S. Letmathe, Y. Feng, and A. Uhde, “Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall,” Journal of Risk, vol. 25, no. 2.
LibreCat: /record/35992

S. Letmathe, Y. Feng, and A. Uhde, “Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall,”10.21314/JOR.2022.044__Journal of Risk, doi:10.21314/JOR.2022.044 .
LibreCat: /record/29317
DOI: 10.21314/JOR.2022.044

C. Peitz, Y. Feng, B. M. Gilroy, and N. Stöckmann, “The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH,” Asian Economic and Financial Review, vol. 10, no. 4, pp. 427–438, 2020.
LibreCat: /record/16873

B. Schäfer and Y. Feng, “Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model,” in Book of Abstracts, Paderborn, Germany, 2018, p. 7.
LibreCat: /record/4665

Y. Feng and S. Letmathe, “The Non-Gaussian ESEMIFAR Model.” p. 7, 2018.
LibreCat: /record/4667

S. Forstinger, Y. Feng, and C. Peitz, “Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models,” in Book of Abstracts, Paderborn, Germany, 2018, p. 17.
LibreCat: /record/4668

X. Zhang and Y. Feng, “A Box-Cox Semiparametric Multiplicative Error Model,” in Book of Abstracts, Paderborn, Germany, 2018, p. 19.
LibreCat: /record/4669

X. Zhang, Y. Feng, and C. Peitz, A general class of SemiGARCH models based on the Box-Cox transformation. 2017.
LibreCat: /record/4633

Y. Feng and T. Gries, Data-driven local polynomial for the trend and its derivatives in economic time series. 2017.
LibreCat: /record/4671

Y. Feng, S. Forstinger, and C. Peitz, “On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations,” Journal of Statistical Computation and Simulation, vol. 86, no. 12, pp. 2291–2307, 2015.
LibreCat: /record/4592
DOI: 10.1080/00949655.2015.1107908

Y. Feng and C. Zhou, “Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD,” International Journal of Forecasting, vol. 31, no. 2, pp. 349–363, 2015.
LibreCat: /record/4593
DOI: 10.1016/j.ijforecast.2014.09.001

J. Beran, Y. Feng, and H. Hebbel, Eds., Empirical Economic and Financial Research - Theory, Methods and Practice. Berlin: Springer, 2015.
LibreCat: /record/4649

J. Beran, Y. Feng, and H. Hebbel, “Introduction,” in Empirical Economic and Financial Research, Cham: Springer International Publishing, 2015, pp. 1–6.
LibreCat: /record/4650
DOI: 10.1007/978-3-319-03122-4_1

Y. Feng and C. Zhou, An iterative plug-in algorithm for realized kernels. 2015.
LibreCat: /record/4656

J. Beran, Y. Feng, and S. Ghosh, “Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models,” Statistical Papers, vol. 56, no. 2, pp. 431–451, 2014.
LibreCat: /record/4599
DOI: 10.1007/s00362-014-0590-x

J. Beran, Y. Feng, and S. Ghosh, “On EFARIMA and ESEMIFAR Models,” in Empirical Economic and Financial Research, Cham: Springer International Publishing, 2014, pp. 239–253.
LibreCat: /record/4602
DOI: 10.1007/978-3-319-03122-4_15

C. Peitz and Y. Feng, “Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model,” in Empirical Economic and Financial Research, Cham: Springer International Publishing, 2014, pp. 341–356.
LibreCat: /record/4603
DOI: 10.1007/978-3-319-03122-4_21

Y. Feng, “Data-driven estimation of diurnal patterns of durations between trades on financial markets,” Statistics &; Probability Letters, vol. 92, pp. 109–113, 2014.
LibreCat: /record/4605
DOI: 10.1016/j.spl.2014.05.011

C. Zhou and Y. Feng, “Data-driven estimation of realized kernels under dependent microstructure noise and further analysis using the Semi-FI-Log-ACD.” 2014.
LibreCat: /record/4664

Y. Feng, Z. Guo, and C. Peitz, “A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification,” Journal of Industry, Competition and Trade, vol. 14, no. 2, pp. 207–228, 2013.
LibreCat: /record/4596
DOI: 10.1007/s10842-013-0156-y