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Publications

by alumni of

Universität Konstanz → Fachbereich Wirtschaftswissenschaften → Zentrum für Finanzen und Ökonometrie

University of Constance → Department of Economics → Center for Finance and Econometrics

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2026

  1. Dominik Schulz & Yuanhua Feng & Thomas Gries & Marlon Fritz & Sebastian Letmathe, 2026, "Diagnosing the trend and bootstrapping the forecasting intervals using a semiparametric ARMA," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 168, Mar.
  2. Dominik Schulz & Thi Thu Huong Do & Yuanhua Feng, 2026, "A semiparametric spatial FARIMA applied in the presence of spatial seasonality," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 170, Mar.
  3. Dominik Schulz & Yuanhua Feng & Christian Peitz & Oliver Kojo Ayensu, 2026, "Estimating, Forecasting and Backtesting a Family of Exponential and Other GARCH Models Using the fEGarch Package," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 171, Mar.
  4. Shujie Li & Yuanhua Feng, 2026, "Forecasting economic growth with traditional methods and a simple neural network model," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 172, Mar.
  5. Shujie Li & Yuanhua Feng, 2026, "Dual-trend and dual long-memory time series modelling," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 174, Mar.
  6. Oliver Kojo Ayensu & Yuanhua Feng & Dominik Schulz, 2026, "Well-known and recent long-memory GARCH models and their semiparametric extensions," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 175, Jun.
  7. Li Chen & Yuanhua Feng, 2026, "Time series forecasting in SAP using a data-driven seasonal semiparametric ARMA model," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 177, Jan.

2025

  1. Li Chen & Yuanhua Feng, 2025, "Forecasting of trend stationary time series in SAP using a data-driven semiparametric ARMA model," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 176, Aug.

2023

  1. Yuanhua Feng & Thomas Gries & Sebastian Letmathe, 2023, "FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 156, Jun.

2022

  1. Sebastian Letmathe & Yuanhua Feng, 2022, "An iterative plug-in algorithm for P-Spline regression," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 151, Sep.

2021

  1. Sebastian Letmathe & Yuanhua Feng & André Uhde, 2021, "Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 141, Apr.
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  2. Yuanhua Feng & Wolfgang Karl Härdle, 2021, "Uni- and multivariate extensions of the sinh-arcsinh normal distribution applied to distributional regression," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 142, May.
  3. Bastian Schäfer & Yuanhua Feng, 2021, "Fast Computation and Bandwidth Selection Algorithms for Smoothing Functional Time Series," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 143, Aug.
  4. Yuanhua Feng & Bastian Schäfer, 2021, "Boundary modification in local polynomial regression," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 144, Aug.
  5. Yuanhua Feng & Jan Beran & Sebastian Letmathe, 2021, "An extended exponential SEMIFAR model with application in R," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 145, Sep.

2020

  1. Yuanhua Feng & Jan Beran & Sebastian Letmathe & Sucharita Ghosh, 2020, "Fractionally integrated Log-GARCH with application to value at risk and expected shortfall," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 137, Nov.
  2. Feng, Yuanhua & Härdle, Wolfgang Karl, 2020, "A data-driven P-spline smoother and the P-Spline-GARCH models," IRTG 1792 Discussion Papers, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series", number 2020-016.

2017

  1. Yuanhua Feng & Thomas Gries, 2017, "Data-driven local polynomial for the trend and its derivatives in economic time series," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 102, Apr.

2016

  1. Marlon Fritz & Thomas Gries & Yuanhua Feng, 2016, "Growth Trends and Systematic Patterns of Booms and Busts - Testing 200 Years of Business Cycle Dynamics -," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 96, Sep.

2015

  1. Yuanhua Feng & Chen Zhou, 2015, "An iterative plug-in algorithm for realized kernels," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 87, Jan.

2013

  1. Yuanhua Feng & Chen Zhou, 2013, "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 59, Apr.
  2. Yuanhua Feng, 2013, "Double-conditional smoothing of high-frequency volatility surface in a spatial multiplicative component GARCH with random effects," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 65, Aug.
  3. Yuanhua Feng & Sarah Forstinger & Christian Peitz, 2013, "On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 66, Aug.
  4. Yuanhua Feng & Lixin Sun, 2013, "A semi-APARCH approach for comparing long-term and short-term risk in Chinese financial market and in mature financial markets," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 69, Dec.
  5. Zhichao Guo & Yuanhua Feng & Thomas Gries, 2013, "Changes of China's agri-food exports to Germany caused by its accession to WTO and the 2008 financial crisis," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 72, Nov.

2012

  1. Yuanhua Feng & David Hand & Yuanhua Feng, 2012, "A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 50, May.

2011

  1. Zhichao Guo & Yuanhua Feng & Xiangyong Tan, 2011, "Impact of China's accession to WTO and the financial crisis on China's exports to Germany," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 36, Mar.
  2. Yuanhua Feng & Zhichao Guo & Christian Peitz & Xiangyong Tan, 2011, "A tree-form constant market share analysis for modelling growth causes in international trade," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 37, May.
  3. Yuanhua Feng & Zhichao Guo & Christian Peitz & Xiangyong Tan, 2011, "A tree-form constant market share model for growth causes in international trade based on multi-level classification," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 42, Sep.
  4. Yuanhua Feng, 2011, "Data-driven estimation of diurnal duration patterns," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 44, Dec.

2010

  1. Zhichao Guo & Yuanhua Feng & Xiangyong Tan, 2010, "Short- and long-term impact of remarkable economic events on the growth causes of China-Germany trade in agri-food products," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 32, Nov.
  2. Yuanhua Feng, 2010, "An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method," Working Papers CIE, Paderborn University, CIE Center for International Economics, number 33, Nov.

2008

  1. Feng, Yuanhua & Beran, Jan, 2008, "Filtered Log-periodogram Regression of long memory processes," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 08/10.

2006

  1. Feng, Yuanhua, 2006, "A local dynamic conditional correlation model," MPRA Paper, University Library of Munich, Germany, number 1592.
  2. Feng, Yuanhua & Beran, Jan & Yu, Keming, 2006, "Modelling financial time series with SEMIFAR-GARCH model," MPRA Paper, University Library of Munich, Germany, number 1593.
  3. Feng, Yuanhua & Yu, Keming, 2006, "Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model," MPRA Paper, University Library of Munich, Germany, number 1597.

2003

  1. Feng, Yuanhua, 2003, "Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 03/02.

2002

  1. Feng, Yuanhua, 2002, "Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/01.
  2. Feng, Yuanhua, 2002, "An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/04.
  3. Feng, Yuanhua, 2002, "Simultaneously Modelling Conditional Heteroskedasticity and Scale Change," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/12.
  4. Beran, Jan & Feng, Yuanhua, 2002, "Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/13.
  5. Feng, Yuanhua, 2002, "Modelling Different Volatility Components," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/18.

2001

  1. Beran, Jan & Feng, Yuanhua, 2001, "Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/11.
  2. Beran, Jan & Feng, Yuanhua, 2001, "Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/12.

2000

  1. Heiler, Siegfried & Feng, Yuanhua, 2000, "A robust data-driven version of the Berlin Method," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 00/15.
  2. Beran, Jan & Feng, Yuanhua, 2000, "Data-driven estimation of semiparametric fractional autoregressive models," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 00/16.
  3. Beran, Jan & Feng, Yuanhua & Gosh, Sucharita & Sibbertsen, Philipp, 2000, "On robust local polynomial estimation with long-memory errors," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 00/18.
  4. Beran, Jan & Feng, Yuanhua & Heiler, Siegfried, 2000, "Modifying the double smoothing bandwidth selector in nonparametric regression," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 00/37.

1999

  1. Beran, Jan & Feng, Yuanhua, 1999, "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 99/07.
  2. Beran, Jan & Feng, Yuanhua, 1999, "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 99/08.
  3. Beran, Jan & Feng, Yuanhua & Franke, Günter & Hess, Dieter & Ocker, Dirk, 1999, "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 99/18.
  4. Beran, Jan & Feng, Yuanhua & Ocker, Dirk, 1999, "SEMIFAR models," Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen, number 1999,03.

1997

  1. Heiler, Siegfried & Feng, Yuanhua, 1997, "A bootstrap bandwidth selector for local polynomial fitting," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 344.

1995

  1. Heiler, Siegfried & Feng, Yuanhua, 1995, "A simple root n bandwidth selector for nonparametric regression," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 286.
  2. Heiler, Siegfried & Feng, Yuanhua, 1995, "Data-driven optimal decomposition of time series," Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy", number 287.

Journal articles

2026

  1. Marlon Fritz & Thomas Gries & Yuanhua Feng, 2026, "Endogenous Nonparametric Trend Estimation for Economic Data—An Enhanced Alternative to the Hodrick-Prescott Filter," Mathematics, MDPI, volume 14, issue 11, pages 1-21, May.
  2. Yuanhua Feng & Wolfgang Karl Härdle, 2026, "A data-driven P-spline smoother and the P-Spline-GARCH models," Journal of Nonparametric Statistics, Taylor & Francis Journals, volume 38, issue 2, pages 653-674, April, DOI: 10.1080/10485252.2025.2516492.

2025

  1. Marlon Fritz & Sarah Forstinger & Yuanhua Feng & Thomas Gries, 2025, "Forecasting economic growth by combining local linear and standard approaches," Journal of Applied Statistics, Taylor & Francis Journals, volume 52, issue 7, pages 1342-1360, May, DOI: 10.1080/02664763.2024.2424920.

2024

  1. Sebastian Letmathe & Jan Beran & Yuanhua Feng, 2024, "An extended exponential SEMIFAR model with application in R," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, volume 53, issue 22, pages 7914-7926, November, DOI: 10.1080/03610926.2023.2276049.

2020

  1. Peitz, Christian & Feng, Yuanhua & Gilroy, Bernard M & Stoeckmann, Nico, 2020, "The Shanghai- Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH," Asian Economic and Financial Review, Asian Economic and Social Society, volume 10, issue 4, pages 427-438, DOI: 10.18488/journal.aefr.2020.104.427..
  2. Yuanhua Feng & Thomas Gries & Marlon Fritz, 2020, "Data-driven local polynomial for the trend and its derivatives in economic time series," Journal of Nonparametric Statistics, Taylor & Francis Journals, volume 32, issue 2, pages 510-533, April, DOI: 10.1080/10485252.2020.1759598.

2019

  1. Marlon Fritz & Thomas Gries & Yuanhua Feng, 2019, "Growth Trends and Systematic Patterns of Booms and Busts‐Testing 200 Years of Business Cycle Dynamics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, volume 81, issue 1, pages 62-78, February, DOI: 10.1111/obes.12267.
  2. Fritz, Marlon & Gries, Thomas & Feng, Yuanhua, 2019, "Secular stagnation? Is there statistical evidence of an unprecedented, systematic decline in growth?," Economics Letters, Elsevier, volume 181, issue C, pages 47-50, DOI: 10.1016/j.econlet.2019.04.021.

2017

  1. Gries Thomas & Fritz Marlon & Feng Yuanhua, 2017, "Slow Booms and Deep Busts: 160 Years of Business Cycles in Spain," Review of Economics, De Gruyter, volume 68, issue 2, pages 153-166, August, DOI: 10.1515/roe-2017-0008.

2015

  1. Feng, Yuanhua & Zhou, Chen, 2015, "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," International Journal of Forecasting, Elsevier, volume 31, issue 2, pages 349-363, DOI: 10.1016/j.ijforecast.2014.09.001.
  2. Zhichao Guo & Yuanhua Feng & Thomas Gries, 2015, "Changes of China’s agri-food exports to Germany caused by its accession to WTO and the 2008 financial crisis," China Agricultural Economic Review, Emerald Group Publishing Limited, volume 7, issue 2, pages 262-279, May, DOI: 10.1108/CAER-11-2013-0152.
  3. Jan Beran & Yuanhua Feng & Sucharita Ghosh, 2015, "Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models," Statistical Papers, Springer, volume 56, issue 2, pages 431-451, May, DOI: 10.1007/s00362-014-0590-x.

2014

  1. Yuanhua Feng & Zhichao Guo & Christian Peitz, 2014, "A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification," Journal of Industry, Competition and Trade, Springer, volume 14, issue 2, pages 207-228, June, DOI: 10.1007/s10842-013-0156-y.

2013

  1. Yuanhua Feng & Jan Beran, 2013, "Optimal convergence rates in non-parametric regression with fractional time series errors," Journal of Time Series Analysis, Wiley Blackwell, volume 34, issue 1, pages 30-39, January, DOI: j.1467-9892.2012.00811.x.
  2. Guo, Zhichao & Feng, Yuanhua, 2013, "Modeling of the impact of the financial crisis and China's accession to WTO on China's exports to Germany," Economic Modelling, Elsevier, volume 31, issue C, pages 474-483, DOI: 10.1016/j.econmod.2012.12.015.
  3. Yuanhua Feng, 2013, "An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method," Journal of Applied Statistics, Taylor & Francis Journals, volume 40, issue 2, pages 266-281, February, DOI: 10.1080/02664763.2012.740626.

2011

  1. Guo, Zhichao & Feng, Yuanhua & Tan, Xiangyong, 2011, "Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products," Economic Modelling, Elsevier, volume 28, issue 6, pages 2359-2368, DOI: 10.1016/j.econmod.2011.06.007.

2008

  1. Feng, Yuanhua & McNeil, Alexander J., 2008, "Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility," Economic Modelling, Elsevier, volume 25, issue 5, pages 850-867, September.

2004

  1. Feng, Yuanhua, 2004, "Simultaneously Modeling Conditional Heteroskedasticity And Scale Change," Econometric Theory, Cambridge University Press, volume 20, issue 3, pages 563-596, June.

2002

  1. Beran, Jan & Feng, Yuanhua, 2002, "SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity," Computational Statistics & Data Analysis, Elsevier, volume 40, issue 2, pages 393-419, August.
  2. Beran, Jan & Feng, Yuanhua & Ghosh, Sucharita & Sibbertsen, Philipp, 2002, "On robust local polynomial estimation with long-memory errors," International Journal of Forecasting, Elsevier, volume 18, issue 2, pages 227-241.
  3. Jan Beran & Yuanhua Feng, 2002, "Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, volume 54, issue 2, pages 291-311, June, DOI: 10.1023/A:1022469818068.

2001

  1. Y. Feng & J. Sun, 2001, "Computing the Optimal Replenishment Policy for Inventory Systems with Random Discount Opportunities," Operations Research, INFORMS, volume 49, issue 5, pages 790-795, October, DOI: 10.1287/opre.49.5.790.10613.

Books

2015

  1. Jan Beran & Yuanhua Feng & Hartmut Hebbel (ed.), 2015, "Empirical Economic and Financial Research," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-319-03122-4, edition 127, ISBN: ARRAY(0x7d57f638), July-Dece, DOI: 10.1007/978-3-319-03122-4.

2013

  1. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Long-Memory Processes," Springer Books, Springer, number 978-3-642-35512-7, edition 127, ISBN: ARRAY(0x71a6c8e0), DOI: 10.1007/978-3-642-35512-7.

Chapters

2013

  1. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Definition of Long Memory," Springer Books, Springer, chapter 0, "Long-Memory Processes", DOI: 10.1007/978-3-642-35512-7_1.
  2. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Resampling," Springer Books, Springer, chapter 0, "Long-Memory Processes", DOI: 10.1007/978-3-642-35512-7_10.
  3. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Origins and Generation of Long Memory," Springer Books, Springer, chapter 0, "Long-Memory Processes", DOI: 10.1007/978-3-642-35512-7_2.
  4. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Mathematical Concepts," Springer Books, Springer, chapter 0, "Long-Memory Processes", DOI: 10.1007/978-3-642-35512-7_3.
  5. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Limit Theorems," Springer Books, Springer, chapter 0, "Long-Memory Processes", DOI: 10.1007/978-3-642-35512-7_4.
  6. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Statistical Inference for Stationary Processes," Springer Books, Springer, chapter 0, "Long-Memory Processes", DOI: 10.1007/978-3-642-35512-7_5.
  7. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Statistical Inference for Nonlinear Processes," Springer Books, Springer, chapter 0, "Long-Memory Processes", DOI: 10.1007/978-3-642-35512-7_6.
  8. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Statistical Inference for Nonstationary Processes," Springer Books, Springer, chapter 0, "Long-Memory Processes", DOI: 10.1007/978-3-642-35512-7_7.
  9. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Forecasting," Springer Books, Springer, chapter 0, "Long-Memory Processes", DOI: 10.1007/978-3-642-35512-7_8.
  10. Jan Beran & Yuanhua Feng & Sucharita Ghosh & Rafal Kulik, 2013, "Spatial and Space-Time Processes," Springer Books, Springer, chapter 0, "Long-Memory Processes", DOI: 10.1007/978-3-642-35512-7_9.

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