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60 Publications
2015 | Book (Editor) | LibreCat-ID: 4649
Beran, J., Feng, Y., & Hebbel, H. (Eds.). (2015). Empirical Economic and Financial Research - Theory, Methods and Practice. Berlin: Springer.
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2015 | Book Chapter | LibreCat-ID: 4650
Beran, J., Feng, Y., & Hebbel, H. (2015). Introduction. In Empirical Economic and Financial Research (pp. 1–6). Cham: Springer International Publishing. https://doi.org/10.1007/978-3-319-03122-4_1
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| DOI
2015 | Working Paper | LibreCat-ID: 4656
Feng, Y., & Zhou, C. (2015). An iterative plug-in algorithm for realized kernels.
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2014 | Journal Article | LibreCat-ID: 4599
Beran, J., Feng, Y., & Ghosh, S. (2014). Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models. Statistical Papers, 56(2), 431–451. https://doi.org/10.1007/s00362-014-0590-x
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| DOI
2014 | Book Chapter | LibreCat-ID: 4602
Beran, J., Feng, Y., & Ghosh, S. (2014). On EFARIMA and ESEMIFAR Models. In Empirical Economic and Financial Research (pp. 239–253). Cham: Springer International Publishing. https://doi.org/10.1007/978-3-319-03122-4_15
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| DOI
2014 | Book Chapter | LibreCat-ID: 4603
Peitz, C., & Feng, Y. (2014). Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model. In Empirical Economic and Financial Research (pp. 341–356). Cham: Springer International Publishing. https://doi.org/10.1007/978-3-319-03122-4_21
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| DOI
2014 | Journal Article | LibreCat-ID: 4605
Feng, Y. (2014). Data-driven estimation of diurnal patterns of durations between trades on financial markets. Statistics & Probability Letters, 92, 109–113. https://doi.org/10.1016/j.spl.2014.05.011
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| DOI
2014 | Conference Paper | LibreCat-ID: 4664
Zhou, C., & Feng, Y. (2014). Data-driven estimation of realized kernels under dependent microstructure noise and further analysis using the Semi-FI-Log-ACD. Presented at the Conference on Computational and Financial Econometrics, University of Pisa, Italy.
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2013 | Journal Article | LibreCat-ID: 4596
Feng, Y., Guo, Z., & Peitz, C. (2013). A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification. Journal of Industry, Competition and Trade, 14(2), 207–228. https://doi.org/10.1007/s10842-013-0156-y
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| DOI
2013 | Journal Article | LibreCat-ID: 4600
Guo, Z., & Feng, Y. (2013). Modeling of the impact of the financial crisis and China’s accession to WTO on China’s exports to Germany. Economic Modelling, 31, 474–483. https://doi.org/10.1016/j.econmod.2012.12.015
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| DOI
2013 | Book | LibreCat-ID: 4628
Beran, J., Feng, Y., Ghosh, S., & Kulik, R. (2013). Long-Memory Processes. Berlin, Heidelberg: Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-642-35512-7
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| DOI
2013 | Working Paper | LibreCat-ID: 4657
Feng, Y., & Sun, L. (2013). A Semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets.
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2013 | Working Paper | LibreCat-ID: 4658
Feng, Y. (2013). Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects.
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2012 | Journal Article | LibreCat-ID: 4597
Feng, Y. (2012). An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method. Journal of Applied Statistics, 40(2), 266–281. https://doi.org/10.1080/02664763.2012.740626
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| DOI
2012 | Journal Article | LibreCat-ID: 4601
Feng, Y., & Beran, J. (2012). Optimal convergence rates in non-parametric regression with fractional time series errors. Journal of Time Series Analysis, 34(1), 30–39. https://doi.org/10.1111/j.1467-9892.2012.00811.x
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| DOI
2012 | Journal Article | LibreCat-ID: 4610
Feng, Y., & Beran, J. (2012). Filtered Log-Periodogram Regression of Long Memory Processes. Journal of Statistical Theory and Practice, 3(4), 777–793. https://doi.org/10.1080/15598608.2009.10411959
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| DOI
2012 | Journal Article | LibreCat-ID: 4611
Beran, J., & Feng, Y. (2012). Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes. Journal of Statistical Theory and Practice, 1(2), 149–166. https://doi.org/10.1080/15598608.2007.10411831
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| DOI
2012 | Journal Article | LibreCat-ID: 4612
Beran, J., & Feng, Y. (2012). Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes. Journal of Statistical Theory and Practice, 1(2), 149–166. https://doi.org/10.1080/15598608.2007.10411831
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| DOI
2012 | Book Chapter | LibreCat-ID: 4631
Feng, Y., & Heiler, S. (2012). Locally Weighted Autoregression. In Econometrics in Theory and Practice (pp. 101–117). Heidelberg: Physica-Verlag HD. https://doi.org/10.1007/978-3-642-47027-1_10
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| DOI
2012 | Working Paper | LibreCat-ID: 4659
Feng, Y., Hand, D., & Yu, K. (2012). A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance.
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2011 | Journal Article | LibreCat-ID: 4598
Guo, Z., Feng, Y., & Tan, X. (2011). Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products. Economic Modelling, 28(6), 2359–2368. https://doi.org/10.1016/j.econmod.2011.06.007
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| DOI
2010 | Journal Article | LibreCat-ID: 4606
Liu, X., Grant, D. B., McKinnon, A. C., & Feng, Y. (2010). An empirical examination of the contribution of capabilities to the competitiveness of logistics service providers. International Journal of Physical Distribution & Logistics Management, 40(10), 847–866. https://doi.org/10.1108/09600031011093232
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| DOI
2010 | Journal Article | LibreCat-ID: 4607
Liu, X., McKinnon, A. C., Grant, D. B., & Feng, Y. (2010). Sources of competitiveness for logistics service providers: a UK industry perspective. Logistics Research, 2(1), 23–32. https://doi.org/10.1007/s12159-010-0024-7
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| DOI
2009 | Journal Article | LibreCat-ID: 4608
Feng, Y., & Heiler, S. (2009). A simple bootstrap bandwidth selector for local polynomial fitting. Journal of Statistical Computation and Simulation, 79(12), 1425–1439. https://doi.org/10.1080/00949650802352019
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| DOI
2009 | Journal Article | LibreCat-ID: 4622
Beran, J., Feng, Y., & Heiler, S. (2009). Modifying the double smoothing bandwidth selector in nonparametric regression. Statistical Methodology, 6(5), 447–465. https://doi.org/10.1016/j.stamet.2009.04.001
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| DOI
2008 | Journal Article | LibreCat-ID: 4609
Feng, Y., & McNeil, A. J. (2008). Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility. Economic Modelling, 25(5), 850–867. https://doi.org/10.1016/j.econmod.2007.11.007
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| DOI
2007 | Journal Article | LibreCat-ID: 3470
Beran, J., & Feng, Y. (2007). Local Polynomial Estimation with a FARIMA-GARCH Error Process. Bernoulli, 7(5). https://doi.org/10.2307/3318539
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| DOI
2007 | Journal Article | LibreCat-ID: 4613
Feng, Y. (2007). On the asymptotic variance in nonparametric regression with fractional time-series errors. Journal of Nonparametric Statistics, 19(2), 63–76. https://doi.org/10.1080/10485250701381737
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| DOI
2007 | Journal Article | LibreCat-ID: 4614
Feng, Y., Beran, J., & Yu, K. (2007). Modelling financial time series with SEMIFAR GARCH model. IMA Journal of Management Mathematics, 18(4), 395–412. https://doi.org/10.1093/imaman/dpm024
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| DOI
2007 | Book Chapter | LibreCat-ID: 4616
Beran, J., Feng, Y., Franke, G., Hess, D., & Ocker, D. (2007). Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity. In Processes with Long-Range Correlations (pp. 225–250). Berlin, Heidelberg: Springer Berlin Heidelberg. https://doi.org/10.1007/3-540-44832-2_13
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| DOI
2007 | Journal Article | LibreCat-ID: 4624
Beran, J., & Feng, Y. (2007). Local Polynomial Estimation with a FARIMA-GARCH Error Process. Bernoulli, 7(5). https://doi.org/10.2307/3318539
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| DOI
2007 | Book (Editor) | LibreCat-ID: 4652
Ng, P., Yu, K., & Feng, Y. (Eds.). (2007). Special Issue: Quantile Regression (Vol. 7).
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2004 | Journal Article | LibreCat-ID: 4615
Feng, Y. (2004). SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE. Econometric Theory, 20(03). https://doi.org/10.1017/s0266466604203061
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| DOI
2004 | Book | LibreCat-ID: 4630
Feng, Y. (2004). Non- and Semiparametric Regression with Fractional Time Series Errors.
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2004 | Book Chapter | LibreCat-ID: 4634
Heiler, S., & Feng, Y. (2004). A robust data-driven version of the Berlin Method. In R. Metz, M. Lösch, & K. Edel (Eds.), Zeitreihenanalyse in der empirischen Wirtschaftsforschung (pp. 67–81). Stuttgart: Lucius & Lucius.
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2002 | Journal Article | LibreCat-ID: 4617
Beran, J., & Feng, Y. (2002). SEMIFAR models—a semiparametric approach to modelling trends, long-range dependence and nonstationarity. Computational Statistics & Data Analysis, 40(2), 393–419. https://doi.org/10.1016/s0167-9473(02)00007-5
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| DOI
2002 | Journal Article | LibreCat-ID: 4620
Beran, J., & Feng, Y. (2002). Iterative Plug-In Algorithms for SEMIFAR Models—Definition, Convergence, and Asymptotic Properties. Journal of Computational and Graphical Statistics, 11(3), 690–713. https://doi.org/10.1198/106186002420
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| DOI
2002 | Journal Article | LibreCat-ID: 4621
Heiler, S., & Feng, Y. (2002). Data-driven decomposition of seasonal time series. Journal of Statistical Planning and Inference, 91(2), 351–363. https://doi.org/10.1016/s0378-3758(00)00187-7
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| DOI
2002 | Journal Article | LibreCat-ID: 4623
Beran, J., Feng, Y., Ghosh, S., & Sibbertsen, P. (2002). On robust local polynomial estimation with long-memory errors. International Journal of Forecasting, 18(2), 227–241. https://doi.org/10.1016/s0169-2070(01)00155-8
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| DOI
2002 | Journal Article | LibreCat-ID: 4635
Beran, J., & Feng, Y. (2002). Local polynomial fitting with long-memory, short-memory and antipersistent errors. The Annals of the Institute of Statistical Mathematics, 54(2), 291–311.
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2002 | Journal Article | LibreCat-ID: 4637
Heiler, S., & Feng, Y. (2002). Data-driven decomposition of seasonal time series. Journal of Statistical Planning and Inference, 91(2), 351–363. https://doi.org/10.1016/s0378-3758(00)00187-7
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| DOI
2002 | Working Paper | LibreCat-ID: 4661
Beran, J., & Feng, Y. (2002). Recent developments in non- and semiparametric models with fractional time series errors.
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2001 | Journal Article | LibreCat-ID: 4653
Beran, J., & Feng, Y. (2001). A semiparametric fractional autoregressive model. Statistical Review (Revista de Estatistica), 2, 125–128.
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2001 | Working Paper | LibreCat-ID: 4662
Beran, J., & Feng, Y. (2001). Supplement to the paper “Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties” - Detailed simulation results.
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2000 | Journal Article | LibreCat-ID: 4636
Feng, Y., & Heiler, S. (2000). Eine robuste datengesteuerte Version des Berliner-Verfahrens. Wirtschaft Und Statistik, 786–795.
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2000 | Book Chapter | LibreCat-ID: 4651
Feng, Y., & Heiler, S. (2000). Locally weighted autoregression. In H.-J. Vosgerau (Ed.), Institutional Arrangements for Global Economic Integration (pp. 371--388).
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1999 | Book | LibreCat-ID: 4629
Feng, Y. (1999). Kernel- and Locally Weighted Regression -- with Application to Time Series Decomposition.
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1998 | Book Chapter | LibreCat-ID: 4604
Abberger, K., Feng, Y., & Heiler, S. (1998). Nonparametric Smoothing and Quantile Estimation in Time Series. In G. Bol, Gholamreza Nakhaeizadeh , & K.-H. Vollmer (Eds.), Risk Measurement, Econometrics and Neural Networks. Contributions to Economics. (pp. 1–16). Heidelberg: Physica-Verlag HD.
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1998 | Journal Article | LibreCat-ID: 4626
Heiler, S., & Feng, Y. (1998). A simple root n bandwidth selector for nonparametric regression. Journal of Nonparametric Statistics, 9(1), 1–21.
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1998 | Book Chapter | LibreCat-ID: 4632
Feng, Y., & Heiler, S. (1998). Locally Weighted Autoregression. In R. Galata & H. Küchenhoff (Eds.), Econometrics in Theory and Practice (pp. 101–117). Heidelberg: Physica-Verlag HD.
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