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60 Publications


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
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2007 | Book (Editor) | LibreCat-ID: 4652
Ng, P., Yu, K., & Feng, Y. (Eds.). (2007). Special Issue: Quantile Regression (Vol. 7).
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2004 | Journal Article | LibreCat-ID: 4615
Feng, Y. (2004). SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE. Econometric Theory, 20(03). https://doi.org/10.1017/s0266466604203061
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2004 | Book Chapter | LibreCat-ID: 4634
Heiler, S., & Feng, Y. (2004). A robust data-driven version of the Berlin Method. In R. Metz, M. Lösch, & K. Edel (Eds.), Zeitreihenanalyse in der empirischen Wirtschaftsforschung (pp. 67–81). Stuttgart: Lucius & Lucius.
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2004 | Book | LibreCat-ID: 4630
Feng, Y. (2004). Non- and Semiparametric Regression with Fractional Time Series Errors.
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2002 | Working Paper | LibreCat-ID: 4661
Beran, J., & Feng, Y. (2002). Recent developments in non- and semiparametric models with fractional time series errors.
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2002 | Journal Article | LibreCat-ID: 4623
Beran, J., Feng, Y., Ghosh, S., & Sibbertsen, P. (2002). On robust local polynomial estimation with long-memory errors. International Journal of Forecasting, 18(2), 227–241. https://doi.org/10.1016/s0169-2070(01)00155-8
LibreCat | DOI
 

2002 | Journal Article | LibreCat-ID: 4635
Beran, J., & Feng, Y. (2002). Local polynomial fitting with long-memory, short-memory and antipersistent errors. The Annals of the Institute of Statistical Mathematics, 54(2), 291–311.
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2002 | Journal Article | LibreCat-ID: 4617
Beran, J., & Feng, Y. (2002). SEMIFAR models—a semiparametric approach to modelling trends, long-range dependence and nonstationarity. Computational Statistics & Data Analysis, 40(2), 393–419. https://doi.org/10.1016/s0167-9473(02)00007-5
LibreCat | DOI
 

2002 | Journal Article | LibreCat-ID: 4620
Beran, J., & Feng, Y. (2002). Iterative Plug-In Algorithms for SEMIFAR Models—Definition, Convergence, and Asymptotic Properties. Journal of Computational and Graphical Statistics, 11(3), 690–713. https://doi.org/10.1198/106186002420
LibreCat | DOI
 

2002 | Journal Article | LibreCat-ID: 4637
Heiler, S., & Feng, Y. (2002). Data-driven decomposition of seasonal time series. Journal of Statistical Planning and Inference, 91(2), 351–363. https://doi.org/10.1016/s0378-3758(00)00187-7
LibreCat | DOI
 

2002 | Journal Article | LibreCat-ID: 4621
Heiler, S., & Feng, Y. (2002). Data-driven decomposition of seasonal time series. Journal of Statistical Planning and Inference, 91(2), 351–363. https://doi.org/10.1016/s0378-3758(00)00187-7
LibreCat | DOI
 

2001 | Journal Article | LibreCat-ID: 4653
Beran, J., & Feng, Y. (2001). A semiparametric fractional autoregressive model. Statistical Review (Revista de Estatistica), 2, 125–128.
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2001 | Working Paper | LibreCat-ID: 4662
Beran, J., & Feng, Y. (2001). Supplement to the paper “Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties” - Detailed simulation results.
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2000 | Journal Article | LibreCat-ID: 4636
Feng, Y., & Heiler, S. (2000). Eine robuste datengesteuerte Version des Berliner-Verfahrens. Wirtschaft Und Statistik, 786–795.
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2000 | Book Chapter | LibreCat-ID: 4651
Feng, Y., & Heiler, S. (2000). Locally weighted autoregression. In H.-J. Vosgerau (Ed.), Institutional Arrangements for Global Economic Integration (pp. 371--388).
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1999 | Book | LibreCat-ID: 4629
Feng, Y. (1999). Kernel- and Locally Weighted Regression -- with Application to Time Series Decomposition.
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1998 | Book Chapter | LibreCat-ID: 4604
Abberger, K., Feng, Y., & Heiler, S. (1998). Nonparametric Smoothing and Quantile Estimation in Time Series. In G. Bol, Gholamreza Nakhaeizadeh , & K.-H. Vollmer (Eds.), Risk Measurement, Econometrics and Neural Networks. Contributions to Economics. (pp. 1–16). Heidelberg: Physica-Verlag HD.
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1998 | Book Chapter | LibreCat-ID: 4632
Feng, Y., & Heiler, S. (1998). Locally Weighted Autoregression. In R. Galata & H. Küchenhoff (Eds.), Econometrics in Theory and Practice (pp. 101–117). Heidelberg: Physica-Verlag HD.
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1998 | Journal Article | LibreCat-ID: 4626
Heiler, S., & Feng, Y. (1998). A simple root n bandwidth selector for nonparametric regression. Journal of Nonparametric Statistics, 9(1), 1–21.
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