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60 Publications
2014 | Book Chapter | LibreCat-ID: 4602
Beran, J., Feng, Y., & Ghosh, S. (2014). On EFARIMA and ESEMIFAR Models. In Empirical Economic and Financial Research (pp. 239–253). Cham: Springer International Publishing. https://doi.org/10.1007/978-3-319-03122-4_15
LibreCat
| DOI
2014 | Book Chapter | LibreCat-ID: 4603
Peitz, C., & Feng, Y. (2014). Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model. In Empirical Economic and Financial Research (pp. 341–356). Cham: Springer International Publishing. https://doi.org/10.1007/978-3-319-03122-4_21
LibreCat
| DOI
2014 | Journal Article | LibreCat-ID: 4605
Feng, Y. (2014). Data-driven estimation of diurnal patterns of durations between trades on financial markets. Statistics & Probability Letters, 92, 109–113. https://doi.org/10.1016/j.spl.2014.05.011
LibreCat
| DOI
2014 | Conference Paper | LibreCat-ID: 4664
Zhou, C., & Feng, Y. (2014). Data-driven estimation of realized kernels under dependent microstructure noise and further analysis using the Semi-FI-Log-ACD. Presented at the Conference on Computational and Financial Econometrics, University of Pisa, Italy.
LibreCat
2013 | Journal Article | LibreCat-ID: 4596
Feng, Y., Guo, Z., & Peitz, C. (2013). A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification. Journal of Industry, Competition and Trade, 14(2), 207–228. https://doi.org/10.1007/s10842-013-0156-y
LibreCat
| DOI
2013 | Journal Article | LibreCat-ID: 4600
Guo, Z., & Feng, Y. (2013). Modeling of the impact of the financial crisis and China’s accession to WTO on China’s exports to Germany. Economic Modelling, 31, 474–483. https://doi.org/10.1016/j.econmod.2012.12.015
LibreCat
| DOI
2013 | Book | LibreCat-ID: 4628
Beran, J., Feng, Y., Ghosh, S., & Kulik, R. (2013). Long-Memory Processes. Berlin, Heidelberg: Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-642-35512-7
LibreCat
| DOI
2013 | Working Paper | LibreCat-ID: 4657
Feng, Y., & Sun, L. (2013). A Semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets.
LibreCat
2013 | Working Paper | LibreCat-ID: 4658
Feng, Y. (2013). Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects.
LibreCat
2012 | Journal Article | LibreCat-ID: 4597
Feng, Y. (2012). An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method. Journal of Applied Statistics, 40(2), 266–281. https://doi.org/10.1080/02664763.2012.740626
LibreCat
| DOI
2012 | Journal Article | LibreCat-ID: 4601
Feng, Y., & Beran, J. (2012). Optimal convergence rates in non-parametric regression with fractional time series errors. Journal of Time Series Analysis, 34(1), 30–39. https://doi.org/10.1111/j.1467-9892.2012.00811.x
LibreCat
| DOI
2012 | Journal Article | LibreCat-ID: 4610
Feng, Y., & Beran, J. (2012). Filtered Log-Periodogram Regression of Long Memory Processes. Journal of Statistical Theory and Practice, 3(4), 777–793. https://doi.org/10.1080/15598608.2009.10411959
LibreCat
| DOI
2012 | Journal Article | LibreCat-ID: 4611
Beran, J., & Feng, Y. (2012). Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes. Journal of Statistical Theory and Practice, 1(2), 149–166. https://doi.org/10.1080/15598608.2007.10411831
LibreCat
| DOI
2012 | Journal Article | LibreCat-ID: 4612
Beran, J., & Feng, Y. (2012). Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes. Journal of Statistical Theory and Practice, 1(2), 149–166. https://doi.org/10.1080/15598608.2007.10411831
LibreCat
| DOI
2012 | Book Chapter | LibreCat-ID: 4631
Feng, Y., & Heiler, S. (2012). Locally Weighted Autoregression. In Econometrics in Theory and Practice (pp. 101–117). Heidelberg: Physica-Verlag HD. https://doi.org/10.1007/978-3-642-47027-1_10
LibreCat
| DOI
2012 | Working Paper | LibreCat-ID: 4659
Feng, Y., Hand, D., & Yu, K. (2012). A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance.
LibreCat
2011 | Journal Article | LibreCat-ID: 4598
Guo, Z., Feng, Y., & Tan, X. (2011). Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products. Economic Modelling, 28(6), 2359–2368. https://doi.org/10.1016/j.econmod.2011.06.007
LibreCat
| DOI
2010 | Journal Article | LibreCat-ID: 4606
Liu, X., Grant, D. B., McKinnon, A. C., & Feng, Y. (2010). An empirical examination of the contribution of capabilities to the competitiveness of logistics service providers. International Journal of Physical Distribution & Logistics Management, 40(10), 847–866. https://doi.org/10.1108/09600031011093232
LibreCat
| DOI
2010 | Journal Article | LibreCat-ID: 4607
Liu, X., McKinnon, A. C., Grant, D. B., & Feng, Y. (2010). Sources of competitiveness for logistics service providers: a UK industry perspective. Logistics Research, 2(1), 23–32. https://doi.org/10.1007/s12159-010-0024-7
LibreCat
| DOI
2009 | Journal Article | LibreCat-ID: 4608
Feng, Y., & Heiler, S. (2009). A simple bootstrap bandwidth selector for local polynomial fitting. Journal of Statistical Computation and Simulation, 79(12), 1425–1439. https://doi.org/10.1080/00949650802352019
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| DOI