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60 Publications
2022 | Journal Article | LibreCat-ID: 35992
Letmathe, Sebastian, Yuanhua Feng, and André Uhde. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” Journal of Risk 25, no. 2 (n.d.).
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2022 | Journal Article | LibreCat-ID: 29317
Letmathe, Sebastian, Yuanhua Feng, and André Uhde. “Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall.” Journal of Risk, n.d. https://doi.org/10.21314/JOR.2022.044.
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| DOI
2020 | Journal Article | LibreCat-ID: 16873
Peitz, Christian, Yuanhua Feng, Bernard Michael Gilroy, and Nico Stöckmann. “The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH.” Asian Economic and Financial Review 10, no. 4 (2020): 427–38.
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2018 | Conference Paper | LibreCat-ID: 4665
Schäfer, Bastian, and Yuanhua Feng. “Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model.” In Book of Abstracts, 7, 2018.
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2018 | Conference Paper | LibreCat-ID: 4667
Feng, Yuanhua, and Sebastian Letmathe. “The Non-Gaussian ESEMIFAR Model.” Book of Abstracts, 2018.
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2018 | Conference Paper | LibreCat-ID: 4668
Forstinger, Sarah, Yuanhua Feng, and Christian Peitz. “Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models.” In Book of Abstracts, 17, 2018.
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2018 | Conference Paper | LibreCat-ID: 4669
Zhang, Xuehai , and Yuanhua Feng. “A Box-Cox Semiparametric Multiplicative Error Model.” In Book of Abstracts, 19, 2018.
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2017 | Working Paper | LibreCat-ID: 4633
Zhang, Xuehai, Yuanhua Feng, and Christian Peitz. A General Class of SemiGARCH Models Based on the Box-Cox Transformation, 2017.
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