Access Statistics for Philipp Sibbertsen

Author contact details at EconPapers.

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 26 26 0 3 12 12
A Multivariate Test Against Spurious Long Memory 0 0 2 93 1 1 4 73
A Simple Test on Structural Change in Long-Memory Time Series 0 0 1 70 0 2 13 39
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 1 99 0 0 2 195
A simple specification procedure for the transition function in persistent nonlinear time series models 0 0 0 45 1 1 5 115
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 0 1 4 61
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 28 3 6 8 67
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 1 3 89 0 2 14 168
An Overview of Modified Semiparametric Memory Estimation Methods 0 1 5 30 0 3 16 25
An introduction to Markov chains for interested high school students 2 6 18 216 6 17 51 528
Can we distinguish between common nonlinear time series models and long memory? 0 0 1 98 0 1 5 209
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 0 1 3 53 3 7 13 33
Credit Risk Modeling under Conditional Volatility 1 2 4 45 1 3 12 88
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 3 6 4 5 12 25
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 0 1 1 46
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 21 0 1 1 218
Empirical likelihood confidence intervals for the mean of a long-range dependent process 0 0 1 144 0 1 2 524
Estimating the number of mean shifts under long memory 0 0 1 36 0 0 2 55
Forecasting long memory time series under a break in persistence 0 1 1 79 1 2 4 201
Forecasting long memory time series under a break in persistence 0 0 0 58 1 1 5 175
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 2 0 0 3 21
Identification problems in ESTAR models and a new model 0 0 1 85 2 5 17 245
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 0 0 48 1 1 4 70
Information Criteria for Nonlinear Time Series Models 0 0 0 63 0 4 10 119
Integration and Disintegration of EMU Government Bond Markets 0 0 4 28 3 6 25 42
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 1 0 0 2 26
Long memory and changing persistence 0 0 0 38 0 0 1 74
Long memory and changing persistence 0 0 0 33 0 0 2 91
Long memory vs. structural change in financial time series 0 0 4 23 0 2 8 69
Long-memory in volatilities of German stock returns 0 0 0 6 0 0 2 27
Long-memory versus structural breaks: An overview 0 0 2 12 1 1 8 38
Measuring Model Risk 0 0 3 354 0 4 16 759
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 98 1 1 7 65
Modellrisiko = Spezifikation + Validierung 0 0 0 22 0 1 6 136
Nonparametric M-estimation with long-memory errors 0 0 0 1 0 0 2 7
On robust local polynominal estimation with long-memory errors 0 0 0 2 0 0 0 12
On tests for linearity against STAR models with deterministic trends 0 0 0 54 0 1 2 138
On tests for linearity against STAR models with deterministic trends 0 0 0 27 1 1 1 71
Origins of Spurious Long Memory 1 1 3 81 2 3 7 34
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins 0 0 0 1 0 0 2 18
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 289 1 1 3 995
Pricing of options under different volatility models 0 1 1 9 0 1 2 56
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 1 3 13 28 3 5 30 97
Recognizing mathematical talent: an approach using discriminant analysis 0 0 0 15 0 1 3 49
Robust CUSUM-M test in the presence of long-memory disturbances 0 0 0 9 0 0 5 34
Robust tests on fractional cointegration 0 0 0 1 3 3 5 15
S-Estimation in the Linear Regression Model with Long-Memory Error Terms 0 0 0 79 0 1 3 1,071
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 0 0 0 0 9
S-estimators in the linear regression model with long-memory error terms 0 0 0 1 0 0 2 11
Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks 0 0 3 42 4 9 18 43
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 1 4 9 85
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 60 0 0 2 155
Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds 0 1 1 31 0 2 8 122
Testing for a break in persistence under long-range dependencies 0 0 1 128 0 0 4 268
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 55 0 0 3 138
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 23 23 23 1 7 7 7
Testing for structural change in the presence of long memory 0 0 0 10 0 0 2 24
Tests of Bias in Log-Periodogram Regression 0 0 0 93 0 0 1 226
Tests of Bias in Log-Periodogram Regression 0 0 0 11 2 13 14 78
The Long Memory of Equity Volatility: International Evidence 0 0 4 6 0 1 7 17
The Memory of Stock Return Volatility: Asset Pricing Implications 0 1 4 35 1 4 17 46
The Memory of Volatility 1 5 30 333 4 10 32 83
The Periodogram of Spurious Long-Memory Processes 0 1 2 33 0 2 6 18
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 10 0 0 0 57
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 175 0 0 0 593
The cost for the default of a loan: Linking theory and practice 0 0 0 7 0 0 1 26
The dynamics of real exchange rates - A reconsideration 1 1 1 74 1 1 1 125
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 0 0 2 64
What do we know about real exchange rate non-linearities? 0 0 1 106 2 2 6 173
What do we know about real exchange rate nonlinearities? 0 0 0 71 1 2 3 113
Total Working Papers 7 49 171 4,068 56 157 507 9,717


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A multivariate test against spurious long memory 0 1 6 8 0 1 18 35
A simple test on structural change in long-memory time series 0 0 1 1 0 0 7 19
An Overview of Modified Semiparametric Memory Estimation Methods 0 1 2 2 1 5 13 15
Book reviews 0 0 0 0 0 0 0 8
Book reviews 0 0 0 3 0 0 1 30
Change-in-mean tests in long-memory time series: a review of recent developments 3 8 8 8 4 18 18 18
Editors’ introduction 0 0 0 1 0 0 0 8
Empirical likelihood confidence intervals for the mean of a long‐range dependent process 0 0 0 10 0 0 1 70
Fractional integration versus level shifts: the case of realized asset correlations 0 1 1 9 1 3 7 36
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 42 1 1 4 137
Inference on the long-memory properties of time series with non-stationary volatility 0 0 1 6 0 0 3 23
Information criteria for nonlinear time series models 0 0 0 2 0 0 4 19
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 0 0 0 52
Long memory and changing persistence 0 0 0 10 1 1 4 48
Long memory in volatilities of German stock returns 0 0 0 57 0 0 1 140
Long memory versus structural breaks: An overview 0 1 2 18 0 2 3 53
Model order selection in periodic long memory models 0 0 1 1 2 5 10 10
On robust local polynomial estimation with long-memory errors 0 0 0 16 0 0 1 67
On tests for linearity against STAR models with deterministic trends 0 0 0 7 0 0 1 48
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 72 0 0 1 290
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend 0 0 0 0 0 0 0 0
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION 0 0 0 9 1 1 2 45
Testing for Structural Changes in the Presence of Long Memory 0 0 1 26 0 2 8 93
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 0 0 0 29
Testing for a break in persistence under long‐range dependencies 0 0 0 54 0 0 3 127
Testing for a break in the persistence in yield spreads of EMU government bonds 0 0 0 15 0 1 4 97
Tests of bias in log-periodogram regression 0 0 0 29 0 0 2 100
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 0 0 0 98
Weak identification in the ESTAR model and a new model 0 0 0 6 0 0 1 27
What do we know about real exchange rate nonlinearities? 0 0 0 17 0 1 3 70
Total Journal Articles 3 12 23 477 11 41 120 1,812


Statistics updated 2019-09-09