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60 Publications


2018 | Conference Paper | LibreCat-ID: 4665 LibreCat
 

2018 | Dissertation | LibreCat-ID: 4672
Modelling and forecasting financial and economic time series using different semiparametric ACD models
S. Forstinger, 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
The Non-Gaussian ESEMIFAR Model
Y. Feng, S. Letmathe, (2018) 7.
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2018 | Conference Paper | LibreCat-ID: 4668
Forecasting Non-Negative Financial Processes Using Different Parametric and Semi-Parametric ACD-Type Models
S. Forstinger, Y. Feng, C. Peitz, in: Book of Abstracts, 2018, p. 17.
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2018 | Conference Paper | LibreCat-ID: 4669
A Box-Cox Semiparametric Multiplicative Error Model
X. Zhang, Y. Feng, in: Book of Abstracts, 2018, p. 19.
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2017 | Working Paper | LibreCat-ID: 4633
A general class of SemiGARCH models based on the Box-Cox transformation
X. Zhang, Y. Feng, C. Peitz, A General Class of SemiGARCH Models Based on the Box-Cox Transformation, 2017.
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2017 | Working Paper | LibreCat-ID: 4671
Data-driven local polynomial for the trend and its derivatives in economic time series
Y. Feng, T. Gries, Data-Driven Local Polynomial for the Trend and Its Derivatives in Economic Time Series, 2017.
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2016 | Book | LibreCat-ID: 5119
Die parametrische und semiparametrische Analyse von Finanzzeitreihen: neue Methoden, Modelle und Anwendungsm\"oglichkeiten
C. Peitz, 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
On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
Y. Feng, S. Forstinger, C. Peitz, Journal of Statistical Computation and Simulation 86 (2015) 2291–2307.
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2015 | Book Chapter | LibreCat-ID: 4650
Introduction
J. Beran, Y. Feng, H. Hebbel, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2015, pp. 1–6.
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2015 | Journal Article | LibreCat-ID: 4593
Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
Y. Feng, C. Zhou, International Journal of Forecasting 31 (2015) 349–363.
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2015 | Book (Editor) | LibreCat-ID: 4649
Empirical Economic and Financial Research - Theory, Methods and Practice
J. Beran, Y. Feng, H. Hebbel, eds., Empirical Economic and Financial Research - Theory, Methods and Practice, Springer, Berlin, 2015.
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2015 | Working Paper | LibreCat-ID: 4656
An iterative plug-in algorithm for realized kernels
Y. Feng, C. Zhou, An Iterative Plug-in Algorithm for Realized Kernels, 2015.
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2014 | Book Chapter | LibreCat-ID: 4603
Double Conditional Smoothing of High-Frequency Volatility Surface Under a Spatial Model
C. Peitz, Y. Feng, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2014, pp. 341–356.
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2014 | Journal Article | LibreCat-ID: 4605
Data-driven estimation of diurnal patterns of durations between trades on financial markets
Y. Feng, Statistics & Probability Letters 92 (2014) 109–113.
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2014 | Journal Article | LibreCat-ID: 4599 LibreCat | DOI
 

2014 | Book Chapter | LibreCat-ID: 4602
On EFARIMA and ESEMIFAR Models
J. Beran, Y. Feng, S. Ghosh, in: Empirical Economic and Financial Research, Springer International Publishing, Cham, 2014, pp. 239–253.
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2013 | Working Paper | LibreCat-ID: 4658
Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects
Y. Feng, 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
A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification
Y. Feng, Z. Guo, C. Peitz, Journal of Industry, Competition and Trade 14 (2013) 207–228.
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