Yuanhua Feng

University of Paderborn

Warburger Str. 100

Paderborn, D-33098

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

77

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (4)

1.

Semiparametric GARCH Models with Long Memory Applied to Value at Risk and Expected Shortfall

Journal of Risk
Number of pages: 35 Posted: 12 Apr 2021 Last Revised: 04 Aug 2022
Sebastian Letmathe, Yuanhua Feng and André Uhde
Paderborn University, University of Paderborn and University of Paderborn - Faculty of Business Administration and Economics - Department of Taxation, Accounting & Finance
Downloads 64 (467,969)

Abstract:

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semiparametric, long memory, GARCH models, forecasting, Value at Risk, Expected Shortfall, traffic light test, Basel Committee on Banking Supervision

2.

A Data-Driven P-Spline Smoother and the P-Spline-Garch Models

Number of pages: 33 Posted: 27 Aug 2021
Wolfgang K. Härdle and Yuanhua Feng
Blockchain Research Center and University of Paderborn
Downloads 9 (799,046)

Abstract:

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P-spline smoother, smoothing parameter selection, P-Spline-GARCH, strong mixing, value at risk, expected shortfall

3.

Growth Trends and Systematic Patterns of Booms and Busts‐Testing 200 Years of Business Cycle Dynamics

Oxford Bulletin of Economics and Statistics, Vol. 81, Issue 1, pp. 62-78, 2019
Number of pages: 17 Posted: 11 Jan 2019
Marlon Fritz, Thomas Gries and Yuanhua Feng
University of Paderborn, University of Paderborn and University of Paderborn
Downloads 3 (862,736)

Abstract:

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4.

Optimal Convergence Rates in Non‐Parametric Regression with Fractional Time Series Errors

Journal of Time Series Analysis, Vol. 34, Issue 1, pp. 30-39, 2013
Number of pages: 10 Posted: 23 Dec 2012
Yuanhua Feng and Jan Beran
University of Paderborn and University of Konstanz
Downloads 1 (890,016)

Abstract:

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Optimal rate of convergence, non‐parametric regression, long memory, antipersistence