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 0 2 6 39
A Multivariate Test Against Spurious Long Memory 0 0 0 100 0 4 8 137
A Simple Test on Structural Change in Long-Memory Time Series 0 0 0 73 4 8 10 67
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 0 103 1 4 10 223
A simple specification procedure for the transition function in persistent nonlinear time series models 0 0 0 46 0 5 5 138
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 30 1 1 3 85
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 1 5 9 86
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 0 0 95 1 6 11 211
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 31 2 8 9 65
An introduction to Markov chains for interested high school students 0 0 3 299 1 9 15 738
Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory 0 0 2 12 2 9 17 31
Can we distinguish between common nonlinear time series models and long memory? 0 0 0 100 0 6 8 232
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 0 0 3 56 0 6 11 64
Credit Risk Modeling under Conditional Volatility 1 1 1 49 6 11 12 124
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 0 12 2 12 15 67
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 3 6 8 62
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 22 6 7 9 231
Do algebraic numbers follow Khinchin's Law? 0 0 0 2 1 5 8 20
Empirical likelihood confidence intervals for the mean of a long-range dependent process 0 0 1 146 3 15 16 553
Estimating the number of mean shifts under long memory 0 0 0 37 0 4 7 68
Estimation and Testing in a Perturbed Multivariate Long Memory Framework 0 0 0 34 1 3 7 17
Forecasting long memory time series under a break in persistence 0 1 1 82 1 9 15 244
Forecasting long memory time series under a break in persistence 0 0 0 60 2 9 11 196
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 5 3 11 16 52
Identification problems in ESTAR models and a new model 1 1 1 89 2 6 7 275
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 1 52 0 8 12 94
Information Criteria for Nonlinear Time Series Models 0 1 1 68 5 10 11 141
Integration and Disintegration of EMU Government Bond Markets 0 0 0 36 0 6 10 112
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 2 0 2 3 36
Long memory and changing persistence 0 0 0 38 3 9 12 94
Long memory and changing persistence 0 0 0 35 1 7 9 160
Long memory in the marginalized time series of a VAR revisited 0 23 23 23 0 12 12 12
Long memory vs. structural change in financial time series 0 1 1 31 0 5 9 112
Long-memory in volatilities of German stock returns 0 0 0 7 0 5 9 42
Long-memory versus structural breaks: An overview 0 1 1 15 1 6 9 60
Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 0 0 1 33 0 6 8 69
Measuring Model Risk 0 0 0 373 0 21 29 895
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 102 2 8 14 95
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 6 2 12 14 33
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 2 0 1 3 6
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 30 1 7 10 31
Modellrisiko = Spezifikation + Validierung 0 0 1 25 0 7 9 165
Monitoring Breaks in Fractional Cointegration 0 0 0 12 1 12 18 28
Nonparametric M-Estimation with Long-Memory Errors 0 0 0 102 0 6 6 415
Nonparametric M-estimation with long-memory errors 0 0 0 2 0 4 6 19
On robust local polynomial estimation with long-memory errors 0 0 0 117 1 7 13 456
On robust local polynominal estimation with long-memory errors 0 0 0 3 1 5 9 28
On tests for linearity against STAR models with deterministic trends 0 0 0 55 0 7 8 159
On tests for linearity against STAR models with deterministic trends 0 0 0 27 1 3 5 92
Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory 0 0 1 54 3 7 10 35
Origins of Spurious Long Memory 0 0 0 86 1 6 11 66
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins 0 0 0 1 0 4 4 31
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 293 1 7 17 1,042
Pricing of options under different volatility models 0 0 0 10 0 9 14 97
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 1 1 3 48 5 11 19 170
Recognizing mathematical talent: an approach using discriminant analysis 0 0 0 16 0 3 4 63
Robust CUSUM-M test in the presence of long-memory disturbances 0 0 1 10 1 6 8 50
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 0 0 1 27 1 8 15 58
Robust tests on fractional cointegration 0 0 0 3 1 3 7 36
Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases 0 0 1 5 0 2 7 20
S-Estimation in the Linear Regression Model with Long-Memory Error Terms 0 0 0 79 3 9 9 1,098
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 2 1 5 6 25
S-estimators in the linear regression model with long-memory error terms 0 0 0 1 0 5 6 24
Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks 0 0 0 59 4 20 30 136
Spatial autoregressive fractionally integrated moving average model 0 1 4 12 0 8 14 28
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 2 7 10 105
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 63 0 2 3 165
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 1 1 1 3 17 24 25
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 0 14 14 7 18 60 60
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series 0 0 0 32 7 11 14 71
Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds 0 0 0 32 0 4 8 151
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 11 3 8 12 22
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 1 1 5 8 15
Testing for a break in persistence under long-range dependencies 0 0 0 134 1 5 6 292
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 56 1 5 9 159
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 0 0 28 5 9 12 63
Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium 0 0 0 9 1 2 2 34
Testing for structural change in the presence of long memory 0 1 1 13 5 8 14 53
Tests of Bias in Log-Periodogram Regression 0 0 0 94 0 1 1 241
Tests of Bias in Log-Periodogram Regression 0 0 0 13 5 9 11 104
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 7 8 49
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 2 6 9 43
The Memory of Beta Factors 0 0 0 35 1 11 13 59
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 5 11 15 92
The Memory of Volatility 0 0 0 340 1 10 12 137
The Periodogram of Spurious Long-Memory Processes 0 0 0 44 2 8 9 59
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 13 1 9 11 85
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 176 0 5 5 607
The cost for the default of a loan: Linking theory and practice 0 0 0 8 0 2 8 41
The dynamics of real exchange rates - A reconsideration 0 0 0 74 0 7 10 154
The similarities in efficiency of universities and universities of applied sciences in Lower Saxony 0 0 0 10 0 8 11 33
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 2 8 10 84
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 2 3 8 14 6 22 34 42
What do we know about real exchange rate non-linearities? 0 0 0 107 1 8 10 194
What do we know about real exchange rate nonlinearities? 0 0 0 75 1 7 13 145
Total Working Papers 5 36 77 5,013 146 700 1,054 13,742

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 3 7 8 8
A comparison of semiparametric tests for fractional cointegration 0 0 0 0 0 5 9 18
A multivariate test against spurious long memory 0 1 4 22 1 10 20 105
A simple test on structural change in long-memory time series 0 0 1 10 0 3 9 63
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 2 0 6 11 70
Book reviews 0 0 0 0 0 3 3 13
Book reviews 0 0 0 3 0 4 6 38
Can google trends improve sales forecasts on a product level? 0 0 2 23 0 2 9 58
Change-in-mean tests in long-memory time series: a review of recent developments 0 2 5 32 3 11 18 102
Cyclical fractional cointegration 0 0 0 5 17 52 57 64
Distinguishing between breaks in the mean and breaks in persistence under long memory 0 0 0 15 0 6 14 63
Editors’ introduction 0 0 0 1 1 3 3 15
Empirical likelihood confidence intervals for the mean of a long‐range dependent process 0 0 0 10 0 5 8 83
Fractional integration versus level shifts: the case of realized asset correlations 0 0 0 9 1 6 9 51
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 48 0 3 5 162
Inference on the long-memory properties of time series with non-stationary volatility 0 0 1 8 1 6 8 37
Information criteria for nonlinear time series models 0 0 0 2 3 6 7 39
Integration and Disintegration of EMU Government Bond Markets 0 0 0 4 3 5 11 30
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 0 0 2 14 2 6 11 90
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 0 6 7 66
Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 0 0 0 1 2 4 13 19
Long memory and changing persistence 0 0 0 14 1 10 13 72
Long memory in volatilities of German stock returns 0 0 0 57 1 4 9 158
Long memory versus structural breaks: An overview 0 0 0 18 2 4 9 75
Mapping price dynamics across electricity market designs: A functional data approach with STL decomposition 0 0 0 0 1 1 1 1
Measuring macroeconomic convergence and divergence within EMU using long memory 0 0 1 2 2 7 15 21
Measuring model risk 0 0 0 1 2 13 16 19
Model order selection in periodic long memory models 0 0 0 6 1 4 8 46
Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data 0 0 3 3 1 9 23 23
Modeling fractional cointegration between high and low stock prices in Asian countries 0 0 1 17 0 5 12 72
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 0 2 6 11 16
On robust local polynomial estimation with long-memory errors 0 0 0 19 0 7 9 87
On tests for linearity against STAR models with deterministic trends 0 0 0 8 1 7 10 69
Optimal forecasts in the presence of discrete structural breaks under long memory 0 0 0 0 2 6 7 10
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 74 1 8 9 333
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model 0 0 1 4 1 5 10 19
Seasonality robust local whittle estimation 0 0 0 5 4 11 15 23
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend 0 0 0 0 3 6 6 13
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION 0 0 0 9 1 7 9 63
Testing for Structural Changes in the Presence of Long Memory 0 0 3 35 2 10 18 135
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 2 7 10 44
Testing for a break in persistence under long‐range dependencies 0 0 0 61 0 2 6 158
Testing for a break in the persistence in yield spreads of EMU government bonds 0 0 0 22 3 5 7 129
Tests of bias in log-periodogram regression 0 0 0 34 1 5 12 133
The memory of beta 0 0 1 5 0 4 9 39
The memory of stock return volatility: Asset pricing implications 0 0 3 10 0 7 18 76
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 0 6 12 120
The stability of government bond markets’ equilibrium and the interdependence of lending rates 0 0 0 0 2 8 11 13
Volatility Transmission across Financial Markets: A Semiparametric Analysis 0 0 0 4 1 6 8 37
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle 0 0 1 1 1 8 11 18
Weak identification in the ESTAR model and a new model 0 0 0 6 0 4 4 32
What do we know about real exchange rate nonlinearities? 0 0 0 18 2 7 10 87
Total Journal Articles 0 3 30 691 77 358 574 3,335

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

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Statistics updated 2026-03-04