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60 Publications


2018 | Conference Paper | LibreCat-ID: 4665
Schäfer B, Feng Y. Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model. In: Book of Abstracts. ; 2018:7.
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2018 | Dissertation | LibreCat-ID: 4672
Forstinger S. Modelling and Forecasting Financial and Economic Time Series Using Different Semiparametric ACD Models. Universität Paderborn; 2018.
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2018 | Conference Paper | LibreCat-ID: 4667
Feng Y, Letmathe S. The Non-Gaussian ESEMIFAR Model. 2018:7.
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2018 | Conference Paper | LibreCat-ID: 4668
Forstinger S, Feng Y, Peitz C. Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models. In: Book of Abstracts. ; 2018:17.
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2018 | Conference Paper | LibreCat-ID: 4669
Zhang X, Feng Y. A Box-Cox Semiparametric Multiplicative Error Model. In: Book of Abstracts. ; 2018:19.
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2017 | Working Paper | LibreCat-ID: 4633
Zhang X, Feng Y, Peitz C. A General Class of SemiGARCH Models Based on the Box-Cox Transformation.; 2017.
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2017 | Working Paper | LibreCat-ID: 4671
Feng Y, Gries T. Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series.; 2017.
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2016 | Book | LibreCat-ID: 5119
Peitz C. Die Parametrische Und Semiparametrische Analyse von Finanzzeitreihen: Neue Methoden, Modelle Und Anwendungsm\"oglichkeiten. Springer-Verlag; 2016.
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2015 | Journal Article | LibreCat-ID: 4592
Feng Y, Forstinger S, Peitz C. On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations. Journal of Statistical Computation and Simulation. 2015;86(12):2291-2307. doi:10.1080/00949655.2015.1107908
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2015 | Book Chapter | LibreCat-ID: 4650
Beran J, Feng Y, Hebbel H. Introduction. In: Empirical Economic and Financial Research. Cham: Springer International Publishing; 2015:1-6. doi:10.1007/978-3-319-03122-4_1
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2015 | Journal Article | LibreCat-ID: 4593
Feng Y, Zhou C. Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD. International Journal of Forecasting. 2015;31(2):349-363. doi:10.1016/j.ijforecast.2014.09.001
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2015 | Book (Editor) | LibreCat-ID: 4649
Beran J, Feng Y, Hebbel H, eds. Empirical Economic and Financial Research - Theory, Methods and Practice. Berlin: Springer; 2015.
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2015 | Working Paper | LibreCat-ID: 4656
Feng Y, Zhou C. An Iterative Plug-in Algorithm for Realized Kernels.; 2015.
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2014 | Book Chapter | LibreCat-ID: 4603
Peitz C, Feng Y. Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model. In: Empirical Economic and Financial Research. Cham: Springer International Publishing; 2014:341-356. doi:10.1007/978-3-319-03122-4_21
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2014 | Journal Article | LibreCat-ID: 4605
Feng Y. Data-driven estimation of diurnal patterns of durations between trades on financial markets. Statistics & Probability Letters. 2014;92:109-113. doi:10.1016/j.spl.2014.05.011
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2014 | Journal Article | LibreCat-ID: 4599
Beran J, Feng Y, Ghosh S. Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models. Statistical Papers. 2014;56(2):431-451. doi:10.1007/s00362-014-0590-x
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2014 | Book Chapter | LibreCat-ID: 4602
Beran J, Feng Y, Ghosh S. On EFARIMA and ESEMIFAR Models. In: Empirical Economic and Financial Research. Cham: Springer International Publishing; 2014:239-253. doi:10.1007/978-3-319-03122-4_15
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2014 | Conference Paper | LibreCat-ID: 4664
Zhou C, Feng Y. 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 Y. 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 Y, Guo Z, Peitz C. A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification. Journal of Industry, Competition and Trade. 2013;14(2):207-228. doi:10.1007/s10842-013-0156-y
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2013 | Book | LibreCat-ID: 4628
Beran J, Feng Y, Ghosh S, Kulik R. Long-Memory Processes. Berlin, Heidelberg: Springer Berlin Heidelberg; 2013. doi:10.1007/978-3-642-35512-7
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2013 | Journal Article | LibreCat-ID: 4600
Guo Z, Feng Y. Modeling of the impact of the financial crisis and China’s accession to WTO on China’s exports to Germany. Economic Modelling. 2013;31:474-483. doi:10.1016/j.econmod.2012.12.015
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2013 | Working Paper | LibreCat-ID: 4657
Feng Y, Sun L. A Semi-APARCH Approach for Comparing Long-Term and Short-Term Risk in Chinese Financial Market and in Mature Financial Markets.; 2013.
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2012 | Journal Article | LibreCat-ID: 4610
Feng Y, Beran J. Filtered Log-Periodogram Regression of Long Memory Processes. Journal of Statistical Theory and Practice. 2012;3(4):777-793. doi:10.1080/15598608.2009.10411959
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2012 | Working Paper | LibreCat-ID: 4659
Feng Y, Hand D, Yu K. A Multivariate Random Walk Model with Slowly Changing Drift and Cross-Correlation Applied to Finance.; 2012.
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2012 | Journal Article | LibreCat-ID: 4611
Beran J, Feng Y. Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes. Journal of Statistical Theory and Practice. 2012;1(2):149-166. doi:10.1080/15598608.2007.10411831
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2012 | Journal Article | LibreCat-ID: 4597
Feng Y. An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method. Journal of Applied Statistics. 2012;40(2):266-281. doi:10.1080/02664763.2012.740626
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2012 | Journal Article | LibreCat-ID: 4612
Beran J, Feng Y. Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes. Journal of Statistical Theory and Practice. 2012;1(2):149-166. doi:10.1080/15598608.2007.10411831
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2012 | Book Chapter | LibreCat-ID: 4631
Feng Y, Heiler S. Locally Weighted Autoregression. In: Econometrics in Theory and Practice. Heidelberg: Physica-Verlag HD; 2012:101-117. doi:10.1007/978-3-642-47027-1_10
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2012 | Journal Article | LibreCat-ID: 4601
Feng Y, Beran J. Optimal convergence rates in non-parametric regression with fractional time series errors. Journal of Time Series Analysis. 2012;34(1):30-39. doi:10.1111/j.1467-9892.2012.00811.x
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2011 | Journal Article | LibreCat-ID: 4598
Guo Z, Feng Y, Tan X. Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products. Economic Modelling. 2011;28(6):2359-2368. doi:10.1016/j.econmod.2011.06.007
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2010 | Journal Article | LibreCat-ID: 4606
Liu X, Grant DB, McKinnon AC, Feng Y. An empirical examination of the contribution of capabilities to the competitiveness of logistics service providers. International Journal of Physical Distribution & Logistics Management. 2010;40(10):847-866. doi:10.1108/09600031011093232
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2010 | Journal Article | LibreCat-ID: 4607
Liu X, McKinnon AC, Grant DB, Feng Y. Sources of competitiveness for logistics service providers: a UK industry perspective. Logistics Research. 2010;2(1):23-32. doi:10.1007/s12159-010-0024-7
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2009 | Journal Article | LibreCat-ID: 4608
Feng Y, Heiler S. A simple bootstrap bandwidth selector for local polynomial fitting. Journal of Statistical Computation and Simulation. 2009;79(12):1425-1439. doi:10.1080/00949650802352019
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2009 | Journal Article | LibreCat-ID: 4622
Beran J, Feng Y, Heiler S. Modifying the double smoothing bandwidth selector in nonparametric regression. Statistical Methodology. 2009;6(5):447-465. doi:10.1016/j.stamet.2009.04.001
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2008 | Journal Article | LibreCat-ID: 4609
Feng Y, McNeil AJ. Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility. Economic Modelling. 2008;25(5):850-867. doi:10.1016/j.econmod.2007.11.007
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2007 | Book Chapter | LibreCat-ID: 4616
Beran J, Feng Y, Franke G, Hess D, Ocker D. Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity. In: Processes with Long-Range Correlations. Berlin, Heidelberg: Springer Berlin Heidelberg; 2007:225-250. doi:10.1007/3-540-44832-2_13
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2007 | Journal Article | LibreCat-ID: 4624
Beran J, Feng Y. Local Polynomial Estimation with a FARIMA-GARCH Error Process. Bernoulli. 2007;7(5). doi:10.2307/3318539
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2007 | Journal Article | LibreCat-ID: 3470
Beran J, Feng Y. Local Polynomial Estimation with a FARIMA-GARCH Error Process. Bernoulli. 2007;7(5). doi:10.2307/3318539
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2007 | Journal Article | LibreCat-ID: 4613
Feng Y. On the asymptotic variance in nonparametric regression with fractional time-series errors. Journal of Nonparametric Statistics. 2007;19(2):63-76. doi:10.1080/10485250701381737
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2007 | Journal Article | LibreCat-ID: 4614
Feng Y, Beran J, Yu K. Modelling financial time series with SEMIFAR GARCH model. IMA Journal of Management Mathematics. 2007;18(4):395-412. doi:10.1093/imaman/dpm024
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2007 | Book (Editor) | LibreCat-ID: 4652
Ng P, Yu K, Feng Y, eds. Special Issue: Quantile Regression. Vol 7.; 2007.
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2004 | Journal Article | LibreCat-ID: 4615
Feng Y. SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE. Econometric Theory. 2004;20(03). doi:10.1017/s0266466604203061
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2004 | Book Chapter | LibreCat-ID: 4634
Heiler S, Feng Y. A robust data-driven version of the Berlin Method. In: Metz R, Lösch M, Edel K, eds. Zeitreihenanalyse in Der Empirischen Wirtschaftsforschung. Stuttgart: Lucius & Lucius; 2004:67-81.
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2004 | Book | LibreCat-ID: 4630
Feng Y. Non- and Semiparametric Regression with Fractional Time Series Errors.; 2004.
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2002 | Working Paper | LibreCat-ID: 4661
Beran J, Feng Y. Recent Developments in Non- and Semiparametric Models with Fractional Time Series Errors.; 2002.
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2002 | Journal Article | LibreCat-ID: 4623
Beran J, Feng Y, Ghosh S, Sibbertsen P. On robust local polynomial estimation with long-memory errors. International Journal of Forecasting. 2002;18(2):227-241. doi:10.1016/s0169-2070(01)00155-8
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2002 | Journal Article | LibreCat-ID: 4635
Beran J, Feng Y. Local polynomial fitting with long-memory, short-memory and antipersistent errors. The Annals of the Institute of Statistical Mathematics. 2002;54(2):291-311.
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2002 | Journal Article | LibreCat-ID: 4617
Beran J, Feng Y. SEMIFAR models—a semiparametric approach to modelling trends, long-range dependence and nonstationarity. Computational Statistics & Data Analysis. 2002;40(2):393-419. doi:10.1016/s0167-9473(02)00007-5
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2002 | Journal Article | LibreCat-ID: 4620
Beran J, Feng Y. Iterative Plug-In Algorithms for SEMIFAR Models—Definition, Convergence, and Asymptotic Properties. Journal of Computational and Graphical Statistics. 2002;11(3):690-713. doi:10.1198/106186002420
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2002 | Journal Article | LibreCat-ID: 4637
Heiler S, Feng Y. Data-driven decomposition of seasonal time series. Journal of Statistical Planning and Inference. 2002;91(2):351-363. doi:10.1016/s0378-3758(00)00187-7
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2002 | Journal Article | LibreCat-ID: 4621
Heiler S, Feng Y. Data-driven decomposition of seasonal time series. Journal of Statistical Planning and Inference. 2002;91(2):351-363. doi:10.1016/s0378-3758(00)00187-7
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2001 | Journal Article | LibreCat-ID: 4653
Beran J, Feng Y. A semiparametric fractional autoregressive model. Statistical Review (Revista de Estatistica). 2001;2:125-128.
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2001 | Working Paper | LibreCat-ID: 4662
Beran J, Feng Y. Supplement to the Paper “Iterative Plug-in Algorithms for SEMIFAR Models - Definition, Convergence and Asymptotic Properties” - Detailed Simulation Results.; 2001.
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2000 | Journal Article | LibreCat-ID: 4636
Feng Y, Heiler S. Eine robuste datengesteuerte Version des Berliner-Verfahrens. Wirtschaft und Statistik. 2000:786-795.
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2000 | Book Chapter | LibreCat-ID: 4651
Feng Y, Heiler S. Locally weighted autoregression. In: Vosgerau H-J, ed. Institutional Arrangements for Global Economic Integration. ; 2000:371--388.
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1999 | Book | LibreCat-ID: 4629
Feng Y. Kernel- and Locally Weighted Regression -- with Application to Time Series Decomposition.; 1999.
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1998 | Book Chapter | LibreCat-ID: 4604
Abberger K, Feng Y, Heiler S. Nonparametric Smoothing and Quantile Estimation in Time Series. In: Bol G, Nakhaeizadeh Gholamreza, Vollmer K-H, eds. Risk Measurement, Econometrics and Neural Networks. Contributions to Economics. . Heidelberg: Physica-Verlag HD; 1998:1-16.
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1998 | Book Chapter | LibreCat-ID: 4632
Feng Y, Heiler S. Locally Weighted Autoregression. In: Galata R, Küchenhoff H, eds. Econometrics in Theory and Practice. Heidelberg: Physica-Verlag HD; 1998:101-117.
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1998 | Journal Article | LibreCat-ID: 4626
Heiler S, Feng Y. A simple root n bandwidth selector for nonparametric regression. Journal of Nonparametric Statistics. 1998;9(1):1-21.
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