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 3 6 39
A Multivariate Test Against Spurious Long Memory 0 0 0 100 3 4 8 137
A Simple Test on Structural Change in Long-Memory Time Series 0 0 0 73 3 4 6 63
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 0 103 3 8 9 222
A simple specification procedure for the transition function in persistent nonlinear time series models 0 0 0 46 5 5 5 138
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 2 6 9 85
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 30 0 0 2 84
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 0 0 95 3 6 11 210
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 31 5 7 7 63
An introduction to Markov chains for interested high school students 0 0 3 299 5 8 14 737
Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory 0 1 5 12 4 10 19 29
Can we distinguish between common nonlinear time series models and long memory? 0 0 0 100 4 8 8 232
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 0 0 3 56 3 6 11 64
Credit Risk Modeling under Conditional Volatility 0 0 0 48 4 5 8 118
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 0 12 7 11 13 65
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 2 3 5 59
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 22 0 2 3 225
Do algebraic numbers follow Khinchin's Law? 0 0 0 2 4 6 7 19
Empirical likelihood confidence intervals for the mean of a long-range dependent process 0 1 1 146 7 13 13 550
Estimating the number of mean shifts under long memory 0 0 0 37 3 5 8 68
Estimation and Testing in a Perturbed Multivariate Long Memory Framework 0 0 0 34 1 2 6 16
Forecasting long memory time series under a break in persistence 0 0 0 60 4 8 9 194
Forecasting long memory time series under a break in persistence 0 1 1 82 4 9 14 243
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 5 8 11 15 49
Identification problems in ESTAR models and a new model 0 0 0 88 2 4 5 273
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 1 52 7 9 12 94
Information Criteria for Nonlinear Time Series Models 1 1 1 68 5 6 6 136
Integration and Disintegration of EMU Government Bond Markets 0 0 0 36 5 8 11 112
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 2 1 2 3 36
Long memory and changing persistence 0 0 0 35 6 6 8 159
Long memory and changing persistence 0 0 0 38 4 7 9 91
Long memory in the marginalized time series of a VAR revisited 0 23 23 23 3 12 12 12
Long memory vs. structural change in financial time series 1 1 1 31 3 7 9 112
Long-memory in volatilities of German stock returns 0 0 0 7 5 6 9 42
Long-memory versus structural breaks: An overview 1 1 1 15 3 8 8 59
Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 0 0 1 33 5 6 8 69
Measuring Model Risk 0 0 0 373 17 23 30 895
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 102 5 7 12 93
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 6 8 12 12 31
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 2 1 2 3 6
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 1 30 5 6 11 30
Modellrisiko = Spezifikation + Validierung 0 1 1 25 3 8 9 165
Monitoring Breaks in Fractional Cointegration 0 0 0 12 9 12 17 27
Nonparametric M-Estimation with Long-Memory Errors 0 0 0 102 6 6 6 415
Nonparametric M-estimation with long-memory errors 0 0 0 2 3 6 6 19
On robust local polynomial estimation with long-memory errors 0 0 0 117 5 8 13 455
On robust local polynominal estimation with long-memory errors 0 0 0 3 3 6 8 27
On tests for linearity against STAR models with deterministic trends 0 0 0 27 0 4 4 91
On tests for linearity against STAR models with deterministic trends 0 0 0 55 5 7 8 159
Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory 0 0 2 54 3 5 8 32
Origins of Spurious Long Memory 0 0 0 86 3 7 11 65
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins 0 0 0 1 3 4 4 31
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 293 4 8 16 1,041
Pricing of options under different volatility models 0 0 0 10 7 11 14 97
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 0 0 2 47 5 10 15 165
Recognizing mathematical talent: an approach using discriminant analysis 0 0 0 16 3 3 4 63
Robust CUSUM-M test in the presence of long-memory disturbances 0 0 1 10 4 6 7 49
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 0 0 1 27 7 10 14 57
Robust tests on fractional cointegration 0 0 0 3 1 2 7 35
Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases 0 0 1 5 2 2 7 20
S-Estimation in the Linear Regression Model with Long-Memory Error Terms 0 0 0 79 4 6 6 1,095
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 2 3 4 5 24
S-estimators in the linear regression model with long-memory error terms 0 0 0 1 3 6 6 24
Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks 0 0 1 59 7 20 27 132
Spatial autoregressive fractionally integrated moving average model 0 1 4 12 5 8 15 28
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 4 7 8 103
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 63 2 2 3 165
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 3 14 14 8 18 53 53
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 1 1 1 12 15 22 22
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series 0 0 0 32 4 4 8 64
Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds 0 0 0 32 2 4 8 151
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 11 3 5 9 19
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 1 4 4 8 14
Testing for a break in persistence under long-range dependencies 0 0 0 134 4 4 6 291
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 56 2 5 8 158
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 0 0 28 3 4 9 58
Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium 0 0 0 9 1 1 1 33
Testing for structural change in the presence of long memory 0 1 1 13 1 6 9 48
Tests of Bias in Log-Periodogram Regression 0 0 0 94 1 1 2 241
Tests of Bias in Log-Periodogram Regression 0 0 0 13 3 4 7 99
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 7 8 8 49
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 3 4 8 41
The Memory of Beta Factors 0 0 0 35 10 11 12 58
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 3 7 10 87
The Memory of Volatility 0 0 0 340 8 9 12 136
The Periodogram of Spurious Long-Memory Processes 0 0 0 44 3 7 7 57
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 13 7 9 10 84
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 176 4 5 5 607
The cost for the default of a loan: Linking theory and practice 0 0 0 8 2 4 8 41
The dynamics of real exchange rates - A reconsideration 0 0 0 74 6 10 10 154
The similarities in efficiency of universities and universities of applied sciences in Lower Saxony 0 0 0 10 5 10 11 33
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 4 7 8 82
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 2 6 12 9 20 28 36
What do we know about real exchange rate non-linearities? 0 0 0 107 3 8 9 193
What do we know about real exchange rate nonlinearities? 0 0 0 75 4 9 12 144
Total Working Papers 3 38 78 5,008 399 662 940 13,596

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 4 5 5
A comparison of semiparametric tests for fractional cointegration 0 0 0 0 4 6 9 18
A multivariate test against spurious long memory 0 1 4 22 5 14 19 104
A simple test on structural change in long-memory time series 0 0 1 10 3 4 9 63
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 2 3 8 11 70
Book reviews 0 0 0 3 4 6 6 38
Book reviews 0 0 0 0 3 3 3 13
Can google trends improve sales forecasts on a product level? 0 0 2 23 1 3 9 58
Change-in-mean tests in long-memory time series: a review of recent developments 1 2 5 32 5 10 17 99
Cyclical fractional cointegration 0 0 0 5 34 38 40 47
Distinguishing between breaks in the mean and breaks in persistence under long memory 0 0 0 15 5 6 14 63
Editors’ introduction 0 0 0 1 2 2 2 14
Empirical likelihood confidence intervals for the mean of a long‐range dependent process 0 0 0 10 5 7 8 83
Fractional integration versus level shifts: the case of realized asset correlations 0 0 0 9 3 6 8 50
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 48 2 4 6 162
Inference on the long-memory properties of time series with non-stationary volatility 0 0 1 8 3 5 7 36
Information criteria for nonlinear time series models 0 0 0 2 2 3 5 36
Integration and Disintegration of EMU Government Bond Markets 0 0 0 4 2 6 9 27
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 0 1 2 14 4 6 10 88
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 6 6 7 66
Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 0 0 0 1 1 7 11 17
Long memory and changing persistence 0 0 0 14 7 9 13 71
Long memory in volatilities of German stock returns 0 0 0 57 3 4 8 157
Long memory versus structural breaks: An overview 0 0 0 18 0 5 7 73
Measuring macroeconomic convergence and divergence within EMU using long memory 0 0 1 2 4 7 13 19
Measuring model risk 0 0 1 1 9 12 17 17
Model order selection in periodic long memory models 0 0 0 6 1 4 7 45
Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data 0 0 3 3 5 13 22 22
Modeling fractional cointegration between high and low stock prices in Asian countries 0 1 1 17 3 7 12 72
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 0 3 6 9 14
On robust local polynomial estimation with long-memory errors 0 0 0 19 4 8 9 87
On tests for linearity against STAR models with deterministic trends 0 0 0 8 4 7 9 68
Optimal forecasts in the presence of discrete structural breaks under long memory 0 0 0 0 2 4 5 8
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 74 6 8 9 332
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model 0 0 1 4 3 8 10 18
Seasonality robust local whittle estimation 0 0 0 5 5 10 11 19
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend 0 0 0 0 1 3 4 10
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION 0 0 0 9 5 7 8 62
Testing for Structural Changes in the Presence of Long Memory 0 0 3 35 5 8 16 133
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 3 6 8 42
Testing for a break in persistence under long‐range dependencies 0 0 0 61 2 5 6 158
Testing for a break in the persistence in yield spreads of EMU government bonds 0 0 0 22 2 2 4 126
Tests of bias in log-periodogram regression 0 0 0 34 3 5 12 132
The memory of beta 0 0 1 5 2 4 10 39
The memory of stock return volatility: Asset pricing implications 0 0 3 10 4 11 18 76
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 5 9 12 120
The stability of government bond markets’ equilibrium and the interdependence of lending rates 0 0 0 0 5 7 9 11
Volatility Transmission across Financial Markets: A Semiparametric Analysis 0 0 0 4 4 6 7 36
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle 0 0 1 1 6 8 11 17
Weak identification in the ESTAR model and a new model 0 0 0 6 4 4 4 32
What do we know about real exchange rate nonlinearities? 0 0 0 18 5 6 8 85
Total Journal Articles 1 5 31 691 215 357 513 3,258

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

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Statistics updated 2026-02-12