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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.” In Book of Abstracts, 7, 2018.
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2018 | Conference Paper | LibreCat-ID: 4667
Feng, Yuanhua, and Sebastian Letmathe. “The Non-Gaussian ESEMIFAR Model.” Book of Abstracts, 2018.
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2018 | Conference Paper | LibreCat-ID: 4668
Forstinger, Sarah, Yuanhua Feng, and Christian Peitz. “Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models.” In Book of Abstracts, 17, 2018.
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2018 | Conference Paper | LibreCat-ID: 4669
Zhang, Xuehai , and Yuanhua Feng. “A Box-Cox Semiparametric Multiplicative Error Model.” In Book of Abstracts, 19, 2018.
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2018 | Dissertation | LibreCat-ID: 4672
Forstinger, Sarah. Modelling and Forecasting Financial and Economic Time Series Using Different Semiparametric ACD Models. Universität Paderborn, 2018.
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2017 | Working Paper | LibreCat-ID: 4633
Zhang, Xuehai, Yuanhua Feng, and Christian Peitz. 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, Sarah Forstinger, and Christian Peitz. “On the Iterative Plug-in Algorithm for Estimating Diurnal Patterns of Financial Trade Durations.” Journal of Statistical Computation and Simulation 86, no. 12 (2015): 2291–2307. https://doi.org/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 31, no. 2 (2015): 349–63. https://doi.org/10.1016/j.ijforecast.2014.09.001.
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| DOI
2015 | Book (Editor) | LibreCat-ID: 4649
Beran, Jan, Yuanhua Feng, and Hartmut Hebbel, eds. Empirical Economic and Financial Research - Theory, Methods and Practice. Berlin: Springer, 2015.
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2015 | Book Chapter | LibreCat-ID: 4650
Beran, Jan, Yuanhua Feng, and Hartmut Hebbel. “Introduction.” In Empirical Economic and Financial Research, 1–6. Cham: Springer International Publishing, 2015. https://doi.org/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, Yuanhua Feng, and Sucharita Ghosh. “Modelling Long-Range Dependence and Trends in Duration Series: An Approach Based on EFARIMA and ESEMIFAR Models.” Statistical Papers 56, no. 2 (2014): 431–51. https://doi.org/10.1007/s00362-014-0590-x.
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2014 | Book Chapter | LibreCat-ID: 4602
Beran, Jan, Yuanhua Feng, and Sucharita Ghosh. “On EFARIMA and ESEMIFAR Models.” In Empirical Economic and Financial Research, 239–53. Cham: Springer International Publishing, 2014. https://doi.org/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.” In Empirical Economic and Financial Research, 341–56. Cham: Springer International Publishing, 2014. https://doi.org/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 92 (2014): 109–13. https://doi.org/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.” Book of Abstracts, 2014.
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2013 | Journal Article | LibreCat-ID: 4596
Feng, Yuanhua, Zhichao Guo, and Christian Peitz. “A Tree-Form Constant Market Share Model for Growth Causes in International Trade Based on Multi-Level Classification.” Journal of Industry, Competition and Trade 14, no. 2 (2013): 207–28. https://doi.org/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 31 (2013): 474–83. https://doi.org/10.1016/j.econmod.2012.12.015.
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| DOI
2013 | Book | LibreCat-ID: 4628
Beran, Jan, Yuanhua Feng, Sucharita Ghosh, and Rafal Kulik. Long-Memory Processes. Berlin, Heidelberg: Springer Berlin Heidelberg, 2013. https://doi.org/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 40, no. 2 (2012): 266–81. https://doi.org/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 34, no. 1 (2012): 30–39. https://doi.org/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 3, no. 4 (2012): 777–93. https://doi.org/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 1, no. 2 (2012): 149–66. https://doi.org/10.1080/15598608.2007.10411831.
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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 1, no. 2 (2012): 149–66. https://doi.org/10.1080/15598608.2007.10411831.
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2012 | Book Chapter | LibreCat-ID: 4631
Feng, Yuanhua, and Siegfried Heiler. “Locally Weighted Autoregression.” In Econometrics in Theory and Practice, 101–17. Heidelberg: Physica-Verlag HD, 2012. https://doi.org/10.1007/978-3-642-47027-1_10.
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2012 | Working Paper | LibreCat-ID: 4659
Feng, Yuanhua, David Hand, and Keming Yu. 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, Yuanhua Feng, and Xiangyong Tan. “Short- and Long-Term Impact of Remarkable Economic Events on the Growth Causes of China–Germany Trade in Agri-Food Products.” Economic Modelling 28, no. 6 (2011): 2359–68. https://doi.org/10.1016/j.econmod.2011.06.007.
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2010 | Journal Article | LibreCat-ID: 4606
Liu, Xiaohong, David B. Grant, Alan C. McKinnon, and Yuanhua Feng. “An Empirical Examination of the Contribution of Capabilities to the Competitiveness of Logistics Service Providers.” International Journal of Physical Distribution & Logistics Management 40, no. 10 (2010): 847–66. https://doi.org/10.1108/09600031011093232.
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2010 | Journal Article | LibreCat-ID: 4607
Liu, Xiaohong, Alan C. McKinnon, David B. Grant, and Yuanhua Feng. “Sources of Competitiveness for Logistics Service Providers: A UK Industry Perspective.” Logistics Research 2, no. 1 (2010): 23–32. https://doi.org/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 79, no. 12 (2009): 1425–39. https://doi.org/10.1080/00949650802352019.
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2009 | Journal Article | LibreCat-ID: 4622
Beran, Jan, Yuanhua Feng, and Siegfried Heiler. “Modifying the Double Smoothing Bandwidth Selector in Nonparametric Regression.” Statistical Methodology 6, no. 5 (2009): 447–65. https://doi.org/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 25, no. 5 (2008): 850–67. https://doi.org/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 7, no. 5 (2007). https://doi.org/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 19, no. 2 (2007): 63–76. https://doi.org/10.1080/10485250701381737.
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2007 | Journal Article | LibreCat-ID: 4614
Feng, Yuanhua, J. Beran, and K. Yu. “Modelling Financial Time Series with SEMIFAR GARCH Model.” IMA Journal of Management Mathematics 18, no. 4 (2007): 395–412. https://doi.org/10.1093/imaman/dpm024.
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2007 | Book Chapter | LibreCat-ID: 4616
Beran, Jan, Yuanhua Feng, Günter Franke, Dieter Hess, and Dirk Ocker. “Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity.” In Processes with Long-Range Correlations, 225–50. Berlin, Heidelberg: Springer Berlin Heidelberg, 2007. https://doi.org/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 7, no. 5 (2007). https://doi.org/10.2307/3318539.
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2007 | Book (Editor) | LibreCat-ID: 4652
Ng, Pin, Keming Yu, and Yuanhua Feng, eds. Special Issue: Quantile Regression. Vol. 7. Statistical Modelling, 2007.
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2004 | Journal Article | LibreCat-ID: 4615
Feng, Yuanhua. “SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE.” Econometric Theory 20, no. 03 (2004). https://doi.org/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.” In Zeitreihenanalyse in Der Empirischen Wirtschaftsforschung, edited by Rainer Metz, Manfred Lösch, and Klaus Edel, 67–81. Stuttgart: Lucius & Lucius, 2004.
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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 40, no. 2 (2002): 393–419. https://doi.org/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 11, no. 3 (2002): 690–713. https://doi.org/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 91, no. 2 (2002): 351–63. https://doi.org/10.1016/s0378-3758(00)00187-7.
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2002 | Journal Article | LibreCat-ID: 4623
Beran, Jan, Yuanhua Feng, Sucharita Ghosh, and Philipp Sibbertsen. “On Robust Local Polynomial Estimation with Long-Memory Errors.” International Journal of Forecasting 18, no. 2 (2002): 227–41. https://doi.org/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 54, no. 2 (2002): 291–311.
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