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60 Publications


2018 | Conference Paper | LibreCat-ID: 4665
Schäfer B, Feng Y. Further Development of the Double Conditional Smoothing for Nonparametric Surfaces Under a Lattice Spatial Model. In: Book of Abstracts. ; 2018:7.
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2018 | Dissertation | LibreCat-ID: 4672
Forstinger S. Modelling and Forecasting Financial and Economic Time Series Using Different Semiparametric ACD Models. Universität Paderborn; 2018.
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2018 | Conference Paper | LibreCat-ID: 4667
Feng Y, Letmathe S. The Non-Gaussian ESEMIFAR Model. 2018:7.
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2018 | Conference Paper | LibreCat-ID: 4668
Forstinger S, Feng Y, Peitz C. Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models. In: Book of Abstracts. ; 2018:17.
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2018 | Conference Paper | LibreCat-ID: 4669
Zhang X, Feng Y. A Box-Cox Semiparametric Multiplicative Error Model. In: Book of Abstracts. ; 2018:19.
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2017 | Working Paper | LibreCat-ID: 4633
Zhang X, Feng Y, Peitz C. A General Class of SemiGARCH Models Based on the Box-Cox Transformation.; 2017.
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2017 | Working Paper | LibreCat-ID: 4671
Feng Y, Gries T. 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 C. 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 Y, Forstinger S, Peitz C. On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations. Journal of Statistical Computation and Simulation. 2015;86(12):2291-2307. doi:10.1080/00949655.2015.1107908
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2015 | Book Chapter | LibreCat-ID: 4650
Beran J, Feng Y, Hebbel H. Introduction. In: Empirical Economic and Financial Research. Cham: Springer International Publishing; 2015:1-6. doi:10.1007/978-3-319-03122-4_1
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2015 | Journal Article | LibreCat-ID: 4593
Feng Y, Zhou C. Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD. International Journal of Forecasting. 2015;31(2):349-363. doi:10.1016/j.ijforecast.2014.09.001
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2015 | Book (Editor) | LibreCat-ID: 4649
Beran J, Feng Y, Hebbel H, eds. Empirical Economic and Financial Research - Theory, Methods and Practice. Berlin: Springer; 2015.
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2015 | Working Paper | LibreCat-ID: 4656
Feng Y, Zhou C. An Iterative Plug-in Algorithm for Realized Kernels.; 2015.
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2014 | Book Chapter | LibreCat-ID: 4603
Peitz C, Feng Y. Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model. In: Empirical Economic and Financial Research. Cham: Springer International Publishing; 2014:341-356. doi:10.1007/978-3-319-03122-4_21
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2014 | Journal Article | LibreCat-ID: 4605
Feng Y. Data-driven estimation of diurnal patterns of durations between trades on financial markets. Statistics & Probability Letters. 2014;92:109-113. doi:10.1016/j.spl.2014.05.011
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2014 | Journal Article | LibreCat-ID: 4599
Beran J, Feng Y, Ghosh S. Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models. Statistical Papers. 2014;56(2):431-451. doi:10.1007/s00362-014-0590-x
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2014 | Book Chapter | LibreCat-ID: 4602
Beran J, Feng Y, Ghosh S. On EFARIMA and ESEMIFAR Models. In: Empirical Economic and Financial Research. Cham: Springer International Publishing; 2014:239-253. doi:10.1007/978-3-319-03122-4_15
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2014 | Conference Paper | LibreCat-ID: 4664
Zhou C, Feng Y. Data-driven estimation of realized kernels under dependent microstructure noise and further analysis using the Semi-FI-Log-ACD. 2014.
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2013 | Working Paper | LibreCat-ID: 4658
Feng Y. Double-Conditional Smoothing of High-Frequency Volatility Surface in a Spatial Multiplicative Component GARCH with Random Effects.; 2013.
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2013 | Journal Article | LibreCat-ID: 4596
Feng Y, Guo Z, Peitz C. A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification. Journal of Industry, Competition and Trade. 2013;14(2):207-228. doi:10.1007/s10842-013-0156-y
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