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 0 30 7 8 14 47
A Multivariate Test Against Spurious Long Memory 0 0 0 100 1 1 8 138
A Simple Test on Structural Change in Long-Memory Time Series 0 0 0 73 3 8 13 71
A Study on "Spurious Long Memory in Nonlinear Time Series Models" 0 0 0 103 3 4 13 226
A simple specification procedure for the transition function in persistent nonlinear time series models 0 0 0 46 2 2 7 140
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 30 2 3 5 87
A unified framework for testing in the linear regression model under unknown order of fractional integration 0 0 0 22 1 2 10 87
About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis 0 0 0 95 4 6 16 216
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 31 1 4 11 67
An introduction to Markov chains for interested high school students 0 0 3 299 6 7 21 744
Block Whittle Estimation of Time Varying Stochastic Regression Models with Long Memory 0 0 2 12 2 4 17 33
Can we distinguish between common nonlinear time series models and long memory? 0 0 0 100 0 1 9 233
Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments 0 0 2 56 1 2 11 66
Credit Risk Modeling under Conditional Volatility 0 1 1 49 6 13 19 131
Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern 0 0 0 12 1 4 16 69
Distinguishing between long-range dependence and deterministic trends 0 0 0 8 5 10 15 69
Divergence of credit valuation in Germany - Continuous theory and discrete practice - 0 0 0 22 1 7 10 232
Do algebraic numbers follow Khinchin's Law? 0 0 0 2 1 3 10 22
Dynamic Modelling of Heavy-Tailed Cylindrical Time Series 11 20 20 20 3 6 6 6
Empirical likelihood confidence intervals for the mean of a long-range dependent process 0 0 1 146 2 7 20 557
Estimating the number of mean shifts under long memory 0 0 0 37 1 1 7 69
Estimation and Testing in a Perturbed Multivariate Long Memory Framework 0 0 0 34 3 5 11 21
Forecasting long memory time series under a break in persistence 0 0 1 82 1 3 17 246
Forecasting long memory time series under a break in persistence 0 0 0 60 4 6 15 200
Generating schemes for long memory processes: Regimes, aggregation and linearity 0 0 0 5 4 7 20 56
Identification problems in ESTAR models and a new model 0 1 1 89 2 5 10 278
Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility 0 1 2 53 3 5 17 99
Information Criteria for Nonlinear Time Series Models 0 0 1 68 2 9 15 145
Integration and Disintegration of EMU Government Bond Markets 0 0 0 36 2 3 12 115
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 2 3 5 8 41
Long memory and changing persistence 0 0 0 38 1 4 13 95
Long memory and changing persistence 0 0 0 35 2 4 12 163
Long memory in the marginalized time series of a VAR revisited 0 2 25 25 3 5 17 17
Long memory vs. structural change in financial time series 0 0 1 31 2 3 12 115
Long-memory in volatilities of German stock returns 0 0 0 7 4 4 13 46
Long-memory versus structural breaks: An overview 0 0 1 15 3 5 13 64
Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 0 0 1 33 4 4 12 73
Measuring Model Risk 0 0 0 373 3 3 32 898
Model Order Selection in Seasonal/Cyclical Long Memory Models 0 0 0 102 2 4 14 97
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 6 1 5 17 36
Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 0 0 0 2 5 5 7 11
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 30 3 4 12 34
Modellrisiko = Spezifikation + Validierung 0 0 1 25 2 2 11 167
Monitoring Breaks in Fractional Cointegration 0 0 0 12 2 4 20 31
Nonparametric M-Estimation with Long-Memory Errors 0 0 0 102 0 1 7 416
Nonparametric M-estimation with long-memory errors 0 0 0 2 2 2 8 21
On robust local polynomial estimation with long-memory errors 0 0 0 117 0 1 13 456
On robust local polynominal estimation with long-memory errors 0 0 0 3 1 3 10 30
On tests for linearity against STAR models with deterministic trends 0 0 0 27 1 4 8 95
On tests for linearity against STAR models with deterministic trends 0 0 0 55 0 0 8 159
Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory 0 0 0 54 3 6 12 38
Origins of Spurious Long Memory 0 0 0 86 7 9 18 74
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins 0 0 0 1 1 1 5 32
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 293 9 10 24 1,051
Pricing of options under different volatility models 0 0 0 10 2 3 17 100
Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model 0 1 2 48 1 9 21 174
Recognizing mathematical talent: an approach using discriminant analysis 0 0 0 16 3 3 7 66
Robust CUSUM-M test in the presence of long-memory disturbances 0 0 1 10 1 2 9 51
Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration 0 0 1 27 2 3 16 60
Robust tests on fractional cointegration 0 0 0 3 1 2 8 37
Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases 0 0 0 5 0 1 4 21
S-Estimation in the Linear Regression Model with Long-Memory Error Terms 0 0 0 79 6 9 15 1,104
S-estimation in the nonlinear regression model with long-memory error terms 0 0 0 2 1 2 7 26
S-estimators in the linear regression model with long-memory error terms 0 0 0 1 3 3 9 27
Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks 0 0 0 59 1 9 34 141
Spatial autoregressive fractionally integrated moving average model 0 0 2 12 6 7 19 35
Testing for Cointegration in a Double-LSTR Framework 0 0 0 37 4 8 16 111
Testing for Long Memory Against ESTAR Nonlinearities 0 0 0 63 3 4 7 169
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 1 1 13 15 3 11 60 64
Testing for Multiple Structural Breaks in Multivariate Long Memory Regression Models 0 0 1 1 8 13 32 35
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series 0 0 0 32 1 11 18 75
Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds 0 0 0 32 4 4 10 155
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 1 3 4 11 18
Testing for a Forecast Accuracy Breakdown under Long Memory 0 0 0 11 2 7 15 26
Testing for a break in persistence under long-range dependencies 0 0 0 134 4 5 10 296
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 56 3 4 12 162
Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium 0 0 0 28 4 10 17 68
Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium 0 0 0 9 2 3 4 36
Testing for structural change in the presence of long memory 0 0 1 13 0 5 14 53
Tests of Bias in Log-Periodogram Regression 0 0 0 94 5 6 7 247
Tests of Bias in Log-Periodogram Regression 0 0 0 13 0 5 11 104
The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 0 0 0 36 3 5 13 54
The Long Memory of Equity Volatility: International Evidence 0 0 1 9 2 6 11 47
The Memory of Beta Factors 0 0 0 35 4 7 18 65
The Memory of Stock Return Volatility: Asset Pricing Implications 0 0 0 37 1 8 17 95
The Memory of Volatility 0 0 0 340 4 5 16 141
The Periodogram of Spurious Long-Memory Processes 0 0 0 44 5 8 15 65
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 0 0 13 3 5 15 89
The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated 0 1 1 177 2 5 10 612
The cost for the default of a loan: Linking theory and practice 0 0 0 8 3 3 11 44
The dynamics of real exchange rates - A reconsideration 0 0 0 74 1 1 11 155
The similarities in efficiency of universities and universities of applied sciences in Lower Saxony 0 0 0 10 2 3 14 36
Two competitive models and their identification problem: The ESTAR and TSTAR model 0 0 0 52 1 4 12 86
What Determines the Price of Carbon? New Evidence From Phase III and IV of the EU ETS 1 3 7 15 4 11 36 47
What do we know about real exchange rate non-linearities? 0 0 0 107 2 3 12 196
What do we know about real exchange rate nonlinearities? 0 0 0 75 2 4 16 148
Total Working Papers 13 31 93 5,039 250 475 1,338 14,071

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 1 1 0 4 9 9
A comparison of semiparametric tests for fractional cointegration 0 0 0 0 2 2 11 20
A multivariate test against spurious long memory 0 0 4 22 2 3 21 107
A simple test on structural change in long-memory time series 0 0 1 10 0 0 9 63
An Overview of Modified Semiparametric Memory Estimation Methods 0 0 0 2 2 2 13 72
Book reviews 0 0 0 3 1 1 7 39
Book reviews 0 0 0 0 2 2 5 15
Can google trends improve sales forecasts on a product level? 0 0 1 23 0 2 9 60
Change-in-mean tests in long-memory time series: a review of recent developments 0 1 6 33 2 8 22 107
Cyclical fractional cointegration 0 0 0 5 3 26 66 73
Distinguishing between breaks in the mean and breaks in persistence under long memory 0 0 0 15 1 3 16 66
Editors’ introduction 0 0 0 1 0 1 3 15
Empirical likelihood confidence intervals for the mean of a long‐range dependent process 0 0 0 10 4 4 12 87
Fractional integration versus level shifts: the case of realized asset correlations 0 0 0 9 3 5 13 55
Generating schemes for long memory processes: regimes, aggregation and linearity 0 0 0 48 2 3 8 165
Inference on the long-memory properties of time series with non-stationary volatility 0 1 2 9 2 5 12 41
Information criteria for nonlinear time series models 0 0 0 2 2 5 8 41
Integration and Disintegration of EMU Government Bond Markets 0 0 0 4 2 5 13 32
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany 0 0 1 14 6 8 16 96
Log-periodogram estimation of the memory parameter of a long-memory process under trend 0 0 0 11 5 6 13 72
Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 0 0 0 1 6 8 18 25
Long memory and changing persistence 0 0 0 14 1 3 15 74
Long memory in volatilities of German stock returns 0 1 1 58 2 5 12 162
Long memory versus structural breaks: An overview 0 0 0 18 0 3 10 76
Mapping price dynamics across electricity market designs: A functional data approach with STL decomposition 0 0 0 0 0 2 2 2
Measuring macroeconomic convergence and divergence within EMU using long memory 0 0 1 2 5 7 20 26
Measuring model risk 0 0 0 1 5 7 21 24
Model order selection in periodic long memory models 0 0 0 6 4 6 13 51
Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data 0 0 3 3 3 4 26 26
Modeling fractional cointegration between high and low stock prices in Asian countries 0 0 1 17 5 6 17 78
Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights 0 0 0 0 1 4 13 18
On robust local polynomial estimation with long-memory errors 0 0 0 19 1 3 12 90
On tests for linearity against STAR models with deterministic trends 0 0 0 8 0 1 10 69
Optimal forecasts in the presence of discrete structural breaks under long memory 0 0 0 0 1 3 8 11
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework 0 0 0 74 2 4 12 336
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model 0 0 1 4 1 2 11 20
Seasonality robust local whittle estimation 0 0 0 5 1 6 17 25
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend 0 0 0 0 0 3 6 13
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION 0 0 0 9 5 6 14 68
Testing for Structural Changes in the Presence of Long Memory 0 0 1 35 1 4 16 137
Testing for a break in persistence under long-range dependencies and mean shifts 0 0 0 4 0 2 10 44
Testing for a break in persistence under long‐range dependencies 0 0 0 61 1 2 8 160
Testing for a break in the persistence in yield spreads of EMU government bonds 0 0 0 22 0 3 7 129
Tests of bias in log-periodogram regression 0 0 0 34 0 1 12 133
The memory of beta 1 1 1 6 5 9 17 48
The memory of stock return volatility: Asset pricing implications 0 1 4 11 1 3 20 79
The power of the KPSS-test for cointegration when residuals are fractionally integrated 0 0 0 33 0 0 12 120
The stability of government bond markets’ equilibrium and the interdependence of lending rates 0 0 0 0 4 6 15 17
Volatility Transmission across Financial Markets: A Semiparametric Analysis 0 0 0 4 0 1 8 37
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle 0 0 1 1 0 2 12 19
Weak identification in the ESTAR model and a new model 0 0 0 6 1 1 5 33
What do we know about real exchange rate nonlinearities? 0 0 0 18 1 4 12 89
Total Journal Articles 1 5 30 696 98 216 697 3,474

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 2 4 4 4
Tests on Fractional Cointegration Comparison of a Finite M— and ML—test on Fractional Cointegration 0 0 0 0 2 2 3 3
Zeitreihenanalyse 0 0 0 0 2 3 4 4
Total Chapters 0 0 0 0 6 9 11 11

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-05-06