Access Statistics for Philipp Sibbertsen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Semiparametric Tests for Fractional Cointegration 0 0 8 26 0 0 9 12
A Multivariate Test Against Spurious Long Memory 0 0 1 93 1 2 10 80
A Simple Test on Structural Change in Long-Memory Time Series 0 0 0 70 2 4 16 47
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 1 99 1 2 5 199
A simple specification procedure for the transition function in persistent nonlinear time series models 0 0 0 45 0 1 11 121
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 28 0 3 12 72
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 3 3 10 69
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 2 4 92 0 7 15 178
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 2 30 0 2 19 30
An introduction to Markov chains for interested high school students 4 7 22 227 6 17 63 554
Can we distinguish between common nonlinear time series models and long memory? 0 0 1 98 2 4 11 215
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 0 0 1 53 1 3 21 43
Credit Risk Modeling under Conditional Volatility 0 0 3 45 1 4 16 96
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 1 3 7 3 5 16 33
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 1 1 3 48
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 21 0 0 1 218
Empirical likelihood confidence intervals for the mean of a long-range dependent process 0 0 0 144 1 1 3 526
Estimating the number of mean shifts under long memory 0 0 1 37 2 3 5 59
Forecasting long memory time series under a break in persistence 0 0 1 79 0 3 10 208
Forecasting long memory time series under a break in persistence 0 0 0 58 1 2 7 177
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 1 1 3 3 5 5 26
Identification problems in ESTAR models and a new model 0 0 2 87 4 8 27 261
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 1 49 0 1 5 72
Information Criteria for Nonlinear Time Series Models 0 0 0 63 0 0 9 119
Integration and Disintegration of EMU Government Bond Markets 0 0 0 28 1 8 27 56
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 1 1 1 1 27
Long memory and changing persistence 0 0 1 34 1 3 9 98
Long memory and changing persistence 0 0 0 38 0 0 1 75
Long memory vs. structural change in financial time series 0 3 5 27 1 7 13 79
Long-memory in volatilities of German stock returns 0 0 0 6 2 2 3 30
Long-memory versus structural breaks: An overview 0 0 2 13 1 1 7 42
Measuring Model Risk 1 1 2 355 6 7 18 769
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 1 1 99 2 4 8 69
Modellrisiko = Spezifikation + Validierung 0 0 0 22 2 3 5 140
Nonparametric M-Estimation with Long-Memory Errors 0 0 0 101 0 1 15 404
Nonparametric M-estimation with long-memory errors 0 0 0 1 0 0 1 8
On robust local polynomial estimation with long-memory errors 0 0 0 117 0 0 0 437
On robust local polynominal estimation with long-memory errors 0 0 0 2 0 0 0 12
On tests for linearity against STAR models with deterministic trends 0 0 0 27 1 2 5 75
On tests for linearity against STAR models with deterministic trends 1 1 1 55 1 3 7 143
Origins of Spurious Long Memory 0 0 2 81 0 0 6 35
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins 0 0 0 1 1 1 4 20
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 289 0 0 3 996
Pricing of options under different volatility models 0 0 1 9 0 0 4 58
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 0 1 7 30 0 3 22 106
Recognizing mathematical talent: an approach using discriminant analysis 0 0 0 15 2 3 7 53
Robust CUSUM-M test in the presence of long-memory disturbances 0 0 0 9 0 0 3 34
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 2 4 19 19 5 10 14 14
Robust tests on fractional cointegration 0 0 0 1 0 2 10 20
S-Estimation in the Linear Regression Model with Long-Memory Error Terms 0 0 0 79 2 3 5 1,075
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 0 2 4 5 14
S-estimators in the linear regression model with long-memory error terms 0 0 0 1 3 3 4 14
Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks 1 1 2 44 4 9 25 55
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 0 1 9 88
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 60 0 1 1 156
Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds 0 0 1 31 0 4 11 129
Testing for a break in persistence under long-range dependencies 0 0 4 131 0 1 7 272
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 1 56 0 1 7 143
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 0 24 24 1 3 14 14
Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium 1 1 9 9 5 6 9 9
Testing for structural change in the presence of long memory 0 0 0 10 1 3 7 29
Tests of Bias in Log-Periodogram Regression 0 0 0 93 2 3 3 229
Tests of Bias in Log-Periodogram Regression 0 0 1 12 1 3 18 82
The Long Memory of Equity Volatility: International Evidence 0 0 2 7 3 3 12 22
The Memory of Beta Factors 0 0 28 28 2 5 21 21
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 3 35 2 5 22 56
The Memory of Volatility 0 1 16 336 3 6 37 98
The Periodogram of Spurious Long-Memory Processes 1 2 3 35 2 3 8 22
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 175 1 1 1 594
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 1 1 11 1 2 2 59
The cost for the default of a loan: Linking theory and practice 0 0 0 7 0 0 1 26
The dynamics of real exchange rates - A reconsideration 0 0 1 74 0 4 5 129
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 3 3 5 68
What do we know about real exchange rate non-linearities? 0 0 0 106 0 0 5 173
What do we know about real exchange rate nonlinearities? 1 1 1 72 3 5 10 121
Total Working Papers 12 29 190 4,389 100 224 756 10,961


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A multivariate test against spurious long memory 0 0 5 8 3 3 19 42
A simple test on structural change in long-memory time series 1 2 5 5 1 3 13 27
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 2 2 0 1 12 17
Book reviews 0 0 0 3 1 1 2 32
Book reviews 0 0 0 0 1 1 1 9
Change-in-mean tests in long-memory time series: a review of recent developments 1 3 16 16 1 7 38 38
Editors’ introduction 0 0 0 1 0 1 1 9
Empirical likelihood confidence intervals for the mean of a long‐range dependent process 0 0 0 10 0 1 3 72
Fractional integration versus level shifts: the case of realized asset correlations 0 0 1 9 0 2 8 40
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 1 43 1 1 5 140
Inference on the long-memory properties of time series with non-stationary volatility 1 1 1 7 1 2 5 27
Information criteria for nonlinear time series models 0 0 0 2 2 2 3 21
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 0 1 1 1 2 4 4 4
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 0 0 1 53
Long memory and changing persistence 0 0 0 10 0 0 4 51
Long memory in volatilities of German stock returns 0 0 0 57 2 3 4 144
Long memory versus structural breaks: An overview 0 0 2 18 0 2 7 57
Model order selection in periodic long memory models 0 0 2 2 0 2 20 20
On robust local polynomial estimation with long-memory errors 0 0 0 16 0 1 3 70
On tests for linearity against STAR models with deterministic trends 1 1 1 8 2 2 3 50
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 72 1 3 3 293
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend 0 0 0 0 1 1 1 1
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION 0 0 0 9 1 2 4 48
Testing for Structural Changes in the Presence of Long Memory 0 1 1 27 0 2 10 98
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 0 0 2 31
Testing for a break in persistence under long‐range dependencies 0 2 3 57 1 4 8 133
Testing for a break in the persistence in yield spreads of EMU government bonds 0 0 0 15 2 2 7 101
Tests of bias in log-periodogram regression 1 1 1 30 2 4 6 105
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 0 1 1 99
Weak identification in the ESTAR model and a new model 0 0 0 6 0 0 0 27
What do we know about real exchange rate nonlinearities? 0 1 1 18 0 1 6 73
Total Journal Articles 5 13 43 500 25 59 204 1,932


Statistics updated 2020-02-04