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 1 14 50
A Majorization-Minimization gLASSO Framework for SETAR Models: Theory, Simulation, and Application to PM2.5 Data 0 0 8 8 1 1 6 6
A Multivariate Test Against Spurious Long Memory 0 0 0 100 1 1 6 139
A Simple Test on Structural Change in Long-Memory Time Series 0 0 0 73 0 0 12 71
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 0 103 2 3 16 230
A simple specification procedure for the transition function in persistent nonlinear time series models 0 0 0 46 1 1 10 143
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 30 2 3 6 90
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 2 3 12 91
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 0 0 95 2 2 16 220
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 31 1 2 14 70
An introduction to Markov chains for interested high school students 0 0 1 300 0 0 16 745
Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory 0 0 1 12 0 0 16 35
Can we distinguish between common nonlinear time series models and long memory? 0 0 0 100 0 1 10 234
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 0 0 0 56 0 3 11 69
Credit Risk Modeling under Conditional Volatility 0 0 1 49 2 2 21 134
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 0 12 1 1 16 70
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 1 1 14 70
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 22 3 3 12 235
Do algebraic numbers follow Khinchin's Law? 0 0 0 2 2 3 12 25
Dynamic Modelling of Heavy-Tailed Cylindrical Time Series 1 3 24 24 4 11 23 23
Empirical likelihood confidence intervals for the mean of a long-range dependent process 0 1 2 147 0 1 21 558
Estimating the number of mean shifts under long memory 0 0 0 37 1 2 8 71
Estimation and Testing in a Perturbed Multivariate Long Memory Framework 0 0 0 34 0 1 8 22
Forecasting long memory time series under a break in persistence 0 0 1 82 1 1 13 247
Forecasting long memory time series under a break in persistence 0 0 0 60 4 5 21 207
Frequency-Specific Coupling in Cenozoic Climate Variability 0 0 2 2 0 2 13 13
Frequency-Specific Coupling in Cenozoic Climate Variability 0 12 15 15 0 4 6 6
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 5 1 2 22 60
Identification problems in ESTAR models and a new model 0 0 1 89 1 2 11 280
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 1 53 3 5 21 106
Information Criteria for Nonlinear Time Series Models 0 0 1 68 2 3 20 150
Integration and Disintegration of EMU Government Bond Markets 0 0 0 36 2 4 16 120
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 2 2 2 11 45
Long memory and changing persistence 0 0 0 35 0 1 11 164
Long memory and changing persistence 0 0 0 38 1 3 14 98
Long memory in the marginalized time series of a VAR revisited 0 0 27 27 2 2 22 22
Long memory vs. structural change in financial time series 0 0 1 31 3 4 14 119
Long-memory in volatilities of German stock returns 0 0 0 7 0 1 11 47
Long-memory versus structural breaks: An overview 0 0 1 15 1 4 18 69
Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 0 0 0 33 2 5 17 80
Measuring Model Risk 0 0 1 374 1 2 31 903
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 102 1 1 14 100
Modeling Long Memory in 67 Million Years of Cyclical Climate Trends: Anticipating Future Cycles 0 14 14 14 6 14 14 14
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 6 1 2 19 38
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 1 1 3 2 3 11 15
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 30 1 2 13 37
Modellrisiko = Spezifikation + Validierung 0 0 1 25 2 2 14 171
Monitoring Breaks in Fractional Cointegration 0 0 0 12 1 2 19 34
Nonparametric M-Estimation with Long-Memory Errors 0 0 0 102 2 2 9 418
Nonparametric M-estimation with long-memory errors 0 0 0 2 2 2 11 24
On robust local polynomial estimation with long-memory errors 0 0 0 117 2 3 12 459
On robust local polynominal estimation with long-memory errors 0 0 0 3 0 1 10 31
On tests for linearity against STAR models with deterministic trends 0 0 0 27 1 2 10 97
On tests for linearity against STAR models with deterministic trends 0 0 0 55 2 2 10 162
Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory 0 0 0 54 3 3 14 41
Origins of Spurious Long Memory 0 0 0 86 2 2 19 77
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins 0 0 0 1 3 3 9 36
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 1 2 295 3 5 27 1,060
Pricing of options under different volatility models 0 0 0 10 0 1 15 101
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 0 0 1 48 3 4 23 178
Recognizing mathematical talent: an approach using discriminant analysis 0 0 0 16 1 1 7 67
Robust CUSUM-M test in the presence of long-memory disturbances 0 0 0 10 1 1 10 53
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 0 0 0 27 1 1 15 62
Robust tests on fractional cointegration 0 0 0 3 1 1 6 39
Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases 1 1 1 6 4 4 8 26
S-Estimation in the Linear Regression Model with Long-Memory Error Terms 0 0 0 79 2 2 18 1,107
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 2 1 1 9 29
S-estimators in the linear regression model with long-memory error terms 0 0 0 1 2 2 11 29
Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks 0 0 0 59 3 3 37 149
Spatial autoregressive fractionally integrated moving average model 0 0 1 12 1 3 20 40
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 2 3 18 114
Testing for Explosiveness in Panels: A Self-Normalized Test for Stationarity in Cointegrating Residuals 0 5 6 6 2 10 13 13
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 63 3 4 10 173
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 0 1 1 0 0 30 37
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 0 4 15 1 2 32 67
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series 0 0 0 32 2 3 18 78
Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds 0 0 0 32 3 3 11 158
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 1 0 0 8 18
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 11 0 0 14 28
Testing for a break in persistence under long-range dependencies 0 0 0 134 2 2 12 299
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 56 3 7 17 170
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 0 1 29 2 2 17 71
Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium 0 0 0 9 2 3 7 39
Testing for structural change in the presence of long memory 0 0 1 13 1 3 16 58
Tests of Bias in Log-Periodogram Regression 1 1 1 95 4 4 14 254
Tests of Bias in Log-Periodogram Regression 0 0 0 13 2 3 12 107
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 2 2 15 56
The Long Memory of Equity Volatility: International Evidence 0 0 0 9 2 3 13 50
The Memory of Beta Factors 0 0 0 35 5 5 23 70
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 3 5 21 101
The Memory of Volatility 0 0 0 340 2 3 18 145
The Periodogram of Spurious Long-Memory Processes 0 0 0 44 4 6 22 72
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 13 0 0 14 89
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 1 177 1 1 12 614
The cost for the default of a loan: Linking theory and practice 0 0 0 8 1 1 9 46
The dynamics of real exchange rates - A reconsideration 0 0 0 74 1 2 13 157
The similarities in efficiency of universities and universities of applied sciences in Lower Saxony 0 0 0 10 0 1 15 38
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 1 1 13 88
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 0 7 17 0 1 39 55
What do we know about real exchange rate non-linearities? 0 0 0 107 0 1 14 199
What do we know about real exchange rate nonlinearities? 0 0 0 75 1 3 19 154
Total Working Papers 3 39 131 5,101 158 257 1,515 14,449

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 0 1 1 5 13 14
A comparison of semiparametric tests for fractional cointegration 0 0 0 0 3 3 12 24
A multivariate test against spurious long memory 0 0 1 22 2 3 24 114
A simple test on structural change in long-memory time series 0 0 0 10 2 2 7 66
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 2 0 0 10 72
Book reviews 0 0 0 3 3 3 11 43
Book reviews 0 0 0 0 1 1 6 16
Can google trends improve sales forecasts on a product level? 0 1 1 24 3 4 11 66
Change-in-mean tests in long-memory time series: a review of recent developments 0 0 4 34 1 4 26 115
Cyclical fractional cointegration 0 1 1 6 1 3 67 76
Distinguishing between breaks in the mean and breaks in persistence under long memory 0 0 0 15 0 0 9 66
Editors’ introduction 0 0 0 1 2 2 5 17
Empirical likelihood confidence intervals for the mean of a long‐range dependent process 0 0 0 10 2 3 14 90
Fractional integration versus level shifts: the case of realized asset correlations 0 0 0 9 0 0 11 55
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 48 0 0 8 166
Inference on the long-memory properties of time series with non-stationary volatility 0 0 1 9 1 1 13 44
Information criteria for nonlinear time series models 1 1 1 3 3 4 13 46
Integration and Disintegration of EMU Government Bond Markets 0 0 1 5 1 1 16 37
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 0 0 2 15 0 4 19 101
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 2 2 15 75
Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 0 0 1 2 3 3 19 29
Long memory and changing persistence 0 0 0 14 1 1 13 75
Long memory in volatilities of German stock returns 0 0 1 58 1 1 11 164
Long memory versus structural breaks: An overview 0 1 1 19 2 4 12 80
Mapping price dynamics across electricity market designs: A functional data approach with STL decomposition 0 0 0 0 2 3 6 6
Measuring macroeconomic convergence and divergence within EMU using long memory 0 0 0 2 3 4 20 32
Measuring model risk 0 0 0 1 1 1 20 25
Model order selection in periodic long memory models 0 0 0 6 1 1 12 53
Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data 0 0 1 4 3 3 23 32
Modeling fractional cointegration between high and low stock prices in Asian countries 0 0 1 17 0 0 15 80
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 0 5 5 15 23
Monitoring breaks in fractional cointegration 0 0 0 0 1 2 2 2
On robust local polynomial estimation with long-memory errors 0 0 0 19 4 4 15 94
On tests for linearity against STAR models with deterministic trends 0 0 0 8 2 2 11 72
Optimal forecasts in the presence of discrete structural breaks under long memory 0 0 0 0 4 5 13 17
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 74 4 6 19 343
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model 0 0 0 4 2 2 13 23
Seasonality robust local whittle estimation 0 0 0 5 2 2 20 29
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend 0 0 0 0 1 1 7 14
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION 0 0 0 9 0 2 15 70
Testing for Structural Changes in the Presence of Long Memory 0 1 1 36 2 3 16 141
Testing for a break in persistence under long-range dependencies and mean shifts 0 1 1 5 0 1 10 46
Testing for a break in persistence under long‐range dependencies 0 0 0 61 1 1 9 162
Testing for a break in the persistence in yield spreads of EMU government bonds 0 0 0 22 2 3 8 132
Tests of bias in log-periodogram regression 0 0 0 34 0 1 7 134
The memory of beta 0 0 1 6 0 3 17 52
The memory of stock return volatility: Asset pricing implications 0 0 1 11 1 2 18 83
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 1 1 10 121
The stability of government bond markets’ equilibrium and the interdependence of lending rates 0 1 1 1 1 3 19 23
Volatility Transmission across Financial Markets: A Semiparametric Analysis 0 0 0 4 2 2 10 40
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle 0 1 1 2 1 2 13 22
Weak identification in the ESTAR model and a new model 0 0 0 6 3 3 9 37
What do we know about real exchange rate nonlinearities? 1 1 1 19 2 5 15 94
Total Journal Articles 2 9 24 710 86 127 752 3,653

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 9 9
Tests on Fractional Cointegration Comparison of a Finite M— and ML—test on Fractional Cointegration 0 0 0 0 0 0 5 5
Zeitreihenanalyse 0 0 0 0 0 1 5 5
Total Chapters 0 0 0 0 1 5 19 19

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Statistics updated 2026-11-12