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60 Publications
2022 | Journal Article | LibreCat-ID: 35992
Letmathe S, Feng Y, Uhde A. Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. Journal of Risk. 25(2).
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2022 | Journal Article | LibreCat-ID: 29317
Letmathe S, Feng Y, Uhde A. Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. Journal of Risk. doi:10.21314/JOR.2022.044
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| DOI
2020 | Journal Article | LibreCat-ID: 16873
Peitz C, Feng Y, Gilroy BM, Stöckmann N. The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH. Asian Economic and Financial Review. 2020;10(4):427-438.
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2018 | Conference Paper | LibreCat-ID: 4665
Schäfer B, Feng Y. Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model. In: Book of Abstracts. ; 2018:7.
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2018 | Conference Paper | LibreCat-ID: 4667
Feng Y, Letmathe S. The Non-Gaussian ESEMIFAR Model. 2018:7.
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2018 | Conference Paper | LibreCat-ID: 4668
Forstinger S, Feng Y, Peitz C. Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models. In: Book of Abstracts. ; 2018:17.
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2018 | Conference Paper | LibreCat-ID: 4669
Zhang X, Feng Y. A Box-Cox Semiparametric Multiplicative Error Model. In: Book of Abstracts. ; 2018:19.
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2017 | Working Paper | LibreCat-ID: 4633
Zhang X, Feng Y, Peitz C. A General Class of SemiGARCH Models Based on the Box-Cox Transformation.; 2017.
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