Narrow search
Showing 1 - 10 of 14
Cover Image
Simultaneously modelling conditional heteroskedasticity and scale change
Feng, Yuanhua - 2002
Persistent link: https://www.econbiz.de/10001686434
Cover Image
Modelling different volatility components in high-frequency financial returns
Feng, Yuanhua (contributor) - 2002
This paper considers simultaneous modelling of seasonality, slowly changing un- conditional variance and conditional heteroskedasticity in high-frequency fiancial returns. A new approach, called a seasonal SEMIGARCH model, is proposed to perform this by introducing multiplicative seasonal and...
Persistent link: https://www.econbiz.de/10002527401
Cover Image
Simultaneously modeling conditional heteroskedasticity and scale change
Feng, Yuanhua - In: Econometric theory 20 (2004) 3, pp. 563-596
Persistent link: https://www.econbiz.de/10002068275
Cover Image
Locally weighted autoregression
Feng, Yuanhua; Heiler, Siegfried - In: Institutional arrangements for global economic integration, (pp. 371-388). 2000
Persistent link: https://www.econbiz.de/10001533889
Cover Image
Locally weighted autoregression
Feng, Yuanhua - In: Econometrics in theory and practice : Festschrift for …, (pp. 101-117). 1998
Persistent link: https://www.econbiz.de/10001301452
Cover Image
Nonparametric smoothing and quantile estimation in time series
Abberger, Klaus - In: Risk measurement, econometrics and neural networks : …, (pp. 1-16). 1998
Persistent link: https://www.econbiz.de/10001305364
Cover Image
Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall
Letmathe, Sebastian; Feng, Yuanhua; Uhde, André - In: Journal of risk 25 (2022) 2, pp. 75-105
Persistent link: https://www.econbiz.de/10014342468
Cover Image
On the iterative plug-in algorithm for estimating diurnal patterns of financial trade durations
Feng, Yuanhua; Forstinger, Sarah; Peitz, Christian - 2013
Persistent link: https://www.econbiz.de/10010194478
Cover Image
Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility
Feng, Yuanhua; McNeil, Alexander J. - In: Economic modelling 25 (2008) 5, pp. 850-867
Persistent link: https://www.econbiz.de/10003800096