Professoren
Prof. Dr. Yuanhua Feng

Prof. Dr. Yuanhua Feng

Books

Beran, J., Feng, Y. Ghosh, S. and Kulik, R. Long Memory Processes - Probabilistic Properties and Statistical Methods (Working title, a Text in preparation).

Feng, Y. (2004). Non- and Semiparametric Regression with Fractional Time Series Errors - Theory and Applications to Financial Data. Habilitation Work, University of Konstanz.

Feng, Y. (1999). Kernel- and Locally Weighted Regression - with Application to Time Series Decomposition. Verlag f¨ur Wissenschaft und Forschung, Berlin.

Zhu, S., Fan, X. and Feng, Y. (1992). Mathematical Statistics for Economics and Business (in Chinese). Xi’an Map Press, Xi’an.

Zhang, J. and Feng, Y. (1989). Introduction to Mathematics for Economics and Business (in Chinese). Beijing Agricultural University, Beijing.


Publications in Refereed Journals and Edited Books

Feng, Y. and Beran, J. (2011). Optimal Convergence Rates in Nonparametric Regression with Fractional Time Series Errors. Journl of Time Series Analysis (accepted).

Guo, Zh., Feng, Y. and Tan, X. (2011): Short- and long-term impact of remarkable economic events on the growth causes of China-Germany trade in agri-food products. Economic Modelling, 28, 2359-2368.

Liu, X., Grant, D., McKinnon, A. and Feng, Y. (2010). An Empirical Examination of the Contribution of Capabilities to the Competitiveness of Logistics Service Providers: A Perspective from China. International Journal of Physical Distribution & Logistics Management, 40, 847-866.

Liu, X., McKinnon, A., Grant, D. and Feng, Y. (2010). Sources of Competitiveness for Logistics Service Providers: a UK Industry Perspective. Logistics Research, 2, 23-32.

Feng, Y. and Beran, J. (2009). Filtered log-periodogram regression of long memory processes. Journal of Statistical Theory and Practice, 3, 777-793..

Beran, J., Feng, Y. and Heiler, S. (2009). Modifying the double smoothing bandwidth selector in nonparametric regression. Statistical Methodology, 6, 447-465.

Feng, Y. and Heiler, S. (2009). A simple bootstrap bandwidth selector for local polynomial fitting. Submitted. Journal of Statistical Computation and Simulation, 79, 1425-1439.

Feng, Y. and McNeil, A. J. (2008). Modelling of scale change, periodicity and conditional heteroskedasticity in return volatility. Economic Modelling, 25, 850-867.

Beran, J. and Feng, Y. (2007). Weighted averages and local polynomial estimation for fractional linear ARCH processes. Journal of Statistical Theory and Practice, 1, 149-166.

Feng, Y. (2007). On the asymptotic variance in nonparametric regression with fractional time series errors. Journal of Nonparametric Statistics, 19, 63-76.

Feng, Y., Beran, J. and Yu, K. (2007). Modelling financial time series with SEMIFARGARCH models. IMA Journal of Management Mathematics, 18, 395-412.

Ng, P., Yu, K. and Feng, Y. (2007) (eds). Special Issue on Quantile Regression. Statistical Modelling, vol. 7, no. 4, pp. 301-389; and the Guest Editorial, pp. 299-300.

Feng, Y. (2004). Simultaneously modelling conditional heteroskedasticity and scale change. Econometric Theory, 20, 563-596.

Heiler, S. and Feng, Y. (2004). A robust data-driven version of the Berlin Method. In Metz, R., Lösch, M., Edel, K. (Eds): Zeitreihenanalyse in der empirischen Wirtschaftsforschung, pp. 67-81. Lucius & Lucius, Stuttgart.

Beran, J., Feng, Y., Franke, G., Hess, D. and Ocker, D. (2003). Semiparametric modeling of stochastic and deterministic trends and fractional stationarity. In G. Rangarajan and M. Ding (eds), Processes with Long Range Correlations: Theory and Applications, pp. 225 - 250, Springer, Berlin.

Beran, J. and Feng, Y. (2002). SEMIFAR models - A semiparametric approach to modelling trends, long-range dependence and nonstationarity. Computational Statistics and Data Analysis, 40, 393-419.

Beran, J. and Feng, Y. (2002). Local polynomial fitting with long-memory, short-memory and antipersistent errors. The Annals of the Institute of Statistical Mathematics, 54, 291-311.

Beran, J. and Feng, Y. (2002). Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties. Journal of Computational and Graphical Statistics, 11, 690-713.

Beran, J, Feng, Y., Ghosh, S. and Sibbertsen, P. (2002). On robust local polynomial estimation with long-memory errors. International Journal of Forecasting, 18, 222-241.

Beran, J. and Feng, Y. (2001). Local polynomial estimation with a FARIMA-GARCH error process. Bernoulli, 7, 733-750.

Beran, J. and Feng, Y. (2001). Semiparametric fractional autoregressive model. Statistical Review (Revista de Estat´ıstica), Volume II, 125-128.

Feng, Y. and Heiler, S. (2000). Locally weighted autoregression. In: H.-J. Vosgerau (Ed.): Institutional Arrangements for Global Economic Integration, pp. 371-388 (reprinted with permission of Phisica-Verlag). Macmillan Press LTD, London.

Feng, Y. and Heiler, S. (2000). Eine robuste datengesteuerte Version des Berliner-Verfahrens (in German). Wirtschaft und Statistik, 10/2000, 786-795.

Heiler, S. and Feng, Y. (2000). Data-driven decomposition of seasonal time series. Journal of Statistical Planning and Inference, 91, 351-363.

Abberger, K., Feng, Y. and Heiler, S. (1998). Nonparametric smoothing and quantile estimation in time series. In: G. Bol, G. Nakhaeizadeh and K.-H. Vollmer (Eds.) Risk Measurement, Econometrics and Neural Networks, pp. 1-16, Physica-Verlag, Heidelberg.

Feng, Y. and Heiler, S. (1998). Locally weighted autoregression. In: R. Galata and H. Küchenhoff (Eds.) Econometrics in Theory and Practice, pp. 101-117, Physica-Verlag, Heidelberg.

Heiler, S. and Feng, Y. (1998). A simple root n bandwidth selector for nonparametric regression. Journal of Nonparametric Statistics, 9, 1-21.

Heiler, S. and Feng, Y. (1996). Datengesteuerte Zerlegung saisonaler Zeitreihen (in German). IFO-Studien, 3/1996, 41-73.

Zhang, Q., Feng, Y. and Yin, Q. (1990). Predictive analysis on milk yield of dairy cattle (in Chinese). Chinese Journal of Animal Science, 26, 28-29.

Zheng, D., Feng, Y. and Huang, D. (1989). Vicious circle in economic development in poor mountain areas and the ways to deal with it (in Chinese). Journal of Agrotechnical Economics, 1989, 175-186.

Zheng, D., Feng, Y., Wu, J. and Qin, F. (1989). Strategies for increasing grain yields in mountainous region (in Chinese). Journal of Agrotechnical Economics, 1989, 36-42.

Feng, Y. (1988). A dynamic simulation study on population growth and its influence on economic development (in Chinese). Ankang Economic Study, 1988, 226-232.


Articles/Abstracts in Conference Proceedings

Guo, Zh., Feng, Y. and Tan, X. (2011): Analysis of structural breaks and growth causes of China-Germany agricultural trade. Procceeding of the 10th Europiean Conference on Agriculture and Rural Develepment in China (ECARDC X) - Rural China and its Global Connections (abstract and full paper).

Feng, Y. and Beran, J. (2010). Filtered log-periodogram regression of long memory processes. Reprinted Abstract, in the Proceeding of the International Conference on Statistics, Probability, Operations Research, Computer Science and Allied Areas, 2010, Visakahapatnam.

Feng, Y., Beran, J. and Yu, K. (2009). Modelling fnancial time series with SEMIFARGARCH models. Reprinted Abstract of Feng, Beran and Yu, 2007, in the Proceeding of the Statistische Woche 2009, Wuppertal, Germany.

Feng, Y. (2007). Semiparametric modelling of local and conditional correlations. Proceedings of The 2007 ICSA International Conference, Taipei.

Feng, Y. (2006). A local dynamic conditional correlation model. Heriot-Watt University. Proceedings of the International Conference on High Frequency Finance (e-file of the full paper).

Beran, J. and Feng, Y. (2004). Nonparametric estimation, long memory and heteroskedasticity. Proceedings of the 6th World Congress of the Bernoulli Society and the 67th Annual Meeting of the Institute of Mathematical Statistics, p. 69, Barcelona.

Feng, Y. (2003): Semiparametric modelling of seasonal time series. Bulletin of the International Statistical Institute 54th ISI-Session, Contributed Papers, Volume LX, Book 1, pp. 334-5, Berlin.

Beran, J. and Feng, Y. (2002). Bandwidth selection in nonparametric regression with fractional time series errors. In Proceedings of the International Conference on Current Advances and Trends in Nonparametric Statistics.

Feng, Y. (2002). Simultaneously modelling local and conditional heteroskedasticity. In Proceedings of the German Statistical Week 2002.

Beran, J. and Feng, Y. (2001). Recent development in non- and semiparametric regression with fractional time series errors. In Proceedings of the Euroworkshop on Statistical Modelling: Nonparametric Models. Bernried (near München).

Beran, J., Feng, Y., Ghosh, S. and Sibbertsen, P. (2000). Robust trend estimation and forecasting for long-memory processes. In Proceedings of the 20th International Symposium on Forecasting, P. 114, Lisbon.

Beran, J., Feng, Y. and Ocker, D. (1999). SEMIFAR models with applications to financial time series. In Proceedings of the 19th International Symposium on Forecasting, Washington, DC.


Most recent works

Guo, Zh., Feng, Y. and Tan, X. (2011): Modelling of the impact of the financial crisis and China's accession to WTO on China's exports to Germany. Submitted.

Guo, Zh., Feng, Y. and Tan, X. (2011): Impact of China’s accession to WTO and the financial crisis on China’s exports to Germany. Center for International Economics Working Paper Nr. 2011-03, University of Paderborn.

Feng, Y. (2010). An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method. Submitted.

Feng, Y., Hand, D. and Yu, K. (2007). A Multivariate Random Walk Model with Slowly Changing Drift and Cross-correlation Applied to Finance. Preprint, to be submitted.

Feng, Y. and H¨ardle, W. (2007). A local dynamic conditional correlation model. Preprint, to be submitted.


Some Unpublished Discussion Papers/Work Reports

Feng, Y. (2004). Optimale Kombinationen von verschiedenen (in-vitro) Tests (in German). Special research report for the Habilitation examination. University of Konstanz.

Beran, J. and Feng, Y. (2002). Recent developments in non- and semiparametric models with fractional time series errors. Discussion Paper, Center of Finance and Econometrics (CoFE), No. 02/13, University of Konstanz.

Beran, J. and Feng, Y. (2001). Supplement to the paper “Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties” - Detailed simulation results. Discussion Paper, CoFE, No. 01/12, University of Konstanz.

Beran, J., Feng, Y. and Ocker, D. (1999). SEMIFAR models. Technical Report, SFB 475, 3/1999, University of Dortmund.

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