Letmathe, Sebastian, et al. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” Journal of Risk, vol. 25, no. 2.
LibreCat: /record/35992

Letmathe, Sebastian, et al. “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

Peitz, Christian, et al. “The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH.” Asian Economic and Financial Review, vol. 10, no. 4, Asian Economic and Social Society, 2020, pp. 427–38.
LibreCat: /record/16873

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

Feng, Yuanhua, and Sebastian Letmathe. The Non-Gaussian ESEMIFAR Model. 2018, p. 7.
LibreCat: /record/4667

Forstinger, Sarah, et al. “Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models.” Book of Abstracts, 2018, p. 17.
LibreCat: /record/4668

Zhang, Xuehai, and Yuanhua Feng. “A Box-Cox Semiparametric Multiplicative Error Model.” Book of Abstracts, 2018, p. 19.
LibreCat: /record/4669

Zhang, Xuehai, et al. A General Class of SemiGARCH Models Based on the Box-Cox Transformation. 2017.
LibreCat: /record/4633

Feng, Yuanhua, and Thomas Gries. Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series. 2017.
LibreCat: /record/4671

Feng, Yuanhua, et al. “On the Iterative Plug-in Algorithm for Estimating Diurnal Patterns of Financial Trade Durations.”10.1080/00949655.2015.1107908__Journal of Statistical Computation and Simulation, vol. 86, no. 12, Informa UK Limited, 2015, pp. 2291–307, doi:10.1080/00949655.2015.1107908.
LibreCat: /record/4592
DOI: 10.1080/00949655.2015.1107908

Feng, Yuanhua, and Chen Zhou. “Forecasting Financial Market Activity Using a Semiparametric Fractionally Integrated Log-ACD.”10.1016/j.ijforecast.2014.09.001__International Journal of Forecasting, vol. 31, no. 2, Elsevier BV, 2015, pp. 349–63, doi:10.1016/j.ijforecast.2014.09.001.
LibreCat: /record/4593
DOI: 10.1016/j.ijforecast.2014.09.001

Beran, Jan, et al., editors. Empirical Economic and Financial Research - Theory, Methods and Practice. Springer, 2015.
LibreCat: /record/4649

Beran, Jan, et al. “Introduction.”10.1007/978-3-319-03122-4_1__Empirical Economic and Financial Research, Springer International Publishing, 2015, pp. 1–6, doi:10.1007/978-3-319-03122-4_1.
LibreCat: /record/4650
DOI: 10.1007/978-3-319-03122-4_1

Feng, Yuanhua, and Chen Zhou. An Iterative Plug-in Algorithm for Realized Kernels. 2015.
LibreCat: /record/4656

Beran, Jan, et al. “Modelling Long-Range Dependence and Trends in Duration Series: An Approach Based on EFARIMA and ESEMIFAR Models.”10.1007/s00362-014-0590-x__Statistical Papers, vol. 56, no. 2, Springer Nature, 2014, pp. 431–51, doi:10.1007/s00362-014-0590-x.
LibreCat: /record/4599
DOI: 10.1007/s00362-014-0590-x

Beran, Jan, et al. “On EFARIMA and ESEMIFAR Models.”10.1007/978-3-319-03122-4_15__Empirical Economic and Financial Research, Springer International Publishing, 2014, pp. 239–53, doi:10.1007/978-3-319-03122-4_15.
LibreCat: /record/4602
DOI: 10.1007/978-3-319-03122-4_15

Peitz, Christian, and Yuanhua Feng. “Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model.”10.1007/978-3-319-03122-4_21__Empirical Economic and Financial Research, Springer International Publishing, 2014, pp. 341–56, doi:10.1007/978-3-319-03122-4_21.
LibreCat: /record/4603
DOI: 10.1007/978-3-319-03122-4_21

Feng, Yuanhua. “Data-Driven Estimation of Diurnal Patterns of Durations between Trades on Financial Markets.”10.1016/j.spl.2014.05.011__Statistics &; Probability Letters, vol. 92, Elsevier BV, 2014, pp. 109–13, doi:10.1016/j.spl.2014.05.011.
LibreCat: /record/4605
DOI: 10.1016/j.spl.2014.05.011

Zhou, Chen, and Yuanhua Feng. Data-Driven Estimation of Realized Kernels under Dependent Microstructure Noise and Further Analysis Using the Semi-FI-Log-ACD. 2014.
LibreCat: /record/4664

Feng, Yuanhua, et al. “A Tree-Form Constant Market Share Model for Growth Causes in International Trade Based on Multi-Level Classification.”10.1007/s10842-013-0156-y__Journal of Industry, Competition and Trade, vol. 14, no. 2, Springer Nature, 2013, pp. 207–28, doi:10.1007/s10842-013-0156-y.
LibreCat: /record/4596
DOI: 10.1007/s10842-013-0156-y