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60 Publications
2018 | Conference Paper | LibreCat-ID: 4665
Schäfer, Bastian, and Yuanhua Feng. “Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model.” Book of Abstracts, 2018, p. 7.
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2018 | Conference Paper | LibreCat-ID: 4667
Feng, Yuanhua, and Sebastian Letmathe. The Non-Gaussian ESEMIFAR Model. 2018, p. 7.
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2018 | Conference Paper | LibreCat-ID: 4668
Forstinger, Sarah, et al. “Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models.” Book of Abstracts, 2018, p. 17.
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2018 | Conference Paper | LibreCat-ID: 4669
Zhang, Xuehai, and Yuanhua Feng. “A Box-Cox Semiparametric Multiplicative Error Model.” Book of Abstracts, 2018, p. 19.
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2018 | Dissertation | LibreCat-ID: 4672
Forstinger, Sarah. Modelling and Forecasting Financial and Economic Time Series Using Different Semiparametric ACD Models. 2018.
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2017 | Working Paper | LibreCat-ID: 4633
Zhang, Xuehai, et al. A General Class of SemiGARCH Models Based on the Box-Cox Transformation. 2017.
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2017 | Working Paper | LibreCat-ID: 4671
Feng, Yuanhua, and Thomas Gries. 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, Christian. 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, Yuanhua, et al. “On the Iterative Plug-in Algorithm for Estimating Diurnal Patterns of Financial Trade Durations.” Journal of Statistical Computation and Simulation, vol. 86, no. 12, Informa UK Limited, 2015, pp. 2291–307, doi:10.1080/00949655.2015.1107908.
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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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| DOI
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 | Book Chapter | LibreCat-ID: 4650
Beran, Jan, et al. “Introduction.” Empirical Economic and Financial Research, Springer International Publishing, 2015, pp. 1–6, doi:10.1007/978-3-319-03122-4_1.
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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 | 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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| DOI
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 | 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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| DOI
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 | 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 | 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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2013 | Journal Article | LibreCat-ID: 4600
Guo, Zhichao, and Yuanhua Feng. “Modeling of the Impact of the Financial Crisis and China’s Accession to WTO on China’s Exports to Germany.” Economic Modelling, vol. 31, Elsevier BV, 2013, pp. 474–83, doi:10.1016/j.econmod.2012.12.015.
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2013 | Book | LibreCat-ID: 4628
Beran, Jan, et al. Long-Memory Processes. Springer Berlin Heidelberg, 2013, doi:10.1007/978-3-642-35512-7.
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2013 | Working Paper | LibreCat-ID: 4657
Feng, Yuanhua, and Lixin Sun. 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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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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2012 | Journal Article | LibreCat-ID: 4597
Feng, Yuanhua. “An Iterative Plug-in Algorithm for Decomposing Seasonal Time Series Using the Berlin Method.” Journal of Applied Statistics, vol. 40, no. 2, Informa UK Limited, 2012, pp. 266–81, doi:10.1080/02664763.2012.740626.
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2012 | Journal Article | LibreCat-ID: 4601
Feng, Yuanhua, and Jan Beran. “Optimal Convergence Rates in Non-Parametric Regression with Fractional Time Series Errors.” Journal of Time Series Analysis, vol. 34, no. 1, Wiley, 2012, pp. 30–39, doi:10.1111/j.1467-9892.2012.00811.x.
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2012 | Journal Article | LibreCat-ID: 4610
Feng, Yuanhua, and Jan Beran. “Filtered Log-Periodogram Regression of Long Memory Processes.” Journal of Statistical Theory and Practice, vol. 3, no. 4, Informa UK Limited, 2012, pp. 777–93, doi:10.1080/15598608.2009.10411959.
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2012 | Journal Article | LibreCat-ID: 4611
Beran, Jan, and Yuanhua Feng. “Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes.” Journal of Statistical Theory and Practice, vol. 1, no. 2, Informa UK Limited, 2012, pp. 149–66, doi:10.1080/15598608.2007.10411831.
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| DOI
2012 | Journal Article | LibreCat-ID: 4612
Beran, Jan, and Yuanhua Feng. “Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes.” Journal of Statistical Theory and Practice, vol. 1, no. 2, Informa UK Limited, 2012, pp. 149–66, doi:10.1080/15598608.2007.10411831.
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2012 | Book Chapter | LibreCat-ID: 4631
Feng, Yuanhua, and Siegfried Heiler. “Locally Weighted Autoregression.” Econometrics in Theory and Practice, Physica-Verlag HD, 2012, pp. 101–17, doi:10.1007/978-3-642-47027-1_10.
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2012 | Working Paper | LibreCat-ID: 4659
Feng, Yuanhua, et al. A Multivariate Random Walk Model with Slowly Changing Drift and Cross-Correlation Applied to Finance. 2012.
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2011 | Journal Article | LibreCat-ID: 4598
Guo, Zhichao, et al. “Short- and Long-Term Impact of Remarkable Economic Events on the Growth Causes of China–Germany Trade in Agri-Food Products.” Economic Modelling, vol. 28, no. 6, Elsevier BV, 2011, pp. 2359–68, doi:10.1016/j.econmod.2011.06.007.
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2010 | Journal Article | LibreCat-ID: 4606
Liu, Xiaohong, et al. “An Empirical Examination of the Contribution of Capabilities to the Competitiveness of Logistics Service Providers.” International Journal of Physical Distribution & Logistics Management, vol. 40, no. 10, Emerald, 2010, pp. 847–66, doi:10.1108/09600031011093232.
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2010 | Journal Article | LibreCat-ID: 4607
Liu, Xiaohong, et al. “Sources of Competitiveness for Logistics Service Providers: A UK Industry Perspective.” Logistics Research, vol. 2, no. 1, Springer Nature, 2010, pp. 23–32, doi:10.1007/s12159-010-0024-7.
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2009 | Journal Article | LibreCat-ID: 4608
Feng, Yuanhua, and Siegfried Heiler. “A Simple Bootstrap Bandwidth Selector for Local Polynomial Fitting.” Journal of Statistical Computation and Simulation, vol. 79, no. 12, Informa UK Limited, 2009, pp. 1425–39, doi:10.1080/00949650802352019.
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2009 | Journal Article | LibreCat-ID: 4622
Beran, Jan, et al. “Modifying the Double Smoothing Bandwidth Selector in Nonparametric Regression.” Statistical Methodology, vol. 6, no. 5, Elsevier BV, 2009, pp. 447–65, doi:10.1016/j.stamet.2009.04.001.
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2008 | Journal Article | LibreCat-ID: 4609
Feng, Yuanhua, and Alexander J. McNeil. “Modelling of Scale Change, Periodicity and Conditional Heteroskedasticity in Return Volatility.” Economic Modelling, vol. 25, no. 5, Elsevier BV, 2008, pp. 850–67, doi:10.1016/j.econmod.2007.11.007.
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2007 | Journal Article | LibreCat-ID: 3470
Beran, Jan, and Yuanhua Feng. “Local Polynomial Estimation with a FARIMA-GARCH Error Process.” Bernoulli, vol. 7, no. 5, 733, JSTOR, 2007, doi:10.2307/3318539.
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2007 | Journal Article | LibreCat-ID: 4613
Feng, Yuanhua. “On the Asymptotic Variance in Nonparametric Regression with Fractional Time-Series Errors.” Journal of Nonparametric Statistics, vol. 19, no. 2, Informa UK Limited, 2007, pp. 63–76, doi:10.1080/10485250701381737.
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2007 | Journal Article | LibreCat-ID: 4614
Feng, Yuanhua, et al. “Modelling Financial Time Series with SEMIFAR GARCH Model.” IMA Journal of Management Mathematics, vol. 18, no. 4, Oxford University Press (OUP), 2007, pp. 395–412, doi:10.1093/imaman/dpm024.
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2007 | Book Chapter | LibreCat-ID: 4616
Beran, Jan, et al. “Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity.” Processes with Long-Range Correlations, Springer Berlin Heidelberg, 2007, pp. 225–50, doi:10.1007/3-540-44832-2_13.
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2007 | Journal Article | LibreCat-ID: 4624
Beran, Jan, and Yuanhua Feng. “Local Polynomial Estimation with a FARIMA-GARCH Error Process.” Bernoulli, vol. 7, no. 5, 733, JSTOR, 2007, doi:10.2307/3318539.
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2007 | Book (Editor) | LibreCat-ID: 4652
Ng, Pin, et al., editors. Special Issue: Quantile Regression. Vol. 7, 2007.
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2004 | Journal Article | LibreCat-ID: 4615
Feng, Yuanhua. “SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE.” Econometric Theory, vol. 20, no. 03, Cambridge University Press (CUP), 2004, doi:10.1017/s0266466604203061.
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2004 | Book | LibreCat-ID: 4630
Feng, Yuanhua. Non- and Semiparametric Regression with Fractional Time Series Errors. 2004.
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2004 | Book Chapter | LibreCat-ID: 4634
Heiler, Siegfried, and Yuanhua Feng. “A Robust Data-Driven Version of the Berlin Method.” Zeitreihenanalyse in Der Empirischen Wirtschaftsforschung, edited by Rainer Metz et al., Lucius & Lucius, 2004, pp. 67–81.
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2002 | Journal Article | LibreCat-ID: 4617
Beran, Jan, and Yuanhua Feng. “SEMIFAR Models—a Semiparametric Approach to Modelling Trends, Long-Range Dependence and Nonstationarity.” Computational Statistics & Data Analysis, vol. 40, no. 2, Elsevier BV, 2002, pp. 393–419, doi:10.1016/s0167-9473(02)00007-5.
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2002 | Journal Article | LibreCat-ID: 4620
Beran, Jan, and Yuanhua Feng. “Iterative Plug-In Algorithms for SEMIFAR Models—Definition, Convergence, and Asymptotic Properties.” Journal of Computational and Graphical Statistics, vol. 11, no. 3, Informa UK Limited, 2002, pp. 690–713, doi:10.1198/106186002420.
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2002 | Journal Article | LibreCat-ID: 4621
Heiler, Siegfried, and Yuanhua Feng. “Data-Driven Decomposition of Seasonal Time Series.” Journal of Statistical Planning and Inference, vol. 91, no. 2, Elsevier BV, 2002, pp. 351–63, doi:10.1016/s0378-3758(00)00187-7.
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2002 | Journal Article | LibreCat-ID: 4623
Beran, Jan, et al. “On Robust Local Polynomial Estimation with Long-Memory Errors.” International Journal of Forecasting, vol. 18, no. 2, Elsevier BV, 2002, pp. 227–41, doi:10.1016/s0169-2070(01)00155-8.
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2002 | Journal Article | LibreCat-ID: 4635
Beran, Jan, and Yuanhua Feng. “Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors.” The Annals of the Institute of Statistical Mathematics, vol. 54, no. 2, 2002, pp. 291–311.
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2002 | Journal Article | LibreCat-ID: 4637
Heiler, Siegfried, and Yuanhua Feng. “Data-Driven Decomposition of Seasonal Time Series.” Journal of Statistical Planning and Inference, vol. 91, no. 2, Elsevier BV, 2002, pp. 351–63, doi:10.1016/s0378-3758(00)00187-7.
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2002 | Working Paper | LibreCat-ID: 4661
Beran, Jan, and Yuanhua Feng. Recent Developments in Non- and Semiparametric Models with Fractional Time Series Errors. 2002.
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2001 | Journal Article | LibreCat-ID: 4653
Beran, Jan, and Yuanhua Feng. “A Semiparametric Fractional Autoregressive Model.” Statistical Review (Revista de Estatistica), vol. 2, 2001, pp. 125–28.
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2001 | Working Paper | LibreCat-ID: 4662
Beran, Jan, and Yuanhua Feng. 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, Yuanhua, and Siegfried Heiler. “Eine Robuste Datengesteuerte Version Des Berliner-Verfahrens.” Wirtschaft Und Statistik, 2000, pp. 786–95.
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2000 | Book Chapter | LibreCat-ID: 4651
Feng, Yuanhua, and Siegfried Heiler. “Locally Weighted Autoregression.” Institutional Arrangements for Global Economic Integration, edited by Hans-Jürgen Vosgerau, 2000, pp. 371--388.
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1999 | Book | LibreCat-ID: 4629
Feng, Yuanhua. Kernel- and Locally Weighted Regression -- with Application to Time Series Decomposition. 1999.
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1998 | Book Chapter | LibreCat-ID: 4604
Abberger, Klaus, et al. “Nonparametric Smoothing and Quantile Estimation in Time Series.” Risk Measurement, Econometrics and Neural Networks. Contributions to Economics. , edited by Georg Bol et al., Physica-Verlag HD, 1998, pp. 1–16.
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1998 | Journal Article | LibreCat-ID: 4626
Heiler, Siegfried, and Yuanhua Feng. “A Simple Root n Bandwidth Selector for Nonparametric Regression.” Journal of Nonparametric Statistics, vol. 9, no. 1, Informa UK Limited, 1998, pp. 1–21.
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1998 | Book Chapter | LibreCat-ID: 4632
Feng, Yuanhua, and Siegfried Heiler. “Locally Weighted Autoregression.” Econometrics in Theory and Practice, edited by Robert Galata and Helmut Küchenhoff, Physica-Verlag HD, 1998, pp. 101–17.
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