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 3 6 36
A Multivariate Test Against Spurious Long Memory 0 0 0 100 2 3 5 133
A Simple Test on Structural Change in Long-Memory Time Series 0 0 0 73 1 1 3 59
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 0 103 1 1 1 214
A simple specification procedure for the transition function in persistent nonlinear time series models 0 0 0 46 0 0 1 133
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 1 1 3 79
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 30 2 2 2 84
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 0 0 95 3 3 5 204
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 31 0 0 0 56
An introduction to Markov chains for interested high school students 0 2 4 299 2 4 7 729
Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory 0 0 11 11 1 1 19 19
Can we distinguish between common nonlinear time series models and long memory? 0 0 0 100 0 0 0 224
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 2 2 3 56 2 3 5 58
Credit Risk Modeling under Conditional Volatility 0 0 0 48 0 1 5 113
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 0 12 0 0 2 54
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 2 2 2 56
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 22 1 1 1 223
Do algebraic numbers follow Khinchin's Law? 0 0 0 2 0 1 1 13
Empirical likelihood confidence intervals for the mean of a long-range dependent process 0 0 0 145 0 0 0 537
Estimating the number of mean shifts under long memory 0 0 0 37 1 1 3 63
Estimation and Testing in a Perturbed Multivariate Long Memory Framework 0 0 0 34 3 4 5 14
Forecasting long memory time series under a break in persistence 0 0 0 60 0 0 1 186
Forecasting long memory time series under a break in persistence 0 0 0 81 2 3 5 234
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 5 0 1 4 38
Identification problems in ESTAR models and a new model 0 0 0 88 1 1 1 269
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 1 1 52 1 3 3 85
Information Criteria for Nonlinear Time Series Models 0 0 1 67 0 0 2 130
Integration and Disintegration of EMU Government Bond Markets 0 0 0 36 0 1 3 104
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 2 0 0 1 34
Long memory and changing persistence 0 0 0 38 0 1 2 84
Long memory and changing persistence 0 0 0 35 2 2 2 153
Long memory vs. structural change in financial time series 0 0 0 30 0 2 2 105
Long-memory in volatilities of German stock returns 0 0 0 7 2 3 3 36
Long-memory versus structural breaks: An overview 0 0 0 14 0 0 1 51
Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 0 0 1 33 0 1 2 63
Measuring Model Risk 0 0 0 373 3 5 8 872
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 102 2 3 5 86
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 4 6 0 0 6 19
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 1 2 0 0 2 4
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 1 30 1 1 5 24
Modellrisiko = Spezifikation + Validierung 0 0 0 24 0 1 1 157
Monitoring Breaks in Fractional Cointegration 0 0 12 12 0 4 15 15
Nonparametric M-Estimation with Long-Memory Errors 0 0 0 102 0 0 0 409
Nonparametric M-estimation with long-memory errors 0 0 0 2 0 0 0 13
On robust local polynomial estimation with long-memory errors 0 0 0 117 2 4 5 447
On robust local polynominal estimation with long-memory errors 0 0 0 3 1 1 2 21
On tests for linearity against STAR models with deterministic trends 0 0 0 27 0 0 1 87
On tests for linearity against STAR models with deterministic trends 0 0 0 55 1 1 1 152
Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory 0 0 2 54 0 0 4 27
Origins of Spurious Long Memory 0 0 0 86 1 2 4 58
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins 0 0 0 1 0 0 0 27
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 293 1 3 9 1,033
Pricing of options under different volatility models 0 0 0 10 2 3 3 86
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 1 1 2 47 1 1 5 155
Recognizing mathematical talent: an approach using discriminant analysis 0 0 0 16 1 1 1 60
Robust CUSUM-M test in the presence of long-memory disturbances 0 0 1 10 0 0 1 43
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 0 1 1 27 2 3 4 47
Robust tests on fractional cointegration 0 0 0 3 1 4 5 33
Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases 0 0 1 5 0 1 5 18
S-Estimation in the Linear Regression Model with Long-Memory Error Terms 0 0 0 79 0 0 0 1,089
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 2 1 1 1 20
S-estimators in the linear regression model with long-memory error terms 0 0 0 1 0 0 0 18
Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks 0 0 1 59 0 1 9 112
Spatial autoregressive fractionally integrated moving average model 0 1 3 11 1 3 8 20
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 0 0 1 96
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 63 1 1 1 163
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 0 0 0 0 1 7 7
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 0 11 11 1 1 35 35
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series 0 0 0 32 2 3 4 60
Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds 0 0 0 32 0 1 6 147
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 1 1 0 1 10 10
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 1 11 1 2 8 14
Testing for a break in persistence under long-range dependencies 0 0 0 134 1 1 3 287
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 56 1 2 4 153
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 0 0 28 2 2 7 54
Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium 0 0 0 9 0 0 0 32
Testing for structural change in the presence of long memory 0 0 0 12 2 2 3 42
Tests of Bias in Log-Periodogram Regression 0 0 0 94 0 0 1 240
Tests of Bias in Log-Periodogram Regression 0 0 0 13 1 2 3 95
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 0 3 41
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 0 0 5 37
The Memory of Beta Factors 0 0 0 35 0 0 2 47
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 2 2 7 80
The Memory of Volatility 0 0 1 340 1 1 4 127
The Periodogram of Spurious Long-Memory Processes 0 0 0 44 0 0 0 50
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 176 0 0 2 602
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 13 1 1 5 75
The cost for the default of a loan: Linking theory and practice 0 0 0 8 2 4 5 37
The dynamics of real exchange rates - A reconsideration 0 0 0 74 0 0 0 144
The similarities in efficiency of universities and universities of applied sciences in Lower Saxony 0 0 0 10 1 1 1 23
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 0 0 2 75
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 0 10 10 2 2 16 16
What do we know about real exchange rate non-linearities? 0 0 0 107 1 1 1 185
What do we know about real exchange rate nonlinearities? 0 0 0 75 2 3 3 135
Total Working Papers 3 8 75 4,970 76 127 367 12,934

Journal Article 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 0 1 3 5 12
A multivariate test against spurious long memory 0 2 3 21 0 3 5 90
A simple test on structural change in long-memory time series 0 1 1 10 0 3 6 59
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 2 0 2 3 62
Book reviews 0 0 0 3 0 0 0 32
Book reviews 0 0 0 0 0 0 1 10
Can google trends improve sales forecasts on a product level? 0 1 2 23 0 1 6 55
Change-in-mean tests in long-memory time series: a review of recent developments 2 3 4 30 3 4 10 89
Cyclical fractional cointegration 0 0 0 5 1 1 2 9
Distinguishing between breaks in the mean and breaks in persistence under long memory 0 0 0 15 5 5 9 57
Editors’ introduction 0 0 0 1 0 0 0 12
Empirical likelihood confidence intervals for the mean of a long‐range dependent process 0 0 0 10 0 1 1 76
Fractional integration versus level shifts: the case of realized asset correlations 0 0 0 9 0 2 3 44
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 48 1 1 2 158
Inference on the long-memory properties of time series with non-stationary volatility 0 0 1 8 0 0 2 31
Information criteria for nonlinear time series models 0 0 0 2 0 0 2 33
Integration and Disintegration of EMU Government Bond Markets 0 0 0 4 2 2 3 21
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 0 0 1 13 0 1 5 82
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 1 1 1 60
Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 0 0 1 1 3 3 6 10
Long memory and changing persistence 0 0 0 14 2 3 4 62
Long memory in volatilities of German stock returns 0 0 0 57 1 2 4 153
Long memory versus structural breaks: An overview 0 0 0 18 1 2 2 68
Measuring macroeconomic convergence and divergence within EMU using long memory 0 0 1 2 3 4 9 12
Measuring model risk 0 0 1 1 2 2 5 5
Model order selection in periodic long memory models 0 0 0 6 1 2 3 41
Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data 0 2 3 3 1 6 9 9
Modeling fractional cointegration between high and low stock prices in Asian countries 0 0 0 16 2 3 6 65
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 0 0 1 3 8
On robust local polynomial estimation with long-memory errors 0 0 0 19 1 1 1 79
On tests for linearity against STAR models with deterministic trends 0 0 0 8 1 2 2 61
Optimal forecasts in the presence of discrete structural breaks under long memory 0 0 0 0 0 0 1 4
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 74 0 0 4 324
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model 0 0 1 4 0 0 2 10
Seasonality robust local whittle estimation 0 0 0 5 1 1 1 9
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend 0 0 0 0 0 0 1 7
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION 0 0 0 9 0 0 2 55
Testing for Structural Changes in the Presence of Long Memory 0 0 3 35 2 2 8 125
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 2 2 2 36
Testing for a break in persistence under long‐range dependencies 0 0 0 61 0 0 2 153
Testing for a break in the persistence in yield spreads of EMU government bonds 0 0 0 22 1 2 2 124
Tests of bias in log-periodogram regression 0 0 0 34 2 3 7 127
The memory of beta 0 0 1 5 2 2 6 35
The memory of stock return volatility: Asset pricing implications 1 1 4 10 2 3 13 65
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 2 2 5 111
The stability of government bond markets’ equilibrium and the interdependence of lending rates 0 0 0 0 0 2 4 4
Volatility Transmission across Financial Markets: A Semiparametric Analysis 0 0 0 4 0 1 1 30
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle 0 0 1 1 0 1 7 9
Weak identification in the ESTAR model and a new model 0 0 0 6 0 0 0 28
What do we know about real exchange rate nonlinearities? 0 0 0 18 2 2 2 79
Total Journal Articles 3 10 28 685 48 84 190 2,900

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Statistics updated 2025-11-08