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Iterative plug-in algorithms for SEMIFAR models
Beran, Jan; Feng, Yuanhua - 2001
Persistent link: https://www.econbiz.de/10001672564
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Iterative plug-in algorithms for SEMIFAR models : definition, convergence and asymptotic properties
Beran, Jan; Feng, Yuanhua - 2001
Persistent link: https://www.econbiz.de/10001672842
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Detailed simulation results
Beran, Jan; Feng, Yuanhua - 2001
Persistent link: https://www.econbiz.de/10001672848
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An extended exponential SEMIFAR model with application in R
Letmathe, Sebastian; Beran, Jan; Feng, Yuanhua - 2021
Persistent link: https://www.econbiz.de/10012628648
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Fractionally integrated Log-GARCH with application to value at risk and expected shortfall
Feng, Yuanhua; Beran, Jan; Letmathe, Sebastian; Ghosh, … - 2020
Persistent link: https://www.econbiz.de/10012508904
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Modifying the double smoothing bandwidth selector in nonparametric regression
Beran, Jan - 2000
Persistent link: https://www.econbiz.de/10014378829
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Data-driven estimation of diurnal duration patterns
Feng, Yuanhua - 2011
Persistent link: https://www.econbiz.de/10009411231
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An iterative plug-in algorithm for decomposing seasonal time series using the Berlin Method
Feng, Yuanhua - 2010
Persistent link: https://www.econbiz.de/10008937103
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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