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Details about Christian Leschinski

Homepage:http://www.statistik.uni-hannover.de/leschinski.html?&L=1
Workplace:Wirtschaftswissenschaftliche Fakultät (School of Economics and Management), Leibniz Universität Hannover (University of Hannover), (more information at EDIRC)

Access statistics for papers by Christian Leschinski.

Last updated 2021-11-14. Update your information in the RePEc Author Service.

Short-id: ple789


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Working Papers

2019

  1. A Comparison of Semiparametric Tests for Fractional Cointegration
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (3)
    See also Journal Article A comparison of semiparametric tests for fractional cointegration, Statistical Papers, Springer (2021) Downloads View citations (1) (2021)
  2. Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

2018

  1. Directional Predictability of Daily Stock Returns
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  2. Estimating the Volatility of Asset Pricing Factors
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article Estimating the volatility of asset pricing factors, Journal of Forecasting, John Wiley & Sons, Ltd. (2021) Downloads View citations (1) (2021)
  3. Fixed-Bandwidth CUSUM Tests Under Long Memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (1)
    See also Journal Article Fixed-bandwidth CUSUM tests under long memory, Econometrics and Statistics, Elsevier (2021) Downloads View citations (1) (2021)
  4. Integration and Disintegration of EMU Government Bond Markets
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (4)
    See also Journal Article Integration and Disintegration of EMU Government Bond Markets, Econometrics, MDPI (2021) Downloads View citations (3) (2021)
  5. The Bias of Realized Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  6. The Periodogram of Spurious Long-Memory Processes
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

2017

  1. A Simple Test on Structural Change in Long-Memory Time Series
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
    See also Journal Article A simple test on structural change in long-memory time series, Economics Letters, Elsevier (2018) Downloads View citations (6) (2018)
  2. Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (3)
    See also Journal Article Change-in-mean tests in long-memory time series: a review of recent developments, AStA Advances in Statistical Analysis, Springer (2019) Downloads View citations (6) (2019)
  3. Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
  4. Origins of Spurious Long Memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  5. Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  6. The Memory of Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (8)

2016

  1. Comparing Predictive Accuracy under Long Memory - With an Application to Volatility Forecasting
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2016) Downloads View citations (2)
  2. On the Memory of Products of Long Range Dependent Time Series
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
    See also Journal Article On the memory of products of long range dependent time series, Economics Letters, Elsevier (2017) Downloads View citations (1) (2017)

2015

  1. A Multivariate Test Against Spurious Long Memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
    See also Journal Article A multivariate test against spurious long memory, Journal of Econometrics, Elsevier (2018) Downloads View citations (13) (2018)

2014

  1. Model Order Selection in Seasonal/Cyclical Long Memory Models
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (1)

2013

  1. Contagion Dynamics in EMU Government Bond Spreads
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (8)

Journal Articles

2021

  1. A comparison of semiparametric tests for fractional cointegration
    Statistical Papers, 2021, 62, (4), 1997-2030 Downloads View citations (1)
    See also Working Paper A Comparison of Semiparametric Tests for Fractional Cointegration, Hannover Economic Papers (HEP) (2019) Downloads View citations (3) (2019)
  2. Estimating the volatility of asset pricing factors
    Journal of Forecasting, 2021, 40, (2), 269-278 Downloads View citations (1)
    See also Working Paper Estimating the Volatility of Asset Pricing Factors, Hannover Economic Papers (HEP) (2018) Downloads (2018)
  3. Fixed-bandwidth CUSUM tests under long memory
    Econometrics and Statistics, 2021, 20, (C), 46-61 Downloads View citations (1)
    See also Working Paper Fixed-Bandwidth CUSUM Tests Under Long Memory, Hannover Economic Papers (HEP) (2018) Downloads View citations (1) (2018)
  4. Integration and Disintegration of EMU Government Bond Markets
    Econometrics, 2021, 9, (1), 1-17 Downloads View citations (3)
    See also Working Paper Integration and Disintegration of EMU Government Bond Markets, Hannover Economic Papers (HEP) (2018) Downloads View citations (4) (2018)

2020

  1. Seasonality robust local whittle estimation
    Applied Economics Letters, 2020, 27, (18), 1489-1494 Downloads

2019

  1. Change-in-mean tests in long-memory time series: a review of recent developments
    AStA Advances in Statistical Analysis, 2019, 103, (2), 237-256 Downloads View citations (6)
    See also Working Paper Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments, Hannover Economic Papers (HEP) (2017) Downloads View citations (3) (2017)
  2. Model order selection in periodic long memory models
    Econometrics and Statistics, 2019, 9, (C), 78-94 Downloads View citations (14)

2018

  1. A multivariate test against spurious long memory
    Journal of Econometrics, 2018, 203, (1), 33-49 Downloads View citations (13)
    See also Working Paper A Multivariate Test Against Spurious Long Memory, Hannover Economic Papers (HEP) (2015) Downloads View citations (2) (2015)
  2. A simple test on structural change in long-memory time series
    Economics Letters, 2018, 163, (C), 90-94 Downloads View citations (6)
    See also Working Paper A Simple Test on Structural Change in Long-Memory Time Series, Hannover Economic Papers (HEP) (2017) Downloads View citations (2) (2017)

2017

  1. On the memory of products of long range dependent time series
    Economics Letters, 2017, 153, (C), 72-76 Downloads View citations (1)
    See also Working Paper On the Memory of Products of Long Range Dependent Time Series, Hannover Economic Papers (HEP) (2016) Downloads View citations (2) (2016)
  2. Time varying contagion in EMU government bond spreads
    Journal of Financial Stability, 2017, 29, (C), 72-91 Downloads View citations (13)
 
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