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60 Publications

2018 | Conference Paper | LibreCat-ID: 4665 LibreCat

2018 | Conference Paper | LibreCat-ID: 4667
The Non-Gaussian ESEMIFAR Model
Y. Feng, S. Letmathe, (2018) 7.

2018 | Conference Paper | LibreCat-ID: 4668
Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models
S. Forstinger, Y. Feng, C. Peitz, in: Book of Abstracts, 2018, p. 17.

2018 | Conference Paper | LibreCat-ID: 4669
A Box-Cox Semiparametric Multiplicative Error Model
X. Zhang, Y. Feng, in: Book of Abstracts, 2018, p. 19.

2018 | Dissertation | LibreCat-ID: 4672
Modelling and forecasting financial and economic time series using different semiparametric ACD models
S. Forstinger, Modelling and Forecasting Financial and Economic Time Series Using Different Semiparametric ACD Models, Universität Paderborn, 2018.

2017 | Working Paper | LibreCat-ID: 4633
A general class of SemiGARCH models based on the Box-Cox transformation
X. Zhang, Y. Feng, C. Peitz, A General Class of SemiGARCH Models Based on the Box-Cox Transformation, 2017.

2017 | Working Paper | LibreCat-ID: 4671
Data-driven local polynomial for the trend and its derivatives in economic time series
Y. Feng, T. Gries, Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series, 2017.

2016 | Book | LibreCat-ID: 5119
Die parametrische und semiparametrische Analyse von Finanzzeitreihen: neue Methoden, Modelle und Anwendungsm\"oglichkeiten
C. Peitz, Die Parametrische Und Semiparametrische Analyse von Finanzzeitreihen: Neue Methoden, Modelle Und Anwendungsm\"oglichkeiten, Springer-Verlag, 2016.

2015 | Journal Article | LibreCat-ID: 4592
On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
Y. Feng, S. Forstinger, C. Peitz, Journal of Statistical Computation and Simulation 86 (2015) 2291–2307.
LibreCat | DOI

2015 | Journal Article | LibreCat-ID: 4593
Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
Y. Feng, C. Zhou, International Journal of Forecasting 31 (2015) 349–363.
LibreCat | DOI

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