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60 Publications


2015 | Journal Article | LibreCat-ID: 4593
Feng, Yuanhua, and Chen Zhou. “Forecasting Financial Market Activity Using a Semiparametric Fractionally Integrated Log-ACD.” International Journal of Forecasting, vol. 31, no. 2, Elsevier BV, 2015, pp. 349–63, doi:10.1016/j.ijforecast.2014.09.001.
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2015 | Book (Editor) | LibreCat-ID: 4649
Beran, Jan, et al., editors. Empirical Economic and Financial Research - Theory, Methods and Practice. Springer, 2015.
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2015 | Working Paper | LibreCat-ID: 4656
Feng, Yuanhua, and Chen Zhou. An Iterative Plug-in Algorithm for Realized Kernels. 2015.
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2014 | Book Chapter | LibreCat-ID: 4603
Peitz, Christian, and Yuanhua Feng. “Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model.” Empirical Economic and Financial Research, Springer International Publishing, 2014, pp. 341–56, doi:10.1007/978-3-319-03122-4_21.
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2014 | Journal Article | LibreCat-ID: 4605
Feng, Yuanhua. “Data-Driven Estimation of Diurnal Patterns of Durations between Trades on Financial Markets.” Statistics & Probability Letters, vol. 92, Elsevier BV, 2014, pp. 109–13, doi:10.1016/j.spl.2014.05.011.
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2014 | Journal Article | LibreCat-ID: 4599
Beran, Jan, et al. “Modelling Long-Range Dependence and Trends in Duration Series: An Approach Based on EFARIMA and ESEMIFAR Models.” Statistical Papers, vol. 56, no. 2, Springer Nature, 2014, pp. 431–51, doi:10.1007/s00362-014-0590-x.
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2014 | Book Chapter | LibreCat-ID: 4602
Beran, Jan, et al. “On EFARIMA and ESEMIFAR Models.” Empirical Economic and Financial Research, Springer International Publishing, 2014, pp. 239–53, doi:10.1007/978-3-319-03122-4_15.
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2014 | Conference Paper | LibreCat-ID: 4664
Zhou, Chen, and Yuanhua Feng. Data-Driven Estimation of Realized Kernels under Dependent Microstructure Noise and Further Analysis Using the Semi-FI-Log-ACD. 2014.
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2013 | Working Paper | LibreCat-ID: 4658
Feng, Yuanhua. Double-Conditional Smoothing of High-Frequency Volatility Surface in a Spatial Multiplicative Component GARCH with Random Effects. 2013.
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2013 | Journal Article | LibreCat-ID: 4596
Feng, Yuanhua, et al. “A Tree-Form Constant Market Share Model for Growth Causes in International Trade Based on Multi-Level Classification.” Journal of Industry, Competition and Trade, vol. 14, no. 2, Springer Nature, 2013, pp. 207–28, doi:10.1007/s10842-013-0156-y.
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