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 2025-03-14. Update your information in the RePEc Author Service.

Short-id: psi133

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Working Papers

2025

1. Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2024

2. Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
3. Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data
   UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía
   Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2024)
4. Monitoring Breaks in Fractional Cointegration
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
5. Testing for a Forecast Accuracy Breakdown under Long Memory
   Papers, arXiv.org
   Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2024)
6. What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS
   Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2023

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

2022

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

2021

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

2020

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

2019

17. A Comparison of Semiparametric Tests for Fractional Cointegration
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (3)
    See also Journal Article A comparison of semiparametric tests for fractional cointegration, Statistical Papers, Springer (2021) View citations (1) (2021)
18. Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
19. Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    Also in Working Papers, Banco de Portugal, Economics and Research Department (2019) View citations (1)
20. The Memory of Beta Factors
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2018

21. An Overview of Modified Semiparametric Memory Estimation Methods
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)
    See also Journal Article An Overview of Modified Semiparametric Memory Estimation Methods, Econometrics, MDPI (2018) View citations (1) (2018)
22. Integration and Disintegration of EMU Government Bond Markets
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (4)
    See also Journal Article Integration and Disintegration of EMU Government Bond Markets, Econometrics, MDPI (2021) View citations (3) (2021)
23. The Periodogram of Spurious Long-Memory Processes
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2017

24. A Simple Test on Structural Change in Long-Memory Time Series
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
    See also Journal Article A simple test on structural change in long-memory time series, Economics Letters, Elsevier (2018) View citations (6) (2018)
25. 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 (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) View citations (6) (2019)
26. Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
27. Origins of Spurious Long Memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
28. Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
29. The Long Memory of Equity Volatility: International Evidence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)
30. The Memory of Stock Return Volatility: Asset Pricing Implications
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
    See also Journal Article The memory of stock return volatility: Asset pricing implications, Journal of Financial Markets, Elsevier (2020) View citations (7) (2020)
31. The Memory of Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (8)

2015

32. A Multivariate Test Against Spurious Long Memory
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
    See also Journal Article A multivariate test against spurious long memory, Journal of Econometrics, Elsevier (2018) View citations (13) (2018)
33. Information Criteria for Nonlinear Time Series Models
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
    See also Journal Article Information criteria for nonlinear time series models, Studies in Nonlinear Dynamics & Econometrics, De Gruyter (2016) View citations (2) (2016)
34. Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2014

35. Credit Risk Modeling under Conditional Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
36. Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (3)
    See also Journal Article Inference on the long-memory properties of time series with non-stationary volatility, Economics Letters, Elsevier (2016) (2016)
37. Model Order Selection in Seasonal/Cyclical Long Memory Models
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)

2013

38. 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
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013)
39. Testing for Cointegration in a Double-LSTR Framework
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
40. Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät 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) View citations (39) (2014)

2012

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

2011

44. About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
45. Modellrisiko = Spezifikation + Validierung
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
46. The dynamics of real exchange rates - A reconsideration
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (1)
    See also Journal Article THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (5) (2014)
47. Two competitive models and their identification problem: The ESTAR and TSTAR model
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät

2010

48. Identification problems in ESTAR models and a new model
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (4)
49. Long memory and changing persistence
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010)
    See also Journal Article Long memory and changing persistence, Economics Letters, Elsevier (2012) View citations (2) (2012)
50. 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 View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (3)
    See also Journal Article What do we know about real exchange rate nonlinearities?, Empirical Economics, Springer (2012) View citations (6) (2012)

2009

51. Forecasting long memory time series under a break in persistence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2009) View citations (6)
52. Testing for Long Memory Against ESTAR Nonlinearities
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
53. Testing for a break in persistence under long-range dependencies and mean shifts
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (32)
    See also Journal Article Testing for a break in persistence under long-range dependencies and mean shifts, Statistical Papers, Springer (2012) View citations (4) (2012)

2008

54. A Study on "Spurious Long Memory in Nonlinear Time Series Models"
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (9)
55. Measuring Model Risk
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (6)
    See also Journal Article Measuring model risk, Journal of Risk Model Validation, Journal of Risk Model Validation
56. Tests of Bias in Log-Periodogram Regression
    Discussion Papers, University of Exeter, Department of Economics
    Also in Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät (2005) View citations (6)
    See also Journal Article Tests of bias in log-periodogram regression, Economics Letters, Elsevier (2009) View citations (14) (2009)

2007

57. Can we distinguish between common nonlinear time series models and long memory?
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät View citations (6)
58. Testing for a break in persistence under long-range dependencies
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät 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) View citations (39) (2009)

2006

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

2005

60. Empirical likelihood confidence intervals for the mean of a long-range dependent process
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    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) View citations (6) (2007)
61. Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    See also Journal Article Phillips-Perron-type unit root tests in the nonlinear ESTAR framework, AStA Advances in Statistical Analysis, Springer (2006) View citations (16) (2006)
62. The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2004)
    See also Journal Article The power of the KPSS-test for cointegration when residuals are fractionally integrated, Economics Letters, Elsevier (2006) (2006)

2004

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

2003

66. An introduction to Markov chains for interested high school students
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
67. Distinguishing between long-range dependence and deterministic trends
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (10)

2002

68. Generating schemes for long memory processes: Regimes, aggregation and linearity
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (5)
    See also Journal Article Generating schemes for long memory processes: regimes, aggregation and linearity, Journal of Econometrics, Elsevier (2005) View citations (48) (2005)

2001

69. 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 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) View citations (8) (2003)
70. Long memory vs. structural change in financial time series
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (5)
71. Long-memory in volatilities of German stock returns
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
    See also Journal Article Long memory in volatilities of German stock returns, Empirical Economics, Springer (2004) View citations (30) (2004)
72. Long-memory versus structural breaks: An overview
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (4)
    See also Journal Article Long memory versus structural breaks: An overview, Statistical Papers, Springer (2004) View citations (48) (2004)
73. Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen
74. Robust tests on fractional cointegration
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (1)

2000

75. Nonparametric M-Estimation with Long-Memory Errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE) View citations (1)
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2000) View citations (2)
76. On robust local polynomial estimation with long-memory errors
    CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE)
    Also in Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen (2000)
    See also Journal Article On robust local polynomial estimation with long-memory errors, International Journal of Forecasting, Elsevier (2002) View citations (10) (2002)
77. Robust CUSUM-M test in the presence of long-memory disturbances
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (4)
78. Testing for structural change in the presence of long memory
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen 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) View citations (43) (2002)

1999

79. 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)
80. S-estimation in the nonlinear regression model with long-memory error terms
    Technical Reports, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen View citations (2)

1998

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

Journal Articles

2024

1. The stability of government bond markets’ equilibrium and the interdependence of lending rates
   Empirical Economics, 2024, 67, (6), 2503-2538
2. Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
   Review of Derivatives Research, 2024, 27, (1), 1-35

2023

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

2022

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

2021

7. A comparison of semiparametric tests for fractional cointegration
   Statistical Papers, 2021, 62, (4), 1997-2030 View citations (1)
   See also Working Paper A Comparison of Semiparametric Tests for Fractional Cointegration, Hannover Economic Papers (HEP) (2019) View citations (3) (2019)
8. Cyclical fractional cointegration
   Econometrics and Statistics, 2021, 19, (C), 114-129 View citations (2)
9. Integration and Disintegration of EMU Government Bond Markets
   Econometrics, 2021, 9, (1), 1-17 View citations (3)
   See also Working Paper Integration and Disintegration of EMU Government Bond Markets, Hannover Economic Papers (HEP) (2018) View citations (4) (2018)
10. Modeling fractional cointegration between high and low stock prices in Asian countries
    Empirical Economics, 2021, 60, (2), 661-682
11. Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights
    Mathematics, 2021, 9, (21), 1-33
    See also Working Paper Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights, Hannover Economic Papers (HEP) (2021) (2021)
12. The memory of beta
    Journal of Banking & Finance, 2021, 124, (C) View citations (1)

2020

13. Can google trends improve sales forecasts on a product level?
    Applied Economics Letters, 2020, 27, (17), 1409-1414 View citations (1)
14. Distinguishing between breaks in the mean and breaks in persistence under long memory
    Economics Letters, 2020, 193, (C) View citations (3)
15. Seasonality robust local whittle estimation
    Applied Economics Letters, 2020, 27, (18), 1489-1494
16. The memory of stock return volatility: Asset pricing implications
    Journal of Financial Markets, 2020, 47, (C) View citations (7)
    See also Working Paper The Memory of Stock Return Volatility: Asset Pricing Implications, Hannover Economic Papers (HEP) (2017) View citations (2) (2017)
17. Volatility Transmission across Financial Markets: A Semiparametric Analysis
    JRFM, 2020, 13, (8), 1-13

2019

18. 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 (6)
    See also Working Paper Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments, Hannover Economic Papers (HEP) (2017) View citations (3) (2017)
19. Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
    Annals of Operations Research, 2019, 282, (1), 407-426 View citations (5)
20. Model order selection in periodic long memory models
    Econometrics and Statistics, 2019, 9, (C), 78-94 View citations (14)

2018

21. A multivariate test against spurious long memory
    Journal of Econometrics, 2018, 203, (1), 33-49 View citations (13)
    See also Working Paper A Multivariate Test Against Spurious Long Memory, Hannover Economic Papers (HEP) (2015) View citations (2) (2015)
22. A simple test on structural change in long-memory time series
    Economics Letters, 2018, 163, (C), 90-94 View citations (6)
    See also Working Paper A Simple Test on Structural Change in Long-Memory Time Series, Hannover Economic Papers (HEP) (2017) View citations (2) (2017)
23. An Overview of Modified Semiparametric Memory Estimation Methods
    Econometrics, 2018, 6, (1), 1-21 View citations (1)
    See also Working Paper An Overview of Modified Semiparametric Memory Estimation Methods, Hannover Economic Papers (HEP) (2018) View citations (1) (2018)

2016

24. Inference on the long-memory properties of time series with non-stationary volatility
    Economics Letters, 2016, 144, (C), 80-84
    See also Working Paper Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility, Hannover Economic Papers (HEP) (2014) View citations (3) (2014)
25. Information criteria for nonlinear time series models
    Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (3), 325-341 View citations (2)
    See also Working Paper Information Criteria for Nonlinear Time Series Models, Hannover Economic Papers (HEP) (2015) View citations (2) (2015)

2014

26. THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION
    Journal of Applied Econometrics, 2014, 29, (5), 758-773 View citations (5)
    See also Working Paper The dynamics of real exchange rates - A reconsideration, Hannover Economic Papers (HEP) (2011) View citations (1) (2011)
27. Testing for a break in the persistence in yield spreads of EMU government bonds
    Journal of Banking & Finance, 2014, 41, (C), 109-118 View citations (39)
    See also Working Paper Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds, Hannover Economic Papers (HEP) (2013) View citations (1) (2013)

2013

28. Editors’ introduction
    Statistical Papers, 2013, 54, (4), 907-909
29. Fractional integration versus level shifts: the case of realized asset correlations
    Statistical Papers, 2013, 54, (4), 977-991 View citations (7)
30. Weak identification in the ESTAR model and a new model
    Journal of Time Series Analysis, 2013, 34, (2), 238-261

2012

31. Long memory and changing persistence
    Economics Letters, 2012, 114, (3), 268-272 View citations (2)
    See also Working Paper Long memory and changing persistence, Hannover Economic Papers (HEP) (2010) View citations (2) (2010)
32. On tests for linearity against STAR models with deterministic trends
    Economics Letters, 2012, 117, (1), 268-271
    See also Working Paper On tests for linearity against STAR models with deterministic trends, CREATES Research Papers (2012) (2012)
33. Testing for a break in persistence under long-range dependencies and mean shifts
    Statistical Papers, 2012, 53, (2), 357-370 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) View citations (32) (2009)
34. What do we know about real exchange rate nonlinearities?
    Empirical Economics, 2012, 43, (2), 457-474 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) View citations (4) (2010)

2009

35. Testing for a break in persistence under long‐range dependencies
    Journal of Time Series Analysis, 2009, 30, (3), 263-285 View citations (39)
    See also Working Paper Testing for a break in persistence under long-range dependencies, Hannover Economic Papers (HEP) (2007) View citations (29) (2007)
36. Tests of bias in log-periodogram regression
    Economics Letters, 2009, 102, (2), 83-86 View citations (14)
    See also Working Paper Tests of Bias in Log-Periodogram Regression, Discussion Papers (2008) (2008)

2007

37. Empirical likelihood confidence intervals for the mean of a long‐range dependent process
    Journal of Time Series Analysis, 2007, 28, (4), 576-599 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) (2005)

2006

38. Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
    AStA Advances in Statistical Analysis, 2006, 90, (3), 439-456 View citations (16)
    See also Working Paper Phillips-Perron-type unit root tests in the nonlinear ESTAR framework, Hannover Economic Papers (HEP) (2005) (2005)
39. The power of the KPSS-test for cointegration when residuals are fractionally integrated
    Economics Letters, 2006, 91, (3), 321-324
    See also Working Paper The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated, Hannover Economic Papers (HEP) (2005) (2005)

2005

40. Generating schemes for long memory processes: regimes, aggregation and linearity
    Journal of Econometrics, 2005, 128, (2), 253-282 View citations (48)
    See also Working Paper Generating schemes for long memory processes: Regimes, aggregation and linearity, Technical Reports (2002) View citations (5) (2002)

2004

41. Book reviews
    Statistical Papers, 2004, 45, (3), 457-460
42. Long memory in volatilities of German stock returns
    Empirical Economics, 2004, 29, (3), 477-488 View citations (30)
    See also Working Paper Long-memory in volatilities of German stock returns, Technical Reports (2001) (2001)
43. Long memory versus structural breaks: An overview
    Statistical Papers, 2004, 45, (4), 465-515 View citations (48)
    See also Working Paper Long-memory versus structural breaks: An overview, Technical Reports (2001) View citations (4) (2001)

2003

44. Book reviews
    Statistical Papers, 2003, 44, (4), 601-604
45. Log-periodogram estimation of the memory parameter of a long-memory process under trend
    Statistics & Probability Letters, 2003, 61, (3), 261-268 View citations (8)
    See also Working Paper Log-periodogram estimation of the memory parameter of a long-memory process under trend, Technical Reports (2001) View citations (1) (2001)

2002

46. On robust local polynomial estimation with long-memory errors
    International Journal of Forecasting, 2002, 18, (2), 227-241 View citations (10)
    See also Working Paper On robust local polynomial estimation with long-memory errors, CoFE Discussion Papers (2000) (2000)
47. Testing for Structural Changes in the Presence of Long Memory
    International Journal of Business and Economics, 2002, 1, (3), 235-242 View citations (43)
    See also Working Paper Testing for structural change in the presence of long memory, Technical Reports (2000) View citations (5) (2000)

2001

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

Undated

49. Measuring model risk
    Journal of Risk Model Validation
    See also Working Paper Measuring Model Risk, Hannover Economic Papers (HEP) (2008) View citations (6) (2008)

Edited books

2014

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