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
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Working papers
- 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!]
- 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!]
- Feng, Yuanhua, 2006.
"A local dynamic conditional correlation model,"
MPRA Paper
1592, University Library of Munich, Germany.
[Downloadable!]
- 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, 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!]
- 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: - 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!]
- 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: - 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!]
- 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!]
- 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!]
- 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!]
- 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!]
- 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: - 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!]
- 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!]
- 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!]
- 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
- 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)
- 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: - 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: - 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)
- 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):
- 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
- 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
- NEP-FIN: Finance (1) 2000-02-28
- NEP-FMK: Financial Markets (2) 2006-08-26 2008-08-06
- NEP-FOR: Forecasting (1) 2007-02-10
- NEP-ICT: Information & Communication Technologies (1) 2006-08-26
- NEP-IFN: International Finance (1) 2000-02-28
- NEP-MST: Market Microstructure (1) 2006-08-26
- 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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