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60 Publications


2015 | Book (Editor) | LibreCat-ID: 4649
Empirical Economic and Financial Research - Theory, Methods and Practice
J. Beran, Y. Feng, H. Hebbel, eds., Empirical Economic and Financial Research - Theory, Methods and Practice, Springer, Berlin, 2015.
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2015 | Book Chapter | LibreCat-ID: 4650
Introduction
J. Beran, Y. Feng, H. Hebbel, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2015, pp. 1–6.
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2015 | Working Paper | LibreCat-ID: 4656
An iterative plug-in algorithm for realized kernels
Y. Feng, C. Zhou, An Iterative Plug-in Algorithm for Realized Kernels, 2015.
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2014 | Journal Article | LibreCat-ID: 4599 LibreCat | DOI
 

2014 | Book Chapter | LibreCat-ID: 4602
On EFARIMA and ESEMIFAR Models
J. Beran, Y. Feng, S. Ghosh, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2014, pp. 239–253.
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2014 | Book Chapter | LibreCat-ID: 4603
Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model
C. Peitz, Y. Feng, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2014, pp. 341–356.
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2014 | Journal Article | LibreCat-ID: 4605
Data-driven estimation of diurnal patterns of durations between trades on financial markets
Y. Feng, Statistics & Probability Letters 92 (2014) 109–113.
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2013 | Journal Article | LibreCat-ID: 4596
A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification
Y. Feng, Z. Guo, C. Peitz, Journal of Industry, Competition and Trade 14 (2013) 207–228.
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2013 | Journal Article | LibreCat-ID: 4600 LibreCat | DOI
 

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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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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.
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