, issue 494, pages 544-557.
  5. 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, volume 73, issue 3, pages 325-349, June.
  6. Fan, Yingying & Fan, Jianqing, 2011, "Testing and detecting jumps based on a discretely observed process," Journal of Econometrics, Elsevier, volume 164, issue 2, pages 331-344, October.
  7. Wei Xiong & Jialin Yu, 2011, "The Chinese Warrants Bubble," American Economic Review, American Economic Association, volume 101, issue 6, pages 2723-2753, October.

2010

  1. Aït-Sahalia, Yacine & Kimmel, Robert L., 2010, "Estimating affine multifactor term structure models using closed-form likelihood expansions," Journal of Financial Economics, Elsevier, volume 98, issue 1, pages 113-144, October.
  2. Brunnermeier, Markus K. & Morgan, John, 2010, "Clock games: Theory and experiments," Games and Economic Behavior, Elsevier, volume 68, issue 2, pages 532-550, March.
  3. 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, volume 105, issue 492, pages 1504-1517.
  4. 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;Sociedad de Estadística e Investigación Operativa, volume 19, issue 1, pages 37-42, May, DOI: 10.1007/s11749-009-0180-8.
  5. 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;Sociedad de Estadística e Investigación Operativa, volume 19, issue 2, pages 264-269, August, DOI: 10.1007/s11749-010-0200-8.
  6. N. Ning & J. Fan & J. Wu & H. Chiriac & X. P. Li, 2010, "NiFe/INSULATOR/CuCOMPOSITE WIRES AND THEIR GIANT MAGNETO-IMPEDANCE EFFECTS," Surface Review and Letters (SRL), World Scientific Publishing Co. Pte. Ltd., volume 17, issue 03, pages 369-373, DOI: 10.1142/S0218625X10014120.
  7. Wei Xiong & Hongjun Yan, 2010, "Heterogeneous Expectations and Bond Markets," The Review of Financial Studies, Society for Financial Studies, volume 23, issue 4, pages 1433-1466, April.

2009

  1. Yacine Aït-Sahalia, 2009, "Estimating and Testing Continuous-Time Models in Finance: The Role of Transition Densities," Annual Review of Financial Economics, Annual Reviews, volume 1, issue 1, pages 341-359, November.
  2. Markus K. Brunnermeier & Motohiro Yogo, 2009, "A Note on Liquidity Risk Management," American Economic Review, American Economic Association, volume 99, issue 2, pages 578-583, May.
  3. Markus K. Brunnermeier, 2009, "Deciphering the Liquidity and Credit Crunch 2007-2008," Journal of Economic Perspectives, American Economic Association, volume 23, issue 1, pages 77-100, Winter, DOI: 10.1257/jep.23.1.77.
  4. Markus K. Brunnermeier & Lasse Heje Pedersen, 2009, "Market Liquidity and Funding Liquidity," The Review of Financial Studies, Society for Financial Studies, volume 22, issue 6, pages 2201-2238, June.
  5. 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, volume 104, issue 485, pages 348-359.
  6. Fan, Jianqing & Feng, Yang, 2009, "Comment," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 487, pages 1003-1007.
  7. Aït-Sahalia, Yacine & Fan, Jianqing & Peng, Heng, 2009, "Nonparametric Transition-Based Tests for Jump Diffusions," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 487, pages 1102-1116.
  8. Fan, Jianqing & Mancini, Loriano, 2009, "Option Pricing With Model-Guided Nonparametric Methods," Journal of the American Statistical Association, American Statistical Association, volume 104, issue 488, pages 1351-1372.
  9. John Stephen Yap & Jianqing Fan & Rongling Wu, 2009, "Nonparametric Modeling of Longitudinal Covariance Structure in Functional Mapping of Quantitative Trait Loci," Biometrics, The International Biometric Society, volume 65, issue 4, pages 1068-1077, December.
  10. Jianqing Ruan & Xiaobo Zhang, 2009, "Finance and Cluster-Based Industrial Development in China," Economic Development and Cultural Change, University of Chicago Press, volume 58, issue 1, pages 143-164, October, DOI: 10.1086/605208.
  11. 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, volume 64, issue 2, pages 751-784, April, DOI: 10.1111/j.1540-6261.2009.01448.x.
  12. 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, volume 10, issue 2, pages 225-255, November.

2008

  1. Yacine Aït-Sahalia & Jean Jacod, 2008, "Fisher's Information for Discretely Sampled Lévy Processes," Econometrica, Econometric Society, volume 76, issue 4, pages 727-761, July.
  2. Aït-Sahalia, Yacine & Mykland, Per A., 2008, "An analysis of Hansen-Scheinkman moment estimators for discretely and randomly sampled diffusions," Journal of Econometrics, Elsevier, volume 144, issue 1, pages 1-26, May.
  3. Aït-Sahalia, Yacine & Mancini, Loriano, 2008, "Out of sample forecasts of quadratic variation," Journal of Econometrics, Elsevier, volume 147, issue 1, pages 17-33, November.
  4. Markus K. Brunnermeier & Stefan Nagel, 2008, "Do Wealth Fluctuations Generate Time-Varying Risk Aversion? Micro-evidence on Individuals," American Economic Review, American Economic Association, volume 98, issue 3, pages 713-736, June.
  5. Markus K. Brunnermeier & Christian Julliard, 2008, "Money Illusion and Housing Frenzies," The Review of Financial Studies, Society for Financial Studies, volume 21, issue 1, pages 135-180, January.
  6. Fan, Jianqing & Wu, Yichao, 2008, "Semiparametric Estimation of Covariance Matrixes for Longitudinal Data," Journal of the American Statistical Association, American Statistical Association, volume 103, issue 484, pages 1520-1533.
  7. 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, volume 70, issue 1, pages 141-158, February, DOI: 10.1111/j.1467-9868.2007.00630.x.
  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, volume 70, issue 4, pages 679-702, September, DOI: 10.1111/j.1467-9868.2008.00654.x.
  9. Jianqing Fan & Jinchi Lv, 2008, "Sure independence screening for ultrahigh dimensional feature space," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 70, issue 5, pages 849-911, November, DOI: 10.1111/j.1467-9868.2008.00674.x.
  10. Fan, Jianqing & Fan, Yingying & Lv, Jinchi, 2008, "High dimensional covariance matrix estimation using a factor model," Journal of Econometrics, Elsevier, volume 147, issue 1, pages 186-197, November.
  11. Hong, Harrison & Scheinkman, José & Xiong, Wei, 2008, "Advisors and asset prices: A model of the origins of bubbles," Journal of Financial Economics, Elsevier, volume 89, issue 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, volume 97, issue 2, pages 159-165, May.
  2. 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, volume 102, pages 1282-1288, December.
  3. 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, volume 102, pages 1349-1362, December.
  4. 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, volume 102, pages 538-551, June.
  5. 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, volume 102, pages 618-631, June.
  6. 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, volume 102, pages 632-641, June.
  7. 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;Sociedad de Estadística e Investigación Operativa, volume 16, issue 3, pages 409-444, December, DOI: 10.1007/s11749-007-0080-8.
  8. 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;Sociedad de Estadística e Investigación Operativa, volume 16, issue 3, pages 471-478, December, DOI: 10.1007/s11749-007-0090-6.
  9. Lin Peng & Wei Xiong & Tim Bollerslev, 2007, "Investor Attention and Time‐varying Comovements," European Financial Management, European Financial Management Association, volume 13, issue 3, pages 394-422, June, DOI: 10.1111/j.1468-036X.2007.00366.x.
  10. Sircar, Ronnie & Xiong, Wei, 2007, "A general framework for evaluating executive stock options," Journal of Economic Dynamics and Control, Elsevier, volume 31, issue 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, volume 24, pages 162-167, April.
  2. Fan, Jianqing & Fan, Yingying, 2006, "Comment," Journal of the American Statistical Association, American Statistical Association, volume 101, pages 991-994, September.
  3. 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;Sociedad de Estadística e Investigación Operativa, volume 15, issue 2, pages 271-344, September, DOI: 10.1007/BF02607055.
  4. Harrison Hong & José Scheinkman & Wei Xiong, 2006, "Asset Float and Speculative Bubbles," Journal of Finance, American Finance Association, volume 61, issue 3, pages 1073-1117, June, DOI: 10.1111/j.1540-6261.2006.00867.x.
  5. Kyle, Albert S. & Ou-Yang, Hui & Xiong, Wei, 2006, "Prospect theory and liquidation decisions," Journal of Economic Theory, Elsevier, volume 129, issue 1, pages 273-288, July.
  6. Peng, Lin & Xiong, Wei, 2006, "Investor attention, overconfidence and category learning," Journal of Financial Economics, Elsevier, volume 80, issue 3, pages 563-602, June.

2005

  1. 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, volume 100, pages 1394-1411, December.
  2. Yacine Aït-Sahalia, 2005, "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 2, pages 351-416.
  3. Markus K. Brunnermeier & Jonathan A. Parker, 2005, "Optimal Expectations," American Economic Review, American Economic Association, volume 95, issue 4, pages 1092-1118, September.
  4. Markus K. Brunnermeier & Lasse Heje Pedersen, 2005, "Predatory Trading," Journal of Finance, American Finance Association, volume 60, issue 4, pages 1825-1863, August, DOI: 10.1111/j.1540-6261.2005.00781.x.
  5. Markus K. Brunnermeier, 2005, "Information Leakage and Market Efficiency," The Review of Financial Studies, Society for Financial Studies, volume 18, issue 2, pages 417-457.
  6. 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, volume 100, pages 781-796, September.
  7. Fan, Jianqing & Peng, Heng & Huang, Tao & Ren, Yi, 2005, "Rejoinder," Journal of the American Statistical Association, American Statistical Association, volume 100, pages 808-813, September.
  8. Fan, Jianqing & Jiang, Jiancheng, 2005, "Nonparametric Inferences for Additive Models," Journal of the American Statistical Association, American Statistical Association, volume 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, volume 92, issue 2, pages 303-316, June.

2004

  1. Ait-Sahalia, Yacine, 2004, "Disentangling diffusion from jumps," Journal of Financial Economics, Elsevier, volume 74, issue 3, pages 487-528, December.
  2. 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, volume 2, issue 1, pages 98-114, March.
  3. 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, volume 99, pages 710-723, January.
  4. Jianqing Fan, 2004, "Generalised likelihood ratio tests for spectral density," Biometrika, Biometrika Trust, volume 91, issue 1, pages 195-209, March.
  5. Jianqing Fan & Tsz Ho Yim, 2004, "A crossvalidation method for estimating conditional densities," Biometrika, Biometrika Trust, volume 91, issue 4, pages 819-834, December.

2003

  1. Yacine Ait--Sahalia & Per A. Mykland, 2003, "The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions," Econometrica, Econometric Society, volume 71, issue 2, pages 483-549, March.
  2. Ait-Sahalia, Yacine & Duarte, Jefferson, 2003, "Nonparametric option pricing under shape restrictions," Journal of Econometrics, Elsevier, volume 116, issue 1-2, pages 9-47.
  3. Dilip Abreu & Markus K. Brunnermeier, 2003, "Bubbles and Crashes," Econometrica, Econometric Society, volume 71, issue 1, pages 173-204, January.
  4. 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, volume 98, pages 118-134, January.
  5. Jianqing Fan & Qiwei Yao & Zongwu Cai, 2003, "Adaptive varying‐coefficient linear models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 65, issue 1, pages 57-80, February, DOI: 10.1111/1467-9868.00372.
  6. Jianqing Fan & Juan Gu, 2003, "Semiparametric estimation of Value at Risk," Econometrics Journal, Royal Economic Society, volume 6, issue 2, pages 261-290, December.
  7. Jose A. Scheinkman & Wei Xiong, 2003, "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, volume 111, issue 6, pages 1183-1219, December, DOI: 10.1086/378531.

2002

  1. Ait-Sahalia, Yacine, 2002, "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment," Journal of Business & Economic Statistics, American Statistical Association, volume 20, issue 3, pages 317-321, July.
  2. Yacine Aït‐Sahalia, 2002, "Telling from Discrete Data Whether the Underlying Continuous‐Time Model Is a Diffusion," Journal of Finance, American Finance Association, volume 57, issue 5, pages 2075-2112, October, DOI: 10.1111/1540-6261.00489.
  3. Yacine Ait-Sahalia, 2002, "Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach," Econometrica, Econometric Society, volume 70, issue 1, pages 223-262, January.
  4. Abreu, Dilip & Brunnermeier, Markus K., 2002, "Synchronization risk and delayed arbitrage," Journal of Financial Economics, Elsevier, volume 66, issue 2-3, pages 341-360.

2001

  1. Yacine AÏT‐SAHALI & Michael W. Brandt, 2001, "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1297-1351, August, DOI: 10.1111/0022-1082.00369.
  2. 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, volume 102, issue 1, pages 67-110, May.
  3. 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, volume 105, issue 2, pages 363-412, December.
  4. Fan J. & Li R., 2001, "Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties," Journal of the American Statistical Association, American Statistical Association, volume 96, pages 1348-1360, December.
  5. Fan J. & Huang L-S., 2001, "Goodness-of-Fit Tests for Parametric Regression Models," Journal of the American Statistical Association, American Statistical Association, volume 96, pages 640-652, June.
  6. Antoniadis A. & Fan J., 2001, "Regularization of Wavelet Approximations," Journal of the American Statistical Association, American Statistical Association, volume 96, pages 939-967, September.
  7. Xiong, Wei, 2001, "Convergence trading with wealth effects: an amplification mechanism in financial markets," Journal of Financial Economics, Elsevier, volume 62, issue 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, volume 94, issue 1-2, pages 9-51.
  2. 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, volume 62, issue 1, pages 181-190, DOI: 10.1111/1467-9868.00227.
  3. 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, volume 62, issue 2, pages 303-322, DOI: 10.1111/1467-9868.00233.
  4. Jianqing Fan & Wenyang Zhang, 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, volume 27, issue 4, pages 715-731, December, DOI: 10.1111/1467-9469.00218.
  5. Cai, Zongwu & Fan, Jianqing, 2000, "Average Regression Surface for Dependent Data," Journal of Multivariate Analysis, Elsevier, volume 75, issue 1, pages 112-142, October.

1999

  1. Yacine Aït‐Sahalia, 1999, "Transition Densities for Interest Rate and Other Nonlinear Diffusions," Journal of Finance, American Finance Association, volume 54, issue 4, pages 1361-1395, August, DOI: 10.1111/0022-1082.00149.
  2. 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, volume 26, issue 1-3, pages 237-269, January.
  3. J. Fan & J. Chen, 1999, "One‐step local quasi‐likelihood estimation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 61, issue 4, pages 927-943, DOI: 10.1111/1467-9868.00211.
  4. Fan, Jianqing & Huang, Li-Shan, 1999, "Rates of convergence for the pre-asymptotic substitution bandwidth selector," Statistics & Probability Letters, Elsevier, volume 43, issue 3, pages 309-316, July.
  5. 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;Sociedad de Estadística e Investigación Operativa, volume 8, issue 1, pages 1-73, June, DOI: 10.1007/BF02595862.

1998

  1. Ait-Sahalia, Yacine, 1998, "Dynamic equilibrium and volatility in financial asset markets," Journal of Econometrics, Elsevier, volume 84, issue 1, pages 93-127, May.
  2. J. Fan & M. Farmen & I. Gijbels, 1998, "Local maximum likelihood estimation and inference," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 60, issue 3, pages 591-608, DOI: 10.1111/1467-9868.00142.

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;The Institute of Statistical Mathematics, volume 49, issue 1, pages 79-99, March, DOI: 10.1023/A:1003162622169.
  2. Jianqing Fan, 1997, "Comments on «Wavelets in statistics: A review» by A. Antoniadis," Statistical Methods & Applications, Springer;Società Italiana di Statistica, volume 6, issue 2, pages 131-138, August, DOI: 10.1007/BF03178906.

1996

  1. Ait-Sahalia, Yacine, 1996, "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, volume 64, issue 3, pages 527-560, May.
  2. Ait-Sahalia, Yacine, 1996, "Testing Continuous-Time Models of the Spot Interest Rate," The Review of Financial Studies, Society for Financial Studies, volume 9, issue 2, pages 385-426.

1994

  1. Yacine Ait-Sahalia, 1994, "Entry-Exit Decisions of Foreign Firms and Import Prices," Annals of Economics and Statistics, GENES, issue 34, pages 181-217.

1992

  1. Fan, Jianqing & Masry, Elias, 1992, "Multivariate regression estimation with errors-in-variables: Asymptotic normality for mixing processes," Journal of Multivariate Analysis, Elsevier, volume 43, issue 2, pages 237-271, November.
  2. Fan, Jianqing & Hu, Tien-Chung, 1992, "Bias correction and higher order kernel functions," Statistics & Probability Letters, Elsevier, volume 13, issue 3, pages 235-243, February.
  3. Fan, Jianqing & Gijbels, Irène, 1992, "Minimax estimation of a bounded squared mean," Statistics & Probability Letters, Elsevier, volume 13, issue 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, Oxford University Press, volume 5, issue 3, pages 321-357.

Books

2017

  1. Fan,Jianqing & Yao,Qiwei, 2017, "The Elements of Financial Econometrics," Cambridge Books, Cambridge University Press, number 9781107191174.

2016

  1. Markus K. Brunnermeier & Harold James & Jean-Pierre Landau, 2016, "The Euro and the Battle of Ideas," Economics Books, Princeton University Press, number 10828, edition 1, December.

2014

  1. Yacine Aït-Sahalia & Jean Jacod, 2014, "High-Frequency Financial Econometrics," Economics Books, Princeton University Press, number 10261, edition 1, December.
  2. Markus Brunnermeier & Arvind Krishnamurthy, 2014, "Risk Topography: Systemic Risk and Macro Modeling," NBER Books, National Bureau of Economic Research, Inc, number brun11-1, May.
  3. Brunnermeier, Markus & Krishnamurthy, Arvind (ed.), 2014, "Risk Topography," National Bureau of Economic Research Books, University of Chicago Press, number 9780226077734, ISBN: ARRAY(0x6ab20840), December.

2001

  1. Brunnermeier, Markus K., 2001, "Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding," OUP Catalogue, Oxford University Press, number 9780198296980, ISBN: ARRAY(0x81033c30).

Chapters

2021

  1. Markus K. Brunnermeier & Sebastian Merkel & Yuliy Sannikov, 2021, "A Safe-Asset Perspective for an Integrated Policy Framework," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Steven J Davis & Edward S Robinson & Bernard Yeung, "THE ASIAN MONETARY POLICY FORUM Insights for Central Banking".

2020

  1. Randall Morck, 2020, "Comments on “From Commodity to Fiat and Now to Crypto: What Does History Tell Us?” — Back to the Future with Cryptocurrencies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Bernard Yeung, "DIGITAL CURRENCY ECONOMICS AND POLICY".
  2. Markus Brunnermeier & Dirk Niepelt, 2020, "Digital Money: Private versus Public," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Bernard Yeung, "DIGITAL CURRENCY ECONOMICS AND POLICY".

2019

  1. Álvaro Aguirre & Markus Brunnermeier & Diego Saravia, 2019, "Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications – An Overview," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, chapter 1, in: Álvaro Aguirre & Markus Brunnermeier & Diego Saravia, "Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications".
  2. Markus K. Brunnermeier & Lunyang Huang, 2019, "A Global Safe Asset for and from Emerging Market Economies," Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile, chapter 5, in: Álvaro Aguirre & Markus Brunnermeier & Diego Saravia, "Monetary Policy and Financial Stability: Transmission Mechanisms and Policy Implications".

2018

  1. Markus Brunnermeier, 2018, "The Euro Crisis," Book Chapters, Hoover Institution, Stanford University, chapter 7, in: Michael D. Bordo & John H. Cochrane, "The Structural Foundations of Monetary Policy".

2016

  1. Brunnermeier, M.K. & Sannikov, Y., 2016, "Macro, Money, and Finance," Handbook of Macroeconomics, Elsevier, chapter 0, in: J. B. Taylor & Harald Uhlig, "Handbook of Macroeconomics", DOI: 10.1016/bs.hesmac.2016.06.002.
  2. Markus K. Brunnermeier, 2016, "Comment on "The Analytics of the Greek Crisis"," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2016, Volume 31".
  3. Markus K. Brunnermeier & Harold James & Jean-Pierre Landau, 2016, "Introduction," Introductory Chapters, Princeton University Press, "The Euro and the Battle of Ideas".

2015

  1. Hanming Fang & Quanlin Gu & Wei Xiong & Li‐An Zhou, 2015, "Demystifying the Chinese Housing Boom," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2015, Volume 30".

2014

  1. Yacine Aït-Sahalia & Jean Jacod, 2014, "Preface
    [High-Frequency Financial Econometrics]    ," Introductory Chapters, Princeton University Press.
  2. Yacine Aït-Sahalia & Jean Jacod, 2014, "From Diffusions to Semimartingales
    [High-Frequency Financial Econometrics]    ," Introductory Chapters, Princeton University Press.
  3. Gang Liu, 2014, "Measuring the Stock of Human Capital for International and Intertemporal Comparisons," NBER Chapters, National Bureau of Economic Research, Inc, "Measuring Economic Sustainability and Progress".

2013

  1. Brunnermeier, Markus K. & Oehmke, Martin, 2013, "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, Elsevier, chapter 0, in: G.M. Constantinides & M. Harris & R. M. Stulz, "Handbook of the Economics of Finance", DOI: 10.1016/B978-0-44-459406-8.00018-4.
  2. Markus Brunnermeier & Arvind Krishnamurthy, 2013, "Introduction to "Risk Topography: Systemic Risk and Macro Modeling"," NBER Chapters, National Bureau of Economic Research, Inc, "Risk Topography: Systemic Risk and Macro Modeling".
  3. Markus Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2013, "Liquidity Mismatch Measurement," NBER Chapters, National Bureau of Economic Research, Inc, "Risk Topography: Systemic Risk and Macro Modeling".
  4. Markus K. Brunnermeier & Yuliy Sannikov, 2013, "International Credit Flows and Pecuniary Externalities," NBER Chapters, National Bureau of Economic Research, Inc, "Lessons from the Financial Crisis for Monetary Policy".

2011

  1. Tobias Adrian & Markus K. Brunnermeier & Hoai-Luu Q. Nguyen, 2011, "Hedge Fund Tail Risk," NBER Chapters, National Bureau of Economic Research, Inc, "Quantifying Systemic Risk".
  2. Markus K. Brunnermeier & Gary Gorton & Arvind Krishnamurthy, 2011, "Risk Topography," NBER Chapters, National Bureau of Economic Research, Inc, "NBER Macroeconomics Annual 2011, Volume 26".

2009

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

2001

  1. Yacine Aït-Sahalia, 2001, "Transition Densities For Interest Rate And Other Nonlinear Diffusions," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Marco Avellaneda, "Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II)".

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