Details about Yuanhua Feng

Access statistics for papers by Yuanhua Feng.

Last updated 2008-10-06. Update your information in the RePEc Author Service.

Short-id: pfe24

Working Papers

2007

1. Modelling financial time series with SEMIFAR-GARCH model
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz
   Also in
   MPRA Paper, University Library of Munich, Germany (2006) View citations
2. Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz
   Also in
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz (2002)

2006

3. A local dynamic conditional correlation model
   MPRA Paper, University Library of Munich, Germany View citations
4. Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model
   MPRA Paper, University Library of Munich, Germany

2003

5. Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors kernel dependent function, bandwidth selection
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz

2002

6. An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations
7. Modelling Different Volatility Components in High-Frequency Financial Returns
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz
8. Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz
9. Simultaneously Modelling Conditional Heteroskedasticity and Scale Change
   CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations
   See Also Journal Article in Econometric Theory (2004)

2001

10. Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations
11. Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz

2000

12. A robust data-driven version of the Berlin Method
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz
13. Data-driven estimation of semiparametric fractional autoregressive models
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations
14. Modifying the double smoothing bandwidth selector in nonparametric regression
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations
15. On robust local polynomial estimation with long-memory errors
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz
    See Also Journal Article in International Journal of Forecasting (2002)

1999

16. Local Polynomial Estimation with a FARIMA-GARCH Error Process
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations
17. Local Polynomial Fitting with Long-Memory and Antipersistent errors
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz
18. SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices
    CoFE Discussion Paper, Center of Finance and Econometrics, University of Konstanz View citations

Journal Articles

2008

1. Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
   Economic Modelling, 2008, 25, (5), 850-867

2004

2. SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
   Econometric Theory, 2004, 20, (03), 563-596
   See Also Working Paper (2002)

2002

3. Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors
   Annals of the Institute of Statistical Mathematics, 2002, 54, (2), 291-311 View citations
4. On robust local polynomial estimation with long-memory errors
   International Journal of Forecasting, 2002, 18, (2), 227-241
   See Also Working Paper (2000)
5. SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity
   Computational Statistics & Data Analysis, 2002, 40, (2), 393-419 View citations