Articles
- Feng, Yuanhua, 2004.
"Simultaneously Modeling Conditional Heteroskedasticity And Scale Change,"
Econometric Theory,
Cambridge University Press, vol. 20(03), pages 563-596, June.
[Downloadable!]
Other versions: See citations under working paper version above.
- Beran, Jan & Feng, Yuanhua, 2002.
"SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity,"
Computational Statistics & Data Analysis,
Elsevier, vol. 40(2), pages 393-419, August.
[Downloadable!] (restricted)
Cited by:
- Jan Beran & Dirk Ocker, 2002.
"Pricing of cap-interest rates based on renewal processes,"
CoFE Discussion Paper
02-10, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Rob J Hyndman & Maxwell L. King & Ivet Pitrun & Baki Billah, 2002.
"Local Linear Forecasts Using Cubic Smoothing Splines,"
Monash Econometrics and Business Statistics Working Papers
10/02, Monash University, Department of Econometrics and Business Statistics.
[Downloadable!]
- Feng, Yuanhua & Yu, Keming, 2006.
"Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model,"
MPRA Paper
1597, University Library of Munich, Germany.
[Downloadable!]
- Jan Beran, 2007.
"On parameter estimation for locally stationary long-memory processes,"
CoFE Discussion Paper
07-13, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Yuanhua Feng & Jan Beran, 2007.
"Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors,"
CoFE Discussion Paper
07-15, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
Other versions: - Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006.
"Modelling financial time series with SEMIFAR-GARCH model,"
MPRA Paper
1593, University Library of Munich, Germany.
[Downloadable!]
Other versions: - Yuanhua Feng, 2002.
"Simultaneously Modelling Conditional Heteroskedasticity and Scale Change,"
CoFE Discussion Paper
02-12, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
Other versions: - Yuanhua Feng, 2003.
"Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors kernel dependent function, bandwidth selection,"
CoFE Discussion Paper
03-02, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Feng, Yuanhua, 2006.
"A local dynamic conditional correlation model,"
MPRA Paper
1592, University Library of Munich, Germany.
[Downloadable!]
- Jan Beran, 2002.
"Prediction of 0-1-events for short- and long-memory time series,"
CoFE Discussion Paper
02-11, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Chun-Hung Chen & Wei-Choun Yu & Eric Zivot, 2009.
"Predicting Stock Volatility Using After-Hours Information,"
Working Papers
UWEC-2009-01, University of Washington, Department of Economics.
[Downloadable!]
- Jan Beran & Yuanhua Feng, 2002.
"Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors,"
Annals of the Institute of Statistical Mathematics,
Springer, vol. 54(2), pages 291-311, June.
[Downloadable!] (restricted)
Cited by:
- Jan Beran & Yuanhua.Feng, 2001.
"Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties,"
CoFE Discussion Paper
01-11, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Yuanhua Feng & Jan Beran, 2007.
"Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors,"
CoFE Discussion Paper
07-15, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
Other versions: - Jan Beran & Yuanhua Feng & Günter Franke & Dieter Hess & Dirk Ocker, 1999.
"SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices,"
CoFE Discussion Paper
99-18, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Jan Beran & Yuanhua Feng, 1999.
"Local Polynomial Estimation with a FARIMA-GARCH Error Process,"
CoFE Discussion Paper
99-08, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Yuanhua Feng, 2002.
"Simultaneously Modelling Conditional Heteroskedasticity and Scale Change,"
CoFE Discussion Paper
02-12, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
Other versions: - Yuanhua Feng, 2003.
"Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors kernel dependent function, bandwidth selection,"
CoFE Discussion Paper
03-02, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Klaus Abberger, 2004.
"Nonparametric Regression and the Detection of Turning Points in the Ifo Business Climate,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
- Jan Beran, 2002.
"Prediction of 0-1-events for short- and long-memory time series,"
CoFE Discussion Paper
02-11, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Yuanhua Feng, 2002.
"An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series,"
CoFE Discussion Paper
02-04, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
- Jan Beran & Yuanhua.Feng, 2002.
"Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors,"
CoFE Discussion Paper
02-13, Center of Finance and Econometrics, University of Konstanz.
[Downloadable!]
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This page was last updated on 2009-12-14.
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