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 7 37
A Multivariate Test Against Spurious Long Memory 0 0 0 100 0 2 5 133
A Simple Test on Structural Change in Long-Memory Time Series 0 0 0 73 0 1 3 59
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 0 103 5 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 22 2 3 5 81
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 30 0 2 2 84
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 0 0 95 1 4 6 205
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 31 1 1 1 57
An introduction to Markov chains for interested high school students 0 2 3 299 0 4 6 729
Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory 1 1 11 12 3 4 18 22
Can we distinguish between common nonlinear time series models and long memory? 0 0 0 100 2 2 2 226
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 0 2 3 56 0 2 5 58
Credit Risk Modeling under Conditional Volatility 0 0 0 48 0 0 3 113
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 0 12 1 1 3 55
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 0 2 2 56
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 22 1 2 2 224
Do algebraic numbers follow Khinchin's Law? 0 0 0 2 2 3 3 15
Empirical likelihood confidence intervals for the mean of a long-range dependent process 1 1 1 146 1 1 1 538
Estimating the number of mean shifts under long memory 0 0 0 37 1 2 4 64
Estimation and Testing in a Perturbed Multivariate Long Memory Framework 0 0 0 34 0 4 4 14
Forecasting long memory time series under a break in persistence 0 0 0 81 1 3 6 235
Forecasting long memory time series under a break in persistence 0 0 0 60 1 1 2 187
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 5 3 4 7 41
Identification problems in ESTAR models and a new model 0 0 0 88 0 1 1 269
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 1 52 1 2 4 86
Information Criteria for Nonlinear Time Series Models 0 0 0 67 1 1 2 131
Integration and Disintegration of EMU Government Bond Markets 0 0 0 36 2 2 5 106
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 35 0 2 2 153
Long memory and changing persistence 0 0 0 38 1 1 3 85
Long memory vs. structural change in financial time series 0 0 0 30 2 2 4 107
Long-memory in volatilities of German stock returns 0 0 0 7 1 4 4 37
Long-memory versus structural breaks: An overview 0 0 0 14 3 3 4 54
Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 0 0 1 33 0 0 2 63
Measuring Model Risk 0 0 0 373 2 6 10 874
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 102 1 4 6 87
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 2 6 2 2 5 21
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 2 1 1 2 5
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 1 30 0 1 5 24
Modellrisiko = Spezifikation + Validierung 1 1 1 25 1 2 2 158
Monitoring Breaks in Fractional Cointegration 0 0 9 12 1 4 12 16
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 2 2 2 15
On robust local polynomial estimation with long-memory errors 0 0 0 117 2 4 7 449
On robust local polynominal estimation with long-memory errors 0 0 0 3 2 3 4 23
On tests for linearity against STAR models with deterministic trends 0 0 0 55 0 1 1 152
On tests for linearity against STAR models with deterministic trends 0 0 0 27 2 2 3 89
Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory 0 0 2 54 1 1 5 28
Origins of Spurious Long Memory 0 0 0 86 2 3 6 60
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 2 5 11 1,035
Pricing of options under different volatility models 0 0 0 10 2 4 5 88
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 0 1 2 47 4 5 9 159
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 1 2 44
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 0 0 1 27 3 5 7 50
Robust tests on fractional cointegration 0 0 0 3 0 4 5 33
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 0 0 0 1,089
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 2 0 1 1 20
S-estimators in the linear regression model with long-memory error terms 0 0 0 1 1 1 1 19
Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks 0 0 1 59 4 4 12 116
Spatial autoregressive fractionally integrated moving average model 0 1 3 11 0 2 8 20
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 2 2 3 98
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 0 0 0 0 1 1 8 8
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 3 3 14 14 7 8 42 42
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 0 0 6 147
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 11 0 2 7 14
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 1 1 0 0 8 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 1 3 5 154
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 0 0 28 0 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 3 5 6 45
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 0 2 3 95
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 1 1 4 42
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 1 1 3 48
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 1 3 6 81
The Memory of Volatility 0 0 0 340 0 1 3 127
The Periodogram of Spurious Long-Memory Processes 0 0 0 44 1 1 1 51
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 2 5 76
The cost for the default of a loan: Linking theory and practice 0 0 0 8 2 6 7 39
The dynamics of real exchange rates - A reconsideration 0 0 0 74 3 3 3 147
The similarities in efficiency of universities and universities of applied sciences in Lower Saxony 0 0 0 10 2 3 3 25
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 1 1 2 76
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 1 1 11 11 4 6 20 20
What do we know about real exchange rate non-linearities? 0 0 0 107 1 2 2 186
What do we know about real exchange rate nonlinearities? 0 0 0 75 3 6 6 138
Total Working Papers 7 13 71 4,977 108 209 449 13,042

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 0 1 1 1
A comparison of semiparametric tests for fractional cointegration 0 0 0 0 1 3 6 13
A multivariate test against spurious long memory 0 2 3 21 5 7 10 95
A simple test on structural change in long-memory time series 0 0 1 10 1 1 7 60
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 2 2 3 5 64
Book reviews 0 0 0 3 2 2 2 34
Book reviews 0 0 0 0 0 0 1 10
Can google trends improve sales forecasts on a product level? 0 1 2 23 1 2 7 56
Change-in-mean tests in long-memory time series: a review of recent developments 0 2 3 30 2 5 10 91
Cyclical fractional cointegration 0 0 0 5 3 4 5 12
Distinguishing between breaks in the mean and breaks in persistence under long memory 0 0 0 15 0 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 2 2 3 78
Fractional integration versus level shifts: the case of realized asset correlations 0 0 0 9 1 3 3 45
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 48 1 2 3 159
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 4 6 7 25
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 1 1 2 14 2 3 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 5 8 11 15
Long memory and changing persistence 0 0 0 14 0 3 4 62
Long memory in volatilities of German stock returns 0 0 0 57 1 2 5 154
Long memory versus structural breaks: An overview 0 0 0 18 3 4 5 71
Measuring macroeconomic convergence and divergence within EMU using long memory 0 0 1 2 2 5 10 14
Measuring model risk 0 0 1 1 1 3 6 6
Model order selection in periodic long memory models 0 0 0 6 1 2 4 42
Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data 0 0 3 3 5 6 14 14
Modeling fractional cointegration between high and low stock prices in Asian countries 1 1 1 17 2 4 8 67
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 0 2 2 5 10
On robust local polynomial estimation with long-memory errors 0 0 0 19 1 2 2 80
On tests for linearity against STAR models with deterministic trends 0 0 0 8 1 3 3 62
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 1 1 4 325
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model 0 0 1 4 4 4 6 14
Seasonality robust local whittle estimation 0 0 0 5 3 4 4 12
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 1 1 3 56
Testing for Structural Changes in the Presence of Long Memory 0 0 3 35 0 2 8 125
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 1 3 3 37
Testing for a break in persistence under long‐range dependencies 0 0 0 61 3 3 5 156
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 8 128
The memory of beta 0 0 1 5 0 2 6 35
The memory of stock return volatility: Asset pricing implications 0 1 4 10 4 7 16 69
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 3 5 7 114
The stability of government bond markets’ equilibrium and the interdependence of lending rates 0 0 0 0 1 1 4 5
Volatility Transmission across Financial Markets: A Semiparametric Analysis 0 0 0 4 1 2 2 31
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle 0 0 1 1 1 2 7 10
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 1 3 3 80
Total Journal Articles 2 9 30 688 76 139 257 2,977

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Statistics updated 2025-12-06