Fan, Jianqing and Liao, Yuan and Mincheva, Martina (2011): Large covariance estimation by thresholding principal orthogonal complements.
Fan, Jianqing and Liao, Yuan (2012): Endogeneity in ultrahigh dimension.
Fan, Jianqing and Liao, Yuan and Shi, Xiaofeng (2013): Risks of large portfolios.
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