@inproceedings{4665, author = {{Schäfer, Bastian and Feng, Yuanhua}}, booktitle = {{Book of Abstracts}}, location = {{Paderborn, Germany}}, pages = {{7}}, title = {{{Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model}}}, year = {{2018}}, } @inproceedings{4667, author = {{Feng, Yuanhua and Letmathe, Sebastian}}, location = {{Paderborn, Germany}}, pages = {{7}}, title = {{{The Non-Gaussian ESEMIFAR Model}}}, year = {{2018}}, } @inproceedings{4668, author = {{Forstinger, Sarah and Feng, Yuanhua and Peitz, Christian}}, booktitle = {{Book of Abstracts}}, location = {{Paderborn, Germany}}, pages = {{17}}, title = {{{Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models}}}, year = {{2018}}, } @inproceedings{4669, author = {{Zhang, Xuehai and Feng, Yuanhua}}, booktitle = {{Book of Abstracts}}, location = {{Paderborn, Germany}}, pages = {{19}}, title = {{{A Box-Cox Semiparametric Multiplicative Error Model}}}, year = {{2018}}, } @phdthesis{4672, author = {{Forstinger, Sarah}}, title = {{{Modelling and forecasting financial and economic time series using different semiparametric ACD models}}}, year = {{2018}}, } @techreport{4633, author = {{Zhang, Xuehai and Feng, Yuanhua and Peitz, Christian}}, title = {{{A general class of SemiGARCH models based on the Box-Cox transformation}}}, year = {{2017}}, } @techreport{4671, author = {{Feng, Yuanhua and Gries, Thomas}}, title = {{{Data-driven local polynomial for the trend and its derivatives in economic time series}}}, year = {{2017}}, } @book{5119, author = {{Peitz, Christian}}, publisher = {{Springer-Verlag}}, title = {{{Die parametrische und semiparametrische Analyse von Finanzzeitreihen: neue Methoden, Modelle und Anwendungsm\"oglichkeiten}}}, year = {{2016}}, } @article{4592, author = {{Feng, Yuanhua and Forstinger, Sarah and Peitz, Christian}}, issn = {{0094-9655}}, journal = {{Journal of Statistical Computation and Simulation}}, number = {{12}}, pages = {{2291--2307}}, publisher = {{Informa UK Limited}}, title = {{{On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations}}}, doi = {{10.1080/00949655.2015.1107908}}, volume = {{86}}, year = {{2015}}, } @article{4593, author = {{Feng, Yuanhua and Zhou, Chen}}, issn = {{0169-2070}}, journal = {{International Journal of Forecasting}}, number = {{2}}, pages = {{349--363}}, publisher = {{Elsevier BV}}, title = {{{Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD}}}, doi = {{10.1016/j.ijforecast.2014.09.001}}, volume = {{31}}, year = {{2015}}, } @book{4649, editor = {{Beran, Jan and Feng, Yuanhua and Hebbel, Hartmut}}, publisher = {{Springer}}, title = {{{Empirical Economic and Financial Research - Theory, Methods and Practice}}}, year = {{2015}}, } @inbook{4650, author = {{Beran, Jan and Feng, Yuanhua and Hebbel, Hartmut}}, booktitle = {{Empirical Economic and Financial Research}}, isbn = {{9783319031217}}, issn = {{1570-5811}}, pages = {{1--6}}, publisher = {{Springer International Publishing}}, title = {{{Introduction}}}, doi = {{10.1007/978-3-319-03122-4_1}}, year = {{2015}}, } @techreport{4656, author = {{Feng, Yuanhua and Zhou, Chen}}, title = {{{An iterative plug-in algorithm for realized kernels}}}, year = {{2015}}, } @article{4599, author = {{Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita}}, issn = {{0932-5026}}, journal = {{Statistical Papers}}, number = {{2}}, pages = {{431--451}}, publisher = {{Springer Nature}}, title = {{{Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models}}}, doi = {{10.1007/s00362-014-0590-x}}, volume = {{56}}, year = {{2014}}, } @inbook{4602, author = {{Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita}}, booktitle = {{Empirical Economic and Financial Research}}, isbn = {{9783319031217}}, issn = {{1570-5811}}, pages = {{239--253}}, publisher = {{Springer International Publishing}}, title = {{{On EFARIMA and ESEMIFAR Models}}}, doi = {{10.1007/978-3-319-03122-4_15}}, year = {{2014}}, } @inbook{4603, author = {{Peitz, Christian and Feng, Yuanhua}}, booktitle = {{Empirical Economic and Financial Research}}, isbn = {{9783319031217}}, issn = {{1570-5811}}, pages = {{341--356}}, publisher = {{Springer International Publishing}}, title = {{{Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model}}}, doi = {{10.1007/978-3-319-03122-4_21}}, year = {{2014}}, } @article{4605, author = {{Feng, Yuanhua}}, issn = {{0167-7152}}, journal = {{Statistics & Probability Letters}}, pages = {{109--113}}, publisher = {{Elsevier BV}}, title = {{{Data-driven estimation of diurnal patterns of durations between trades on financial markets}}}, doi = {{10.1016/j.spl.2014.05.011}}, volume = {{92}}, year = {{2014}}, } @inproceedings{4664, author = {{Zhou, Chen and Feng, Yuanhua}}, location = {{University of Pisa, Italy}}, title = {{{Data-driven estimation of realized kernels under dependent microstructure noise and further analysis using the Semi-FI-Log-ACD}}}, year = {{2014}}, } @article{4596, author = {{Feng, Yuanhua and Guo, Zhichao and Peitz, Christian}}, issn = {{1566-1679}}, journal = {{Journal of Industry, Competition and Trade}}, number = {{2}}, pages = {{207--228}}, publisher = {{Springer Nature}}, title = {{{A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification}}}, doi = {{10.1007/s10842-013-0156-y}}, volume = {{14}}, year = {{2013}}, } @article{4600, author = {{Guo, Zhichao and Feng, Yuanhua}}, issn = {{0264-9993}}, journal = {{Economic Modelling}}, pages = {{474--483}}, publisher = {{Elsevier BV}}, title = {{{Modeling of the impact of the financial crisis and China's accession to WTO on China's exports to Germany}}}, doi = {{10.1016/j.econmod.2012.12.015}}, volume = {{31}}, year = {{2013}}, } @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}}, } @article{4598, author = {{Guo, Zhichao and Feng, Yuanhua and Tan, Xiangyong}}, issn = {{0264-9993}}, journal = {{Economic Modelling}}, number = {{6}}, pages = {{2359--2368}}, publisher = {{Elsevier BV}}, title = {{{Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products}}}, doi = {{10.1016/j.econmod.2011.06.007}}, volume = {{28}}, year = {{2011}}, } @article{4606, author = {{Liu, Xiaohong and Grant, David B. and McKinnon, Alan C. and Feng, Yuanhua}}, issn = {{0960-0035}}, journal = {{International Journal of Physical Distribution & Logistics Management}}, number = {{10}}, pages = {{847--866}}, publisher = {{Emerald}}, title = {{{An empirical examination of the contribution of capabilities to the competitiveness of logistics service providers}}}, doi = {{10.1108/09600031011093232}}, volume = {{40}}, year = {{2010}}, } @article{4607, author = {{Liu, Xiaohong and McKinnon, Alan C. and Grant, David B. and Feng, Yuanhua}}, issn = {{1865-035X}}, journal = {{Logistics Research}}, number = {{1}}, pages = {{23--32}}, publisher = {{Springer Nature}}, title = {{{Sources of competitiveness for logistics service providers: a UK industry perspective}}}, doi = {{10.1007/s12159-010-0024-7}}, volume = {{2}}, year = {{2010}}, } @article{4608, author = {{Feng, Yuanhua and Heiler, Siegfried}}, issn = {{0094-9655}}, journal = {{Journal of Statistical Computation and Simulation}}, number = {{12}}, pages = {{1425--1439}}, publisher = {{Informa UK Limited}}, title = {{{A simple bootstrap bandwidth selector for local polynomial fitting}}}, doi = {{10.1080/00949650802352019}}, volume = {{79}}, year = {{2009}}, } @article{4622, author = {{Beran, Jan and Feng, Yuanhua and Heiler, Siegfried}}, issn = {{1572-3127}}, journal = {{Statistical Methodology}}, number = {{5}}, pages = {{447--465}}, publisher = {{Elsevier BV}}, title = {{{Modifying the double smoothing bandwidth selector in nonparametric regression}}}, doi = {{10.1016/j.stamet.2009.04.001}}, volume = {{6}}, year = {{2009}}, } @article{4609, author = {{Feng, Yuanhua and McNeil, Alexander J.}}, issn = {{0264-9993}}, journal = {{Economic Modelling}}, number = {{5}}, pages = {{850--867}}, publisher = {{Elsevier BV}}, title = {{{Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility}}}, doi = {{10.1016/j.econmod.2007.11.007}}, volume = {{25}}, year = {{2008}}, } @article{3470, author = {{Beran, Jan and Feng, Yuanhua}}, issn = {{1350-7265}}, journal = {{Bernoulli}}, number = {{5}}, publisher = {{JSTOR}}, title = {{{Local Polynomial Estimation with a FARIMA-GARCH Error Process}}}, doi = {{10.2307/3318539}}, volume = {{7}}, year = {{2007}}, } @article{4613, author = {{Feng, Yuanhua}}, issn = {{1048-5252}}, journal = {{Journal of Nonparametric Statistics}}, number = {{2}}, pages = {{63--76}}, publisher = {{Informa UK Limited}}, title = {{{On the asymptotic variance in nonparametric regression with fractional time-series errors}}}, doi = {{10.1080/10485250701381737}}, volume = {{19}}, year = {{2007}}, } @article{4614, author = {{Feng, Yuanhua and Beran, J. and Yu, K.}}, issn = {{1471-678X}}, journal = {{IMA Journal of Management Mathematics}}, number = {{4}}, pages = {{395--412}}, publisher = {{Oxford University Press (OUP)}}, title = {{{Modelling financial time series with SEMIFAR GARCH model}}}, doi = {{10.1093/imaman/dpm024}}, volume = {{18}}, year = {{2007}}, } @inbook{4616, author = {{Beran, Jan and Feng, Yuanhua and Franke, Günter and Hess, Dieter and Ocker, Dirk}}, booktitle = {{Processes with Long-Range Correlations}}, isbn = {{9783540401292}}, issn = {{0075-8450}}, pages = {{225--250}}, publisher = {{Springer Berlin Heidelberg}}, title = {{{Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity}}}, doi = {{10.1007/3-540-44832-2_13}}, year = {{2007}}, } @article{4624, author = {{Beran, Jan and Feng, Yuanhua}}, issn = {{1350-7265}}, journal = {{Bernoulli}}, number = {{5}}, publisher = {{JSTOR}}, title = {{{Local Polynomial Estimation with a FARIMA-GARCH Error Process}}}, doi = {{10.2307/3318539}}, volume = {{7}}, year = {{2007}}, } @book{4652, editor = {{Ng, Pin and Yu, Keming and Feng, Yuanhua}}, title = {{{Special Issue: Quantile Regression}}}, volume = {{7}}, year = {{2007}}, } @article{4615, author = {{Feng, Yuanhua}}, issn = {{0266-4666}}, journal = {{Econometric Theory}}, number = {{03}}, publisher = {{Cambridge University Press (CUP)}}, title = {{{SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE}}}, doi = {{10.1017/s0266466604203061}}, volume = {{20}}, year = {{2004}}, } @book{4630, author = {{Feng, Yuanhua}}, title = {{{Non- and Semiparametric Regression with Fractional Time Series Errors}}}, year = {{2004}}, } @inbook{4634, author = {{Heiler, Siegfried and Feng, Yuanhua}}, booktitle = {{Zeitreihenanalyse in der empirischen Wirtschaftsforschung}}, editor = {{Metz, Rainer and Lösch, Manfred and Edel, Klaus}}, pages = {{67 -- 81}}, publisher = {{Lucius & Lucius}}, title = {{{A robust data-driven version of the Berlin Method}}}, year = {{2004}}, } @article{4617, author = {{Beran, Jan and Feng, Yuanhua}}, issn = {{0167-9473}}, journal = {{Computational Statistics & Data Analysis}}, number = {{2}}, pages = {{393--419}}, publisher = {{Elsevier BV}}, title = {{{SEMIFAR models—a semiparametric approach to modelling trends, long-range dependence and nonstationarity}}}, doi = {{10.1016/s0167-9473(02)00007-5}}, volume = {{40}}, year = {{2002}}, } @article{4620, author = {{Beran, Jan and Feng, Yuanhua}}, issn = {{1061-8600}}, journal = {{Journal of Computational and Graphical Statistics}}, number = {{3}}, pages = {{690--713}}, publisher = {{Informa UK Limited}}, title = {{{Iterative Plug-In Algorithms for SEMIFAR Models—Definition, Convergence, and Asymptotic Properties}}}, doi = {{10.1198/106186002420}}, volume = {{11}}, year = {{2002}}, } @article{4621, author = {{Heiler, Siegfried and Feng, Yuanhua}}, issn = {{0378-3758}}, journal = {{Journal of Statistical Planning and Inference}}, number = {{2}}, pages = {{351--363}}, publisher = {{Elsevier BV}}, title = {{{Data-driven decomposition of seasonal time series}}}, doi = {{10.1016/s0378-3758(00)00187-7}}, volume = {{91}}, year = {{2002}}, } @article{4623, author = {{Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita and Sibbertsen, Philipp}}, issn = {{0169-2070}}, journal = {{International Journal of Forecasting}}, number = {{2}}, pages = {{227--241}}, publisher = {{Elsevier BV}}, title = {{{On robust local polynomial estimation with long-memory errors}}}, doi = {{10.1016/s0169-2070(01)00155-8}}, volume = {{18}}, year = {{2002}}, } @article{4635, author = {{Beran, Jan and Feng, Yuanhua}}, journal = {{The Annals of the Institute of Statistical Mathematics}}, number = {{2}}, pages = {{291 -- 311}}, title = {{{Local polynomial fitting with long-memory, short-memory and antipersistent errors}}}, volume = {{54}}, year = {{2002}}, }