Access Statistics for Philipp Sibbertsen

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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 0 30 1 9 16 49
A Majorization-Minimization gLASSO Framework for SETAR Models: Theory, Simulation, and Application to PM2.5 Data 2 8 8 8 2 4 4 4
A Multivariate Test Against Spurious Long Memory 0 0 0 100 0 1 8 138
A Simple Test on Structural Change in Long-Memory Time Series 0 0 0 73 0 3 13 71
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 0 103 1 4 14 227
A simple specification procedure for the transition function in persistent nonlinear time series models 0 0 0 46 0 4 9 142
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 0 2 10 88
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 30 0 2 5 87
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 0 0 95 2 6 17 218
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 31 0 2 12 68
An introduction to Markov chains for interested high school students 1 1 3 300 1 7 20 745
Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory 0 0 2 12 0 3 18 34
Can we distinguish between common nonlinear time series models and long memory? 0 0 0 100 0 0 9 233
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 0 0 2 56 0 1 11 66
Credit Risk Modeling under Conditional Volatility 0 0 1 49 1 7 20 132
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 0 12 0 1 16 69
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 0 5 15 69
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 22 0 1 10 232
Do algebraic numbers follow Khinchin's Law? 0 0 0 2 0 1 10 22
Dynamic Modelling of Heavy-Tailed Cylindrical Time Series 0 11 20 20 1 6 9 9
Empirical likelihood confidence intervals for the mean of a long-range dependent process 0 0 1 146 0 2 20 557
Estimating the number of mean shifts under long memory 0 0 0 37 0 1 7 69
Estimation and Testing in a Perturbed Multivariate Long Memory Framework 0 0 0 34 0 3 11 21
Forecasting long memory time series under a break in persistence 0 0 0 60 2 6 17 202
Forecasting long memory time series under a break in persistence 0 0 1 82 0 1 16 246
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 5 1 6 21 58
Identification problems in ESTAR models and a new model 0 0 1 89 0 2 10 278
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 2 53 0 5 19 101
Information Criteria for Nonlinear Time Series Models 0 0 1 68 0 4 17 147
Integration and Disintegration of EMU Government Bond Markets 0 0 0 36 1 3 13 116
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 2 0 5 9 43
Long memory and changing persistence 0 0 0 35 0 2 12 163
Long memory and changing persistence 0 0 0 38 0 1 12 95
Long memory in the marginalized time series of a VAR revisited 1 2 27 27 2 6 20 20
Long memory vs. structural change in financial time series 0 0 1 31 0 2 12 115
Long-memory in volatilities of German stock returns 0 0 0 7 0 4 13 46
Long-memory versus structural breaks: An overview 0 0 1 15 1 4 14 65
Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 0 0 1 33 0 5 13 74
Measuring Model Risk 0 1 1 374 1 6 34 901
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 102 1 4 16 99
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 2 1 6 8 12
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 6 0 1 17 36
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 30 0 4 12 35
Modellrisiko = Spezifikation + Validierung 0 0 1 25 1 4 13 169
Monitoring Breaks in Fractional Cointegration 0 0 0 12 0 3 21 32
Nonparametric M-Estimation with Long-Memory Errors 0 0 0 102 0 0 7 416
Nonparametric M-estimation with long-memory errors 0 0 0 2 0 2 8 21
On robust local polynomial estimation with long-memory errors 0 0 0 117 0 0 13 456
On robust local polynominal estimation with long-memory errors 0 0 0 3 0 1 10 30
On tests for linearity against STAR models with deterministic trends 0 0 0 55 1 1 9 160
On tests for linearity against STAR models with deterministic trends 0 0 0 27 0 1 8 95
Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory 0 0 0 54 0 3 12 38
Origins of Spurious Long Memory 0 0 0 86 0 8 19 75
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins 0 0 0 1 1 2 6 33
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 1 1 294 0 12 24 1,054
Pricing of options under different volatility models 0 0 0 10 0 2 17 100
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 0 0 2 48 0 1 20 174
Recognizing mathematical talent: an approach using discriminant analysis 0 0 0 16 0 3 7 66
Robust CUSUM-M test in the presence of long-memory disturbances 0 0 0 10 0 2 9 52
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 0 0 1 27 0 3 17 61
Robust tests on fractional cointegration 0 0 0 3 0 2 9 38
Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases 0 0 0 5 0 1 5 22
S-Estimation in the Linear Regression Model with Long-Memory Error Terms 0 0 0 79 0 7 16 1,105
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 2 2 3 9 28
S-estimators in the linear regression model with long-memory error terms 0 0 0 1 0 3 9 27
Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks 0 0 0 59 5 6 37 146
Spatial autoregressive fractionally integrated moving average model 0 0 2 12 0 8 20 37
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 0 4 16 111
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 63 0 3 7 169
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 1 4 15 0 4 32 65
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 0 1 1 0 8 30 35
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series 0 0 0 32 0 1 18 75
Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds 0 0 0 32 0 4 9 155
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 11 0 3 15 27
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 1 0 3 11 18
Testing for a break in persistence under long-range dependencies 0 0 0 134 0 4 10 296
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 56 0 4 12 163
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 1 1 29 0 5 18 69
Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium 0 0 0 9 0 2 4 36
Testing for structural change in the presence of long memory 0 0 1 13 0 2 16 55
Tests of Bias in Log-Periodogram Regression 0 0 0 13 0 0 11 104
Tests of Bias in Log-Periodogram Regression 0 0 0 94 0 7 9 249
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 3 13 54
The Long Memory of Equity Volatility: International Evidence 0 0 0 9 0 2 10 47
The Memory of Beta Factors 0 0 0 35 0 4 18 65
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 1 2 18 96
The Memory of Volatility 0 0 0 340 0 4 15 141
The Periodogram of Spurious Long-Memory Processes 0 0 0 44 0 6 16 66
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 1 177 0 3 11 613
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 13 0 3 15 89
The cost for the default of a loan: Linking theory and practice 0 0 0 8 0 4 12 45
The dynamics of real exchange rates - A reconsideration 0 0 0 74 0 1 11 155
The similarities in efficiency of universities and universities of applied sciences in Lower Saxony 0 0 0 10 0 3 15 37
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 1 2 12 87
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 3 7 17 2 11 41 54
What do we know about real exchange rate non-linearities? 0 0 0 107 0 4 14 198
What do we know about real exchange rate nonlinearities? 0 0 0 75 2 5 19 151
Total Working Papers 4 29 95 5,055 35 341 1,372 14,162

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A CUSUM test for breaks in fractional cointegration 0 0 1 1 0 0 9 9
A comparison of semiparametric tests for fractional cointegration 0 0 0 0 0 3 12 21
A multivariate test against spurious long memory 0 0 4 22 1 5 24 110
A simple test on structural change in long-memory time series 0 0 1 10 0 1 10 64
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 2 0 2 12 72
Book reviews 0 0 0 0 0 2 5 15
Book reviews 0 0 0 3 0 1 7 39
Can google trends improve sales forecasts on a product level? 0 0 1 23 2 2 9 62
Change-in-mean tests in long-memory time series: a review of recent developments 1 1 7 34 3 5 25 110
Cyclical fractional cointegration 0 0 0 5 0 3 66 73
Distinguishing between breaks in the mean and breaks in persistence under long memory 0 0 0 15 0 1 16 66
Editors’ introduction 0 0 0 1 0 0 3 15
Empirical likelihood confidence intervals for the mean of a long‐range dependent process 0 0 0 10 0 4 12 87
Fractional integration versus level shifts: the case of realized asset correlations 0 0 0 9 0 3 13 55
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 48 1 3 9 166
Inference on the long-memory properties of time series with non-stationary volatility 0 0 2 9 0 4 14 43
Information criteria for nonlinear time series models 0 0 0 2 0 3 9 42
Integration and Disintegration of EMU Government Bond Markets 1 1 1 5 1 4 15 34
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 1 1 2 15 1 7 17 97
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 0 6 14 73
Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 1 1 1 2 1 7 19 26
Long memory and changing persistence 0 0 0 14 0 1 15 74
Long memory in volatilities of German stock returns 0 0 1 58 1 3 12 163
Long memory versus structural breaks: An overview 0 0 0 18 0 0 10 76
Mapping price dynamics across electricity market designs: A functional data approach with STL decomposition 0 0 0 0 0 1 3 3
Measuring macroeconomic convergence and divergence within EMU using long memory 0 0 1 2 1 7 22 28
Measuring model risk 0 0 0 1 0 5 21 24
Model order selection in periodic long memory models 0 0 0 6 0 5 14 52
Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data 0 1 3 4 0 6 28 29
Modeling fractional cointegration between high and low stock prices in Asian countries 0 0 1 17 1 6 17 79
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 0 0 1 13 18
On robust local polynomial estimation with long-memory errors 0 0 0 19 0 1 12 90
On tests for linearity against STAR models with deterministic trends 0 0 0 8 0 0 10 69
Optimal forecasts in the presence of discrete structural breaks under long memory 0 0 0 0 0 1 8 11
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 74 0 3 13 337
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model 0 0 0 4 0 2 11 21
Seasonality robust local whittle estimation 0 0 0 5 0 2 18 26
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend 0 0 0 0 0 0 6 13
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION 0 0 0 9 0 5 14 68
Testing for Structural Changes in the Presence of Long Memory 0 0 0 35 0 1 15 137
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 0 1 11 45
Testing for a break in persistence under long‐range dependencies 0 0 0 61 0 1 8 160
Testing for a break in the persistence in yield spreads of EMU government bonds 0 0 0 22 0 0 7 129
Tests of bias in log-periodogram regression 0 0 0 34 0 0 11 133
The memory of beta 0 1 1 6 0 6 17 49
The memory of stock return volatility: Asset pricing implications 0 0 3 11 1 3 21 81
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 0 0 12 120
The stability of government bond markets’ equilibrium and the interdependence of lending rates 0 0 0 0 1 5 16 18
Volatility Transmission across Financial Markets: A Semiparametric Analysis 0 0 0 4 0 0 8 37
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle 0 0 0 1 0 1 12 20
Weak identification in the ESTAR model and a new model 0 0 0 6 0 2 6 34
What do we know about real exchange rate nonlinearities? 0 0 0 18 0 1 12 89
Total Journal Articles 4 6 30 701 15 136 723 3,512

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Spatial Autoregressive Fractionally Integrated Moving Average Model 0 0 0 0 0 3 5 5
Tests on Fractional Cointegration Comparison of a Finite M— and ML—test on Fractional Cointegration 0 0 0 0 0 4 5 5
Zeitreihenanalyse 0 0 0 0 0 2 4 4
Total Chapters 0 0 0 0 0 9 14 14

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Statistics updated 2026-07-10