Details about Christian Leschinski

Access statistics for papers by Christian Leschinski.

Last updated 2020-04-08. Update your information in the RePEc Author Service.

Short-id: ple789

Working Papers

2019

1. A Comparison of Semiparametric Tests for Fractional Cointegration
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
2. Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2018

3. Directional Predictability of Daily Stock Returns
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
4. Estimating the Volatility of Asset Pricing Factors
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
   See also Journal Article in Journal of Forecasting (2021)
5. Fixed-Bandwidth CUSUM Tests Under Long Memory
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)
6. Integration and Disintegration of EMU Government Bond Markets
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (3)
7. The Bias of Realized Volatility
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
8. The Periodogram of Spurious Long-Memory Processes
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2017

9. A Simple Test on Structural Change in Long-Memory Time Series
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)
   See also Journal Article in Economics Letters (2018)
10. Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)
    See also Journal Article in AStA Advances in Statistical Analysis (2019)
11. Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)
12. Origins of Spurious Long Memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
13. Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
14. The Memory of Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (4)

2016

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

2015

17. A Multivariate Test Against Spurious Long Memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
    See also Journal Article in Journal of Econometrics (2018)

2014

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

2013

19. Contagion Dynamics in EMU Government Bond Spreads
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (7)

Journal Articles

2021

1. Estimating the volatility of asset pricing factors
   Journal of Forecasting, 2021, 40, (2), 269-278
   See also Working Paper (2018)

2020

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

2019

3. Change-in-mean tests in long-memory time series: a review of recent developments
   AStA Advances in Statistical Analysis, 2019, 103, (2), 237-256 View citations (1)
   See also Working Paper (2017)
4. Model order selection in periodic long memory models
   Econometrics and Statistics, 2019, 9, (C), 78-94 View citations (2)

2018

5. A multivariate test against spurious long memory
   Journal of Econometrics, 2018, 203, (1), 33-49 View citations (5)
   See also Working Paper (2015)
6. A simple test on structural change in long-memory time series
   Economics Letters, 2018, 163, (C), 90-94 View citations (3)
   See also Working Paper (2017)

2017

7. On the memory of products of long range dependent time series
   Economics Letters, 2017, 153, (C), 72-76
   See also Working Paper (2016)
8. Time varying contagion in EMU government bond spreads
   Journal of Financial Stability, 2017, 29, (C), 72-91 View citations (7)