Please note that LibreCat no longer supports Internet Explorer versions 8 or 9 (or earlier).
We recommend upgrading to the latest Internet Explorer, Google Chrome, or Firefox.
60 Publications
2013 | Book | LibreCat-ID: 4628
Beran, Jan, et al. Long-Memory Processes. Springer Berlin Heidelberg, 2013, doi:10.1007/978-3-642-35512-7.
LibreCat
| 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.
LibreCat
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.
LibreCat
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.
LibreCat
| 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.
LibreCat
| 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.
LibreCat
| 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.
LibreCat
| 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.
LibreCat
| 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.
LibreCat
| 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.
LibreCat
2011 | Journal Article | LibreCat-ID: 4598
Guo, Zhichao, et al. “Short- and Long-Term Impact of Remarkable Economic Events on the Growth Causes of China–Germany Trade in Agri-Food Products.” Economic Modelling, vol. 28, no. 6, Elsevier BV, 2011, pp. 2359–68, doi:10.1016/j.econmod.2011.06.007.
LibreCat
| DOI
2010 | Journal Article | LibreCat-ID: 4606
Liu, Xiaohong, et al. “An Empirical Examination of the Contribution of Capabilities to the Competitiveness of Logistics Service Providers.” International Journal of Physical Distribution & Logistics Management, vol. 40, no. 10, Emerald, 2010, pp. 847–66, doi:10.1108/09600031011093232.
LibreCat
| DOI
2010 | Journal Article | LibreCat-ID: 4607
Liu, Xiaohong, et al. “Sources of Competitiveness for Logistics Service Providers: A UK Industry Perspective.” Logistics Research, vol. 2, no. 1, Springer Nature, 2010, pp. 23–32, doi:10.1007/s12159-010-0024-7.
LibreCat
| DOI
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, vol. 79, no. 12, Informa UK Limited, 2009, pp. 1425–39, doi:10.1080/00949650802352019.
LibreCat
| DOI
2009 | Journal Article | LibreCat-ID: 4622
Beran, Jan, et al. “Modifying the Double Smoothing Bandwidth Selector in Nonparametric Regression.” Statistical Methodology, vol. 6, no. 5, Elsevier BV, 2009, pp. 447–65, doi:10.1016/j.stamet.2009.04.001.
LibreCat
| DOI
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, vol. 25, no. 5, Elsevier BV, 2008, pp. 850–67, doi:10.1016/j.econmod.2007.11.007.
LibreCat
| DOI
2007 | Journal Article | LibreCat-ID: 3470
Beran, Jan, and Yuanhua Feng. “Local Polynomial Estimation with a FARIMA-GARCH Error Process.” Bernoulli, vol. 7, no. 5, 733, JSTOR, 2007, doi:10.2307/3318539.
LibreCat
| DOI
2007 | Journal Article | LibreCat-ID: 4613
Feng, Yuanhua. “On the Asymptotic Variance in Nonparametric Regression with Fractional Time-Series Errors.” Journal of Nonparametric Statistics, vol. 19, no. 2, Informa UK Limited, 2007, pp. 63–76, doi:10.1080/10485250701381737.
LibreCat
| DOI
2007 | Journal Article | LibreCat-ID: 4614
Feng, Yuanhua, et al. “Modelling Financial Time Series with SEMIFAR GARCH Model.” IMA Journal of Management Mathematics, vol. 18, no. 4, Oxford University Press (OUP), 2007, pp. 395–412, doi:10.1093/imaman/dpm024.
LibreCat
| DOI
2007 | Book Chapter | LibreCat-ID: 4616
Beran, Jan, et al. “Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity.” Processes with Long-Range Correlations, Springer Berlin Heidelberg, 2007, pp. 225–50, doi:10.1007/3-540-44832-2_13.
LibreCat
| DOI
2007 | Journal Article | LibreCat-ID: 4624
Beran, Jan, and Yuanhua Feng. “Local Polynomial Estimation with a FARIMA-GARCH Error Process.” Bernoulli, vol. 7, no. 5, 733, JSTOR, 2007, doi:10.2307/3318539.
LibreCat
| DOI
2007 | Book (Editor) | LibreCat-ID: 4652
Ng, Pin, et al., editors. Special Issue: Quantile Regression. Vol. 7, 2007.
LibreCat
2004 | Journal Article | LibreCat-ID: 4615
Feng, Yuanhua. “SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE.” Econometric Theory, vol. 20, no. 03, Cambridge University Press (CUP), 2004, doi:10.1017/s0266466604203061.
LibreCat
| DOI
2004 | Book | LibreCat-ID: 4630
Feng, Yuanhua. Non- and Semiparametric Regression with Fractional Time Series Errors. 2004.
LibreCat
2004 | Book Chapter | LibreCat-ID: 4634
Heiler, Siegfried, and Yuanhua Feng. “A Robust Data-Driven Version of the Berlin Method.” Zeitreihenanalyse in Der Empirischen Wirtschaftsforschung, edited by Rainer Metz et al., Lucius & Lucius, 2004, pp. 67–81.
LibreCat
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, vol. 40, no. 2, Elsevier BV, 2002, pp. 393–419, doi:10.1016/s0167-9473(02)00007-5.
LibreCat
| DOI
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, vol. 11, no. 3, Informa UK Limited, 2002, pp. 690–713, doi:10.1198/106186002420.
LibreCat
| DOI
2002 | Journal Article | LibreCat-ID: 4621
Heiler, Siegfried, and Yuanhua Feng. “Data-Driven Decomposition of Seasonal Time Series.” Journal of Statistical Planning and Inference, vol. 91, no. 2, Elsevier BV, 2002, pp. 351–63, doi:10.1016/s0378-3758(00)00187-7.
LibreCat
| DOI
2002 | Journal Article | LibreCat-ID: 4623
Beran, Jan, et al. “On Robust Local Polynomial Estimation with Long-Memory Errors.” International Journal of Forecasting, vol. 18, no. 2, Elsevier BV, 2002, pp. 227–41, doi:10.1016/s0169-2070(01)00155-8.
LibreCat
| DOI
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, vol. 54, no. 2, 2002, pp. 291–311.
LibreCat
2002 | Journal Article | LibreCat-ID: 4637
Heiler, Siegfried, and Yuanhua Feng. “Data-Driven Decomposition of Seasonal Time Series.” Journal of Statistical Planning and Inference, vol. 91, no. 2, Elsevier BV, 2002, pp. 351–63, doi:10.1016/s0378-3758(00)00187-7.
LibreCat
| DOI
2002 | Working Paper | LibreCat-ID: 4661
Beran, Jan, and Yuanhua Feng. Recent Developments in Non- and Semiparametric Models with Fractional Time Series Errors. 2002.
LibreCat
2001 | Journal Article | LibreCat-ID: 4653
Beran, Jan, and Yuanhua Feng. “A Semiparametric Fractional Autoregressive Model.” Statistical Review (Revista de Estatistica), vol. 2, 2001, pp. 125–28.
LibreCat
2001 | Working Paper | LibreCat-ID: 4662
Beran, Jan, and Yuanhua Feng. Supplement to the Paper “Iterative Plug-in Algorithms for SEMIFAR Models - Definition, Convergence and Asymptotic Properties” - Detailed Simulation Results. 2001.
LibreCat
2000 | Journal Article | LibreCat-ID: 4636
Feng, Yuanhua, and Siegfried Heiler. “Eine Robuste Datengesteuerte Version Des Berliner-Verfahrens.” Wirtschaft Und Statistik, 2000, pp. 786–95.
LibreCat
2000 | Book Chapter | LibreCat-ID: 4651
Feng, Yuanhua, and Siegfried Heiler. “Locally Weighted Autoregression.” Institutional Arrangements for Global Economic Integration, edited by Hans-Jürgen Vosgerau, 2000, pp. 371--388.
LibreCat
1999 | Book | LibreCat-ID: 4629
Feng, Yuanhua. Kernel- and Locally Weighted Regression -- with Application to Time Series Decomposition. 1999.
LibreCat
1998 | Book Chapter | LibreCat-ID: 4604
Abberger, Klaus, et al. “Nonparametric Smoothing and Quantile Estimation in Time Series.” Risk Measurement, Econometrics and Neural Networks. Contributions to Economics. , edited by Georg Bol et al., Physica-Verlag HD, 1998, pp. 1–16.
LibreCat
1998 | Journal Article | LibreCat-ID: 4626
Heiler, Siegfried, and Yuanhua Feng. “A Simple Root n Bandwidth Selector for Nonparametric Regression.” Journal of Nonparametric Statistics, vol. 9, no. 1, Informa UK Limited, 1998, pp. 1–21.
LibreCat
1998 | Book Chapter | LibreCat-ID: 4632
Feng, Yuanhua, and Siegfried Heiler. “Locally Weighted Autoregression.” Econometrics in Theory and Practice, edited by Robert Galata and Helmut Küchenhoff, Physica-Verlag HD, 1998, pp. 101–17.
LibreCat