Details about Yuanhua Feng

Access statistics for papers by Yuanhua Feng.

Last updated 2025-04-07. Update your information in the RePEc Author Service.

Short-id: pfe24

Working Papers

2023

1. FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series
   Working Papers CIE, Paderborn University, CIE Center for International Economics

2022

2. An iterative plug-in algorithm for P-Spline regression
   Working Papers CIE, Paderborn University, CIE Center for International Economics View citations (1)

2021

3. An extended exponential SEMIFAR model with application in R
   Working Papers CIE, Paderborn University, CIE Center for International Economics
   See also Journal Article An extended exponential SEMIFAR model with application in R, Communications in Statistics - Theory and Methods, Taylor & Francis Journals (2024) (2024)
4. Boundary modification in local polynomial regression*
   Working Papers CIE, Paderborn University, CIE Center for International Economics View citations (1)
5. Fast Computation and Bandwidth Selection Algorithms for Smoothing Functional Time Series*
   Working Papers CIE, Paderborn University, CIE Center for International Economics View citations (1)
6. Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall
   Working Papers CIE, Paderborn University, CIE Center for International Economics
   See also Journal Article Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall, Journal of Risk, Journal of Risk
7. Uni- and multivariate extensions of the sinh-arcsinh normal distribution applied to distributional regression
   Working Papers CIE, Paderborn University, CIE Center for International Economics

2020

8. 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"
9. Fractionally integrated Log-GARCH with application to value at risk and expected shortfall
   Working Papers CIE, Paderborn University, CIE Center for International Economics View citations (2)

2017

10. Data-driven local polynomial for the trend and its derivatives in economic time series
    Working Papers CIE, Paderborn University, CIE Center for International Economics View citations (2)
    See also Journal Article Data-driven local polynomial for the trend and its derivatives in economic time series, Journal of Nonparametric Statistics, Taylor & Francis Journals (2020) View citations (3) (2020)

2016

11. 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
    See also Journal Article 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 (2019) View citations (3) (2019)

2015

12. An iterative plug-in algorithm for realized kernels
    Working Papers CIE, Paderborn University, CIE Center for International Economics

2013

13. 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 View citations (3)
14. 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 View citations (2)
    See also Journal Article 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 (2015) View citations (3) (2015)
15. 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 View citations (2)
16. Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
    Working Papers CIE, Paderborn University, CIE Center for International Economics
    See also Journal Article Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD, International Journal of Forecasting, Elsevier (2015) View citations (4) (2015)
17. On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
    Working Papers CIE, Paderborn University, CIE Center for International Economics View citations (1)

2012

18. 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

2011

19. A tree-form constant market share analysis for modelling growth causes in international trade
    Working Papers CIE, Paderborn University, CIE Center for International Economics View citations (2)
20. 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
    See also Journal Article 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 (2014) (2014)
21. Data-driven estimation of diurnal duration patterns
    Working Papers CIE, Paderborn University, CIE Center for International Economics View citations (1)
22. 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

2010

23. An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method
    Working Papers CIE, Paderborn University, CIE Center for International Economics
    See also Journal Article An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method, Journal of Applied Statistics, Taylor & Francis Journals (2013) View citations (1) (2013)
24. 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 View citations (2)
    See also Journal Article Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products, Economic Modelling, Elsevier (2011) View citations (8) (2011)

2008

25. Filtered Log-periodogram Regression of long memory processes
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)

2007

26. Modelling financial time series with SEMIFAR-GARCH model
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (14)
    Also in MPRA Paper, University Library of Munich, Germany (2006) View citations (8)
27. Optimal convergence rates in nonparametric regression with fractional time series errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2002) View citations (1)
    See also Journal Article Optimal convergence rates in non-parametric regression with fractional time series errors, Journal of Time Series Analysis, Wiley Blackwell (2013) View citations (4) (2013)

2006

28. A local dynamic conditional correlation model
    MPRA Paper, University Library of Munich, Germany View citations (10)
29. Nonparametric estimation of time-varying covariance matrix in a slowly changing vector random walk model
    MPRA Paper, University Library of Munich, Germany

2003

30. Kernel Dependent Functions in Nonparametric Regression with Fractional Time Series Errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)

2002

31. An Iterative Plug-In Algorithm for Nonparametric Modelling of Seasonal Time Series
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (2)
32. Modelling Different Volatility Components
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)
33. Recent Developments in Non- and Semiparametric Regression with Fractional Time Series Errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)
34. Simultaneously Modelling Conditional Heteroskedasticity and Scale Change
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (2)
    See also Journal Article SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE, Econometric Theory, Cambridge University Press (2004) View citations (30) (2004)

2001

35. Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (1)
36. 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) View citations (1)

2000

37. A robust data-driven version of the Berlin Method
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)
38. Data-driven estimation of semiparametric fractional autoregressive models
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (4)
39. Modifying the double smoothing bandwidth selector in nonparametric regression
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (2)
40. On robust local polynomial estimation with long-memory errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2000)
    See also Journal Article On robust local polynomial estimation with long-memory errors, International Journal of Forecasting, Elsevier (2002) View citations (10) (2002)

1999

41. Local Polynomial Estimation with a FARIMA-GARCH Error Process
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (1)
42. Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (3)
    See also Journal Article Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors, Annals of the Institute of Statistical Mathematics, Springer (2002) View citations (25) (2002)
43. 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) View citations (2)
44. SEMIFAR models
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (17)

1997

45. A bootstrap bandwidth selector for local polynomial fitting
    Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy" View citations (5)

1995

46. 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" View citations (4)
47. Data-driven optimal decomposition of time series
    Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy" View citations (3)

Journal Articles

2024

1. An extended exponential SEMIFAR model with application in R
   Communications in Statistics - Theory and Methods, 2024, 53, (22), 7914-7926
   See also Working Paper An extended exponential SEMIFAR model with application in R, Working Papers CIE (2021) (2021)

2020

2. Data-driven local polynomial for the trend and its derivatives in economic time series
   Journal of Nonparametric Statistics, 2020, 32, (2), 510-533 View citations (3)
   See also Working Paper Data-driven local polynomial for the trend and its derivatives in economic time series, Working Papers CIE (2017) View citations (2) (2017)
3. The Shanghai- Hong Kong Stock Connect: An Application of the Semi-CGARCH and Semi-EGARCH
   Asian Economic and Financial Review, 2020, 10, (4), 427-438

2019

4. Growth Trends and Systematic Patterns of Booms and Busts‐Testing 200 Years of Business Cycle Dynamics
   Oxford Bulletin of Economics and Statistics, 2019, 81, (1), 62-78 View citations (3)
   See also Working Paper Growth Trends and Systematic Patterns of Booms and Busts - Testing 200 Years of Business Cycle Dynamics -, Working Papers CIE (2016) (2016)
5. Secular stagnation? Is there statistical evidence of an unprecedented, systematic decline in growth?
   Economics Letters, 2019, 181, (C), 47-50 View citations (5)

2017

6. Slow Booms and Deep Busts: 160 Years of Business Cycles in Spain
   Review of Economics, 2017, 68, (2), 153-166

2015

7. Changes of China’s agri-food exports to Germany caused by its accession to WTO and the 2008 financial crisis
   China Agricultural Economic Review, 2015, 7, (2), 262-279 View citations (3)
   See also Working Paper Changes of China's agri-food exports to Germany caused by its accession to WTO and the 2008 financial crisis, Working Papers CIE (2013) View citations (2) (2013)
8. Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
   International Journal of Forecasting, 2015, 31, (2), 349-363 View citations (4)
   See also Working Paper Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD, Working Papers CIE (2013) (2013)
9. Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
   Statistical Papers, 2015, 56, (2), 431-451 View citations (9)

2014

10. A Tree-form Constant Market Share Model for Growth Causes in International Trade Based on Multi-level Classification
    Journal of Industry, Competition and Trade, 2014, 14, (2), 207-228
    See also Working Paper A tree-form constant market share model for growth causes in international trade based on multi-level classification, Working Papers CIE (2011) (2011)

2013

11. An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method
    Journal of Applied Statistics, 2013, 40, (2), 266-281 View citations (1)
    See also Working Paper An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method, Working Papers CIE (2010) (2010)
12. Modeling of the impact of the financial crisis and China's accession to WTO on China's exports to Germany
    Economic Modelling, 2013, 31, (C), 474-483
13. Optimal convergence rates in non-parametric regression with fractional time series errors
    Journal of Time Series Analysis, 2013, 34, (1), 30-39 View citations (4)
    See also Working Paper Optimal convergence rates in nonparametric regression with fractional time series errors, CoFE Discussion Papers (2007) (2007)

2011

14. Short- and long-term impact of remarkable economic events on the growth causes of China–Germany trade in agri-food products
    Economic Modelling, 2011, 28, (6), 2359-2368 View citations (8)
    See also Working Paper Short- and long-term impact of remarkable economic events on the growth causes of China-Germany trade in agri-food products, Working Papers CIE (2010) View citations (2) (2010)

2008

15. Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
    Economic Modelling, 2008, 25, (5), 850-867 View citations (6)

2004

16. SIMULTANEOUSLY MODELING CONDITIONAL HETEROSKEDASTICITY AND SCALE CHANGE
    Econometric Theory, 2004, 20, (3), 563-596 View citations (30)
    See also Working Paper Simultaneously Modelling Conditional Heteroskedasticity and Scale Change, CoFE Discussion Papers (2002) View citations (2) (2002)

2002

17. 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 (25)
    See also Working Paper Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors, CoFE Discussion Papers (1999) View citations (3) (1999)
18. On robust local polynomial estimation with long-memory errors
    International Journal of Forecasting, 2002, 18, (2), 227-241 View citations (10)
    See also Working Paper On robust local polynomial estimation with long-memory errors, CoFE Discussion Papers (2000) (2000)
19. SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity
    Computational Statistics & Data Analysis, 2002, 40, (2), 393-419 View citations (25)

2001

20. Computing the Optimal Replenishment Policy for Inventory Systems with Random Discount Opportunities
    Operations Research, 2001, 49, (5), 790-795 View citations (10)

Undated

21. Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
    Journal of Risk
    See also Working Paper Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall, Working Papers CIE (2021) (2021)

Edited books

2015

1. Empirical Economic and Financial Research
   Advanced Studies in Theoretical and Applied Econometrics, Springer View citations (5)