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60 Publications
2013 | Book | LibreCat-ID: 4628
Long-Memory Processes
J. Beran, Y. Feng, S. Ghosh, R. Kulik, Long-Memory Processes, Springer Berlin Heidelberg, Berlin, Heidelberg, 2013.
LibreCat
| DOI
J. Beran, Y. Feng, S. Ghosh, R. Kulik, Long-Memory Processes, Springer Berlin Heidelberg, Berlin, Heidelberg, 2013.
2013 | Working Paper | LibreCat-ID: 4657
A Semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets
Y. Feng, L. Sun, A Semi-APARCH Approach for Comparing Long-Term and Short-Term Risk in Chinese Financial Market and in Mature Financial Markets, 2013.
LibreCat
Y. Feng, L. Sun, A Semi-APARCH Approach for Comparing Long-Term and Short-Term Risk in Chinese Financial Market and in Mature Financial Markets, 2013.
2013 | Working Paper | LibreCat-ID: 4658
Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects
Y. Feng, Double-Conditional Smoothing of High-Frequency Volatility Surface in a Spatial Multiplicative Component GARCH with Random Effects, 2013.
LibreCat
Y. Feng, Double-Conditional Smoothing of High-Frequency Volatility Surface in a Spatial Multiplicative Component GARCH with Random Effects, 2013.
2012 | Journal Article | LibreCat-ID: 4597
An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method
Y. Feng, Journal of Applied Statistics 40 (2012) 266–281.
LibreCat
| DOI
Y. Feng, Journal of Applied Statistics 40 (2012) 266–281.
2012 | Journal Article | LibreCat-ID: 4601
Optimal convergence rates in non-parametric regression with fractional time series errors
Y. Feng, J. Beran, Journal of Time Series Analysis 34 (2012) 30–39.
LibreCat
| DOI
Y. Feng, J. Beran, Journal of Time Series Analysis 34 (2012) 30–39.
2012 | Journal Article | LibreCat-ID: 4610
Filtered Log-Periodogram Regression of Long Memory Processes
Y. Feng, J. Beran, Journal of Statistical Theory and Practice 3 (2012) 777–793.
LibreCat
| DOI
Y. Feng, J. Beran, Journal of Statistical Theory and Practice 3 (2012) 777–793.
2012 | Journal Article | LibreCat-ID: 4611
Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes
J. Beran, Y. Feng, Journal of Statistical Theory and Practice 1 (2012) 149–166.
LibreCat
| DOI
J. Beran, Y. Feng, Journal of Statistical Theory and Practice 1 (2012) 149–166.
2012 | Journal Article | LibreCat-ID: 4612
Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes
J. Beran, Y. Feng, Journal of Statistical Theory and Practice 1 (2012) 149–166.
LibreCat
| DOI
J. Beran, Y. Feng, Journal of Statistical Theory and Practice 1 (2012) 149–166.
2012 | Book Chapter | LibreCat-ID: 4631
Locally Weighted Autoregression
Y. Feng, S. Heiler, in: Econometrics in Theory and Practice, Physica-Verlag HD, Heidelberg, 2012, pp. 101–117.
LibreCat
| DOI
Y. Feng, S. Heiler, in: Econometrics in Theory and Practice, Physica-Verlag HD, Heidelberg, 2012, pp. 101–117.
2012 | Working Paper | LibreCat-ID: 4659
A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance
Y. Feng, D. Hand, K. Yu, A Multivariate Random Walk Model with Slowly Changing Drift and Cross-Correlation Applied to Finance, 2012.
LibreCat
Y. Feng, D. Hand, K. Yu, A Multivariate Random Walk Model with Slowly Changing Drift and Cross-Correlation Applied to Finance, 2012.