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 15 48
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 4 13 71
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 0 103 0 3 13 226
A simple specification procedure for the transition function in persistent nonlinear time series models 0 0 0 46 2 4 9 142
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 1 2 11 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 0 5 16 216
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 31 1 3 12 68
An introduction to Markov chains for interested high school students 0 0 2 299 0 6 20 744
Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory 0 0 2 12 1 3 18 34
Can we distinguish between common nonlinear time series models and long memory? 0 0 0 100 0 1 9 233
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 0 0 2 56 0 2 11 66
Credit Risk Modeling under Conditional Volatility 0 0 1 49 0 7 19 131
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 0 12 0 2 16 69
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 0 7 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 2 10 22
Dynamic Modelling of Heavy-Tailed Cylindrical Time Series 0 20 20 20 2 8 8 8
Empirical likelihood confidence intervals for the mean of a long-range dependent process 0 0 1 146 0 4 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 4 11 21
Forecasting long memory time series under a break in persistence 0 0 0 60 0 4 15 200
Forecasting long memory time series under a break in persistence 0 0 1 82 0 2 16 246
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 5 1 5 20 57
Identification problems in ESTAR models and a new model 0 0 1 89 0 3 10 278
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 1 2 53 2 7 19 101
Information Criteria for Nonlinear Time Series Models 0 0 1 68 2 6 17 147
Integration and Disintegration of EMU Government Bond Markets 0 0 0 36 0 3 12 115
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 2 2 7 10 43
Long memory and changing persistence 0 0 0 35 0 3 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 3 26 26 1 6 18 18
Long memory vs. structural change in financial time series 0 0 1 31 0 3 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 0 4 13 64
Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 0 0 1 33 1 5 13 74
Measuring Model Risk 1 1 1 374 2 5 34 900
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 102 1 3 15 98
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 6 0 3 17 36
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 2 0 5 7 11
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 30 1 4 12 35
Modellrisiko = Spezifikation + Validierung 0 0 1 25 1 3 12 168
Monitoring Breaks in Fractional Cointegration 0 0 0 12 1 4 21 32
Nonparametric M-Estimation with Long-Memory Errors 0 0 0 102 0 1 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 2 10 30
On tests for linearity against STAR models with deterministic trends 0 0 0 27 0 3 8 95
On tests for linearity against STAR models with deterministic trends 0 0 0 55 0 0 8 159
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 1 9 19 75
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins 0 0 0 1 0 1 5 32
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 1 1 1 294 3 12 26 1,054
Pricing of options under different volatility models 0 0 0 10 0 3 17 100
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 0 0 2 48 0 4 21 174
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 1 10 1 2 10 52
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 0 0 1 27 1 3 17 61
Robust tests on fractional cointegration 0 0 0 3 1 2 9 38
Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases 0 0 0 5 1 2 5 22
S-Estimation in the Linear Regression Model with Long-Memory Error Terms 0 0 0 79 1 7 16 1,105
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 2 0 1 7 26
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 0 5 32 141
Spatial autoregressive fractionally integrated moving average model 0 0 2 12 2 9 20 37
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 0 6 16 111
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 63 0 4 7 169
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 1 4 15 1 5 34 65
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 0 1 1 0 10 30 35
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series 0 0 0 32 0 4 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 1 5 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 1 4 13 163
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 1 1 1 29 1 6 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 2 2 16 55
Tests of Bias in Log-Periodogram Regression 0 0 0 94 2 8 9 249
Tests of Bias in Log-Periodogram Regression 0 0 0 13 0 0 11 104
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 5 13 54
The Long Memory of Equity Volatility: International Evidence 0 0 0 9 0 4 10 47
The Memory of Beta Factors 0 0 0 35 0 6 18 65
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 0 3 17 95
The Memory of Volatility 0 0 0 340 0 4 16 141
The Periodogram of Spurious Long-Memory Processes 0 0 0 44 1 7 16 66
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 1 1 177 1 6 11 613
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 13 0 4 15 89
The cost for the default of a loan: Linking theory and practice 0 0 0 8 1 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 1 4 15 37
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 0 2 11 86
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 2 3 7 17 5 10 39 52
What do we know about real exchange rate non-linearities? 0 0 0 107 2 4 14 198
What do we know about real exchange rate nonlinearities? 0 0 0 75 1 4 17 149
Total Working Papers 6 32 86 5,045 54 383 1,348 14,125

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 1 9 9
A comparison of semiparametric tests for fractional cointegration 0 0 0 0 1 3 12 21
A multivariate test against spurious long memory 0 0 4 22 2 4 23 109
A simple test on structural change in long-memory time series 0 0 1 10 1 1 10 64
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 2 0 2 13 72
Book reviews 0 0 0 3 0 1 7 39
Book reviews 0 0 0 0 0 2 5 15
Can google trends improve sales forecasts on a product level? 0 0 1 23 0 2 8 60
Change-in-mean tests in long-memory time series: a review of recent developments 0 1 6 33 0 5 22 107
Cyclical fractional cointegration 0 0 0 5 0 9 66 73
Distinguishing between breaks in the mean and breaks in persistence under long memory 0 0 0 15 0 3 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 4 13 55
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 48 0 3 8 165
Inference on the long-memory properties of time series with non-stationary volatility 0 1 2 9 2 6 14 43
Information criteria for nonlinear time series models 0 0 0 2 1 3 9 42
Integration and Disintegration of EMU Government Bond Markets 0 0 0 4 1 3 14 33
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 0 0 1 14 0 6 16 96
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 1 7 14 73
Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 0 0 0 1 0 6 18 25
Long memory and changing persistence 0 0 0 14 0 2 15 74
Long memory in volatilities of German stock returns 0 1 1 58 0 4 11 162
Long memory versus structural breaks: An overview 0 0 0 18 0 1 10 76
Mapping price dynamics across electricity market designs: A functional data approach with STL decomposition 0 0 0 0 1 2 3 3
Measuring macroeconomic convergence and divergence within EMU using long memory 0 0 1 2 1 6 21 27
Measuring model risk 0 0 0 1 0 5 21 24
Model order selection in periodic long memory models 0 0 0 6 1 6 14 52
Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data 1 1 4 4 3 6 29 29
Modeling fractional cointegration between high and low stock prices in Asian countries 0 0 1 17 0 6 17 78
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 0 0 2 13 18
On robust local polynomial estimation with long-memory errors 0 0 0 19 0 3 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 1 4 13 337
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model 0 0 1 4 1 2 12 21
Seasonality robust local whittle estimation 0 0 0 5 1 3 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 1 35 0 2 16 137
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 1 1 11 45
Testing for a break in persistence under long‐range dependencies 0 0 0 61 0 2 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 1 10 17 49
The memory of stock return volatility: Asset pricing implications 0 1 3 11 1 4 20 80
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 0 4 15 17
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 1 1 1 2 13 20
Weak identification in the ESTAR model and a new model 0 0 0 6 1 2 6 34
What do we know about real exchange rate nonlinearities? 0 0 0 18 0 2 12 89
Total Journal Articles 1 6 30 697 23 162 715 3,497

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 1 4 5 5
Tests on Fractional Cointegration Comparison of a Finite M— and ML—test on Fractional Cointegration 0 0 0 0 2 4 5 5
Zeitreihenanalyse 0 0 0 0 0 2 4 4
Total Chapters 0 0 0 0 3 10 14 14

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Statistics updated 2026-06-04