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60 Publications
2018 | Conference Paper | LibreCat-ID: 4665
Schäfer, B., & Feng, Y. (2018). Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model. In Book of Abstracts (p. 7). Paderborn, Germany.
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2018 | Conference Paper | LibreCat-ID: 4667
Feng, Y., & Letmathe, S. (2018). The Non-Gaussian ESEMIFAR Model. Presented at the European Conference on Data Analysis, Paderborn, Germany.
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2018 | Conference Paper | LibreCat-ID: 4668
Forstinger, S., Feng, Y., & Peitz, C. (2018). Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models. In Book of Abstracts (p. 17). Paderborn, Germany.
LibreCat
2018 | Conference Paper | LibreCat-ID: 4669
Zhang, X., & Feng, Y. (2018). A Box-Cox Semiparametric Multiplicative Error Model. In Book of Abstracts (p. 19). Paderborn, Germany.
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2018 | Dissertation | LibreCat-ID: 4672
Forstinger, S. (2018). Modelling and forecasting financial and economic time series using different semiparametric ACD models. Universität Paderborn.
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2017 | Working Paper | LibreCat-ID: 4633
Zhang, X., Feng, Y., & Peitz, C. (2017). A general class of SemiGARCH models based on the Box-Cox transformation.
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2017 | Working Paper | LibreCat-ID: 4671
Feng, Y., & Gries, T. (2017). Data-driven local polynomial for the trend and its derivatives in economic time series.
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2016 | Book | LibreCat-ID: 5119
Peitz, C. (2016). Die parametrische und semiparametrische Analyse von Finanzzeitreihen: neue Methoden, Modelle und Anwendungsm\"oglichkeiten. Springer-Verlag.
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2015 | Journal Article | LibreCat-ID: 4592
Feng, Y., Forstinger, S., & Peitz, C. (2015). On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations. Journal of Statistical Computation and Simulation, 86(12), 2291–2307. https://doi.org/10.1080/00949655.2015.1107908
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| DOI
2015 | Journal Article | LibreCat-ID: 4593
Feng, Y., & Zhou, C. (2015). Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD. International Journal of Forecasting, 31(2), 349–363. https://doi.org/10.1016/j.ijforecast.2014.09.001
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| DOI
2015 | Book (Editor) | LibreCat-ID: 4649
Beran, J., Feng, Y., & Hebbel, H. (Eds.). (2015). Empirical Economic and Financial Research - Theory, Methods and Practice. Berlin: Springer.
LibreCat
2015 | Book Chapter | LibreCat-ID: 4650
Beran, J., Feng, Y., & Hebbel, H. (2015). Introduction. In Empirical Economic and Financial Research (pp. 1–6). Cham: Springer International Publishing. https://doi.org/10.1007/978-3-319-03122-4_1
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| DOI
2015 | Working Paper | LibreCat-ID: 4656
Feng, Y., & Zhou, C. (2015). An iterative plug-in algorithm for realized kernels.
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2014 | Journal Article | LibreCat-ID: 4599
Beran, J., Feng, Y., & Ghosh, S. (2014). Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models. Statistical Papers, 56(2), 431–451. https://doi.org/10.1007/s00362-014-0590-x
LibreCat
| DOI
2014 | Book Chapter | LibreCat-ID: 4602
Beran, J., Feng, Y., & Ghosh, S. (2014). On EFARIMA and ESEMIFAR Models. In Empirical Economic and Financial Research (pp. 239–253). Cham: Springer International Publishing. https://doi.org/10.1007/978-3-319-03122-4_15
LibreCat
| DOI
2014 | Book Chapter | LibreCat-ID: 4603
Peitz, C., & Feng, Y. (2014). Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model. In Empirical Economic and Financial Research (pp. 341–356). Cham: Springer International Publishing. https://doi.org/10.1007/978-3-319-03122-4_21
LibreCat
| DOI
2014 | Journal Article | LibreCat-ID: 4605
Feng, Y. (2014). Data-driven estimation of diurnal patterns of durations between trades on financial markets. Statistics & Probability Letters, 92, 109–113. https://doi.org/10.1016/j.spl.2014.05.011
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| DOI
2014 | Conference Paper | LibreCat-ID: 4664
Zhou, C., & Feng, Y. (2014). Data-driven estimation of realized kernels under dependent microstructure noise and further analysis using the Semi-FI-Log-ACD. Presented at the Conference on Computational and Financial Econometrics, University of Pisa, Italy.
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2013 | Journal Article | LibreCat-ID: 4596
Feng, Y., Guo, Z., & Peitz, C. (2013). 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(2), 207–228. https://doi.org/10.1007/s10842-013-0156-y
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| DOI
2013 | Journal Article | LibreCat-ID: 4600
Guo, Z., & Feng, Y. (2013). Modeling of the impact of the financial crisis and China’s accession to WTO on China’s exports to Germany. Economic Modelling, 31, 474–483. https://doi.org/10.1016/j.econmod.2012.12.015
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| DOI