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 2 4 7 39
A Multivariate Test Against Spurious Long Memory 0 0 0 100 1 3 6 134
A Simple Test on Structural Change in Long-Memory Time Series 0 0 0 73 1 2 4 60
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 0 103 0 6 6 219
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 30 0 2 2 84
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 2 5 7 83
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 0 0 95 2 6 8 207
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 31 1 2 2 58
An introduction to Markov chains for interested high school students 0 0 3 299 3 5 9 732
Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory 0 1 5 12 3 7 17 25
Can we distinguish between common nonlinear time series models and long memory? 0 0 0 100 2 4 4 228
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 0 2 3 56 3 5 8 61
Credit Risk Modeling under Conditional Volatility 0 0 0 48 1 1 4 114
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 0 12 3 4 6 58
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 1 3 3 57
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 22 1 3 3 225
Do algebraic numbers follow Khinchin's Law? 0 0 0 2 0 2 3 15
Empirical likelihood confidence intervals for the mean of a long-range dependent process 0 1 1 146 5 6 6 543
Estimating the number of mean shifts under long memory 0 0 0 37 1 3 5 65
Estimation and Testing in a Perturbed Multivariate Long Memory Framework 0 0 0 34 1 4 5 15
Forecasting long memory time series under a break in persistence 0 0 0 60 3 4 5 190
Forecasting long memory time series under a break in persistence 1 1 1 82 4 7 10 239
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 5 0 3 7 41
Identification problems in ESTAR models and a new model 0 0 0 88 2 3 3 271
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 1 52 1 3 5 87
Information Criteria for Nonlinear Time Series Models 0 0 0 67 0 1 2 131
Integration and Disintegration of EMU Government Bond Markets 0 0 0 36 1 3 6 107
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 2 1 1 2 35
Long memory and changing persistence 0 0 0 38 2 3 5 87
Long memory and changing persistence 0 0 0 35 0 2 2 153
Long memory in the marginalized time series of a VAR revisited 23 23 23 23 9 9 9 9
Long memory vs. structural change in financial time series 0 0 0 30 2 4 6 109
Long-memory in volatilities of German stock returns 0 0 0 7 0 3 4 37
Long-memory versus structural breaks: An overview 0 0 0 14 2 5 6 56
Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 0 0 1 33 1 1 3 64
Measuring Model Risk 0 0 0 373 4 9 13 878
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 102 1 4 7 88
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 2 6 2 4 7 23
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 2 0 1 2 5
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 1 30 1 2 6 25
Modellrisiko = Spezifikation + Validierung 0 1 1 25 4 5 6 162
Monitoring Breaks in Fractional Cointegration 0 0 0 12 2 3 8 18
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 1 3 3 16
On robust local polynomial estimation with long-memory errors 0 0 0 117 1 5 8 450
On robust local polynominal estimation with long-memory errors 0 0 0 3 1 4 5 24
On tests for linearity against STAR models with deterministic trends 0 0 0 27 2 4 4 91
On tests for linearity against STAR models with deterministic trends 0 0 0 55 2 3 3 154
Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory 0 0 2 54 1 2 6 29
Origins of Spurious Long Memory 0 0 0 86 2 5 8 62
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins 0 0 0 1 1 1 1 28
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 293 2 5 13 1,037
Pricing of options under different volatility models 0 0 0 10 2 6 7 90
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 0 1 2 47 1 6 10 160
Recognizing mathematical talent: an approach using discriminant analysis 0 0 0 16 0 1 1 60
Robust CUSUM-M test in the presence of long-memory disturbances 0 0 1 10 1 2 3 45
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 0 0 1 27 0 5 7 50
Robust tests on fractional cointegration 0 0 0 3 1 2 6 34
Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases 0 0 1 5 0 0 5 18
S-Estimation in the Linear Regression Model with Long-Memory Error Terms 0 0 0 79 2 2 2 1,091
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 2 1 2 2 21
S-estimators in the linear regression model with long-memory error terms 0 0 0 1 2 3 3 21
Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks 0 0 1 59 9 13 21 125
Spatial autoregressive fractionally integrated moving average model 1 1 4 12 3 4 10 23
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 1 3 4 99
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 63 0 1 1 163
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 1 1 1 1 2 3 10 10
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 3 14 14 3 11 45 45
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series 0 0 0 32 0 2 4 60
Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds 0 0 0 32 2 2 7 149
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 11 2 3 6 16
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 1 0 0 5 10
Testing for a break in persistence under long-range dependencies 0 0 0 134 0 1 3 287
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 56 2 4 7 156
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 0 0 28 1 3 7 55
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 1 1 1 13 2 7 8 47
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 4 96
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 1 4 42
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 1 1 6 38
The Memory of Beta Factors 0 0 0 35 0 1 2 48
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 3 6 8 84
The Memory of Volatility 0 0 0 340 1 2 4 128
The Periodogram of Spurious Long-Memory Processes 0 0 0 44 3 4 4 54
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 13 1 3 4 77
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 176 1 1 2 603
The cost for the default of a loan: Linking theory and practice 0 0 0 8 0 4 7 39
The dynamics of real exchange rates - A reconsideration 0 0 0 74 1 4 4 148
The similarities in efficiency of universities and universities of applied sciences in Lower Saxony 0 0 0 10 3 6 6 28
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 2 3 4 78
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 1 2 11 12 7 13 22 27
What do we know about real exchange rate non-linearities? 0 0 0 107 4 6 6 190
What do we know about real exchange rate nonlinearities? 0 0 0 75 2 7 8 140
Total Working Papers 28 38 82 5,005 155 339 571 13,197

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 1 1 1 1 2 2 2
A comparison of semiparametric tests for fractional cointegration 0 0 0 0 1 3 6 14
A multivariate test against spurious long memory 1 1 4 22 4 9 14 99
A simple test on structural change in long-memory time series 0 0 1 10 0 1 7 60
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 2 3 5 8 67
Book reviews 0 0 0 3 0 2 2 34
Book reviews 0 0 0 0 0 0 1 10
Can google trends improve sales forecasts on a product level? 0 0 2 23 1 2 8 57
Change-in-mean tests in long-memory time series: a review of recent developments 1 3 4 31 3 8 13 94
Cyclical fractional cointegration 0 0 0 5 1 5 6 13
Distinguishing between breaks in the mean and breaks in persistence under long memory 0 0 0 15 1 6 9 58
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 2 3 78
Fractional integration versus level shifts: the case of realized asset correlations 0 0 0 9 2 3 5 47
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 48 1 3 4 160
Inference on the long-memory properties of time series with non-stationary volatility 0 0 1 8 2 2 4 33
Information criteria for nonlinear time series models 0 0 0 2 1 1 3 34
Integration and Disintegration of EMU Government Bond Markets 0 0 0 4 0 6 7 25
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 0 1 2 14 0 2 6 84
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 0 1 1 60
Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 0 0 1 1 1 9 11 16
Long memory and changing persistence 0 0 0 14 2 4 6 64
Long memory in volatilities of German stock returns 0 0 0 57 0 2 5 154
Long memory versus structural breaks: An overview 0 0 0 18 2 6 7 73
Measuring macroeconomic convergence and divergence within EMU using long memory 0 0 1 2 1 6 10 15
Measuring model risk 0 0 1 1 2 5 8 8
Model order selection in periodic long memory models 0 0 0 6 2 4 6 44
Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data 0 0 3 3 3 9 17 17
Modeling fractional cointegration between high and low stock prices in Asian countries 0 1 1 17 2 6 10 69
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 0 1 3 6 11
On robust local polynomial estimation with long-memory errors 0 0 0 19 3 5 5 83
On tests for linearity against STAR models with deterministic trends 0 0 0 8 2 4 5 64
Optimal forecasts in the presence of discrete structural breaks under long memory 0 0 0 0 2 2 3 6
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 74 1 2 4 326
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model 0 0 1 4 1 5 7 15
Seasonality robust local whittle estimation 0 0 0 5 2 6 6 14
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend 0 0 0 0 2 2 3 9
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION 0 0 0 9 1 2 4 57
Testing for Structural Changes in the Presence of Long Memory 0 0 3 35 3 5 11 128
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 2 5 5 39
Testing for a break in persistence under long‐range dependencies 0 0 0 61 0 3 4 156
Testing for a break in the persistence in yield spreads of EMU government bonds 0 0 0 22 0 1 2 124
Tests of bias in log-periodogram regression 0 0 0 34 1 4 9 129
The memory of beta 0 0 1 5 2 4 8 37
The memory of stock return volatility: Asset pricing implications 0 1 4 10 3 9 17 72
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 1 6 8 115
The stability of government bond markets’ equilibrium and the interdependence of lending rates 0 0 0 0 1 2 5 6
Volatility Transmission across Financial Markets: A Semiparametric Analysis 0 0 0 4 1 2 3 32
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle 0 0 1 1 1 2 7 11
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 0 3 3 80
Total Journal Articles 2 8 32 690 66 191 314 3,043

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 0 0 0 0
Zeitreihenanalyse 0 0 0 0 0 0 0 0
Total Chapters 0 0 0 0 0 0 0 0

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Statistics updated 2026-01-09