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60 Publications
2022 | Journal Article | LibreCat-ID: 35992
S. Letmathe, Y. Feng, and A. Uhde, “Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall,” Journal of Risk, vol. 25, no. 2.
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2022 | Journal Article | LibreCat-ID: 29317
S. Letmathe, Y. Feng, and A. Uhde, “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
C. Peitz, Y. Feng, B. M. Gilroy, and N. Stöckmann, “The Shanghai-Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH,” Asian Economic and Financial Review, vol. 10, no. 4, pp. 427–438, 2020.
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2018 | Conference Paper | LibreCat-ID: 4665
B. Schäfer and Y. Feng, “Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model,” in Book of Abstracts, Paderborn, Germany, 2018, p. 7.
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2018 | Conference Paper | LibreCat-ID: 4667
Y. Feng and S. Letmathe, “The Non-Gaussian ESEMIFAR Model.” p. 7, 2018.
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2018 | Conference Paper | LibreCat-ID: 4668
S. Forstinger, Y. Feng, and C. Peitz, “Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models,” in Book of Abstracts, Paderborn, Germany, 2018, p. 17.
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2018 | Conference Paper | LibreCat-ID: 4669
X. Zhang and Y. Feng, “A Box-Cox Semiparametric Multiplicative Error Model,” in Book of Abstracts, Paderborn, Germany, 2018, p. 19.
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2017 | Working Paper | LibreCat-ID: 4633
X. Zhang, Y. Feng, and C. Peitz, A general class of SemiGARCH models based on the Box-Cox transformation. 2017.
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