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 1 30 0 3 4 33
A Multivariate Test Against Spurious Long Memory 0 0 0 100 0 1 1 129
A Simple Test on Structural Change in Long-Memory Time Series 0 0 0 73 0 1 2 57
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 1 103 0 0 1 213
A simple specification procedure for the transition function in persistent nonlinear time series models 0 0 0 46 0 1 2 133
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 1 1 1 77
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 30 0 0 0 82
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 0 0 95 1 1 2 200
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 0 1 296 0 0 2 723
Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory 3 9 10 10 4 10 14 14
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 0 0 0 53 0 0 0 53
Credit Risk Modeling under Conditional Volatility 0 0 0 48 2 2 4 112
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 1 12 0 0 1 52
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 0 0 0 54
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 22 0 0 0 222
Do algebraic numbers follow Khinchin's Law? 0 0 0 2 0 0 1 12
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 1 61
Estimation and Testing in a Perturbed Multivariate Long Memory Framework 0 0 0 34 0 0 2 10
Forecasting long memory time series under a break in persistence 0 0 0 81 0 0 0 229
Forecasting long memory time series under a break in persistence 0 0 0 60 0 0 0 185
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 5 2 2 2 36
Identification problems in ESTAR models and a new model 0 0 0 88 0 0 0 268
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 0 51 0 0 1 82
Information Criteria for Nonlinear Time Series Models 0 0 1 67 0 1 3 130
Integration and Disintegration of EMU Government Bond Markets 0 0 0 36 1 1 3 102
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 2 0 0 1 33
Long memory and changing persistence 0 0 0 35 0 0 0 151
Long memory and changing persistence 0 0 0 38 0 0 0 82
Long memory vs. structural change in financial time series 0 0 0 30 0 0 2 103
Long-memory in volatilities of German stock returns 0 0 0 7 0 0 0 33
Long-memory versus structural breaks: An overview 0 0 0 14 0 1 1 51
Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 0 0 0 32 0 0 4 61
Measuring Model Risk 0 0 1 373 1 2 6 866
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 102 0 0 3 81
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 2 6 6 0 3 19 19
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 2 2 0 0 3 3
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 1 1 1 30 2 2 2 21
Modellrisiko = Spezifikation + Validierung 0 0 0 24 0 0 1 156
Monitoring Breaks in Fractional Cointegration 0 9 12 12 0 6 10 10
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 1 1 1 443
On robust local polynominal estimation with long-memory errors 0 0 0 3 0 0 0 19
On tests for linearity against STAR models with deterministic trends 0 0 0 55 0 0 0 151
On tests for linearity against STAR models with deterministic trends 0 0 0 27 0 1 2 87
Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory 1 1 1 53 1 2 3 25
Origins of Spurious Long Memory 0 0 0 86 1 1 3 55
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 0 1 1 1,025
Pricing of options under different volatility models 0 0 0 10 0 0 8 83
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 0 0 0 45 1 1 2 151
Recognizing mathematical talent: an approach using discriminant analysis 0 0 1 16 0 0 1 59
Robust CUSUM-M test in the presence of long-memory disturbances 0 0 0 9 0 0 0 42
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 0 0 2 26 0 0 2 43
Robust tests on fractional cointegration 0 0 0 3 1 1 1 29
Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases 0 0 0 4 0 0 1 13
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 0 0 19
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 1 1 2 59 1 2 7 106
Spatial autoregressive fractionally integrated moving average model 0 0 0 8 1 2 5 14
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 0 0 0 95
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 63 0 0 0 162
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series 0 0 1 32 1 1 2 57
Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds 0 0 0 32 0 2 3 143
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 11 11 0 3 10 10
Testing for a Forecast Accuracy Breakdown under Long Memory 0 1 1 1 1 5 7 7
Testing for a break in persistence under long-range dependencies 0 0 0 134 1 2 4 286
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 56 0 1 1 150
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 0 0 28 2 4 6 51
Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium 0 0 0 9 0 0 1 32
Testing for structural change in the presence of long memory 0 0 0 12 0 0 1 39
Tests of Bias in Log-Periodogram Regression 0 0 0 94 1 1 2 240
Tests of Bias in Log-Periodogram Regression 0 0 0 13 1 1 2 93
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 0 3 3 41
The Long Memory of Equity Volatility: International Evidence 0 0 0 8 1 2 2 34
The Memory of Beta Factors 0 0 0 35 0 1 2 46
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 0 2 4 77
The Memory of Volatility 0 0 1 340 1 1 4 125
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 13 0 3 4 74
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 176 0 2 2 602
The cost for the default of a loan: Linking theory and practice 0 0 0 8 0 1 1 33
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 1 10 0 0 1 22
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 0 0 2 74
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 0 6 6 6 0 8 8 8
What do we know about real exchange rate non-linearities? 0 0 0 107 0 0 1 184
What do we know about real exchange rate nonlinearities? 0 0 0 75 0 0 0 132
Total Working Papers 6 30 64 4,936 31 94 209 12,687

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 0 2 2 9
A multivariate test against spurious long memory 0 0 0 18 0 0 0 85
A simple test on structural change in long-memory time series 0 0 0 9 0 1 1 54
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 2 0 0 0 59
Book reviews 0 0 0 3 0 0 0 32
Book reviews 0 0 0 0 0 1 1 10
Can google trends improve sales forecasts on a product level? 0 0 2 21 0 0 5 49
Change-in-mean tests in long-memory time series: a review of recent developments 0 0 1 27 2 3 6 84
Cyclical fractional cointegration 0 0 1 5 0 0 3 7
Distinguishing between breaks in the mean and breaks in persistence under long memory 0 0 0 15 0 1 3 49
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 0 0 75
Fractional integration versus level shifts: the case of realized asset correlations 0 0 0 9 0 0 1 42
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 48 1 1 4 157
Inference on the long-memory properties of time series with non-stationary volatility 0 0 0 7 0 0 0 29
Information criteria for nonlinear time series models 0 0 0 2 1 1 1 32
Integration and Disintegration of EMU Government Bond Markets 0 0 0 4 1 1 3 19
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 0 0 0 12 1 1 6 79
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 0 0 1 59
Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 0 1 1 1 0 2 5 6
Long memory and changing persistence 0 0 0 14 1 1 3 59
Long memory in volatilities of German stock returns 0 0 0 57 0 0 0 149
Long memory versus structural breaks: An overview 0 0 0 18 0 0 0 66
Measuring macroeconomic convergence and divergence within EMU using long memory 0 0 1 1 0 2 5 6
Model order selection in periodic long memory models 0 0 0 6 0 0 3 38
Modeling fractional cointegration between high and low stock prices in Asian countries 0 0 0 16 0 1 5 60
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 0 0 0 0 5
On robust local polynomial estimation with long-memory errors 0 0 0 19 0 0 0 78
On tests for linearity against STAR models with deterministic trends 0 0 0 8 0 0 0 59
Optimal forecasts in the presence of discrete structural breaks under long memory 0 0 0 0 0 0 3 3
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 74 1 3 4 324
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model 0 0 2 3 1 1 3 9
Seasonality robust local whittle estimation 0 0 0 5 0 0 0 8
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend 0 0 0 0 1 1 1 7
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION 0 0 0 9 0 1 2 54
Testing for Structural Changes in the Presence of Long Memory 0 0 0 32 0 0 2 117
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 0 0 2 34
Testing for a break in persistence under long‐range dependencies 0 0 0 61 0 1 2 152
Testing for a break in the persistence in yield spreads of EMU government bonds 0 0 0 22 0 0 0 122
Tests of bias in log-periodogram regression 0 0 0 34 1 1 5 121
The memory of beta 0 0 0 4 1 1 1 30
The memory of stock return volatility: Asset pricing implications 0 1 1 7 0 5 9 58
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 0 1 2 108
The stability of government bond markets’ equilibrium and the interdependence of lending rates 0 0 0 0 0 1 2 2
Volatility Transmission across Financial Markets: A Semiparametric Analysis 0 0 0 4 0 0 0 29
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle 0 0 0 0 1 4 7 7
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 0 0 77
Total Journal Articles 0 2 9 660 13 38 103 2,758

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Statistics updated 2025-03-03