Time-dependent Diffusion Models for Term Structure Dynamics and the Stock Price Volatility

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Statistical Methods with Varying Coefficient Models. (2008, methodology): “To take this and estimability into consideration, Fan et al. (2003) proposed the following timevarying coefficient model: This is an extension of the CKLS model when all varying coefficients are indeed constant.”
Normalized least-squares estimation in time-varying ARCH models (2008, methodology): “Arguments for using such models were laid out, for example, in Fan et al. (2003) , Mikosch & Stuaricua (2000, 2003, 2004), Mercurio & Spokoiny (2004a, 2004b) and Stuaricua & Granger (2005).”
An updated review of Goodness-of-Fit tests for regression models (2013, methodology): “This testing procedure has been studied by Fan et al. (2001) and more recently by Fan and Jiang (2007), in a survey for Test journal.”