Please note that LibreCat no longer supports Internet Explorer versions 8 or 9 (or earlier).
We recommend upgrading to the latest Internet Explorer, Google Chrome, or Firefox.
60 Publications
2022 | Journal Article | LibreCat-ID: 35992
Letmathe, S., Feng, Y., & Uhde, A. (n.d.). Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. Journal of Risk, 25(2).
LibreCat
2022 | Journal Article | LibreCat-ID: 29317
Letmathe, S., Feng, Y., & Uhde, A. (n.d.). Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. Journal of Risk. https://doi.org/10.21314/JOR.2022.044
LibreCat
| DOI
2020 | Journal Article | LibreCat-ID: 16873
Peitz, C., Feng, Y., Gilroy, B. M., & Stöckmann, N. (2020). The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH. Asian Economic and Financial Review, 10(4), 427–438.
LibreCat
2018 | Conference Paper | LibreCat-ID: 4665
Schäfer, B., & Feng, Y. (2018). Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model. In Book of Abstracts (p. 7). Paderborn, Germany.
LibreCat
2018 | Conference Paper | LibreCat-ID: 4667
Feng, Y., & Letmathe, S. (2018). The Non-Gaussian ESEMIFAR Model. Presented at the European Conference on Data Analysis, Paderborn, Germany.
LibreCat
2018 | Conference Paper | LibreCat-ID: 4668
Forstinger, S., Feng, Y., & Peitz, C. (2018). Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models. In Book of Abstracts (p. 17). Paderborn, Germany.
LibreCat
2018 | Conference Paper | LibreCat-ID: 4669
Zhang, X., & Feng, Y. (2018). A Box-Cox Semiparametric Multiplicative Error Model. In Book of Abstracts (p. 19). Paderborn, Germany.
LibreCat
2017 | Working Paper | LibreCat-ID: 4633
Zhang, X., Feng, Y., & Peitz, C. (2017). A general class of SemiGARCH models based on the Box-Cox transformation.
LibreCat