Bendheim Center for Finance

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2020

Adaptive Huber Regression

Sun, Q., Zhou, W. X. & Fan, J., Jan 2 2020, In : Journal of the American Statistical Association. 115, 529, p. 254-265 12 p.

Princeton University

Research output: Contribution to journalArticle

6 Scopus citations

A projection-based conditional dependence measure with applications to high-dimensional undirected graphical models

Fan, J., Feng, Y. & Xia, L., Jan 1 2020, (Accepted/In press) In : Journal of Econometrics. 218, 1, p. 119-139 21 p.

Princeton University

Research output: Contribution to journalArticle

Auctions in financial markets

Kastl, J., May 2020, In : International Journal of Industrial Organization. 70, 102559.

Princeton University

Research output: Contribution to journalArticle

Conditional Davis pricing

Larsen, K., Soner, H. M. & Žitković, G., Jul 1 2020, In : Finance and Stochastics. 24, 3, p. 565-599 35 p.

Princeton University, Rutgers, The State University

Research output: Contribution to journalArticle

Efficient wavefront sensing for space-based adaptive optics

Sun, H., Jeremy Kasdin, N. & Vanderbei, R., Jan 1 2020, In : Journal of Astronomical Telescopes, Instruments, and Systems. 6, 1, 019001.

Princeton University

Research output: Contribution to journalArticle

Open Access

Factor-adjusted regularized model selection

Fan, J., Ke, Y. & Wang, K., May 2020, In : Journal of Econometrics. 216, 1, p. 71-85 15 p.

Princeton University

Research output: Contribution to journalArticle

1 Scopus citations

High-frequency factor models and regressions

Aït-Sahalia, Y., Kalnina, I. & Xiu, D., May 2020, In : Journal of Econometrics. 216, 1, p. 86-105 20 p.

Princeton University

Research output: Contribution to journalArticle

1 Scopus citations

High frequency traders and the price process

Aït-Sahalia, Y. & Brunetti, C., Jul 2020, In : Journal of Econometrics. 217, 1, p. 20-45 26 p.

Princeton University

Research output: Contribution to journalArticle

How Does Credit Supply Expansion Affect the Real Economy? The Productive Capacity and Household Demand Channels

Mian, A., Sufi, A. & Verner, E., Apr 1 2020, In : Journal of Finance. 75, 2, p. 949-994 46 p.

Princeton University

Research output: Contribution to journalArticle

Martingale optimal transport duality

Cheridito, P., Kiiski, M., Prömel, D. J. & Soner, H. M., 2020, (Accepted/In press) In : Mathematische Annalen.

Princeton University

Research output: Contribution to journalArticle

2 Scopus citations

On the Welfare Losses from External Sovereign Borrowing

Aguiar, M., Amador, M. & Fourakis, S., Mar 1 2020, In : IMF Economic Review. 68, 1, p. 163-194 32 p.

Princeton University

Research output: Contribution to journalArticle

Optimizing a portfolio of mean-reverting assets with transaction costs via a feedforward neural network

Mulvey, J. M., Sun, Y., Wang, M. & Ye, J., Jan 1 2020, (Accepted/In press) In : Quantitative Finance.

Princeton University

Research output: Contribution to journalArticle

The term structure of equity and variance risk premia

Aït-Sahalia, Y., Karaman, M. & Mancini, L., Jan 1 2020, (Accepted/In press) In : Journal of Econometrics.

Princeton University

Research output: Contribution to journalArticle

2019

A contraction for sovereign debt models

Aguiar, M. & Amador, M., Sep 2019, In : Journal of Economic Theory. 183, p. 842-875 34 p.

Princeton University

Research output: Contribution to journalArticle

2 Scopus citations

Adaptive Huber regression on Markov-dependent data

Fan, J., Guo, Y. & Jiang, B., Jan 1 2019, (Accepted/In press) In : Stochastic Processes and their Applications.

Princeton University

Research output: Contribution to journalArticle

A demand system approach to asset pricing

Koijen, R. S. J. & Yogo, M., Aug 1 2019, In : Journal of Political Economy. 127, 4, p. 1475-1515 41 p.

Princeton University

Research output: Contribution to journalArticle

6 Scopus citations

A Framework for Telescope Schedulers: With Applications to the Large Synoptic Survey Telescope

Naghib, E., Yoachim, P., Vanderbei, R. J., Connolly, A. J. & Jones, R. L., Apr 2019, In : Astronomical Journal. 157, 4, 151.

Princeton University

Research output: Contribution to journalArticle

2 Scopus citations

A Hausman test for the presence of market microstructure noise in high frequency data

Ait-Sahalia, Y. & Xiu, D., Jul 1 2019, In : Journal of Econometrics. 211, 1, p. 176-205 30 p.

Princeton University

Research output: Contribution to journalArticle

7 Scopus citations

A Macroeconomic Model with Financial Panics

Gertler, M., Kiyotaki, N. & Prestipino, A., Apr 1 2019, In : American Historical Review. 124, 2, p. 240-288 49 p.

Princeton University

Research output: Contribution to journalArticle

Bank-Branch Supply, Financial Inclusion, and Wealth Accumulation

Célerier, C. & Matray, A., Dec 1 2019, In : Review of Financial Studies. 32, 12, p. 4767-4809 43 p.

Princeton University

Research output: Contribution to journalArticle

1 Scopus citations

Daily price limits and destructive market behavior

Chen, T., Gao, Z., He, J., Jiang, W. & Xiong, W., Jan 2019, In : Journal of Econometrics. 208, 1, p. 249-264 16 p.

Princeton University

Research output: Contribution to journalArticle

9 Scopus citations

Discrete Actions in Information-Constrained Decision Problems

Jung, J., Kim, J. H. J., Matějka, F. & Sims, C. A., Nov 1 2019, In : Review of Economic Studies. 86, 6, p. 2643-2667 25 p.

Princeton University

Research output: Contribution to journalArticle

2 Scopus citations

Distributed estimation of principal eigenspaces

Fan, J., Wang, D., Wang, K. & Zhu, Z., Jan 1 2019, In : Annals of Statistics. 47, 6, p. 3009-3031 23 p.

Princeton University

Research output: Contribution to journalArticle

3 Scopus citations

Dynamics of observables in rank-based models and performance of functionally generated portfolios

Almada Monter, S. A., Shkolnikov, M. & Zhang, J., Jan 1 2019, In : Annals of Applied Probability. 29, 5, p. 2849-2883 35 p.

Princeton University

Research output: Contribution to journalArticle

1 Scopus citations

Extended mean field control problems: Stochastic maximum principle and transport perspective

Acciaio, B., Backhoff-Veraguas, J. & Carmona, R., Jan 1 2019, In : SIAM Journal on Control and Optimization. 57, 6, p. 3666-3693 28 p.

Princeton University

Research output: Contribution to journalArticle

1 Scopus citations

Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction

Kim, D. & Fan, J., Feb 2019, In : Journal of Econometrics. 208, 2, p. 395-417 23 p.

Princeton University

Research output: Contribution to journalArticle

FarmTest: Factor-Adjusted Robust Multiple Testing With Approximate False Discovery Control

Fan, J., Ke, Y., Sun, Q. & Zhou, W. X., Oct 2 2019, In : Journal of the American Statistical Association. 114, 528, p. 1880-1893 14 p.

Princeton University

Research output: Contribution to journalArticle

5 Scopus citations

Generalized high-dimensional trace regression via nuclear norm regularization

Fan, J., Gong, W. & Zhu, Z., Sep 1 2019, In : Journal of Econometrics. 212, 1, p. 177-202 26 p.

Princeton University

Research output: Contribution to journalArticle

3 Scopus citations

Gradient descent with random initialization: fast global convergence for nonconvex phase retrieval

Chen, Y., Chi, Y., Fan, J. & Ma, C., Jul 1 2019, In : Mathematical Programming. 176, 1-2, p. 5-37 33 p.

Princeton University

Research output: Contribution to journalArticle

10 Scopus citations

Industrial policies in production networks

Liu, E., Nov 1 2019, In : Quarterly Journal of Economics. 134, 4, p. 1883-1948 66 p.

Princeton University

Research output: Contribution to journalArticle

2 Scopus citations
Open Access
1 Scopus citations

Information design: A unified perspective

Bergemann, D. & Morris, S., Mar 2019, In : Journal of Economic Literature. 57, 1, p. 44-95 52 p.

Princeton University

Research output: Contribution to journalArticle

19 Scopus citations

Largest entries of sample correlation matrices from equi-correlated normal populations

Fan, J. & Jiang, T., Sep 1 2019, In : Annals of Probability. 47, 5, p. 3321-3374 54 p.

Princeton University

Research output: Contribution to journalArticle

1 Scopus citations

Leverage dynamics and credit quality

Ordoñez, G., Perez-Reyna, D. & Yogo, M., Sep 2019, In : Journal of Economic Theory. 183, p. 183-212 30 p.

Princeton University

Research output: Contribution to journalArticle

Liquidity, business cycles, and monetary policy

Kiyotaki, N. & Moore, J., Dec 1 2019, In : Journal of Political Economy. 127, 6, p. 2926-2966 41 p.

Princeton University

Research output: Contribution to journalArticle

5 Scopus citations

Measuring and allocating systemic risk

Brunnermeier, M. K. & Cheridito, P., Jun 2019, In : Risks. 7, 2, 46.

Princeton University

Research output: Contribution to journalArticle

Open Access
4 Scopus citations

Microvascular endothelial cells engulf myelin debris and promote macrophage recruitment and fibrosis after neural injury

Zhou, T., Zheng, Y., Sun, L., Badea, S. R., Jin, Y., Liu, Y., Rolfe, A. J., Sun, H., Wang, X., Cheng, Z., Huang, Z., Zhao, N., Sun, X., Li, J., Fan, J., Lee, C., Megraw, T. L., Wu, W., Wang, G. & Ren, Y., Mar 1 2019, In : Nature neuroscience. 22, 3, p. 421-435 15 p.

Princeton University

Research output: Contribution to journalArticle

22 Scopus citations

Nearly weighted risk minimal unbiased estimation

Müller, U. K. & Wang, Y., Mar 2019, In : Journal of Econometrics. 209, 1, p. 18-34 17 p.

Princeton University

Research output: Contribution to journalArticle

Noisy stock prices and corporate investment

Dessaint, O., Foucault, T., Frésard, L. & Matray, A., Jan 1 2019, In : Review of Financial Studies. 32, 7, p. 2625-2672 48 p.

Princeton University

Research output: Contribution to journalArticle

5 Scopus citations

On the equivalence of private and public money

Brunnermeier, M. K. & Niepelt, D., Oct 2019, In : Journal of Monetary Economics. 106, p. 27-41 15 p.

Princeton University

Research output: Contribution to journalArticle

2 Scopus citations

Optimal investment with transaction costs and stochastic volatility Part II: Finite Horizon

Bichuch, M. & Sircar, R., Jan 1 2019, In : SIAM Journal on Control and Optimization. 57, 1, p. 437-467 31 p.

Princeton University

Research output: Contribution to journalArticle

9 Scopus citations

Political Connections and Allocative Distortions

Schoenherr, D., Apr 2019, In : Journal of Finance. 74, 2, p. 543-586 44 p.

Princeton University

Research output: Contribution to journalArticle

13 Scopus citations

Principal Component Analysis of High-Frequency Data

Aït-Sahalia, Y. & Xiu, D., Jan 2 2019, In : Journal of the American Statistical Association. 114, 525, p. 287-303 17 p.

Princeton University

Research output: Contribution to journalArticle

22 Scopus citations

Prior independent mechanisms via prophet inequalities with limited information

Azar, P. D., Kleinberg, R. & Weinberg, S. M., Nov 2019, In : Games and Economic Behavior. 118, p. 511-532 22 p.

Princeton University

Research output: Contribution to journalArticle

Robust consumption and portfolio policies when asset prices can jump

Aït-Sahalia, Y. & Matthys, F., Jan 2019, In : Journal of Economic Theory. 179, p. 1-56 56 p.

Princeton University

Research output: Contribution to journalArticle

4 Scopus citations

Robust covariance estimation for approximate factor models

Fan, J., Wang, W. & Zhong, Y., Jan 2019, In : Journal of Econometrics. 208, 1, p. 5-22 18 p.

Princeton University

Research output: Contribution to journalArticle

6 Scopus citations