[{"ddc":["330"],"user_id":"63677","language":[{"iso":"eng"}],"_id":"66449","date_updated":"2026-07-16T09:07:19Z","has_accepted_license":"1","status":"public","title":"Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III","year":"2026","jel":["C22","C4","C5","C6","B26"],"author":[{"first_name":"Dominik Christian","last_name":"Hanke","full_name":"Hanke, Dominik Christian","id":"63677"},{"last_name":"Uhde","first_name":"André","full_name":"Uhde, André","id":"36049"},{"full_name":"Feng, Yuanhua","last_name":"Feng","first_name":"Yuanhua","id":"20760"}],"type":"working_paper","keyword":["semiparametric GARCH extension","data-driven local polynomial smoother","long  memory","GARCH models","Value at Risk","Expected Shortfall","traffic light test","backtesting","Basel  III","market risk"],"oa":"1","department":[{"_id":"200"},{"_id":"186"}],"file":[{"file_id":"66450","content_type":"application/pdf","file_name":"TAF_WP_105_HankeUhdeFeng2026.pdf","access_level":"open_access","file_size":1830858,"relation":"main_file","date_updated":"2026-07-13T09:21:45Z","date_created":"2026-07-13T09:21:45Z","creator":"dhanke"}],"date_created":"2026-07-13T09:21:49Z","abstract":[{"lang":"eng","text":"This paper evaluates the forecasting performance of an expanded class of (semi-)parametric \r\nGARCH models belonging to the EGARCH family (EGF), including recently introduced long  \r\nand short memory specifications and their semiparametric extensions. The semiparametric \r\nvariants employ a multiplicative volatility decomposition into conditional and slowly varying \r\nunconditional components, where the latter is estimated via a data-driven local polynomial \r\nsmoother to accommodate non-stationarities commonly observed in financial time series. Based \r\non the revised Basel Committee framework for market-risk assessment, all models are capable \r\nof producing rolling one-day-ahead forecasts for Value at Risk (VaR) and Expected Shortfall \r\n(ES) under a wide range of symmetric and skewed innovation distributions. Their forecasting \r\naccuracy is examined using the regulatory traffic light tests for VaR and the recently developed \r\nES-specific traffic light procedure, complemented by the regulatory loss function. In addition, \r\nmodel selection incorporates both a recently proposed corrected firm-oriented loss function that \r\naccounts for opportunity costs and the Weighted Absolute Deviation (WAD) criterion. The \r\nempirical comparison demonstrates that (semiparametric) long memory GARCH models - \r\nparticularly those combining fractional dynamics with nonparametric scale adjustments - can \r\nserve as valuable alternatives to traditional parametric short memory models, offering more \r\nstable volatility estimates and improved tail-risk forecasts for practical risk management \r\napplications."}],"file_date_updated":"2026-07-13T09:21:45Z","citation":{"apa":"Hanke, D. C., Uhde, A., &#38; Feng, Y. (2026). <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>.","ieee":"D. C. Hanke, A. Uhde, and Y. Feng, <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>. 2026.","chicago":"Hanke, Dominik Christian, André Uhde, and Yuanhua Feng. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>, 2026.","short":"D.C. Hanke, A. Uhde, Y. Feng, Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III, 2026.","mla":"Hanke, Dominik Christian, et al. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>. 2026.","ama":"Hanke DC, Uhde A, Feng Y. <i>Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III</i>.; 2026.","bibtex":"@book{Hanke_Uhde_Feng_2026, title={Application of Novel Exponential (Semi-)Parametric Short and Long  Memory GARCH Models under Regulatory Requirements of Basel III}, author={Hanke, Dominik Christian and Uhde, André and Feng, Yuanhua}, year={2026} }"}},{"file_date_updated":"2026-07-13T09:14:58Z","citation":{"ama":"Hanke DC, Feng Y, Uhde A. <i>Comparing the Behaviors of Some Original Short  and Long Memory Exponential Volatility Models</i>.; 2026.","bibtex":"@book{Hanke_Feng_Uhde_2026, title={Comparing the behaviors of some original short  and long memory exponential volatility models}, author={Hanke, Dominik Christian and Feng, Yuanhua and Uhde, André}, year={2026} }","mla":"Hanke, Dominik Christian, et al. <i>Comparing the Behaviors of Some Original Short  and Long Memory Exponential Volatility Models</i>. 2026.","short":"D.C. Hanke, Y. Feng, A. Uhde, Comparing the Behaviors of Some Original Short  and Long Memory Exponential Volatility Models, 2026.","chicago":"Hanke, Dominik Christian, Yuanhua Feng, and André Uhde. <i>Comparing the Behaviors of Some Original Short  and Long Memory Exponential Volatility Models</i>, 2026.","apa":"Hanke, D. C., Feng, Y., &#38; Uhde, A. (2026). <i>Comparing the behaviors of some original short  and long memory exponential volatility models</i>.","ieee":"D. C. Hanke, Y. Feng, and A. Uhde, <i>Comparing the behaviors of some original short  and long memory exponential volatility models</i>. 2026."},"abstract":[{"lang":"eng","text":"Volatility modeling is utilized across numerous fields including finance, environmental studies, and \r\nsocial sciences. It is particularly relevant in scenarios where understanding and predicting conditional \r\nvariability is crucial, such as when dealing with incremental or time-dependent data. In this paper, novel \r\nshort and long memory volatility models of the EGARCH family are introduced and analyzed, which \r\nare closely related to the well-established EGARCH model proposed by Nelson (1991) but share \r\ndesirable theoretical properties in several dimensions. Recently developed members of the so-called \r\nEGARCH family, which introduces a modulus-log transformation proposed by John and Draper (1980) \r\nand a power transformation for the size and magnitude effect to tackle the problem with near-zero \r\ninnovations and the asymmetric impact of positive and negative shocks on the volatility, are discussed. \r\nAfter a theoretical discussion of the proposed and related volatility models, the practical performance \r\nof the elaborated volatility models is compared to well-established and traditional GARCH approaches. \r\nA general QMLE algorithm is proposed to estimate the model parameters. The practical relevance of the \r\nadvanced models is illustrated through a comparative study. By applying these volatility models to a \r\nvariety of international stock index returns, this paper identifies market-specific characteristics as well \r\nas unique strengths and weaknesses of discussed volatility models. Although the practical performance \r\nof the recently introduced models is comparable to those obtained by the traditional EGARCH model, \r\nthey generally outperform traditional non-exponential volatility models used as benchmarks and thus \r\nprovide a useful alternative to existing short and long memory volatility models. "}],"file":[{"relation":"main_file","date_updated":"2026-07-13T09:14:58Z","file_name":"TAF_WP_104_HankeFengUhde2026.pdf","file_size":1169286,"access_level":"open_access","file_id":"66448","content_type":"application/pdf","creator":"dhanke","date_created":"2026-07-13T09:14:58Z"}],"date_created":"2026-07-13T09:15:09Z","type":"working_paper","keyword":["Modulus Log-GARCH","Modified (FI)EGARCH","Modulus asymmetric (FI)Log-GARCH","(FI)EGARCH","long memory","modulus-log transformation","QMLE","model selection","implementation in  R"],"oa":"1","department":[{"_id":"186"}],"year":"2026","title":"Comparing the behaviors of some original short  and long memory exponential volatility models","status":"public","jel":["C4","C5","B23","B26","C32"],"author":[{"id":"63677","full_name":"Hanke, Dominik Christian","first_name":"Dominik Christian","last_name":"Hanke"},{"id":"20760","last_name":"Feng","first_name":"Yuanhua","full_name":"Feng, Yuanhua"},{"full_name":"Uhde, André","last_name":"Uhde","first_name":"André","id":"36049"}],"date_updated":"2026-07-16T09:07:24Z","has_accepted_license":"1","_id":"66447","language":[{"iso":"eng"}],"ddc":["330"],"user_id":"63677"},{"date_updated":"2025-11-09T09:49:02Z","publication_status":"published","intvolume":"        52","year":"2024","title":"Forecasting economic growth by combining local linear and standard approaches","publication_identifier":{"issn":["0266-4763","1360-0532"]},"author":[{"full_name":"Fritz, Marlon","first_name":"Marlon","last_name":"Fritz"},{"full_name":"Forstinger, Sarah","first_name":"Sarah","last_name":"Forstinger"},{"full_name":"Feng, Yuanhua","last_name":"Feng","first_name":"Yuanhua","id":"20760"},{"id":"186","first_name":"Thomas","last_name":"Gries","full_name":"Gries, Thomas"}],"doi":"10.1080/02664763.2024.2424920","language":[{"iso":"eng"}],"issue":"7","publication":"Journal of Applied Statistics","type":"journal_article","department":[{"_id":"35"},{"_id":"200"},{"_id":"202"},{"_id":"475"}],"date_created":"2025-06-03T10:33:51Z","status":"public","user_id":"186","volume":52,"page":"1342-1360","_id":"60118","publisher":"Informa UK Limited","citation":{"chicago":"Fritz, Marlon, Sarah Forstinger, Yuanhua Feng, and Thomas Gries. “Forecasting Economic Growth by Combining Local Linear and Standard Approaches.” <i>Journal of Applied Statistics</i> 52, no. 7 (2024): 1342–60. <a href=\"https://doi.org/10.1080/02664763.2024.2424920\">https://doi.org/10.1080/02664763.2024.2424920</a>.","ama":"Fritz M, Forstinger S, Feng Y, Gries T. Forecasting economic growth by combining local linear and standard approaches. <i>Journal of Applied Statistics</i>. 2024;52(7):1342-1360. doi:<a href=\"https://doi.org/10.1080/02664763.2024.2424920\">10.1080/02664763.2024.2424920</a>","short":"M. Fritz, S. Forstinger, Y. Feng, T. Gries, Journal of Applied Statistics 52 (2024) 1342–1360.","bibtex":"@article{Fritz_Forstinger_Feng_Gries_2024, title={Forecasting economic growth by combining local linear and standard approaches}, volume={52}, DOI={<a href=\"https://doi.org/10.1080/02664763.2024.2424920\">10.1080/02664763.2024.2424920</a>}, number={7}, journal={Journal of Applied Statistics}, publisher={Informa UK Limited}, author={Fritz, Marlon and Forstinger, Sarah and Feng, Yuanhua and Gries, Thomas}, year={2024}, pages={1342–1360} }","mla":"Fritz, Marlon, et al. “Forecasting Economic Growth by Combining Local Linear and Standard Approaches.” <i>Journal of Applied Statistics</i>, vol. 52, no. 7, Informa UK Limited, 2024, pp. 1342–60, doi:<a href=\"https://doi.org/10.1080/02664763.2024.2424920\">10.1080/02664763.2024.2424920</a>.","apa":"Fritz, M., Forstinger, S., Feng, Y., &#38; Gries, T. (2024). Forecasting economic growth by combining local linear and standard approaches. <i>Journal of Applied Statistics</i>, <i>52</i>(7), 1342–1360. <a href=\"https://doi.org/10.1080/02664763.2024.2424920\">https://doi.org/10.1080/02664763.2024.2424920</a>","ieee":"M. Fritz, S. Forstinger, Y. Feng, and T. Gries, “Forecasting economic growth by combining local linear and standard approaches,” <i>Journal of Applied Statistics</i>, vol. 52, no. 7, pp. 1342–1360, 2024, doi: <a href=\"https://doi.org/10.1080/02664763.2024.2424920\">10.1080/02664763.2024.2424920</a>."}},{"publication_status":"inpress","date_updated":"2023-11-17T10:26:36Z","article_type":"original","intvolume":"        25","title":"Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall","year":"2022","status":"public","author":[{"id":"23991","full_name":"Letmathe, Sebastian","first_name":"Sebastian","last_name":"Letmathe"},{"full_name":"Feng, Yuanhua","last_name":"Feng","first_name":"Yuanhua","id":"20760"},{"id":"36049","full_name":"Uhde, André","first_name":"André","last_name":"Uhde"}],"user_id":"36049","volume":25,"language":[{"iso":"eng"}],"_id":"35992","abstract":[{"text":"In this paper new semiparametric generalized autoregressive conditional heteroscedasticity (GARCH) models with long memory are introduced. A multiplicative decomposition of the volatility into a conditional component and an unconditional component is assumed. The estimation of the latter is carried out by means of a data-driven local polynomial smoother. According to the revised recommendations by the Basel Committee on Banking Supervision to measure market risk in the banks’ trading books, these new semiparametric GARCH models are applied to obtain rolling one-step ahead forecasts for the value-at-risk and expected shortfall (ES) for market risk assets. Standard regulatory traffic-light tests and a newly introduced traffic-light test for the ES are carried out for all models. In addition, model performance is assessed via a recently introduced model selection criterion. The practical relevance of our proposal is demonstrated by a comparative study. Our results indicate that semiparametric long-memory GARCH models are a meaningful substitute for their conventional, parametric counterparts. ","lang":"eng"}],"issue":"2","publication":"Journal of Risk","citation":{"ieee":"S. Letmathe, Y. Feng, and A. Uhde, “Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall,” <i>Journal of Risk</i>, vol. 25, no. 2.","apa":"Letmathe, S., Feng, Y., &#38; Uhde, A. (n.d.). Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. <i>Journal of Risk</i>, <i>25</i>(2).","chicago":"Letmathe, Sebastian, Yuanhua Feng, and André Uhde. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” <i>Journal of Risk</i> 25, no. 2 (n.d.).","short":"S. Letmathe, Y. Feng, A. Uhde, Journal of Risk 25 (n.d.).","mla":"Letmathe, Sebastian, et al. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” <i>Journal of Risk</i>, vol. 25, no. 2.","bibtex":"@article{Letmathe_Feng_Uhde, title={Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall}, volume={25}, number={2}, journal={Journal of Risk}, author={Letmathe, Sebastian and Feng, Yuanhua and Uhde, André} }","ama":"Letmathe S, Feng Y, Uhde A. Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. <i>Journal of Risk</i>. 25(2)."},"type":"journal_article","keyword":["long memory","generalized autoregressive conditional heteroscedasticity (GARCH) models","value-at-risk (VaR)","expected shortfall (ES)","traffic-light test","backtesting"],"department":[{"_id":"186"},{"_id":"188"}],"date_created":"2023-01-11T10:50:27Z"},{"user_id":"36049","doi":"10.21314/JOR.2022.044","_id":"29317","language":[{"iso":"eng"}],"publication_status":"inpress","date_updated":"2024-04-17T13:34:54Z","title":"Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall","year":"2022","status":"public","author":[{"first_name":"Sebastian","last_name":"Letmathe","full_name":"Letmathe, Sebastian","id":"23991"},{"id":"20760","first_name":"Yuanhua","last_name":"Feng","full_name":"Feng, Yuanhua"},{"orcid":"https://orcid.org/0000-0002-8058-8857","first_name":"André","last_name":"Uhde","full_name":"Uhde, André","id":"36049"}],"jel":["C14","C51","C52","G17","G32"],"type":"journal_article","keyword":["Semiparametric","long memory","GARCH models","forecasting","Value at Risk","Expected Shortfall","traffic light test","Basel Committee on Banking Supervision"],"department":[{"_id":"186"},{"_id":"19"}],"date_created":"2022-01-13T11:23:02Z","abstract":[{"lang":"eng","text":"In this paper new semiparametric GARCH models with long memory are in- troduced. The estimation of the nonparametric scale function is carried out by an adapted version of the SEMIFAR algorithm (Beran et al., 2002). Recurring on the revised recommendations by the Basel Committee to measure market risk in the banks' trading books (Basel Committee on Banking Supervision, 2013), the semi- parametric GARCH models are applied to obtain rolling one-step ahead forecasts for the Value at Risk (VaR) and Expected Shortfall (ES) for market risk assets. In addition, standard regulatory traffic light tests (Basel Committee on Banking Supervision, 1996) and a newly introduced traffic light test for the ES are carried out for all models. The practical relevance of our proposal is demonstrated by a comparative study. Our results indicate that semiparametric long memory GARCH models are an attractive alternative to their conventional, parametric counterparts."}],"publication":"Journal of Risk","citation":{"chicago":"Letmathe, Sebastian, Yuanhua Feng, and André Uhde. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” <i>Journal of Risk</i>, n.d. <a href=\"https://doi.org/10.21314/JOR.2022.044\">https://doi.org/10.21314/JOR.2022.044</a>.","short":"S. Letmathe, Y. Feng, A. Uhde, Journal of Risk (n.d.).","apa":"Letmathe, S., Feng, Y., &#38; Uhde, A. (n.d.). Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. <i>Journal of Risk</i>. <a href=\"https://doi.org/10.21314/JOR.2022.044\">https://doi.org/10.21314/JOR.2022.044</a>","ieee":"S. Letmathe, Y. Feng, and A. Uhde, “Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall,” <i>Journal of Risk</i>, doi: <a href=\"https://doi.org/10.21314/JOR.2022.044\">10.21314/JOR.2022.044</a>.","ama":"Letmathe S, Feng Y, Uhde A. Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. <i>Journal of Risk</i>. doi:<a href=\"https://doi.org/10.21314/JOR.2022.044\">10.21314/JOR.2022.044</a>","bibtex":"@article{Letmathe_Feng_Uhde, title={Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall}, DOI={<a href=\"https://doi.org/10.21314/JOR.2022.044\">10.21314/JOR.2022.044</a>}, journal={Journal of Risk}, author={Letmathe, Sebastian and Feng, Yuanhua and Uhde, André} }","mla":"Letmathe, Sebastian, et al. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” <i>Journal of Risk</i>, doi:<a href=\"https://doi.org/10.21314/JOR.2022.044\">10.21314/JOR.2022.044</a>."}},{"language":[{"iso":"eng"}],"doi":"10.32614/rj-2022-017","title":"The smoots Package in R for Semiparametric Modeling of Trend Stationary Time Series","year":"2022","author":[{"id":"20760","full_name":"Feng, Yuanhua","last_name":"Feng","first_name":"Yuanhua"},{"id":"186","last_name":"Gries","first_name":"Thomas","full_name":"Gries, Thomas"},{"full_name":"Letmathe, Sebastian","first_name":"Sebastian","last_name":"Letmathe"},{"full_name":"Schulz, Dominik","last_name":"Schulz","first_name":"Dominik"}],"publication_identifier":{"issn":["2073-4859"]},"publication_status":"published","date_updated":"2025-11-10T09:32:36Z","intvolume":"        14","date_created":"2023-12-21T12:09:53Z","type":"journal_article","keyword":["Statistics","Probability and Uncertainty","Numerical Analysis","Statistics and Probability"],"publication":"The R Journal","issue":"1","page":"182-195","_id":"50025","publisher":"The R Foundation","user_id":"186","volume":14,"status":"public","citation":{"apa":"Feng, Y., Gries, T., Letmathe, S., &#38; Schulz, D. (2022). The smoots Package in R for Semiparametric Modeling of Trend Stationary Time Series. <i>The R Journal</i>, <i>14</i>(1), 182–195. <a href=\"https://doi.org/10.32614/rj-2022-017\">https://doi.org/10.32614/rj-2022-017</a>","ieee":"Y. Feng, T. Gries, S. Letmathe, and D. Schulz, “The smoots Package in R for Semiparametric Modeling of Trend Stationary Time Series,” <i>The R Journal</i>, vol. 14, no. 1, pp. 182–195, 2022, doi: <a href=\"https://doi.org/10.32614/rj-2022-017\">10.32614/rj-2022-017</a>.","short":"Y. Feng, T. Gries, S. Letmathe, D. Schulz, The R Journal 14 (2022) 182–195.","chicago":"Feng, Yuanhua, Thomas Gries, Sebastian Letmathe, and Dominik Schulz. “The Smoots Package in R for Semiparametric Modeling of Trend Stationary Time Series.” <i>The R Journal</i> 14, no. 1 (2022): 182–95. <a href=\"https://doi.org/10.32614/rj-2022-017\">https://doi.org/10.32614/rj-2022-017</a>.","mla":"Feng, Yuanhua, et al. “The Smoots Package in R for Semiparametric Modeling of Trend Stationary Time Series.” <i>The R Journal</i>, vol. 14, no. 1, The R Foundation, 2022, pp. 182–95, doi:<a href=\"https://doi.org/10.32614/rj-2022-017\">10.32614/rj-2022-017</a>.","ama":"Feng Y, Gries T, Letmathe S, Schulz D. The smoots Package in R for Semiparametric Modeling of Trend Stationary Time Series. <i>The R Journal</i>. 2022;14(1):182-195. doi:<a href=\"https://doi.org/10.32614/rj-2022-017\">10.32614/rj-2022-017</a>","bibtex":"@article{Feng_Gries_Letmathe_Schulz_2022, title={The smoots Package in R for Semiparametric Modeling of Trend Stationary Time Series}, volume={14}, DOI={<a href=\"https://doi.org/10.32614/rj-2022-017\">10.32614/rj-2022-017</a>}, number={1}, journal={The R Journal}, publisher={The R Foundation}, author={Feng, Yuanhua and Gries, Thomas and Letmathe, Sebastian and Schulz, Dominik}, year={2022}, pages={182–195} }"}},{"type":"journal_article","department":[{"_id":"203"}],"date_created":"2020-04-27T11:33:44Z","publication":"Asian Economic and Financial Review","issue":"4","citation":{"ieee":"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,” <i>Asian Economic and Financial Review</i>, vol. 10, no. 4, pp. 427–438, 2020.","apa":"Peitz, C., Feng, Y., Gilroy, B. M., &#38; Stöckmann, N. (2020). The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH. <i>Asian Economic and Financial Review</i>, <i>10</i>(4), 427–438.","chicago":"Peitz, Christian, Yuanhua Feng, Bernard Michael Gilroy, and Nico Stöckmann. “The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH.” <i>Asian Economic and Financial Review</i> 10, no. 4 (2020): 427–38.","short":"C. Peitz, Y. Feng, B.M. Gilroy, N. Stöckmann, Asian Economic and Financial Review 10 (2020) 427–438.","mla":"Peitz, Christian, et al. “The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH.” <i>Asian Economic and Financial Review</i>, vol. 10, no. 4, Asian Economic and Social Society, 2020, pp. 427–38.","bibtex":"@article{Peitz_Feng_Gilroy_Stöckmann_2020, title={The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH}, volume={10}, number={4}, journal={Asian Economic and Financial Review}, publisher={Asian Economic and Social Society}, author={Peitz, Christian and Feng, Yuanhua and Gilroy, Bernard Michael and Stöckmann, Nico}, year={2020}, pages={427–438} }","ama":"Peitz C, Feng Y, Gilroy BM, Stöckmann N. The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH. <i>Asian Economic and Financial Review</i>. 2020;10(4):427-438."},"user_id":"26589","volume":10,"page":"427-438","language":[{"iso":"eng"}],"_id":"16873","publisher":"Asian Economic and Social Society","date_updated":"2022-01-06T06:52:58Z","intvolume":"        10","status":"public","year":"2020","title":"The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH","author":[{"id":"2980","last_name":"Peitz","first_name":"Christian","full_name":"Peitz, Christian"},{"id":"20760","full_name":"Feng, Yuanhua","first_name":"Yuanhua","last_name":"Feng"},{"id":"175","last_name":"Gilroy","first_name":"Bernard Michael","full_name":"Gilroy, Bernard Michael"},{"last_name":"Stöckmann","first_name":"Nico","full_name":"Stöckmann, Nico","id":"65503"}]},{"citation":{"apa":"Schäfer, B., &#38; Feng, Y. (2018). Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model. In <i>Book of Abstracts</i> (p. 7). Paderborn, Germany.","ieee":"B. Schäfer and Y. Feng, “Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model,” in <i>Book of Abstracts</i>, Paderborn, Germany, 2018, p. 7.","short":"B. Schäfer, Y. Feng, in: Book of Abstracts, 2018, p. 7.","chicago":"Schäfer, Bastian, and Yuanhua Feng. “Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model.” In <i>Book of Abstracts</i>, 7, 2018.","mla":"Schäfer, Bastian, and Yuanhua Feng. “Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model.” <i>Book of Abstracts</i>, 2018, p. 7.","ama":"Schäfer B, Feng Y. Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model. In: <i>Book of Abstracts</i>. ; 2018:7.","bibtex":"@inproceedings{Schäfer_Feng_2018, title={Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model}, booktitle={Book of Abstracts}, author={Schäfer, Bastian and Feng, Yuanhua}, year={2018}, pages={7} }"},"publication":"Book of Abstracts","date_created":"2018-10-11T12:24:19Z","department":[{"_id":"206"}],"type":"conference","author":[{"first_name":"Bastian","last_name":"Schäfer","full_name":"Schäfer, Bastian","id":"70618"},{"full_name":"Feng, Yuanhua","first_name":"Yuanhua","last_name":"Feng","id":"20760"}],"conference":{"end_date":"6.7.2018","location":"Paderborn, Germany","start_date":"4.7.2018","name":"European Conference on Data Analysis"},"year":"2018","title":"Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model","status":"public","date_updated":"2022-01-06T07:01:17Z","_id":"4665","language":[{"iso":"eng"}],"page":"7","user_id":"1112"},{"page":"7","series_title":"Book of Abstracts","_id":"4667","language":[{"iso":"eng"}],"user_id":"10075","status":"public","year":"2018","title":"The Non-Gaussian ESEMIFAR Model","author":[{"id":"20760","full_name":"Feng, Yuanhua","first_name":"Yuanhua","last_name":"Feng"},{"first_name":"Sebastian","last_name":"Letmathe","full_name":"Letmathe, Sebastian","id":"23991"}],"conference":{"end_date":"6.7.2018","location":"Paderborn, Germany","start_date":"4.7.2018","name":"European Conference on Data Analysis"},"date_updated":"2022-01-06T07:01:17Z","date_created":"2018-10-11T12:26:05Z","type":"conference","department":[{"_id":"206"}],"citation":{"mla":"Feng, Yuanhua, and Sebastian Letmathe. <i>The Non-Gaussian ESEMIFAR Model</i>. 2018, p. 7.","bibtex":"@article{Feng_Letmathe_2018, series={Book of Abstracts}, title={The Non-Gaussian ESEMIFAR Model}, author={Feng, Yuanhua and Letmathe, Sebastian}, year={2018}, pages={7}, collection={Book of Abstracts} }","ama":"Feng Y, Letmathe S. The Non-Gaussian ESEMIFAR Model. 2018:7.","ieee":"Y. Feng and S. Letmathe, “The Non-Gaussian ESEMIFAR Model.” p. 7, 2018.","apa":"Feng, Y., &#38; Letmathe, S. (2018). The Non-Gaussian ESEMIFAR Model. Presented at the European Conference on Data Analysis, Paderborn, Germany.","short":"Y. Feng, S. Letmathe, (2018) 7.","chicago":"Feng, Yuanhua, and Sebastian Letmathe. “The Non-Gaussian ESEMIFAR Model.” Book of Abstracts, 2018."}},{"year":"2018","status":"public","title":"Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models","conference":{"start_date":"4.7.2018","name":"European Conference on Data Analysis","location":"Paderborn, Germany","end_date":"6.7.2018"},"author":[{"last_name":"Forstinger","first_name":"Sarah","full_name":"Forstinger, Sarah","id":"10075"},{"id":"20760","full_name":"Feng, Yuanhua","first_name":"Yuanhua","last_name":"Feng"},{"id":"2980","first_name":"Christian","last_name":"Peitz","full_name":"Peitz, Christian"}],"date_updated":"2022-01-06T07:01:17Z","page":"17","_id":"4668","language":[{"iso":"eng"}],"user_id":"10075","publication":"Book of Abstracts","citation":{"mla":"Forstinger, Sarah, et al. “Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models.” <i>Book of Abstracts</i>, 2018, p. 17.","ama":"Forstinger S, Feng Y, Peitz C. Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models. In: <i>Book of Abstracts</i>. ; 2018:17.","bibtex":"@inproceedings{Forstinger_Feng_Peitz_2018, title={Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models}, booktitle={Book of Abstracts}, author={Forstinger, Sarah and Feng, Yuanhua and Peitz, Christian}, year={2018}, pages={17} }","apa":"Forstinger, S., Feng, Y., &#38; Peitz, C. (2018). Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models. In <i>Book of Abstracts</i> (p. 17). Paderborn, Germany.","ieee":"S. Forstinger, Y. Feng, and C. Peitz, “Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models,” in <i>Book of Abstracts</i>, Paderborn, Germany, 2018, p. 17.","chicago":"Forstinger, Sarah, Yuanhua Feng, and Christian Peitz. “Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models.” In <i>Book of Abstracts</i>, 17, 2018.","short":"S. Forstinger, Y. Feng, C. Peitz, in: Book of Abstracts, 2018, p. 17."},"date_created":"2018-10-11T12:27:34Z","type":"conference","department":[{"_id":"206"}]},{"publication":"Book of Abstracts","citation":{"ama":"Zhang X, Feng Y. A Box-Cox Semiparametric Multiplicative Error Model. In: <i>Book of Abstracts</i>. ; 2018:19.","bibtex":"@inproceedings{Zhang_Feng_2018, title={A Box-Cox Semiparametric Multiplicative Error Model}, booktitle={Book of Abstracts}, author={Zhang, Xuehai  and Feng, Yuanhua}, year={2018}, pages={19} }","mla":"Zhang, Xuehai, and Yuanhua Feng. “A Box-Cox Semiparametric Multiplicative Error Model.” <i>Book of Abstracts</i>, 2018, p. 19.","chicago":"Zhang, Xuehai , and Yuanhua Feng. “A Box-Cox Semiparametric Multiplicative Error Model.” In <i>Book of Abstracts</i>, 19, 2018.","short":"X. Zhang, Y. Feng, in: Book of Abstracts, 2018, p. 19.","apa":"Zhang, X., &#38; Feng, Y. (2018). A Box-Cox Semiparametric Multiplicative Error Model. In <i>Book of Abstracts</i> (p. 19). Paderborn, Germany.","ieee":"X. Zhang and Y. Feng, “A Box-Cox Semiparametric Multiplicative Error Model,” in <i>Book of Abstracts</i>, Paderborn, Germany, 2018, p. 19."},"date_created":"2018-10-11T12:28:28Z","type":"conference","department":[{"_id":"206"}],"title":"A Box-Cox Semiparametric Multiplicative Error Model","status":"public","year":"2018","conference":{"location":"Paderborn, Germany","name":"European Conference on Data Analysis","start_date":"4.7.2018","end_date":"6.7.2018"},"author":[{"first_name":"Xuehai ","last_name":"Zhang","full_name":"Zhang, Xuehai "},{"full_name":"Feng, Yuanhua","last_name":"Feng","first_name":"Yuanhua","id":"20760"}],"date_updated":"2022-01-06T07:01:17Z","page":"19","language":[{"iso":"eng"}],"_id":"4669","user_id":"10075"},{"user_id":"10075","language":[{"iso":"eng"}],"_id":"4633","date_updated":"2022-01-06T07:01:16Z","year":"2017","title":"A general class of SemiGARCH models based on the Box-Cox transformation","status":"public","author":[{"first_name":"Xuehai","last_name":"Zhang","full_name":"Zhang, Xuehai"},{"id":"20760","last_name":"Feng","first_name":"Yuanhua","full_name":"Feng, Yuanhua"},{"full_name":"Peitz, Christian","first_name":"Christian","last_name":"Peitz","id":"2980"}],"type":"working_paper","department":[{"_id":"206"},{"_id":"475"}],"date_created":"2018-10-11T06:43:53Z","citation":{"mla":"Zhang, Xuehai, et al. <i>A General Class of SemiGARCH Models Based on the Box-Cox Transformation</i>. 2017.","bibtex":"@book{Zhang_Feng_Peitz_2017, title={A general class of SemiGARCH models based on the Box-Cox transformation}, author={Zhang, Xuehai and Feng, Yuanhua and Peitz, Christian}, year={2017} }","ama":"Zhang X, Feng Y, Peitz C. <i>A General Class of SemiGARCH Models Based on the Box-Cox Transformation</i>.; 2017.","ieee":"X. Zhang, Y. Feng, and C. Peitz, <i>A general class of SemiGARCH models based on the Box-Cox transformation</i>. 2017.","apa":"Zhang, X., Feng, Y., &#38; Peitz, C. (2017). <i>A general class of SemiGARCH models based on the Box-Cox transformation</i>.","short":"X. Zhang, Y. Feng, C. Peitz, A General Class of SemiGARCH Models Based on the Box-Cox Transformation, 2017.","chicago":"Zhang, Xuehai, Yuanhua Feng, and Christian Peitz. <i>A General Class of SemiGARCH Models Based on the Box-Cox Transformation</i>, 2017."}},{"user_id":"10075","language":[{"iso":"eng"}],"_id":"4671","date_updated":"2022-01-06T07:01:17Z","title":"Data-driven local polynomial for the trend and its derivatives in economic time series","status":"public","year":"2017","author":[{"id":"20760","full_name":"Feng, Yuanhua","first_name":"Yuanhua","last_name":"Feng"},{"id":"186","first_name":"Thomas","last_name":"Gries","full_name":"Gries, Thomas"}],"type":"working_paper","department":[{"_id":"206"},{"_id":"475"}],"date_created":"2018-10-11T12:43:07Z","citation":{"mla":"Feng, Yuanhua, and Thomas Gries. <i>Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series</i>. 2017.","bibtex":"@book{Feng_Gries_2017, title={Data-driven local polynomial for the trend and its derivatives in economic time series}, author={Feng, Yuanhua and Gries, Thomas}, year={2017} }","ama":"Feng Y, Gries T. <i>Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series</i>.; 2017.","ieee":"Y. Feng and T. Gries, <i>Data-driven local polynomial for the trend and its derivatives in economic time series</i>. 2017.","apa":"Feng, Y., &#38; Gries, T. (2017). <i>Data-driven local polynomial for the trend and its derivatives in economic time series</i>.","short":"Y. Feng, T. Gries, Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series, 2017.","chicago":"Feng, Yuanhua, and Thomas Gries. <i>Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series</i>, 2017."}},{"doi":"10.1080/00949655.2015.1107908","language":[{"iso":"eng"}],"publication_status":"published","date_updated":"2022-01-06T07:01:14Z","intvolume":"        86","title":"On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations","year":"2015","author":[{"full_name":"Feng, Yuanhua","last_name":"Feng","first_name":"Yuanhua","id":"20760"},{"id":"10075","last_name":"Forstinger","first_name":"Sarah","full_name":"Forstinger, Sarah"},{"last_name":"Peitz","first_name":"Christian","full_name":"Peitz, Christian","id":"2980"}],"publication_identifier":{"issn":["0094-9655","1563-5163"]},"type":"journal_article","department":[{"_id":"206"}],"date_created":"2018-10-10T09:29:40Z","publication":"Journal of Statistical Computation and Simulation","issue":"12","user_id":"10075","volume":86,"page":"2291-2307","publisher":"Informa UK Limited","_id":"4592","status":"public","citation":{"chicago":"Feng, Yuanhua, Sarah Forstinger, and Christian Peitz. “On the Iterative Plug-in Algorithm for Estimating Diurnal Patterns of Financial Trade Durations.” <i>Journal of Statistical Computation and Simulation</i> 86, no. 12 (2015): 2291–2307. <a href=\"https://doi.org/10.1080/00949655.2015.1107908\">https://doi.org/10.1080/00949655.2015.1107908</a>.","short":"Y. Feng, S. Forstinger, C. Peitz, Journal of Statistical Computation and Simulation 86 (2015) 2291–2307.","apa":"Feng, Y., Forstinger, S., &#38; Peitz, C. (2015). On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations. <i>Journal of Statistical Computation and Simulation</i>, <i>86</i>(12), 2291–2307. <a href=\"https://doi.org/10.1080/00949655.2015.1107908\">https://doi.org/10.1080/00949655.2015.1107908</a>","ieee":"Y. Feng, S. Forstinger, and C. Peitz, “On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations,” <i>Journal of Statistical Computation and Simulation</i>, vol. 86, no. 12, pp. 2291–2307, 2015.","ama":"Feng Y, Forstinger S, Peitz C. On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations. <i>Journal of Statistical Computation and Simulation</i>. 2015;86(12):2291-2307. doi:<a href=\"https://doi.org/10.1080/00949655.2015.1107908\">10.1080/00949655.2015.1107908</a>","bibtex":"@article{Feng_Forstinger_Peitz_2015, title={On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations}, volume={86}, DOI={<a href=\"https://doi.org/10.1080/00949655.2015.1107908\">10.1080/00949655.2015.1107908</a>}, number={12}, journal={Journal of Statistical Computation and Simulation}, publisher={Informa UK Limited}, author={Feng, Yuanhua and Forstinger, Sarah and Peitz, Christian}, year={2015}, pages={2291–2307} }","mla":"Feng, Yuanhua, et al. “On the Iterative Plug-in Algorithm for Estimating Diurnal Patterns of Financial Trade Durations.” <i>Journal of Statistical Computation and Simulation</i>, vol. 86, no. 12, Informa UK Limited, 2015, pp. 2291–307, doi:<a href=\"https://doi.org/10.1080/00949655.2015.1107908\">10.1080/00949655.2015.1107908</a>."}},{"publication_status":"published","date_updated":"2022-01-06T07:01:14Z","intvolume":"        31","title":"Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD","year":"2015","author":[{"full_name":"Feng, Yuanhua","last_name":"Feng","first_name":"Yuanhua","id":"20760"},{"last_name":"Zhou","first_name":"Chen","full_name":"Zhou, Chen"}],"publication_identifier":{"issn":["0169-2070"]},"doi":"10.1016/j.ijforecast.2014.09.001","language":[{"iso":"eng"}],"issue":"2","publication":"International Journal of Forecasting","type":"journal_article","department":[{"_id":"206"}],"date_created":"2018-10-10T09:33:43Z","status":"public","user_id":"10075","volume":31,"page":"349-363","publisher":"Elsevier BV","_id":"4593","citation":{"short":"Y. Feng, C. Zhou, International Journal of Forecasting 31 (2015) 349–363.","chicago":"Feng, Yuanhua, and Chen Zhou. “Forecasting Financial Market Activity Using a Semiparametric Fractionally Integrated Log-ACD.” <i>International Journal of Forecasting</i> 31, no. 2 (2015): 349–63. <a href=\"https://doi.org/10.1016/j.ijforecast.2014.09.001\">https://doi.org/10.1016/j.ijforecast.2014.09.001</a>.","ieee":"Y. Feng and C. Zhou, “Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD,” <i>International Journal of Forecasting</i>, vol. 31, no. 2, pp. 349–363, 2015.","apa":"Feng, Y., &#38; Zhou, C. (2015). Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD. <i>International Journal of Forecasting</i>, <i>31</i>(2), 349–363. <a href=\"https://doi.org/10.1016/j.ijforecast.2014.09.001\">https://doi.org/10.1016/j.ijforecast.2014.09.001</a>","bibtex":"@article{Feng_Zhou_2015, title={Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD}, volume={31}, DOI={<a href=\"https://doi.org/10.1016/j.ijforecast.2014.09.001\">10.1016/j.ijforecast.2014.09.001</a>}, number={2}, journal={International Journal of Forecasting}, publisher={Elsevier BV}, author={Feng, Yuanhua and Zhou, Chen}, year={2015}, pages={349–363} }","ama":"Feng Y, Zhou C. Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD. <i>International Journal of Forecasting</i>. 2015;31(2):349-363. doi:<a href=\"https://doi.org/10.1016/j.ijforecast.2014.09.001\">10.1016/j.ijforecast.2014.09.001</a>","mla":"Feng, Yuanhua, and Chen Zhou. “Forecasting Financial Market Activity Using a Semiparametric Fractionally Integrated Log-ACD.” <i>International Journal of Forecasting</i>, vol. 31, no. 2, Elsevier BV, 2015, pp. 349–63, doi:<a href=\"https://doi.org/10.1016/j.ijforecast.2014.09.001\">10.1016/j.ijforecast.2014.09.001</a>."}},{"status":"public","title":"Empirical Economic and Financial Research - Theory, Methods and Practice","year":"2015","publication_status":"published","date_updated":"2022-01-06T07:01:16Z","_id":"4649","publisher":"Springer","language":[{"iso":"eng"}],"editor":[{"first_name":"Jan","last_name":"Beran","full_name":"Beran, Jan"},{"id":"20760","last_name":"Feng","first_name":"Yuanhua","full_name":"Feng, Yuanhua"},{"full_name":"Hebbel, Hartmut","first_name":"Hartmut","last_name":"Hebbel"}],"alternative_title":["Festschrift in honour of Prof. Siegfried Heiler"],"user_id":"10075","citation":{"apa":"Beran, J., Feng, Y., &#38; Hebbel, H. (Eds.). (2015). <i>Empirical Economic and Financial Research - Theory, Methods and Practice</i>. Berlin: Springer.","ieee":"J. Beran, Y. Feng, and H. Hebbel, Eds., <i>Empirical Economic and Financial Research - Theory, Methods and Practice</i>. Berlin: Springer, 2015.","short":"J. Beran, Y. Feng, H. Hebbel, eds., Empirical Economic and Financial Research - Theory, Methods and Practice, Springer, Berlin, 2015.","chicago":"Beran, Jan, Yuanhua Feng, and Hartmut Hebbel, eds. <i>Empirical Economic and Financial Research - Theory, Methods and Practice</i>. Berlin: Springer, 2015.","mla":"Beran, Jan, et al., editors. <i>Empirical Economic and Financial Research - Theory, Methods and Practice</i>. Springer, 2015.","ama":"Beran J, Feng Y, Hebbel H, eds. <i>Empirical Economic and Financial Research - Theory, Methods and Practice</i>. Berlin: Springer; 2015.","bibtex":"@book{Beran_Feng_Hebbel_2015, place={Berlin}, title={Empirical Economic and Financial Research - Theory, Methods and Practice}, publisher={Springer}, year={2015} }"},"date_created":"2018-10-11T08:57:17Z","place":"Berlin","department":[{"_id":"206"}],"type":"book_editor"},{"date_created":"2018-10-11T08:59:27Z","place":"Cham","type":"book_chapter","department":[{"_id":"206"}],"publication":"Empirical Economic and Financial Research","citation":{"bibtex":"@inbook{Beran_Feng_Hebbel_2015, place={Cham}, title={Introduction}, DOI={<a href=\"https://doi.org/10.1007/978-3-319-03122-4_1\">10.1007/978-3-319-03122-4_1</a>}, booktitle={Empirical Economic and Financial Research}, publisher={Springer International Publishing}, author={Beran, Jan and Feng, Yuanhua and Hebbel, Hartmut}, year={2015}, pages={1–6} }","ama":"Beran J, Feng Y, Hebbel H. Introduction. In: <i>Empirical Economic and Financial Research</i>. Cham: Springer International Publishing; 2015:1-6. doi:<a href=\"https://doi.org/10.1007/978-3-319-03122-4_1\">10.1007/978-3-319-03122-4_1</a>","short":"J. Beran, Y. Feng, H. Hebbel, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2015, pp. 1–6.","chicago":"Beran, Jan, Yuanhua Feng, and Hartmut Hebbel. “Introduction.” In <i>Empirical Economic and Financial Research</i>, 1–6. Cham: Springer International Publishing, 2015. <a href=\"https://doi.org/10.1007/978-3-319-03122-4_1\">https://doi.org/10.1007/978-3-319-03122-4_1</a>.","ieee":"J. Beran, Y. Feng, and H. Hebbel, “Introduction,” in <i>Empirical Economic and Financial Research</i>, Cham: Springer International Publishing, 2015, pp. 1–6.","mla":"Beran, Jan, et al. “Introduction.” <i>Empirical Economic and Financial Research</i>, Springer International Publishing, 2015, pp. 1–6, doi:<a href=\"https://doi.org/10.1007/978-3-319-03122-4_1\">10.1007/978-3-319-03122-4_1</a>.","apa":"Beran, J., Feng, Y., &#38; Hebbel, H. (2015). Introduction. In <i>Empirical Economic and Financial Research</i> (pp. 1–6). Cham: Springer International Publishing. <a href=\"https://doi.org/10.1007/978-3-319-03122-4_1\">https://doi.org/10.1007/978-3-319-03122-4_1</a>"},"page":"1-6","language":[{"iso":"eng"}],"_id":"4650","publisher":"Springer International Publishing","user_id":"10075","doi":"10.1007/978-3-319-03122-4_1","title":"Introduction","status":"public","year":"2015","author":[{"first_name":"Jan","last_name":"Beran","full_name":"Beran, Jan"},{"full_name":"Feng, Yuanhua","first_name":"Yuanhua","last_name":"Feng","id":"20760"},{"last_name":"Hebbel","first_name":"Hartmut","full_name":"Hebbel, Hartmut"}],"publication_identifier":{"issn":["1570-5811","2214-7977"],"isbn":["9783319031217","9783319031224"]},"publication_status":"published","date_updated":"2022-01-06T07:01:16Z"},{"type":"working_paper","department":[{"_id":"206"},{"_id":"475"}],"date_created":"2018-10-11T11:16:09Z","citation":{"bibtex":"@book{Feng_Zhou_2015, title={An iterative plug-in algorithm for realized kernels}, author={Feng, Yuanhua and Zhou, Chen}, year={2015} }","ama":"Feng Y, Zhou C. <i>An Iterative Plug-in Algorithm for Realized Kernels</i>.; 2015.","mla":"Feng, Yuanhua, and Chen Zhou. <i>An Iterative Plug-in Algorithm for Realized Kernels</i>. 2015.","short":"Y. Feng, C. Zhou, An Iterative Plug-in Algorithm for Realized Kernels, 2015.","chicago":"Feng, Yuanhua, and Chen Zhou. <i>An Iterative Plug-in Algorithm for Realized Kernels</i>, 2015.","ieee":"Y. Feng and C. Zhou, <i>An iterative plug-in algorithm for realized kernels</i>. 2015.","apa":"Feng, Y., &#38; Zhou, C. (2015). <i>An iterative plug-in algorithm for realized kernels</i>."},"user_id":"10075","_id":"4656","date_updated":"2022-01-06T07:01:16Z","status":"public","year":"2015","title":"An iterative plug-in algorithm for realized kernels","author":[{"full_name":"Feng, Yuanhua","last_name":"Feng","first_name":"Yuanhua","id":"20760"},{"first_name":"Chen","last_name":"Zhou","full_name":"Zhou, Chen"}]},{"publication":"Statistical Papers","issue":"2","type":"journal_article","department":[{"_id":"206"}],"date_created":"2018-10-10T09:55:25Z","publication_status":"published","date_updated":"2022-01-06T07:01:14Z","intvolume":"        56","year":"2014","title":"Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models","publication_identifier":{"issn":["0932-5026","1613-9798"]},"author":[{"first_name":"Jan","last_name":"Beran","full_name":"Beran, Jan"},{"id":"20760","full_name":"Feng, Yuanhua","first_name":"Yuanhua","last_name":"Feng"},{"first_name":"Sucharita","last_name":"Ghosh","full_name":"Ghosh, Sucharita"}],"doi":"10.1007/s00362-014-0590-x","language":[{"iso":"eng"}],"citation":{"apa":"Beran, J., Feng, Y., &#38; Ghosh, S. (2014). Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models. <i>Statistical Papers</i>, <i>56</i>(2), 431–451. <a href=\"https://doi.org/10.1007/s00362-014-0590-x\">https://doi.org/10.1007/s00362-014-0590-x</a>","mla":"Beran, Jan, et al. “Modelling Long-Range Dependence and Trends in Duration Series: An Approach Based on EFARIMA and ESEMIFAR Models.” <i>Statistical Papers</i>, vol. 56, no. 2, Springer Nature, 2014, pp. 431–51, doi:<a href=\"https://doi.org/10.1007/s00362-014-0590-x\">10.1007/s00362-014-0590-x</a>.","ieee":"J. Beran, Y. Feng, and S. Ghosh, “Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models,” <i>Statistical Papers</i>, vol. 56, no. 2, pp. 431–451, 2014.","short":"J. Beran, Y. Feng, S. Ghosh, Statistical Papers 56 (2014) 431–451.","ama":"Beran J, Feng Y, Ghosh S. Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models. <i>Statistical Papers</i>. 2014;56(2):431-451. doi:<a href=\"https://doi.org/10.1007/s00362-014-0590-x\">10.1007/s00362-014-0590-x</a>","chicago":"Beran, Jan, Yuanhua Feng, and Sucharita Ghosh. “Modelling Long-Range Dependence and Trends in Duration Series: An Approach Based on EFARIMA and ESEMIFAR Models.” <i>Statistical Papers</i> 56, no. 2 (2014): 431–51. <a href=\"https://doi.org/10.1007/s00362-014-0590-x\">https://doi.org/10.1007/s00362-014-0590-x</a>.","bibtex":"@article{Beran_Feng_Ghosh_2014, title={Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models}, volume={56}, DOI={<a href=\"https://doi.org/10.1007/s00362-014-0590-x\">10.1007/s00362-014-0590-x</a>}, number={2}, journal={Statistical Papers}, publisher={Springer Nature}, author={Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita}, year={2014}, pages={431–451} }"},"status":"public","user_id":"10075","volume":56,"page":"431-451","_id":"4599","publisher":"Springer Nature"},{"department":[{"_id":"206"}],"type":"book_chapter","place":"Cham","date_created":"2018-10-10T10:27:24Z","citation":{"chicago":"Beran, Jan, Yuanhua Feng, and Sucharita Ghosh. “On EFARIMA and ESEMIFAR Models.” In <i>Empirical Economic and Financial Research</i>, 239–53. Cham: Springer International Publishing, 2014. <a href=\"https://doi.org/10.1007/978-3-319-03122-4_15\">https://doi.org/10.1007/978-3-319-03122-4_15</a>.","short":"J. Beran, Y. Feng, S. Ghosh, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2014, pp. 239–253.","ieee":"J. Beran, Y. Feng, and S. Ghosh, “On EFARIMA and ESEMIFAR Models,” in <i>Empirical Economic and Financial Research</i>, Cham: Springer International Publishing, 2014, pp. 239–253.","apa":"Beran, J., Feng, Y., &#38; Ghosh, S. (2014). On EFARIMA and ESEMIFAR Models. In <i>Empirical Economic and Financial Research</i> (pp. 239–253). Cham: Springer International Publishing. <a href=\"https://doi.org/10.1007/978-3-319-03122-4_15\">https://doi.org/10.1007/978-3-319-03122-4_15</a>","bibtex":"@inbook{Beran_Feng_Ghosh_2014, place={Cham}, title={On EFARIMA and ESEMIFAR Models}, DOI={<a href=\"https://doi.org/10.1007/978-3-319-03122-4_15\">10.1007/978-3-319-03122-4_15</a>}, booktitle={Empirical Economic and Financial Research}, publisher={Springer International Publishing}, author={Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita}, year={2014}, pages={239–253} }","ama":"Beran J, Feng Y, Ghosh S. On EFARIMA and ESEMIFAR Models. In: <i>Empirical Economic and Financial Research</i>. Cham: Springer International Publishing; 2014:239-253. doi:<a href=\"https://doi.org/10.1007/978-3-319-03122-4_15\">10.1007/978-3-319-03122-4_15</a>","mla":"Beran, Jan, et al. “On EFARIMA and ESEMIFAR Models.” <i>Empirical Economic and Financial Research</i>, Springer International Publishing, 2014, pp. 239–53, doi:<a href=\"https://doi.org/10.1007/978-3-319-03122-4_15\">10.1007/978-3-319-03122-4_15</a>."},"publication":"Empirical Economic and Financial Research","doi":"10.1007/978-3-319-03122-4_15","user_id":"10075","language":[{"iso":"eng"}],"_id":"4602","publisher":"Springer International Publishing","page":"239-253","date_updated":"2022-01-06T07:01:14Z","publication_status":"published","author":[{"last_name":"Beran","first_name":"Jan","full_name":"Beran, Jan"},{"first_name":"Yuanhua","last_name":"Feng","full_name":"Feng, Yuanhua","id":"20760"},{"full_name":"Ghosh, Sucharita","last_name":"Ghosh","first_name":"Sucharita"}],"publication_identifier":{"isbn":["9783319031217","9783319031224"],"issn":["1570-5811","2214-7977"]},"title":"On EFARIMA and ESEMIFAR Models","year":"2014","status":"public"}]