59 Publications

Mark all

[59]
2021 | Working Paper | LibreCat-ID: 29317
Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall
S. Letmathe, Y. Feng, A. Uhde, Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall, 2021.
LibreCat
 
[58]
2020 | Journal Article | LibreCat-ID: 16873
The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH
C. Peitz, Y. Feng, B.M. Gilroy, N. Stöckmann, Asian Economic and Financial Review 10 (2020) 427–438.
LibreCat
 
[57]
2018 | Conference Paper | LibreCat-ID: 4665 LibreCat
 
[56]
2018 | Conference Paper | LibreCat-ID: 4667
The Non-Gaussian ESEMIFAR Model
Y. Feng, S. Letmathe, (2018) 7.
LibreCat
 
[55]
2018 | Conference Paper | LibreCat-ID: 4668
Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models
S. Forstinger, Y. Feng, C. Peitz, in: Book of Abstracts, 2018, p. 17.
LibreCat
 
[54]
2018 | Conference Paper | LibreCat-ID: 4669
A Box-Cox Semiparametric Multiplicative Error Model
X. Zhang, Y. Feng, in: Book of Abstracts, 2018, p. 19.
LibreCat
 
[53]
2017 | Working Paper | LibreCat-ID: 4633
A general class of SemiGARCH models based on the Box-Cox transformation
X. Zhang, Y. Feng, C. Peitz, A General Class of SemiGARCH Models Based on the Box-Cox Transformation, 2017.
LibreCat
 
[52]
2017 | Working Paper | LibreCat-ID: 4671
Data-driven local polynomial for the trend and its derivatives in economic time series
Y. Feng, T. Gries, Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series, 2017.
LibreCat
 
[51]
2015 | Journal Article | LibreCat-ID: 4592
On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
Y. Feng, S. Forstinger, C. Peitz, Journal of Statistical Computation and Simulation 86 (2015) 2291–2307.
LibreCat | DOI
 
[50]
2015 | Journal Article | LibreCat-ID: 4593
Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
Y. Feng, C. Zhou, International Journal of Forecasting 31 (2015) 349–363.
LibreCat | DOI
 
[49]
2015 | Book (Editor) | LibreCat-ID: 4649
Empirical Economic and Financial Research - Theory, Methods and Practice
J. Beran, Y. Feng, H. Hebbel, eds., Empirical Economic and Financial Research - Theory, Methods and Practice, Springer, Berlin, 2015.
LibreCat
 
[48]
2015 | Book Chapter | LibreCat-ID: 4650
Introduction
J. Beran, Y. Feng, H. Hebbel, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2015, pp. 1–6.
LibreCat | DOI
 
[47]
2015 | Working Paper | LibreCat-ID: 4656
An iterative plug-in algorithm for realized kernels
Y. Feng, C. Zhou, An Iterative Plug-in Algorithm for Realized Kernels, 2015.
LibreCat
 
[46]
2014 | Journal Article | LibreCat-ID: 4599 LibreCat | DOI
 
[45]
2014 | Book Chapter | LibreCat-ID: 4602
On EFARIMA and ESEMIFAR Models
J. Beran, Y. Feng, S. Ghosh, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2014, pp. 239–253.
LibreCat | DOI
 
[44]
2014 | Book Chapter | LibreCat-ID: 4603
Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model
C. Peitz, Y. Feng, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2014, pp. 341–356.
LibreCat | DOI
 
[43]
2014 | Journal Article | LibreCat-ID: 4605
Data-driven estimation of diurnal patterns of durations between trades on financial markets
Y. Feng, Statistics & Probability Letters 92 (2014) 109–113.
LibreCat | DOI
 
 
[41]
2013 | Journal Article | LibreCat-ID: 4596
A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification
Y. Feng, Z. Guo, C. Peitz, Journal of Industry, Competition and Trade 14 (2013) 207–228.
LibreCat | DOI
 
[40]
2013 | Journal Article | LibreCat-ID: 4600 LibreCat | DOI
 
[39]
2013 | Book | LibreCat-ID: 4628
Long-Memory Processes
J. Beran, Y. Feng, S. Ghosh, R. Kulik, Long-Memory Processes, Springer Berlin Heidelberg, Berlin, Heidelberg, 2013.
LibreCat | DOI
 
[38]
2013 | Working Paper | LibreCat-ID: 4657
A Semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets
Y. Feng, L. Sun, A Semi-APARCH Approach for Comparing Long-Term and Short-Term Risk in Chinese Financial Market and in Mature Financial Markets, 2013.
LibreCat
 
[37]
2013 | Working Paper | LibreCat-ID: 4658
Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects
Y. Feng, Double-Conditional Smoothing of High-Frequency Volatility Surface in a Spatial Multiplicative Component GARCH with Random Effects, 2013.
LibreCat
 
[36]
2012 | Journal Article | LibreCat-ID: 4597
An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method
Y. Feng, Journal of Applied Statistics 40 (2012) 266–281.
LibreCat | DOI
 
[35]
2012 | Journal Article | LibreCat-ID: 4601
Optimal convergence rates in non-parametric regression with fractional time series errors
Y. Feng, J. Beran, Journal of Time Series Analysis 34 (2012) 30–39.
LibreCat | DOI
 
[34]
2012 | Journal Article | LibreCat-ID: 4610
Filtered Log-Periodogram Regression of Long Memory Processes
Y. Feng, J. Beran, Journal of Statistical Theory and Practice 3 (2012) 777–793.
LibreCat | DOI
 
[33]
2012 | Journal Article | LibreCat-ID: 4611
Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes
J. Beran, Y. Feng, Journal of Statistical Theory and Practice 1 (2012) 149–166.
LibreCat | DOI
 
[32]
2012 | Journal Article | LibreCat-ID: 4612
Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes
J. Beran, Y. Feng, Journal of Statistical Theory and Practice 1 (2012) 149–166.
LibreCat | DOI
 
[31]
2012 | Book Chapter | LibreCat-ID: 4631
Locally Weighted Autoregression
Y. Feng, S. Heiler, in: Econometrics in Theory and Practice, Physica-Verlag HD, Heidelberg, 2012, pp. 101–117.
LibreCat | DOI
 
[30]
2012 | Working Paper | LibreCat-ID: 4659
A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance
Y. Feng, D. Hand, K. Yu, A Multivariate Random Walk Model with Slowly Changing Drift and Cross-Correlation Applied to Finance, 2012.
LibreCat
 
[29]
2011 | Journal Article | LibreCat-ID: 4598 LibreCat | DOI
 
[28]
2010 | Journal Article | LibreCat-ID: 4606
An empirical examination of the contribution of capabilities to the competitiveness of logistics service providers
X. Liu, D.B. Grant, A.C. McKinnon, Y. Feng, International Journal of Physical Distribution & Logistics Management 40 (2010) 847–866.
LibreCat | DOI
 
[27]
2010 | Journal Article | LibreCat-ID: 4607
Sources of competitiveness for logistics service providers: a UK industry perspective
X. Liu, A.C. McKinnon, D.B. Grant, Y. Feng, Logistics Research 2 (2010) 23–32.
LibreCat | DOI
 
[26]
2009 | Journal Article | LibreCat-ID: 4608
A simple bootstrap bandwidth selector for local polynomial fitting
Y. Feng, S. Heiler, Journal of Statistical Computation and Simulation 79 (2009) 1425–1439.
LibreCat | DOI
 
[25]
2009 | Journal Article | LibreCat-ID: 4622
Modifying the double smoothing bandwidth selector in nonparametric regression
J. Beran, Y. Feng, S. Heiler, Statistical Methodology 6 (2009) 447–465.
LibreCat | DOI
 
[24]
2008 | Journal Article | LibreCat-ID: 4609
Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Y. Feng, A.J. McNeil, Economic Modelling 25 (2008) 850–867.
LibreCat | DOI
 
[23]
2007 | Journal Article | LibreCat-ID: 3470
Local Polynomial Estimation with a FARIMA-GARCH Error Process
J. Beran, Y. Feng, Bernoulli 7 (2007).
LibreCat | DOI
 
[22]
2007 | Journal Article | LibreCat-ID: 4613
On the asymptotic variance in nonparametric regression with fractional time-series errors
Y. Feng, Journal of Nonparametric Statistics 19 (2007) 63–76.
LibreCat | DOI
 
[21]
2007 | Journal Article | LibreCat-ID: 4614
Modelling financial time series with SEMIFAR GARCH model
Y. Feng, J. Beran, K. Yu, IMA Journal of Management Mathematics 18 (2007) 395–412.
LibreCat | DOI
 
[20]
2007 | Book Chapter | LibreCat-ID: 4616
Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity
J. Beran, Y. Feng, G. Franke, D. Hess, D. Ocker, in: Processes with Long-Range Correlations, Springer Berlin Heidelberg, Berlin, Heidelberg, 2007, pp. 225–250.
LibreCat | DOI
 
[19]
2007 | Journal Article | LibreCat-ID: 4624
Local Polynomial Estimation with a FARIMA-GARCH Error Process
J. Beran, Y. Feng, Bernoulli 7 (2007).
LibreCat | DOI
 
[18]
2007 | Book (Editor) | LibreCat-ID: 4652
Special Issue: Quantile Regression
P. Ng, K. Yu, Y. Feng, eds., Special Issue: Quantile Regression, 2007.
LibreCat
 
[17]
2004 | Journal Article | LibreCat-ID: 4615 LibreCat | DOI
 
[16]
2004 | Book | LibreCat-ID: 4630
Non- and Semiparametric Regression with Fractional Time Series Errors
Y. Feng, Non- and Semiparametric Regression with Fractional Time Series Errors, 2004.
LibreCat
 
[15]
2004 | Book Chapter | LibreCat-ID: 4634
A robust data-driven version of the Berlin Method
S. Heiler, Y. Feng, in: R. Metz, M. Lösch, K. Edel (Eds.), Zeitreihenanalyse in Der Empirischen Wirtschaftsforschung, Lucius & Lucius, Stuttgart, 2004, pp. 67–81.
LibreCat
 
[14]
2002 | Journal Article | LibreCat-ID: 4617
SEMIFAR models—a semiparametric approach to modelling trends, long-range dependence and nonstationarity
J. Beran, Y. Feng, Computational Statistics & Data Analysis 40 (2002) 393–419.
LibreCat | DOI
 
[13]
2002 | Journal Article | LibreCat-ID: 4620
Iterative Plug-In Algorithms for SEMIFAR Models—Definition, Convergence, and Asymptotic Properties
J. Beran, Y. Feng, Journal of Computational and Graphical Statistics 11 (2002) 690–713.
LibreCat | DOI
 
[12]
2002 | Journal Article | LibreCat-ID: 4621
Data-driven decomposition of seasonal time series
S. Heiler, Y. Feng, Journal of Statistical Planning and Inference 91 (2002) 351–363.
LibreCat | DOI
 
[11]
2002 | Journal Article | LibreCat-ID: 4623
On robust local polynomial estimation with long-memory errors
J. Beran, Y. Feng, S. Ghosh, P. Sibbertsen, International Journal of Forecasting 18 (2002) 227–241.
LibreCat | DOI
 
[10]
2002 | Journal Article | LibreCat-ID: 4635
Local polynomial fitting with long-memory, short-memory and antipersistent errors
J. Beran, Y. Feng, The Annals of the Institute of Statistical Mathematics 54 (2002) 291–311.
LibreCat
 
[9]
2002 | Journal Article | LibreCat-ID: 4637
Data-driven decomposition of seasonal time series
S. Heiler, Y. Feng, Journal of Statistical Planning and Inference 91 (2002) 351–363.
LibreCat | DOI
 
[8]
2002 | Working Paper | LibreCat-ID: 4661
Recent developments in non- and semiparametric models with fractional time series errors
J. Beran, Y. Feng, Recent Developments in Non- and Semiparametric Models with Fractional Time Series Errors, 2002.
LibreCat
 
[7]
2001 | Journal Article | LibreCat-ID: 4653
A semiparametric fractional autoregressive model
J. Beran, Y. Feng, Statistical Review (Revista de Estatistica) 2 (2001) 125–128.
LibreCat
 
[6]
2001 | Working Paper | LibreCat-ID: 4662
Supplement to the paper "Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties" - Detailed simulation results
J. Beran, Y. Feng, Supplement to the Paper “Iterative Plug-in Algorithms for SEMIFAR Models - Definition, Convergence and Asymptotic Properties” - Detailed Simulation Results, 2001.
LibreCat
 
[5]
2000 | Journal Article | LibreCat-ID: 4636
Eine robuste datengesteuerte Version des Berliner-Verfahrens
Y. Feng, S. Heiler, Wirtschaft Und Statistik (2000) 786–795.
LibreCat
 
[4]
2000 | Book Chapter | LibreCat-ID: 4651
Locally weighted autoregression
Y. Feng, S. Heiler, in: H.-J. Vosgerau (Ed.), Institutional Arrangements for Global Economic Integration, 2000, pp. 371--388.
LibreCat
 
[3]
1999 | Book | LibreCat-ID: 4629
Kernel- and Locally Weighted Regression -- with Application to Time Series Decomposition
Y. Feng, Kernel- and Locally Weighted Regression -- with Application to Time Series Decomposition, 1999.
LibreCat
 
[2]
1998 | Book Chapter | LibreCat-ID: 4604
Nonparametric Smoothing and Quantile Estimation in Time Series
K. Abberger, Y. Feng, S. Heiler, in: G. Bol, Gholamreza Nakhaeizadeh , K.-H. Vollmer (Eds.), Risk Measurement, Econometrics and Neural Networks. Contributions to Economics. , Physica-Verlag HD, Heidelberg, 1998, pp. 1–16.
LibreCat
 
[1]
1998 | Journal Article | LibreCat-ID: 4626
A simple root n bandwidth selector for nonparametric regression
S. Heiler, Y. Feng, Journal of Nonparametric Statistics 9 (1998) 1–21.
LibreCat
 

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59 Publications

Mark all

[59]
2021 | Working Paper | LibreCat-ID: 29317
Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall
S. Letmathe, Y. Feng, A. Uhde, Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall, 2021.
LibreCat
 
[58]
2020 | Journal Article | LibreCat-ID: 16873
The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH
C. Peitz, Y. Feng, B.M. Gilroy, N. Stöckmann, Asian Economic and Financial Review 10 (2020) 427–438.
LibreCat
 
[57]
2018 | Conference Paper | LibreCat-ID: 4665 LibreCat
 
[56]
2018 | Conference Paper | LibreCat-ID: 4667
The Non-Gaussian ESEMIFAR Model
Y. Feng, S. Letmathe, (2018) 7.
LibreCat
 
[55]
2018 | Conference Paper | LibreCat-ID: 4668
Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models
S. Forstinger, Y. Feng, C. Peitz, in: Book of Abstracts, 2018, p. 17.
LibreCat
 
[54]
2018 | Conference Paper | LibreCat-ID: 4669
A Box-Cox Semiparametric Multiplicative Error Model
X. Zhang, Y. Feng, in: Book of Abstracts, 2018, p. 19.
LibreCat
 
[53]
2017 | Working Paper | LibreCat-ID: 4633
A general class of SemiGARCH models based on the Box-Cox transformation
X. Zhang, Y. Feng, C. Peitz, A General Class of SemiGARCH Models Based on the Box-Cox Transformation, 2017.
LibreCat
 
[52]
2017 | Working Paper | LibreCat-ID: 4671
Data-driven local polynomial for the trend and its derivatives in economic time series
Y. Feng, T. Gries, Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series, 2017.
LibreCat
 
[51]
2015 | Journal Article | LibreCat-ID: 4592
On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
Y. Feng, S. Forstinger, C. Peitz, Journal of Statistical Computation and Simulation 86 (2015) 2291–2307.
LibreCat | DOI
 
[50]
2015 | Journal Article | LibreCat-ID: 4593
Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
Y. Feng, C. Zhou, International Journal of Forecasting 31 (2015) 349–363.
LibreCat | DOI
 
[49]
2015 | Book (Editor) | LibreCat-ID: 4649
Empirical Economic and Financial Research - Theory, Methods and Practice
J. Beran, Y. Feng, H. Hebbel, eds., Empirical Economic and Financial Research - Theory, Methods and Practice, Springer, Berlin, 2015.
LibreCat
 
[48]
2015 | Book Chapter | LibreCat-ID: 4650
Introduction
J. Beran, Y. Feng, H. Hebbel, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2015, pp. 1–6.
LibreCat | DOI
 
[47]
2015 | Working Paper | LibreCat-ID: 4656
An iterative plug-in algorithm for realized kernels
Y. Feng, C. Zhou, An Iterative Plug-in Algorithm for Realized Kernels, 2015.
LibreCat
 
[46]
2014 | Journal Article | LibreCat-ID: 4599 LibreCat | DOI
 
[45]
2014 | Book Chapter | LibreCat-ID: 4602
On EFARIMA and ESEMIFAR Models
J. Beran, Y. Feng, S. Ghosh, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2014, pp. 239–253.
LibreCat | DOI
 
[44]
2014 | Book Chapter | LibreCat-ID: 4603
Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model
C. Peitz, Y. Feng, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2014, pp. 341–356.
LibreCat | DOI
 
[43]
2014 | Journal Article | LibreCat-ID: 4605
Data-driven estimation of diurnal patterns of durations between trades on financial markets
Y. Feng, Statistics & Probability Letters 92 (2014) 109–113.
LibreCat | DOI
 
 
[41]
2013 | Journal Article | LibreCat-ID: 4596
A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification
Y. Feng, Z. Guo, C. Peitz, Journal of Industry, Competition and Trade 14 (2013) 207–228.
LibreCat | DOI
 
[40]
2013 | Journal Article | LibreCat-ID: 4600 LibreCat | DOI
 
[39]
2013 | Book | LibreCat-ID: 4628
Long-Memory Processes
J. Beran, Y. Feng, S. Ghosh, R. Kulik, Long-Memory Processes, Springer Berlin Heidelberg, Berlin, Heidelberg, 2013.
LibreCat | DOI
 
[38]
2013 | Working Paper | LibreCat-ID: 4657
A Semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets
Y. Feng, L. Sun, A Semi-APARCH Approach for Comparing Long-Term and Short-Term Risk in Chinese Financial Market and in Mature Financial Markets, 2013.
LibreCat
 
[37]
2013 | Working Paper | LibreCat-ID: 4658
Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects
Y. Feng, Double-Conditional Smoothing of High-Frequency Volatility Surface in a Spatial Multiplicative Component GARCH with Random Effects, 2013.
LibreCat
 
[36]
2012 | Journal Article | LibreCat-ID: 4597
An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method
Y. Feng, Journal of Applied Statistics 40 (2012) 266–281.
LibreCat | DOI
 
[35]
2012 | Journal Article | LibreCat-ID: 4601
Optimal convergence rates in non-parametric regression with fractional time series errors
Y. Feng, J. Beran, Journal of Time Series Analysis 34 (2012) 30–39.
LibreCat | DOI
 
[34]
2012 | Journal Article | LibreCat-ID: 4610
Filtered Log-Periodogram Regression of Long Memory Processes
Y. Feng, J. Beran, Journal of Statistical Theory and Practice 3 (2012) 777–793.
LibreCat | DOI
 
[33]
2012 | Journal Article | LibreCat-ID: 4611
Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes
J. Beran, Y. Feng, Journal of Statistical Theory and Practice 1 (2012) 149–166.
LibreCat | DOI
 
[32]
2012 | Journal Article | LibreCat-ID: 4612
Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes
J. Beran, Y. Feng, Journal of Statistical Theory and Practice 1 (2012) 149–166.
LibreCat | DOI
 
[31]
2012 | Book Chapter | LibreCat-ID: 4631
Locally Weighted Autoregression
Y. Feng, S. Heiler, in: Econometrics in Theory and Practice, Physica-Verlag HD, Heidelberg, 2012, pp. 101–117.
LibreCat | DOI
 
[30]
2012 | Working Paper | LibreCat-ID: 4659
A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance
Y. Feng, D. Hand, K. Yu, A Multivariate Random Walk Model with Slowly Changing Drift and Cross-Correlation Applied to Finance, 2012.
LibreCat
 
[29]
2011 | Journal Article | LibreCat-ID: 4598 LibreCat | DOI
 
[28]
2010 | Journal Article | LibreCat-ID: 4606
An empirical examination of the contribution of capabilities to the competitiveness of logistics service providers
X. Liu, D.B. Grant, A.C. McKinnon, Y. Feng, International Journal of Physical Distribution & Logistics Management 40 (2010) 847–866.
LibreCat | DOI
 
[27]
2010 | Journal Article | LibreCat-ID: 4607
Sources of competitiveness for logistics service providers: a UK industry perspective
X. Liu, A.C. McKinnon, D.B. Grant, Y. Feng, Logistics Research 2 (2010) 23–32.
LibreCat | DOI
 
[26]
2009 | Journal Article | LibreCat-ID: 4608
A simple bootstrap bandwidth selector for local polynomial fitting
Y. Feng, S. Heiler, Journal of Statistical Computation and Simulation 79 (2009) 1425–1439.
LibreCat | DOI
 
[25]
2009 | Journal Article | LibreCat-ID: 4622
Modifying the double smoothing bandwidth selector in nonparametric regression
J. Beran, Y. Feng, S. Heiler, Statistical Methodology 6 (2009) 447–465.
LibreCat | DOI
 
[24]
2008 | Journal Article | LibreCat-ID: 4609
Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Y. Feng, A.J. McNeil, Economic Modelling 25 (2008) 850–867.
LibreCat | DOI
 
[23]
2007 | Journal Article | LibreCat-ID: 3470
Local Polynomial Estimation with a FARIMA-GARCH Error Process
J. Beran, Y. Feng, Bernoulli 7 (2007).
LibreCat | DOI
 
[22]
2007 | Journal Article | LibreCat-ID: 4613
On the asymptotic variance in nonparametric regression with fractional time-series errors
Y. Feng, Journal of Nonparametric Statistics 19 (2007) 63–76.
LibreCat | DOI
 
[21]
2007 | Journal Article | LibreCat-ID: 4614
Modelling financial time series with SEMIFAR GARCH model
Y. Feng, J. Beran, K. Yu, IMA Journal of Management Mathematics 18 (2007) 395–412.
LibreCat | DOI
 
[20]
2007 | Book Chapter | LibreCat-ID: 4616
Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity
J. Beran, Y. Feng, G. Franke, D. Hess, D. Ocker, in: Processes with Long-Range Correlations, Springer Berlin Heidelberg, Berlin, Heidelberg, 2007, pp. 225–250.
LibreCat | DOI
 
[19]
2007 | Journal Article | LibreCat-ID: 4624
Local Polynomial Estimation with a FARIMA-GARCH Error Process
J. Beran, Y. Feng, Bernoulli 7 (2007).
LibreCat | DOI
 
[18]
2007 | Book (Editor) | LibreCat-ID: 4652
Special Issue: Quantile Regression
P. Ng, K. Yu, Y. Feng, eds., Special Issue: Quantile Regression, 2007.
LibreCat
 
[17]
2004 | Journal Article | LibreCat-ID: 4615 LibreCat | DOI
 
[16]
2004 | Book | LibreCat-ID: 4630
Non- and Semiparametric Regression with Fractional Time Series Errors
Y. Feng, Non- and Semiparametric Regression with Fractional Time Series Errors, 2004.
LibreCat
 
[15]
2004 | Book Chapter | LibreCat-ID: 4634
A robust data-driven version of the Berlin Method
S. Heiler, Y. Feng, in: R. Metz, M. Lösch, K. Edel (Eds.), Zeitreihenanalyse in Der Empirischen Wirtschaftsforschung, Lucius & Lucius, Stuttgart, 2004, pp. 67–81.
LibreCat
 
[14]
2002 | Journal Article | LibreCat-ID: 4617
SEMIFAR models—a semiparametric approach to modelling trends, long-range dependence and nonstationarity
J. Beran, Y. Feng, Computational Statistics & Data Analysis 40 (2002) 393–419.
LibreCat | DOI
 
[13]
2002 | Journal Article | LibreCat-ID: 4620
Iterative Plug-In Algorithms for SEMIFAR Models—Definition, Convergence, and Asymptotic Properties
J. Beran, Y. Feng, Journal of Computational and Graphical Statistics 11 (2002) 690–713.
LibreCat | DOI
 
[12]
2002 | Journal Article | LibreCat-ID: 4621
Data-driven decomposition of seasonal time series
S. Heiler, Y. Feng, Journal of Statistical Planning and Inference 91 (2002) 351–363.
LibreCat | DOI
 
[11]
2002 | Journal Article | LibreCat-ID: 4623
On robust local polynomial estimation with long-memory errors
J. Beran, Y. Feng, S. Ghosh, P. Sibbertsen, International Journal of Forecasting 18 (2002) 227–241.
LibreCat | DOI
 
[10]
2002 | Journal Article | LibreCat-ID: 4635
Local polynomial fitting with long-memory, short-memory and antipersistent errors
J. Beran, Y. Feng, The Annals of the Institute of Statistical Mathematics 54 (2002) 291–311.
LibreCat
 
[9]
2002 | Journal Article | LibreCat-ID: 4637
Data-driven decomposition of seasonal time series
S. Heiler, Y. Feng, Journal of Statistical Planning and Inference 91 (2002) 351–363.
LibreCat | DOI
 
[8]
2002 | Working Paper | LibreCat-ID: 4661
Recent developments in non- and semiparametric models with fractional time series errors
J. Beran, Y. Feng, Recent Developments in Non- and Semiparametric Models with Fractional Time Series Errors, 2002.
LibreCat
 
[7]
2001 | Journal Article | LibreCat-ID: 4653
A semiparametric fractional autoregressive model
J. Beran, Y. Feng, Statistical Review (Revista de Estatistica) 2 (2001) 125–128.
LibreCat
 
[6]
2001 | Working Paper | LibreCat-ID: 4662
Supplement to the paper "Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties" - Detailed simulation results
J. Beran, Y. Feng, Supplement to the Paper “Iterative Plug-in Algorithms for SEMIFAR Models - Definition, Convergence and Asymptotic Properties” - Detailed Simulation Results, 2001.
LibreCat
 
[5]
2000 | Journal Article | LibreCat-ID: 4636
Eine robuste datengesteuerte Version des Berliner-Verfahrens
Y. Feng, S. Heiler, Wirtschaft Und Statistik (2000) 786–795.
LibreCat
 
[4]
2000 | Book Chapter | LibreCat-ID: 4651
Locally weighted autoregression
Y. Feng, S. Heiler, in: H.-J. Vosgerau (Ed.), Institutional Arrangements for Global Economic Integration, 2000, pp. 371--388.
LibreCat
 
[3]
1999 | Book | LibreCat-ID: 4629
Kernel- and Locally Weighted Regression -- with Application to Time Series Decomposition
Y. Feng, Kernel- and Locally Weighted Regression -- with Application to Time Series Decomposition, 1999.
LibreCat
 
[2]
1998 | Book Chapter | LibreCat-ID: 4604
Nonparametric Smoothing and Quantile Estimation in Time Series
K. Abberger, Y. Feng, S. Heiler, in: G. Bol, Gholamreza Nakhaeizadeh , K.-H. Vollmer (Eds.), Risk Measurement, Econometrics and Neural Networks. Contributions to Economics. , Physica-Verlag HD, Heidelberg, 1998, pp. 1–16.
LibreCat
 
[1]
1998 | Journal Article | LibreCat-ID: 4626
A simple root n bandwidth selector for nonparametric regression
S. Heiler, Y. Feng, Journal of Nonparametric Statistics 9 (1998) 1–21.
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