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60 Publications
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 | 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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| DOI
2015 | Working Paper | LibreCat-ID: 4656
Feng Y, Zhou C. An Iterative Plug-in Algorithm for Realized Kernels.; 2015.
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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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| DOI
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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| DOI
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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| DOI
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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| DOI
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 | 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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| DOI
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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| DOI
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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| DOI
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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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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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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| DOI
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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| DOI
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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| DOI
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
LibreCat
| DOI
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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| DOI
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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| DOI
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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