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Details about Philipp Sibbertsen

E-mail:
Homepage:http://www.statistik.uni-hannover.de/sibbertsen.html
Workplace:Wirtschaftswissenschaftliche Fakultät (School of Economics and Management), Leibniz Universität Hannover (University of Hannover), (more information at EDIRC)
Universität Hannover, Fakultät Wirtschaftswissenschaften, Abteilung Statistik

Access statistics for papers by Philipp Sibbertsen.

Last updated 2016-07-28. Update your information in the RePEc Author Service.

Short-id: psi133


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Working Papers

2015

  1. A Multivariate Test Against Spurious Long Memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  2. Information Criteria for Nonlinear Time Series Models
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article in Studies in Nonlinear Dynamics & Econometrics (2016)
  3. Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

2014

  1. Credit Risk Modeling under Conditional Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  2. Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (3)
    See also Journal Article in Economics Letters (2016)
  3. Model Order Selection in Seasonal/Cyclical Long Memory Models
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

2013

  1. A unified framework for testing in the linear regression model under unknown order of fractional integration
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads
  2. Testing for Cointegration in a Double-LSTR Framework
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  3. Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2014)

2012

  1. A simple specification procedure for the transition function in persistent nonlinear time series models
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
  2. Estimating the number of mean shifts under long memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  3. On tests for linearity against STAR models with deterministic trends
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2012) Downloads

    See also Journal Article in Economics Letters (2012)

2011

  1. About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  2. Modellrisiko = Spezifikation + Validierung
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  3. The dynamics of real exchange rates - A reconsideration
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (1)
    See also Journal Article in Journal of Applied Econometrics (2014)
  4. Two competitive models and their identification problem: The ESTAR and TSTAR model
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

2010

  1. Identification problems in ESTAR models and a new model
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
  2. Long memory and changing persistence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads

    See also Journal Article in Economics Letters (2012)
  3. What do we know about real exchange rate nonlinearities?
    Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration Downloads View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (1)

    See also Journal Article in Empirical Economics (2012)

2009

  1. Forecasting long memory time series under a break in persistence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2009) Downloads View citations (4)
  2. Testing for Long Memory Against ESTAR Nonlinearities
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  3. Testing for a break in persistence under long-range dependencies and mean shifts
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (14)
    See also Journal Article in Statistical Papers (2012)

2008

  1. A Study on "Spurious Long Memory in Nonlinear Time Series Models"
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (5)
  2. Measuring Model Risk
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (3)
  3. Tests of Bias in Log-Periodogram Regression
    Discussion Papers, Exeter University, Department of Economics Downloads
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2005) Downloads View citations (5)

    See also Journal Article in Economics Letters (2009)

2007

  1. Can we distinguish between common nonlinear time series models and long memory?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (5)
  2. Testing for a break in persistence under long-range dependencies
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (16)
    See also Journal Article in Journal of Time Series Analysis (2009)

2006

  1. Divergence of credit valuation in Germany - Continuous theory and discrete practice -
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

2005

  1. Empirical likelihood confidence intervals for the mean of a long-range dependent process
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article in Journal of Time Series Analysis (2007)
  2. Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article in AStA Advances in Statistical Analysis (2006)
  3. The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2004) Downloads

    See also Journal Article in Economics Letters (2006)

2004

  1. Pricing of options under different volatility models
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (3)
  2. Recognizing mathematical talent: an approach using discriminant analysis
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  3. The cost for the default of a loan: Linking theory and practice
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (1)

2003

  1. An introduction to Markov chains for interested high school students
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  2. Distinguishing between long-range dependence and deterministic trends
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (9)

2002

  1. Generating schemes for long memory processes: Regimes, aggregation and linearity
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2005)

2001

  1. Log-periodogram estimation of the memory parameter of a long-memory process under trend
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
    See also Journal Article in Statistics & Probability Letters (2003)
  2. Long memory vs. structural change in financial time series
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (5)
  3. Long-memory in volatilities of German stock returns
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
    See also Journal Article in Empirical Economics (2004)
  4. Long-memory versus structural breaks: An overview
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (2)
    See also Journal Article in Statistical Papers (2004)
  5. Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
  6. Robust tests on fractional cointegration
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (1)

2000

  1. Nonparametric M-estimation with long-memory errors
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (2)
  2. On robust local polynominal estimation with long-memory errors
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads
    See also Journal Article in International Journal of Forecasting (2002)
  3. Robust CUSUM-M test in the presence of long-memory disturbances
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (3)
  4. Testing for structural change in the presence of long memory
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (5)
    See also Journal Article in International Journal of Business and Economics (2002)

1999

  1. S-Estimation in the Linear Regression Model with Long-Memory Error Terms
    Computing in Economics and Finance 1999, Society for Computational Economics View citations (3)
  2. S-estimation in the nonlinear regression model with long-memory error terms
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (2)

1998

  1. S-estimators in the linear regression model with long-memory error terms
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads

Journal Articles

2016

  1. Inference on the long-memory properties of time series with non-stationary volatility
    Economics Letters, 2016, 144, (C), 80-84 Downloads
    See also Working Paper (2014)
  2. Information criteria for nonlinear time series models
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (3), 325-341 Downloads
    See also Working Paper (2015)

2014

  1. THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION
    Journal of Applied Econometrics, 2014, 29, (5), 758-773 Downloads View citations (3)
    See also Working Paper (2011)
  2. Testing for a break in the persistence in yield spreads of EMU government bonds
    Journal of Banking & Finance, 2014, 41, (C), 109-118 Downloads View citations (6)
    See also Working Paper (2013)

2013

  1. Editors’ introduction
    Statistical Papers, 2013, 54, (4), 907-909 Downloads
  2. Fractional integration versus level shifts: the case of realized asset correlations
    Statistical Papers, 2013, 54, (4), 977-991 Downloads View citations (3)
  3. Weak identification in the ESTAR model and a new model
    Journal of Time Series Analysis, 2013, 34, (2), 238-261 Downloads

2012

  1. Long memory and changing persistence
    Economics Letters, 2012, 114, (3), 268-272 Downloads View citations (1)
    See also Working Paper (2010)
  2. On tests for linearity against STAR models with deterministic trends
    Economics Letters, 2012, 117, (1), 268-271 Downloads
    See also Working Paper (2012)
  3. Testing for a break in persistence under long-range dependencies and mean shifts
    Statistical Papers, 2012, 53, (2), 357-370 Downloads
    See also Working Paper (2009)
  4. What do we know about real exchange rate nonlinearities?
    Empirical Economics, 2012, 43, (2), 457-474 Downloads View citations (3)
    See also Working Paper (2010)

2009

  1. Testing for a break in persistence under long-range dependencies
    Journal of Time Series Analysis, 2009, 30, (3), 263-285 Downloads View citations (20)
    See also Working Paper (2007)
  2. Tests of bias in log-periodogram regression
    Economics Letters, 2009, 102, (2), 83-86 Downloads View citations (8)
    See also Working Paper (2008)

2007

  1. Empirical likelihood confidence intervals for the mean of a long-range dependent process
    Journal of Time Series Analysis, 2007, 28, (4), 576-599 Downloads View citations (4)
    See also Working Paper (2005)

2006

  1. Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
    AStA Advances in Statistical Analysis, 2006, 90, (3), 439-456 Downloads View citations (13)
    See also Working Paper (2005)
  2. The power of the KPSS-test for cointegration when residuals are fractionally integrated
    Economics Letters, 2006, 91, (3), 321-324 Downloads
    See also Working Paper (2005)

2005

  1. Generating schemes for long memory processes: regimes, aggregation and linearity
    Journal of Econometrics, 2005, 128, (2), 253-282 Downloads View citations (26)
    See also Working Paper (2002)

2004

  1. Book reviews
    Statistical Papers, 2004, 45, (3), 457-460 Downloads
  2. Long memory in volatilities of German stock returns
    Empirical Economics, 2004, 29, (3), 477-488 Downloads View citations (17)
    See also Working Paper (2001)
  3. Long memory versus structural breaks: An overview
    Statistical Papers, 2004, 45, (4), 465-515 Downloads View citations (20)
    See also Working Paper (2001)

2003

  1. Book reviews
    Statistical Papers, 2003, 44, (4), 601-604 Downloads
  2. Log-periodogram estimation of the memory parameter of a long-memory process under trend
    Statistics & Probability Letters, 2003, 61, (3), 261-268 Downloads View citations (7)
    See also Working Paper (2001)

2002

  1. On robust local polynomial estimation with long-memory errors
    International Journal of Forecasting, 2002, 18, (2), 227-241 Downloads View citations (8)
    See also Working Paper (2000)
  2. Testing for Structural Changes in the Presence of Long Memory
    International Journal of Business and Economics, 2002, 1, (3), 235-242 Downloads View citations (39)
    See also Working Paper (2000)
 
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