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64 Publications
2026 | Working Paper | LibreCat-ID: 66449 | 
Application of Novel Exponential (Semi-)Parametric Short and Long Memory GARCH Models under Regulatory Requirements of Basel III
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.
LibreCat
| Files available
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.
2026 | Working Paper | LibreCat-ID: 66447 |
Comparing the behaviors of some original short and long memory exponential volatility models
D.C. Hanke, Y. Feng, A. Uhde, Comparing the Behaviors of Some Original Short and Long Memory Exponential Volatility Models, 2026.
LibreCat
| Files available
D.C. Hanke, Y. Feng, A. Uhde, Comparing the Behaviors of Some Original Short and Long Memory Exponential Volatility Models, 2026.
2024 | Journal Article | LibreCat-ID: 60118
Forecasting economic growth by combining local linear and standard approaches
M. Fritz, S. Forstinger, Y. Feng, T. Gries, Journal of Applied Statistics 52 (2024) 1342–1360.
LibreCat
| DOI
M. Fritz, S. Forstinger, Y. Feng, T. Gries, Journal of Applied Statistics 52 (2024) 1342–1360.
2022 | Journal Article | LibreCat-ID: 35992
Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall
S. Letmathe, Y. Feng, A. Uhde, Journal of Risk 25 (n.d.).
LibreCat
S. Letmathe, Y. Feng, A. Uhde, Journal of Risk 25 (n.d.).
2022 | Journal Article | LibreCat-ID: 29317
Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall
S. Letmathe, Y. Feng, A. Uhde, Journal of Risk (n.d.).
LibreCat
| DOI
S. Letmathe, Y. Feng, A. Uhde, Journal of Risk (n.d.).
2022 | Journal Article | LibreCat-ID: 50025
The smoots Package in R for Semiparametric Modeling of Trend Stationary Time Series
Y. Feng, T. Gries, S. Letmathe, D. Schulz, The R Journal 14 (2022) 182–195.
LibreCat
| DOI
Y. Feng, T. Gries, S. Letmathe, D. Schulz, The R Journal 14 (2022) 182–195.
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
C. Peitz, Y. Feng, B.M. Gilroy, N. Stöckmann, Asian Economic and Financial Review 10 (2020) 427–438.
2018 | Conference Paper | LibreCat-ID: 4665
Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model
B. Schäfer, Y. Feng, in: Book of Abstracts, 2018, p. 7.
LibreCat
B. Schäfer, Y. Feng, in: Book of Abstracts, 2018, p. 7.
2018 | Conference Paper | LibreCat-ID: 4667
The Non-Gaussian ESEMIFAR Model
Y. Feng, S. Letmathe, (2018) 7.
LibreCat
Y. Feng, S. Letmathe, (2018) 7.
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
S. Forstinger, Y. Feng, C. Peitz, in: Book of Abstracts, 2018, p. 17.
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
X. Zhang, Y. Feng, in: Book of Abstracts, 2018, p. 19.
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
X. Zhang, Y. Feng, C. Peitz, A General Class of SemiGARCH Models Based on the Box-Cox Transformation, 2017.
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
Y. Feng, T. Gries, Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series, 2017.
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
Y. Feng, S. Forstinger, C. Peitz, Journal of Statistical Computation and Simulation 86 (2015) 2291–2307.
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
Y. Feng, C. Zhou, International Journal of Forecasting 31 (2015) 349–363.
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
J. Beran, Y. Feng, H. Hebbel, eds., Empirical Economic and Financial Research - Theory, Methods and Practice, Springer, Berlin, 2015.
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
J. Beran, Y. Feng, H. Hebbel, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2015, pp. 1–6.
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
Y. Feng, C. Zhou, An Iterative Plug-in Algorithm for Realized Kernels, 2015.
2014 | Journal Article | LibreCat-ID: 4599
Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
J. Beran, Y. Feng, S. Ghosh, Statistical Papers 56 (2014) 431–451.
LibreCat
| DOI
J. Beran, Y. Feng, S. Ghosh, Statistical Papers 56 (2014) 431–451.
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
J. Beran, Y. Feng, S. Ghosh, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2014, pp. 239–253.