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Information about:
Yuanhua Feng

Personal Details | Affiliation | Works
This is information that was supplied by Yuanhua Feng in registering through RePEc. If you are Yuanhua Feng , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Yuanhua
Middle Name:
Last Name: Feng
Suffix:

RePEc Short-ID: pfe24

Email:
Homepage: http://wiwi.upb.de/www/fb5/WiWi-Web.nsf/id/Dep4_Econometrics_Home?open
Postal Address: Prof Dr. Yuanhua Feng, Faculty of Business Administration and Economics, University of Paderborn, Warburger Straße 100, D-33098 Paderborn, Germany
Phone: +49 5251 60 3379

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Jan Beran & Yuanhua Feng, 2008. "Filtered Log-periodogram Regression of long memory processes," CoFE Discussion Paper 08-10, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

  2. 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!]

  3. Feng, Yuanhua, 2006. "A local dynamic conditional correlation model," MPRA Paper 1592, University Library of Munich, Germany. [Downloadable!]

  4. 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:

  5. 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!]

  6. Yuanhua Feng, 2002. "Simultaneously Modelling Conditional Heteroskedasticity and Scale Change," CoFE Discussion Paper 02-12, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Published as:

  7. 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!]

  8. 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!]

  9. Yuanhua Feng, 2002. "Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Paper 02-01, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Other versions:

  10. Yuanhua Feng, 2002. "Modelling Different Volatility Components in High-Frequency Financial Returns," CoFE Discussion Paper 02-18, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

  11. 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!]

  12. Jan Beran & Yuanhua.Feng, 2001. "Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results," CoFE Discussion Paper 01-12, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

  13. Jan Beran & Yuanhua Feng & Siegfried Heiler, 2000. "Modifying the double smoothing bandwidth selector in nonparametric regression," CoFE Discussion Paper 00-37, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

  14. Siegfried Heiler & Yuanhua Feng, 2000. "A robust data-driven version of the Berlin Method," CoFE Discussion Paper 00-15, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

  15. Jan Beran & Yuanhua Feng & Sucharita Gosh & Philipp Sibbertsen, 2000. "On robust local polynomial estimation with long-memory errors," CoFE Discussion Paper 00-18, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Published as:

  16. Jan Beran & Yuanhua Feng, 2000. "Data-driven estimation of semiparametric fractional autoregressive models," CoFE Discussion Paper 00-16, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

  17. 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!]

  18. Jan Beran & Yuanhua Feng, 1999. "Local Polynomial Fitting with Long-Memory and Antipersistent errors," CoFE Discussion Paper 99-07, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

  19. 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!]

Articles

  1. Feng, Yuanhua & McNeil, Alexander J., 2008. "Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility," Economic Modelling, Elsevier, vol. 25(5), pages 850-867, September. [Downloadable!] (restricted)

  2. 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:

  3. Beran, Jan & Feng, Yuanhua & Ghosh, Sucharita & Sibbertsen, Philipp, 2002. "On robust local polynomial estimation with long-memory errors," International Journal of Forecasting, Elsevier, vol. 18(2), pages 227-241. [Downloadable!] (restricted)
    Other versions:

  4. 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)

  5. 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)

NEP Fields

16 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (9) 2000-02-28 2000-08-02 2006-08-26 2007-02-10 2007-02-10 2007-02-10 2008-08-06 2008-08-06 2008-12-21 Author is listed
  2. NEP-ETS: Econometric Time Series (16) 2000-02-28 2000-02-28 2000-02-28 2000-08-02 2006-08-26 2006-08-26 2006-08-26 2006-08-26 2006-08-26 2006-08-26 2007-02-10 2007-02-10 2007-02-10 2008-08-06 2008-08-06 2008-12-21 Author is listed
  3. NEP-FIN: Finance (1) 2000-02-28
  4. NEP-FMK: Financial Markets (2) 2006-08-26 2008-08-06
  5. NEP-FOR: Forecasting (1) 2007-02-10
  6. NEP-ICT: Information & Communication Technologies (1) 2006-08-26
  7. NEP-IFN: International Finance (1) 2000-02-28
  8. NEP-MST: Market Microstructure (1) 2006-08-26
  9. NEP-ORE: Operations Research (1) 2008-08-06
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This page was last updated on 2009-12-14.

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