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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
2017 | Working Paper | LibreCat-ID: 4671
@book{Feng_Gries_2017, title={Data-driven local polynomial for the trend and its derivatives in economic time series}, author={Feng, Yuanhua and Gries, Thomas}, year={2017} }
LibreCat
2015 | Journal Article | LibreCat-ID: 4592
@article{Feng_Forstinger_Peitz_2015, title={On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations}, volume={86}, DOI={10.1080/00949655.2015.1107908}, number={12}, journal={Journal of Statistical Computation and Simulation}, publisher={Informa UK Limited}, author={Feng, Yuanhua and Forstinger, Sarah and Peitz, Christian}, year={2015}, pages={2291–2307} }
LibreCat
| DOI
2015 | Journal Article | LibreCat-ID: 4593
@article{Feng_Zhou_2015, title={Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD}, volume={31}, DOI={10.1016/j.ijforecast.2014.09.001}, number={2}, journal={International Journal of Forecasting}, publisher={Elsevier BV}, author={Feng, Yuanhua and Zhou, Chen}, year={2015}, pages={349–363} }
LibreCat
| DOI
2015 | Book (Editor) | LibreCat-ID: 4649
@book{Beran_Feng_Hebbel_2015, place={Berlin}, title={Empirical Economic and Financial Research - Theory, Methods and Practice}, publisher={Springer}, year={2015} }
LibreCat
2015 | Book Chapter | LibreCat-ID: 4650
@inbook{Beran_Feng_Hebbel_2015, place={Cham}, title={Introduction}, DOI={10.1007/978-3-319-03122-4_1}, booktitle={Empirical Economic and Financial Research}, publisher={Springer International Publishing}, author={Beran, Jan and Feng, Yuanhua and Hebbel, Hartmut}, year={2015}, pages={1–6} }
LibreCat
| DOI
2015 | Working Paper | LibreCat-ID: 4656
@book{Feng_Zhou_2015, title={An iterative plug-in algorithm for realized kernels}, author={Feng, Yuanhua and Zhou, Chen}, year={2015} }
LibreCat
2014 | Journal Article | LibreCat-ID: 4599
@article{Beran_Feng_Ghosh_2014, title={Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models}, volume={56}, DOI={10.1007/s00362-014-0590-x}, number={2}, journal={Statistical Papers}, publisher={Springer Nature}, author={Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita}, year={2014}, pages={431–451} }
LibreCat
| DOI
2014 | Book Chapter | LibreCat-ID: 4602
@inbook{Beran_Feng_Ghosh_2014, place={Cham}, title={On EFARIMA and ESEMIFAR Models}, DOI={10.1007/978-3-319-03122-4_15}, booktitle={Empirical Economic and Financial Research}, publisher={Springer International Publishing}, author={Beran, Jan and Feng, Yuanhua and Ghosh, Sucharita}, year={2014}, pages={239–253} }
LibreCat
| DOI
2014 | Book Chapter | LibreCat-ID: 4603
@inbook{Peitz_Feng_2014, place={Cham}, title={Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model}, DOI={10.1007/978-3-319-03122-4_21}, booktitle={Empirical Economic and Financial Research}, publisher={Springer International Publishing}, author={Peitz, Christian and Feng, Yuanhua}, year={2014}, pages={341–356} }
LibreCat
| DOI
2014 | Journal Article | LibreCat-ID: 4605
@article{Feng_2014, title={Data-driven estimation of diurnal patterns of durations between trades on financial markets}, volume={92}, DOI={10.1016/j.spl.2014.05.011}, journal={Statistics & Probability Letters}, publisher={Elsevier BV}, author={Feng, Yuanhua}, year={2014}, pages={109–113} }
LibreCat
| DOI
2014 | Conference Paper | LibreCat-ID: 4664
@article{Zhou_Feng_2014, series={Book of Abstracts}, title={Data-driven estimation of realized kernels under dependent microstructure noise and further analysis using the Semi-FI-Log-ACD}, author={Zhou, Chen and Feng, Yuanhua}, year={2014}, collection={Book of Abstracts} }
LibreCat
2013 | Journal Article | LibreCat-ID: 4596
@article{Feng_Guo_Peitz_2013, title={A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification}, volume={14}, DOI={10.1007/s10842-013-0156-y}, number={2}, journal={Journal of Industry, Competition and Trade}, publisher={Springer Nature}, author={Feng, Yuanhua and Guo, Zhichao and Peitz, Christian}, year={2013}, pages={207–228} }
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