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60 Publications
2013 | Book | LibreCat-ID: 4628
Beran, J., Feng, Y., Ghosh, S., & Kulik, R. (2013). Long-Memory Processes. Berlin, Heidelberg: Springer Berlin Heidelberg. https://doi.org/10.1007/978-3-642-35512-7
LibreCat
| DOI
2013 | Working Paper | LibreCat-ID: 4657
Feng, Y., & Sun, L. (2013). A Semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets.
LibreCat
2013 | Working Paper | LibreCat-ID: 4658
Feng, Y. (2013). Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects.
LibreCat
2012 | Journal Article | LibreCat-ID: 4597
Feng, Y. (2012). An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method. Journal of Applied Statistics, 40(2), 266–281. https://doi.org/10.1080/02664763.2012.740626
LibreCat
| DOI
2012 | Journal Article | LibreCat-ID: 4601
Feng, Y., & Beran, J. (2012). Optimal convergence rates in non-parametric regression with fractional time series errors. Journal of Time Series Analysis, 34(1), 30–39. https://doi.org/10.1111/j.1467-9892.2012.00811.x
LibreCat
| DOI
2012 | Journal Article | LibreCat-ID: 4610
Feng, Y., & Beran, J. (2012). Filtered Log-Periodogram Regression of Long Memory Processes. Journal of Statistical Theory and Practice, 3(4), 777–793. https://doi.org/10.1080/15598608.2009.10411959
LibreCat
| DOI
2012 | Journal Article | LibreCat-ID: 4611
Beran, J., & Feng, Y. (2012). Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes. Journal of Statistical Theory and Practice, 1(2), 149–166. https://doi.org/10.1080/15598608.2007.10411831
LibreCat
| DOI
2012 | Journal Article | LibreCat-ID: 4612
Beran, J., & Feng, Y. (2012). Weighted Averages and Local Polynomial Estimation for Fractional Linear ARCH Processes. Journal of Statistical Theory and Practice, 1(2), 149–166. https://doi.org/10.1080/15598608.2007.10411831
LibreCat
| DOI
2012 | Book Chapter | LibreCat-ID: 4631
Feng, Y., & Heiler, S. (2012). Locally Weighted Autoregression. In Econometrics in Theory and Practice (pp. 101–117). Heidelberg: Physica-Verlag HD. https://doi.org/10.1007/978-3-642-47027-1_10
LibreCat
| DOI
2012 | Working Paper | LibreCat-ID: 4659
Feng, Y., Hand, D., & Yu, K. (2012). A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance.
LibreCat
2011 | Journal Article | LibreCat-ID: 4598
Guo, Z., Feng, Y., & Tan, X. (2011). Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products. Economic Modelling, 28(6), 2359–2368. https://doi.org/10.1016/j.econmod.2011.06.007
LibreCat
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2010 | Journal Article | LibreCat-ID: 4606
Liu, X., Grant, D. B., McKinnon, A. C., & Feng, Y. (2010). An empirical examination of the contribution of capabilities to the competitiveness of logistics service providers. International Journal of Physical Distribution & Logistics Management, 40(10), 847–866. https://doi.org/10.1108/09600031011093232
LibreCat
| DOI
2010 | Journal Article | LibreCat-ID: 4607
Liu, X., McKinnon, A. C., Grant, D. B., & Feng, Y. (2010). Sources of competitiveness for logistics service providers: a UK industry perspective. Logistics Research, 2(1), 23–32. https://doi.org/10.1007/s12159-010-0024-7
LibreCat
| DOI
2009 | Journal Article | LibreCat-ID: 4608
Feng, Y., & Heiler, S. (2009). A simple bootstrap bandwidth selector for local polynomial fitting. Journal of Statistical Computation and Simulation, 79(12), 1425–1439. https://doi.org/10.1080/00949650802352019
LibreCat
| DOI
2009 | Journal Article | LibreCat-ID: 4622
Beran, J., Feng, Y., & Heiler, S. (2009). Modifying the double smoothing bandwidth selector in nonparametric regression. Statistical Methodology, 6(5), 447–465. https://doi.org/10.1016/j.stamet.2009.04.001
LibreCat
| DOI
2008 | Journal Article | LibreCat-ID: 4609
Feng, Y., & McNeil, A. J. (2008). Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility. Economic Modelling, 25(5), 850–867. https://doi.org/10.1016/j.econmod.2007.11.007
LibreCat
| DOI
2007 | Journal Article | LibreCat-ID: 3470
Beran, J., & Feng, Y. (2007). Local Polynomial Estimation with a FARIMA-GARCH Error Process. Bernoulli, 7(5). https://doi.org/10.2307/3318539
LibreCat
| DOI
2007 | Journal Article | LibreCat-ID: 4613
Feng, Y. (2007). On the asymptotic variance in nonparametric regression with fractional time-series errors. Journal of Nonparametric Statistics, 19(2), 63–76. https://doi.org/10.1080/10485250701381737
LibreCat
| DOI
2007 | Journal Article | LibreCat-ID: 4614
Feng, Y., Beran, J., & Yu, K. (2007). Modelling financial time series with SEMIFAR GARCH model. IMA Journal of Management Mathematics, 18(4), 395–412. https://doi.org/10.1093/imaman/dpm024
LibreCat
| DOI
2007 | Book Chapter | LibreCat-ID: 4616
Beran, J., Feng, Y., Franke, G., Hess, D., & Ocker, D. (2007). Semiparametric Modeling of Stochastic and Deterministic Trends and Fractional Stationarity. In Processes with Long-Range Correlations (pp. 225–250). Berlin, Heidelberg: Springer Berlin Heidelberg. https://doi.org/10.1007/3-540-44832-2_13
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| DOI