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60 Publications
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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| DOI
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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| DOI
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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| DOI
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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| DOI
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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| DOI
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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| DOI
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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| DOI
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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| DOI
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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| DOI
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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| DOI
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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| DOI
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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