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Details about Philipp Sibbertsen

Homepage:https://www.statistik.uni-hannover.de/de/sibbertsen
Workplace:Wirtschaftswissenschaftliche Fakultät (School of Economics and Management), Leibniz Universität Hannover (University of Hannover), (more information at EDIRC)

Access statistics for papers by Philipp Sibbertsen.

Last updated 2024-04-06. Update your information in the RePEc Author Service.

Short-id: psi133


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Working Papers

2023

  1. Spatial autoregressive fractionally integrated moving average model
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

2022

  1. Estimation and Testing in a Perturbed Multivariate Long Memory Framework
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  2. Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article Optimal forecasts in the presence of discrete structural breaks under long memory, Journal of Forecasting, John Wiley & Sons, Ltd. (2023) Downloads (2023)
  3. Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

2021

  1. Do algebraic numbers follow Khinchin's Law?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  2. Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article Measuring macroeconomic convergence and divergence within EMU using long memory, Empirical Economics, Springer (2023) Downloads (2023)
  3. Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    See also Journal Article Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights, Mathematics, MDPI (2021) Downloads (2021)

2020

  1. Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  2. The Long Memory of Equity Volatility and the Macroeconomy: International Evidence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
  3. The similarities in efficiency of universities and universities of applied sciences in Lower Saxony
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

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
  3. Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    Also in Working Papers, Banco de Portugal, Economics and Research Department (2019) Downloads View citations (1)
  4. The Memory of Beta Factors
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads

2018

  1. An Overview of Modified Semiparametric Memory Estimation Methods
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (1)
    See also Journal Article An Overview of Modified Semiparametric Memory Estimation Methods, Econometrics, MDPI (2018) Downloads View citations (1) (2018)
  2. Integration and Disintegration of EMU Government Bond Markets
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (3)
    See also Journal Article Integration and Disintegration of EMU Government Bond Markets, Econometrics, MDPI (2021) Downloads View citations (3) (2021)
  3. 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. Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
  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 Long Memory of Equity Volatility: International Evidence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (1)
  7. The Memory of Stock Return Volatility: Asset Pricing Implications
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
    See also Journal Article The memory of stock return volatility: Asset pricing implications, Journal of Financial Markets, Elsevier (2020) Downloads View citations (3) (2020)
  8. The Memory of Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (8)

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)
  2. Information Criteria for Nonlinear Time Series Models
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
    See also Journal Article Information criteria for nonlinear time series models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2016) Downloads View citations (2) (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 Inference on the long-memory properties of time series with non-stationary volatility, Economics Letters, Elsevier (2016) Downloads (2016)
  3. Model Order Selection in Seasonal/Cyclical Long Memory Models
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (1)

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 Testing for a break in the persistence in yield spreads of EMU government bonds, Journal of Banking & Finance, Elsevier (2014) Downloads View citations (37) (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 On tests for linearity against STAR models with deterministic trends, Economics Letters, Elsevier (2012) Downloads (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 THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) Downloads View citations (5) (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 (4)
  2. Long memory and changing persistence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads

    See also Journal Article Long memory and changing persistence, Economics Letters, Elsevier (2012) Downloads View citations (2) (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 (3)

    See also Journal Article What do we know about real exchange rate nonlinearities?, Empirical Economics, Springer (2012) Downloads View citations (6) (2012)

2009

  1. Forecasting long memory time series under a break in persistence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (6)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (5)
  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 (32)
    See also Journal Article Testing for a break in persistence under long-range dependencies and mean shifts, Statistical Papers, Springer (2012) Downloads View citations (4) (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 (9)
  2. Measuring Model Risk
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (6)
  3. Tests of Bias in Log-Periodogram Regression
    Discussion Papers, University of Exeter, Department of Economics Downloads
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2005) Downloads View citations (6)

    See also Journal Article Tests of bias in log-periodogram regression, Economics Letters, Elsevier (2009) Downloads View citations (13) (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 (6)
  2. Testing for a break in persistence under long-range dependencies
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads View citations (29)
    See also Journal Article Testing for a break in persistence under long‐range dependencies, Journal of Time Series Analysis, Wiley Blackwell (2009) Downloads View citations (38) (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 Empirical likelihood confidence intervals for the mean of a long‐range dependent process, Journal of Time Series Analysis, Wiley Blackwell (2007) Downloads View citations (6) (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 Phillips-Perron-type unit root tests in the nonlinear ESTAR framework, AStA Advances in Statistical Analysis, Springer (2006) Downloads View citations (16) (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 The power of the KPSS-test for cointegration when residuals are fractionally integrated, Economics Letters, Elsevier (2006) Downloads (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 (10)

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 (5)
    See also Journal Article Generating schemes for long memory processes: regimes, aggregation and linearity, Journal of Econometrics, Elsevier (2005) Downloads View citations (47) (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 View citations (1)
    See also Journal Article Log-periodogram estimation of the memory parameter of a long-memory process under trend, Statistics & Probability Letters, Elsevier (2003) Downloads View citations (8) (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 Long memory in volatilities of German stock returns, Empirical Economics, Springer (2004) Downloads View citations (29) (2004)
  4. Long-memory versus structural breaks: An overview
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen Downloads View citations (4)
    See also Journal Article Long memory versus structural breaks: An overview, Statistical Papers, Springer (2004) Downloads View citations (46) (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
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads View citations (1)
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2000) Downloads View citations (2)
  2. On robust local polynomial estimation with long-memory errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) Downloads
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2000) Downloads

    See also Journal Article On robust local polynomial estimation with long-memory errors, International Journal of Forecasting, Elsevier (2002) Downloads View citations (10) (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 (4)
  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 Testing for Structural Changes in the Presence of Long Memory, International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan (2002) Downloads View citations (43) (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

2024

  1. Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
    Review of Derivatives Research, 2024, 27, (1), 1-35 Downloads

2023

  1. Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates
    Open Economies Review, 2023, 34, (4), 789-811 Downloads
  2. Measuring macroeconomic convergence and divergence within EMU using long memory
    Empirical Economics, 2023, 65, (5), 2333-2356 Downloads
    See also Working Paper Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory, Hannover Economic Papers (HEP) (2021) Downloads (2021)
  3. Optimal forecasts in the presence of discrete structural breaks under long memory
    Journal of Forecasting, 2023, 42, (7), 1889-1908 Downloads
    See also Working Paper Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory, Hannover Economic Papers (HEP) (2022) Downloads (2022)

2022

  1. Real Exchange Rates and Fundamentals in a new Markov‐STAR Model
    Oxford Bulletin of Economics and Statistics, 2022, 84, (2), 356-379 Downloads

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. Cyclical fractional cointegration
    Econometrics and Statistics, 2021, 19, (C), 114-129 Downloads View citations (2)
  3. 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 (3) (2018)
  4. Modeling fractional cointegration between high and low stock prices in Asian countries
    Empirical Economics, 2021, 60, (2), 661-682 Downloads
  5. Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights
    Mathematics, 2021, 9, (21), 1-33 Downloads
    See also Working Paper Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights, Hannover Economic Papers (HEP) (2021) Downloads (2021)
  6. The memory of beta
    Journal of Banking & Finance, 2021, 124, (C) Downloads View citations (1)

2020

  1. Can google trends improve sales forecasts on a product level?
    Applied Economics Letters, 2020, 27, (17), 1409-1414 Downloads View citations (1)
  2. Distinguishing between breaks in the mean and breaks in persistence under long memory
    Economics Letters, 2020, 193, (C) Downloads View citations (2)
  3. Seasonality robust local whittle estimation
    Applied Economics Letters, 2020, 27, (18), 1489-1494 Downloads
  4. The memory of stock return volatility: Asset pricing implications
    Journal of Financial Markets, 2020, 47, (C) Downloads View citations (3)
    See also Working Paper The Memory of Stock Return Volatility: Asset Pricing Implications, Hannover Economic Papers (HEP) (2017) Downloads View citations (2) (2017)
  5. Volatility Transmission across Financial Markets: A Semiparametric Analysis
    JRFM, 2020, 13, (8), 1-13 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. Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
    Annals of Operations Research, 2019, 282, (1), 407-426 Downloads View citations (4)
  3. Model order selection in periodic long memory models
    Econometrics and Statistics, 2019, 9, (C), 78-94 Downloads View citations (11)

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)
  3. An Overview of Modified Semiparametric Memory Estimation Methods
    Econometrics, 2018, 6, (1), 1-21 Downloads View citations (1)
    See also Working Paper An Overview of Modified Semiparametric Memory Estimation Methods, Hannover Economic Papers (HEP) (2018) Downloads View citations (1) (2018)

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 Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility, Hannover Economic Papers (HEP) (2014) Downloads View citations (3) (2014)
  2. Information criteria for nonlinear time series models
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (3), 325-341 Downloads View citations (2)
    See also Working Paper Information Criteria for Nonlinear Time Series Models, Hannover Economic Papers (HEP) (2015) Downloads View citations (2) (2015)

2014

  1. THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION
    Journal of Applied Econometrics, 2014, 29, (5), 758-773 Downloads View citations (5)
    See also Working Paper The dynamics of real exchange rates - A reconsideration, Hannover Economic Papers (HEP) (2011) Downloads View citations (1) (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 (37)
    See also Working Paper Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds, Hannover Economic Papers (HEP) (2013) Downloads View citations (1) (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 (7)
  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 (2)
    See also Working Paper Long memory and changing persistence, Hannover Economic Papers (HEP) (2010) Downloads View citations (2) (2010)
  2. On tests for linearity against STAR models with deterministic trends
    Economics Letters, 2012, 117, (1), 268-271 Downloads
    See also Working Paper On tests for linearity against STAR models with deterministic trends, CREATES Research Papers (2012) Downloads (2012)
  3. Testing for a break in persistence under long-range dependencies and mean shifts
    Statistical Papers, 2012, 53, (2), 357-370 Downloads View citations (4)
    See also Working Paper Testing for a break in persistence under long-range dependencies and mean shifts, Hannover Economic Papers (HEP) (2009) Downloads View citations (32) (2009)
  4. What do we know about real exchange rate nonlinearities?
    Empirical Economics, 2012, 43, (2), 457-474 Downloads View citations (6)
    See also Working Paper What do we know about real exchange rate nonlinearities?, Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium (2010) Downloads View citations (4) (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 (38)
    See also Working Paper Testing for a break in persistence under long-range dependencies, Hannover Economic Papers (HEP) (2007) Downloads View citations (29) (2007)
  2. Tests of bias in log-periodogram regression
    Economics Letters, 2009, 102, (2), 83-86 Downloads View citations (13)
    See also Working Paper Tests of Bias in Log-Periodogram Regression, Discussion Papers (2008) Downloads (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 (6)
    See also Working Paper Empirical likelihood confidence intervals for the mean of a long-range dependent process, Hannover Economic Papers (HEP) (2005) Downloads (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 (16)
    See also Working Paper Phillips-Perron-type unit root tests in the nonlinear ESTAR framework, Hannover Economic Papers (HEP) (2005) Downloads (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 The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated, Hannover Economic Papers (HEP) (2005) Downloads (2005)

2005

  1. Generating schemes for long memory processes: regimes, aggregation and linearity
    Journal of Econometrics, 2005, 128, (2), 253-282 Downloads View citations (47)
    See also Working Paper Generating schemes for long memory processes: Regimes, aggregation and linearity, Technical Reports (2002) Downloads View citations (5) (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 (29)
    See also Working Paper Long-memory in volatilities of German stock returns, Technical Reports (2001) Downloads (2001)
  3. Long memory versus structural breaks: An overview
    Statistical Papers, 2004, 45, (4), 465-515 Downloads View citations (46)
    See also Working Paper Long-memory versus structural breaks: An overview, Technical Reports (2001) Downloads View citations (4) (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 (8)
    See also Working Paper Log-periodogram estimation of the memory parameter of a long-memory process under trend, Technical Reports (2001) Downloads View citations (1) (2001)

2002

  1. On robust local polynomial estimation with long-memory errors
    International Journal of Forecasting, 2002, 18, (2), 227-241 Downloads View citations (10)
    See also Working Paper On robust local polynomial estimation with long-memory errors, CoFE Discussion Papers (2000) Downloads (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 (43)
    See also Working Paper Testing for structural change in the presence of long memory, Technical Reports (2000) Downloads View citations (5) (2000)

2001

  1. S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend
    Journal of Time Series Analysis, 2001, 22, (3), 353-363 Downloads

Edited books

2014

  1. Operations Research Proceedings 2012
    Operations Research Proceedings, Springer View citations (9)
 
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