Jahresbericht 2009/2010 - Fakultät für Wirtschaftswissenschaften ...

Fakultät für Wirtschaftswissenschaften
Faculty of Business Administration and Economics
Department 4 – Economics
82
Beruflicher Werdegang: 1978–82: BSc in Math.,
Beijing Normal University; 1982–85: MAgr in
VWL, Beijing Agricultural University (BAU);
1985–91: Assistent/Dozent für Statistik, BAU;
1991–93: Gastwissenschaftler, Uni Hohenheim;
1993–98: wiss. Mitarbeiter, Lehrstuhl für
Statis tik/SFB 178, Uni Konstanz; 1998: Promotion
Dr. rer. soc.; 1998–2004: wiss. Mitarbeiter,
Zentrum für Finanzen und Ökonometrie, Uni
Konstanz; 2004: Habilitation in Statistik; 2004–
08: Lecturer of Statistics, Heriot-Watt University;
2008: Vertretung der Professur für Ökono -
metrie und quantitative Methoden an der Uni -
versität Paderborn.
Ausgewählte Auszeichnungen: 1987: bester
Klassenlehrer, BAU; 1993–96: Landesgraduiertenförderung
Baden-Württemberg; 1999: Auszeichnung
der Dissertation vom Statistischen
Bundesamt; 2004: Gewähltes Mitglied, International
Statistical Institute; 2005–2008: Gast -
professor, South China Agricultural University
Quantitative methods in econometrics and
empirical economic research are important
tools for all economists. The Chair of Eco no -
metrics and Quantitative Methods for Empirical
Economic Research at the University of Pader -
born offers introductory and advanced level
instruction for Bachelor and Master students as
well as for Ph.D. candidates. Research is
focused on the development of new quantitative
methods, in particular time series analysis
and financial econometrics. The models proposed
are typically referred to as “semiparametric”,
i.e. a combination of parametric and
nonparametric ideas, and share the advantages
of both types of model. In time series analysis
emphasis is given to the semiparametric
modelling of seasonal time series, the development
of models for long memory time series
and development of semiparametric models for
multivariate time series. Proposed models in
this area include the data-driven Berlin Method,
an improved version of the German Statistical
Office’s BV4 method, and SEMIFAR (semiparametric
fractional autoregressive), a standard
model in S+Finmetrics. In financial econometrics,
proposals include different semiparametric
extensions of the very well known GARCH
model (generalized autoregressive conditional
heteroskedasticity), e.g. the SEMIFAR-GARCH
and the SemiGARCH, in order to model nonparametric
trends in returns and volatility.
Current research focuses on models for highfrequency
financial data and multivariate financial
time series, and focusing on the application
of other quantitative methods in empirical economic
research.
Prof. Dr. Yuanhua Feng joined the University of
Paderborn as Professor of Econometrics and
Quantitative Methods of Empirical Economic
Research in 2009. He gained a B.Sc. in mathematics
in 1982 from Beijing Normal University
and an M.Agr. in economics in 1985 from
Beijing Agricultural University (BAU), where he
worked as an assistant and lecturer in statistics
until 1991. Between 1991 and 1993 he was a visiting
researcher at the University of Hohenheim.
From 1993 to 1998 he was a research associate
at the chair of statistics at the University of
Konstanz before gaining his Ph.D. (Dr. rer. soc.)
there. He subsequently joined the University’s
Center of Finance and Econometrics and habilitated
in statistics in 2004. He was a lecturer in
statistics at Heriot-Watt University in Edinburgh
before joining the University of Paderborn as
substitute professor of econometrics and quantitative
methods in 2008.
Selected awards: Best Mentor, BAU (1987);
postgraduate scholarship from the State of
Baden-Württemberg (1993–1996); outstanding
Ph.D. thesis ward from the German Statistical
Office (1999); Elected Member of the Inter natio -
nal Statistical Institute (2004); visiting professor
at South China Agricultural University
(2005–2008).
Personal
Staff
Sekretariat
Administrative Staff
Felicitas Tappe (seit 08/2010)
Wissenschaftliches Personal
Research Staff
Dipl.-Kfm. Christian Peitz
Zhichao Guo
Module
Modules
Econometrics
Angewandte Zeitreihenanalyse und Wirtschafts -
prognose
Statistik II
Financial and Time Series Econometrics
Advanced Methods of Empirical Economic
Research
Abschlussarbeiten
Thesis Titles
Masterarbeiten (WS 2009/10):
Modelling and Forecasting Seasonal Time
Series using the ARMA-version of the Berlin
Method
Value at Risk (VaR) and Expected Shortfall (ES)
under Semi-parametric GARCH models
Masterarbeiten (SS 2010):
Modelling of Slowly Changing Variances and
Correlations of Foreign Exchange Rates
Time-varying volatility models – Methods and
Applications
Publikationen
Publications
Feng, Y.; Beran, J. (2009). Filtered log-periodogram
regression of long-memory processes.
Journal of Statistical Theory and Practice,3,
777–793 (Dezember 2009)
Feng, Y. and Heiler, S. (2009). A simple
bootstrap bandwidth selector for local polynomial
fitting. Journal of Statistical Computation
and Simulation. 79, 1425–1439 (Dezember
2009)
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
Liu, X., Grant, D., McKinnon, A. and Feng, Y.
(2010). An Empirical Examination of the Contri -
bution of Capabilities to the Competitiveness
of Logistics Service Providers: A Perspective
from China. International Journal of Physical
Distribution & Logistics Management (to appear)
Tagungen, Seminare, Messen
Conferences, Seminars, Fairs
Prof. Dr. Yuanhua Feng
Modelling financial time series with SEMIFAR-
GARCH models.Vortrag auf der Statistischen
Woche 2009, 5.–8. Oktober 2009, Wuppertal
Modellierung lokaler und bedingter Volatilität
unter langem Gedächtnis. Antrittsvorlesung am
28. Oktober 2009
Filtered log-periodogram regression of long
memory processes. Special Invited Talk auf
der International Conference on Statistics,
Probability, Operations Research, Computer
Science and Allied Areas, 4.–8. Januar 2010,
Visakahapatnam, Indien
Estimation of the memory parameter in fractionally
diferencing processes. Vortrag beim
Ober seminar „Complex Systems“, Institut für
Mathe matik, Universität Paderborn, am 24. Juni
2010
Dipl.-Kfm. Christian Peitz
Diskussion zum Vortrag „Impact of China’s
accession to WTO and the 2008 financial crisis
on China’s export to Germany in agri-food
products“ von Zhichao Guo, am Fakultätsfor -
schungsworkshop 2010, 20.–22. September 2010
Zhichao Guo
The Effect of Remarkable Economic Events on
the Growth Causes of China-Germany Trade in
Agri-food Products. Vortrag beim Seminar des
Departments Economics, am 12. Juli 2010
Impact of China’s accession to WTO and the
2008 financial crisis on China’s export to
Germany in agri-food products. Vortrag auf dem
Fakultätsforschungsworkshop 2010, 20.–22.
September 2010
Aktuelle Forschungsprojekte
Current Research Projects
Local Likelihood & Model-based Local Least
Squares in Quantitative Finance
EPSRC CASE Doktorandenprojekt, in Zusam -
men arbeit mit der Finanzberatungsfirma Barrie
& Hibbert in Edinburgh, Projekt lauf zeit:
01.10.2007–30.09.2011
Initiierung und Leitung des Projektes durch
Prof. Dr. Feng bis September 2008, danach
Kooperation mit der Projektleitung (Prof. Dr. A.
McNeil, Department of Actuarial Mathematics
and Statistics, Heriot-Watt University)
Weiterentwicklung des Berliner-Verfahrens
Forschungsprojekt/Promotionsvorhaben von
Dipl.-Kfm. Christian Peitz
Analyse und Modellierung vom Außenhandel
zwischen Deutschland und China im Agrar be -
reich
Forschungsprojekt/Promotionsvorhaben von
Zhichao Guo