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60 Publications
2015 | Book (Editor) | LibreCat-ID: 4649
J. Beran, Y. Feng, and H. Hebbel, Eds., Empirical Economic and Financial Research - Theory, Methods and Practice. Berlin: Springer, 2015.
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2015 | Working Paper | LibreCat-ID: 4656
Y. Feng and C. Zhou, An iterative plug-in algorithm for realized kernels. 2015.
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2014 | Conference Paper | LibreCat-ID: 4664
C. Zhou and Y. 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 | Working Paper | LibreCat-ID: 4657
Y. Feng and 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
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 | Working Paper | LibreCat-ID: 4659
Y. Feng, D. Hand, and K. Yu, A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance. 2012.
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