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60 Publications
2022 | Journal Article | LibreCat-ID: 35992
@article{Letmathe_Feng_Uhde, title={Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall}, volume={25}, number={2}, journal={Journal of Risk}, author={Letmathe, Sebastian and Feng, Yuanhua and Uhde, André} }
LibreCat
2022 | Journal Article | LibreCat-ID: 29317
@article{Letmathe_Feng_Uhde, title={Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall}, DOI={10.21314/JOR.2022.044}, journal={Journal of Risk}, author={Letmathe, Sebastian and Feng, Yuanhua and Uhde, André} }
LibreCat
| DOI
2020 | Journal Article | LibreCat-ID: 16873
@article{Peitz_Feng_Gilroy_Stöckmann_2020, title={The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH}, volume={10}, number={4}, journal={Asian Economic and Financial Review}, publisher={Asian Economic and Social Society}, author={Peitz, Christian and Feng, Yuanhua and Gilroy, Bernard Michael and Stöckmann, Nico}, year={2020}, pages={427–438} }
LibreCat
2018 | Conference Paper | LibreCat-ID: 4665
@inproceedings{Schäfer_Feng_2018, title={Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model}, booktitle={Book of Abstracts}, author={Schäfer, Bastian and Feng, Yuanhua}, year={2018}, pages={7} }
LibreCat
2018 | Conference Paper | LibreCat-ID: 4667
@article{Feng_Letmathe_2018, series={Book of Abstracts}, title={The Non-Gaussian ESEMIFAR Model}, author={Feng, Yuanhua and Letmathe, Sebastian}, year={2018}, pages={7}, collection={Book of Abstracts} }
LibreCat
2018 | Conference Paper | LibreCat-ID: 4668
@inproceedings{Forstinger_Feng_Peitz_2018, title={Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models}, booktitle={Book of Abstracts}, author={Forstinger, Sarah and Feng, Yuanhua and Peitz, Christian}, year={2018}, pages={17} }
LibreCat
2018 | Conference Paper | LibreCat-ID: 4669
@inproceedings{Zhang_Feng_2018, title={A Box-Cox Semiparametric Multiplicative Error Model}, booktitle={Book of Abstracts}, author={Zhang, Xuehai and Feng, Yuanhua}, year={2018}, pages={19} }
LibreCat
2017 | Working Paper | LibreCat-ID: 4633
@book{Zhang_Feng_Peitz_2017, title={A general class of SemiGARCH models based on the Box-Cox transformation}, author={Zhang, Xuehai and Feng, Yuanhua and Peitz, Christian}, year={2017} }
LibreCat