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Details about Yuanhua Feng

E-mail:
Homepage:http://wiwi.uni-paderborn.de/dep4/oekonometrie-quantitative-methoden-prof-feng/
Phone:+49 5251 60 3379
Postal address:Prof Dr. Yuanhua Feng, Faculty of Business Administration and Economics, University of Paderborn, Warburger Straße 100, D-33098 Paderborn, Germany
Workplace:Universität Paderborn, Fakultät Wirtschaftswissenschaften, Department of Economics

Access statistics for papers by Yuanhua Feng.

Last updated 2024-08-09. Update your information in the RePEc Author Service.

Short-id: pfe24


Jump to Journal Articles Edited books

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 Downloads

2022

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

2021

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

2020

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

2017

  1. Data-driven local polynomial for the trend and its derivatives in economic time series
    Working Papers CIE, Paderborn University, CIE Center for International Economics Downloads 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) Downloads View citations (3) (2020)

2016

  1. 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 Downloads
    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) Downloads View citations (3) (2019)

2015

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

2013

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

2012

  1. 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 Downloads

2011

  1. A tree-form constant market share analysis for modelling growth causes in international trade
    Working Papers CIE, Paderborn University, CIE Center for International Economics Downloads View citations (2)
  2. 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 Downloads
    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) Downloads (2014)
  3. Data-driven estimation of diurnal duration patterns
    Working Papers CIE, Paderborn University, CIE Center for International Economics Downloads View citations (1)
  4. 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 Downloads

2010

  1. An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method
    Working Papers CIE, Paderborn University, CIE Center for International Economics Downloads
    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) Downloads View citations (1) (2013)
  2. 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 Downloads 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) Downloads View citations (8) (2011)

2008

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

2007

  1. Modelling financial time series with SEMIFAR-GARCH model
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (14)
    Also in MPRA Paper, University Library of Munich, Germany (2006) Downloads View citations (8)
  2. Optimal convergence rates in nonparametric regression with fractional time series errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
    Also in CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) (2002) Downloads 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) Downloads View citations (4) (2013)

2006

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

2003

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

2002

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

2001

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

2000

  1. A robust data-driven version of the Berlin Method
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
  2. Data-driven estimation of semiparametric fractional autoregressive models
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (4)
  3. Modifying the double smoothing bandwidth selector in nonparametric regression
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (2)
  4. On robust local polynomial estimation with long-memory errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2000) Downloads

    See also Journal Article On robust local polynomial estimation with long-memory errors, International Journal of Forecasting, Elsevier (2002) Downloads View citations (10) (2002)

1999

  1. Local Polynomial Estimation with a FARIMA-GARCH Error Process
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (1)
  2. Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads 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) Downloads View citations (25) (2002)
  3. 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) Downloads View citations (2)
  4. SEMIFAR models
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (17)

1997

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

1995

  1. 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" Downloads View citations (4)
  2. Data-driven optimal decomposition of time series
    Discussion Papers, Series II, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy" Downloads 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 Downloads
    See also Working Paper An extended exponential SEMIFAR model with application in R, Working Papers CIE (2021) Downloads (2021)

2020

  1. Data-driven local polynomial for the trend and its derivatives in economic time series
    Journal of Nonparametric Statistics, 2020, 32, (2), 510-533 Downloads 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) Downloads View citations (2) (2017)
  2. 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 Downloads

2019

  1. 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 Downloads 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) Downloads (2016)
  2. Secular stagnation? Is there statistical evidence of an unprecedented, systematic decline in growth?
    Economics Letters, 2019, 181, (C), 47-50 Downloads View citations (5)

2017

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

2015

  1. 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 Downloads 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)
  2. Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD
    International Journal of Forecasting, 2015, 31, (2), 349-363 Downloads View citations (4)
    See also Working Paper Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD, Working Papers CIE (2013) Downloads (2013)
  3. Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
    Statistical Papers, 2015, 56, (2), 431-451 Downloads View citations (9)

2014

  1. 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 Downloads
    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) Downloads (2011)

2013

  1. An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method
    Journal of Applied Statistics, 2013, 40, (2), 266-281 Downloads 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) Downloads (2010)
  2. 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 Downloads
  3. Optimal convergence rates in non-parametric regression with fractional time series errors
    Journal of Time Series Analysis, 2013, 34, (1), 30-39 Downloads View citations (4)
    See also Working Paper Optimal convergence rates in nonparametric regression with fractional time series errors, CoFE Discussion Papers (2007) Downloads (2007)

2011

  1. 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 Downloads 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) Downloads View citations (2) (2010)

2008

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

2004

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

2002

  1. Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent Errors
    Annals of the Institute of Statistical Mathematics, 2002, 54, (2), 291-311 Downloads View citations (25)
    See also Working Paper Local Polynomial Fitting with Long-Memory, Short-Memory and Antipersistent errors, CoFE Discussion Papers (1999) Downloads View citations (3) (1999)
  2. On robust local polynomial estimation with long-memory errors
    International Journal of Forecasting, 2002, 18, (2), 227-241 Downloads View citations (10)
    See also Working Paper On robust local polynomial estimation with long-memory errors, CoFE Discussion Papers (2000) Downloads (2000)
  3. SEMIFAR models--a semiparametric approach to modelling trends, long-range dependence and nonstationarity
    Computational Statistics & Data Analysis, 2002, 40, (2), 393-419 Downloads View citations (25)

2001

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

Undated

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

Edited books

2015

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