Selected publications

Manuscripts to be published
• Ait-Sahalia, Y., Fan, J., and Li, Y. (2013).
  The leverage effect puzzle: disentangling sources of bias in high frequency inference.
  Review of Financial Studies, To appear.
• Fan, J., Liao, Y. and Micheva, M. (2013).
  Large Covariance Estimation by Thresholding Principal Orthogonal Complements. Journal of Royal Statistical Society B , to appear (to be read).
• Wang, J., Zhu, H., Fan, J., Giovanello, K., and Lin, W. L. (2013). Multiscale adaptive smoothing models for the hemodynamic response function in fMRI. Annals of Applied Statistics, to appear


Manuscripts under review
• Zhu, H., Fan, J. and Kong, L. (2012). Spatially varying coefficient model for neuroimaging data with jump discontinuities. Manuscript.
• Fan, J., Tang, R., and Shi, X. (2012). Partial consistency with sparse incidental parameters. Submitted .
• Fan, J., Xue, L., and Zou, H. (2012).
  Strong oracle optimality of folded concave penalized estimation.
  Manuscript.
• Fan, Y., Fan, J. and Barut, E. (2012).
  Adaptive Robust Variable Selection
  Manuscript.
• Ke, T., Jin, J. and Fan, J. (2012).
  Covariance Assisted Screening and Estimation.
  Manuscript.
• Barut, E., Fan, J., and Verhasselt, A. (2012).
  Conditional sure independence screening
  Manuscript.
• Fan, J., Qi, L., and Xiu, D. (2012).
  Quasi Maximum Likelihood Estimation of GARCH Models with Heavy-Tailed Likelihoods.
  Manuscript.
• Fan, J. and Liao, Y. (2012).
  Endogeneity in Ultrahigh Dimension.
  Manuscript .