@book{4628, author = {{Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita and Kulik, Rafal}}, isbn = {{9783642355110}}, publisher = {{Springer Berlin Heidelberg}}, title = {{{Long-Memory Processes}}}, doi = {{10.1007/978-3-642-35512-7}}, year = {{2013}}, } @techreport{4657, author = {{Feng, Yuanhua and Sun, Lixin}}, title = {{{A Semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets}}}, year = {{2013}}, } @techreport{4658, author = {{Feng, Yuanhua}}, title = {{{Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects}}}, year = {{2013}}, } @article{4597, author = {{Feng, Yuanhua}}, issn = {{0266-4763}}, journal = {{Journal of Applied Statistics}}, number = {{2}}, pages = {{266--281}}, publisher = {{Informa UK Limited}}, title = {{{An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method}}}, doi = {{10.1080/02664763.2012.740626}}, volume = {{40}}, year = {{2012}}, } @article{4601, author = {{Feng, Yuanhua and Beran, Jan}}, issn = {{0143-9782}}, journal = {{Journal of Time Series Analysis}}, number = {{1}}, pages = {{30--39}}, publisher = {{Wiley}}, title = {{{Optimal convergence rates in non-parametric regression with fractional time series errors}}}, doi = {{10.1111/j.1467-9892.2012.00811.x}}, volume = {{34}}, year = {{2012}}, } @article{4610, author = {{Feng, Yuanhua and Beran, Jan}}, issn = {{1559-8608}}, journal = {{Journal of Statistical Theory and Practice}}, number = {{4}}, pages = {{777--793}}, publisher = {{Informa UK Limited}}, title = {{{Filtered Log-Periodogram Regression of Long Memory Processes}}}, doi = {{10.1080/15598608.2009.10411959}}, volume = {{3}}, year = {{2012}}, } @article{4611, author = {{Beran, Jan and Feng, Yuanhua}}, issn = {{1559-8608}}, journal = {{Journal of Statistical Theory and Practice}}, number = {{2}}, pages = {{149--166}}, publisher = {{Informa UK Limited}}, title = {{{Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes}}}, doi = {{10.1080/15598608.2007.10411831}}, volume = {{1}}, year = {{2012}}, } @article{4612, author = {{Beran, Jan and Feng, Yuanhua}}, issn = {{1559-8608}}, journal = {{Journal of Statistical Theory and Practice}}, number = {{2}}, pages = {{149--166}}, publisher = {{Informa UK Limited}}, title = {{{Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes}}}, doi = {{10.1080/15598608.2007.10411831}}, volume = {{1}}, year = {{2012}}, } @inbook{4631, author = {{Feng, Yuanhua and Heiler, Siegfried}}, booktitle = {{Econometrics in Theory and Practice}}, isbn = {{9783642470295}}, pages = {{101--117}}, publisher = {{Physica-Verlag HD}}, title = {{{Locally Weighted Autoregression}}}, doi = {{10.1007/978-3-642-47027-1_10}}, year = {{2012}}, } @techreport{4659, author = {{Feng, Yuanhua and Hand, David and Yu, Keming}}, title = {{{A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance}}}, year = {{2012}}, }