Philipp Sibbertsen : Citation Profile


Are you Philipp Sibbertsen?

Leibniz Universität Hannover (50% share)

10

H index

10

i10 index

302

Citations

RESEARCH PRODUCTION:

32

Articles

77

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   22 years (1998 - 2020). See details.
   Cites by year: 13
   Journals where Philipp Sibbertsen has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 46 (13.22 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psi133
   Updated: 2020-08-01    RAS profile: 2020-06-27    
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Relations with other researchers


Works with:

Leschinski, Christian (14)

Prokopczuk, Marcel (5)

Wenger, Kai (5)

Christensen, Bent Jesper (2)

Kruse, Robinson (2)

Rodrigues, Paulo (2)

Demetrescu, Matei (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Philipp Sibbertsen.

Is cited by:

Gil-Alana, Luis (27)

Kruse, Robinson (21)

Mayoral, Laura (17)

Frömmel, Michael (9)

Caporale, Guglielmo Maria (9)

Miller, Stephen (8)

Ozdemir, Zeynel (8)

Nautz, Dieter (8)

Canarella, Giorgio (8)

tansel, aysıt (8)

Hassler, Uwe (7)

Cites to:

Perron, Pierre (42)

Nielsen, Morten (41)

Granger, Clive (38)

Bollerslev, Tim (34)

Qu, Zhongjun (25)

Diebold, Francis (23)

Krämer, Walter (20)

Leybourne, Stephen (20)

Taylor, Robert (20)

Hurvich, Clifford (17)

Davidson, James (17)

Main data


Where Philipp Sibbertsen has published?


Journals with more than one article published# docs
Statistical Papers6
Economics Letters6
Journal of Time Series Analysis4
Journal of Econometrics2
AStA Advances in Statistical Analysis2
Empirical Economics2

Working Papers Series with more than one paper published# docs
Hannover Economic Papers (HEP) / Leibniz Universitt Hannover, Wirtschaftswissenschaftliche Fakultt47
Technical Reports / Technische Universitt Dortmund, Sonderforschungsbereich 475: Komplexittsreduktion in multivariaten Datenstrukturen19
CoFE Discussion Papers / University of Konstanz, Center of Finance and Econometrics (CoFE)2

Recent works citing Philipp Sibbertsen (2020 and 2019)


YearTitle of citing document
2017Does the ARFIMA really shift?. (2017). Santucci de Magistris, Paolo ; Grassi, Stefano ; Delle Monache, Davide. In: CREATES Research Papers. RePEc:aah:create:2017-16.

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2017Changes in persistence, spurious regressions and the Fisher hypothesis. (2017). Ventosa-Santaulària, Daniel ; Antonio, Noriega ; Daniel, Ventosa-Santaularia ; Robinson, Kruse . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:3:p:28:n:1.

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2017Learning can generate long memory. (2017). Mavroeidis, Sophocles ; Chevillon, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:1-9.

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2017Long memory, fractional integration, and cross-sectional aggregation. (2017). Vera-Valdés, J ; Haldrup, Niels. In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:1-11.

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2018Generating univariate fractional integration within a large VAR(1). (2018). Hecq, Alain ; Chevillon, Guillaume ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:54-65.

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2017The persistence in real interest rates: Does it solve the intertemporal consumption behavior puzzle?. (2017). Soon, Siew-Voon ; Baharumshah, Ahmad Zubaidi ; Mohamad, Nurul Sima . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:36-51.

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2019The walking debt crisis. (2019). Basse, Tobias ; Kruse, Robinson ; Wegener, Christoph. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:382-402.

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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio. In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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2019Real exchange rate persistence and country characteristics: A global analysis. (2019). Velic, Adnan ; Curran, Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:97:y:2019:i:c:p:35-56.

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2020High and low prices and the range in the European stock markets: A long-memory approach. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Poza, Carlos. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919306348.

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2018Long memory via networking. (2018). Schennach, Susanne. In: CeMMAP working papers. RePEc:ifs:cemmap:49/18.

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2019How Unemployment Affects Bond Prices: A Mixed Frequency Google Nowcasting Approach. (2019). Dimpfl, Thomas ; Langen, Tobias . In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9840-7.

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2017What drives the profitability of household PV investments, self-consumption and self-sufficiency?. (2017). Bertsch, Valentin ; Luhn, Tobias ; Geldermann, Jutta. In: MPRA Paper. RePEc:pra:mprapa:78644.

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2019Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach. (2019). Ogbonna, Ahamuefula ; Yaya, Olaoluwa S ; Mudida, Robert ; Gil-Alana, Luis A ; Osuolale, Kazeem. In: MPRA Paper. RePEc:pra:mprapa:93941.

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2019Inference for likelihood-based estimators of generalized long-memory processes. (2019). Smallwood, Aaron ; Beaumont, Paul . In: MPRA Paper. RePEc:pra:mprapa:96313.

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2019Conditional Sum of Squares Estimation of Multiple Frequency Long Memory Models. (2019). Smallwood, Aaron ; Beaumont, Paul . In: MPRA Paper. RePEc:pra:mprapa:96314.

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2020Long memory and fractality among global equity markets: A multivariate wavelet approach. (2020). Bhandari, Avishek. In: MPRA Paper. RePEc:pra:mprapa:99653.

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2018Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). ben Maatoug, Abderrazak ; Fatnassi, Ibrahim ; Davidson, Russell ; Lamouchi, Rim. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:10:y:2018:i:1:p:1-25.

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2019Long Memory, Realized Volatility and HAR Models. (2019). Rho, Seunghwa ; Cho, Dooyeon ; Calonaci, Fabio ; Baillie, Richard T. In: Working Papers. RePEc:qmw:qmwecw:881.

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2019Dynamic integration and network structure of the EMU sovereign bond markets. (2019). Sensoy, Ahmet ; Hacihasanoglu, Erk ; Rostom, Ahmed ; Nguyen, Duc Khuong. In: Annals of Operations Research. RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2831-1.

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2018Persistence of travel and leisure sector equity indices. (2018). Rodrigues, Paulo ; Andraz, Jorge ; Jorge, . In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:4:d:10.1007_s00181-017-1276-8.

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2020Economic volatility and sovereign yields’ determinants: a time-varying approach. (2020). Jalles, Joao ; Afonso, Antonio. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:2:d:10.1007_s00181-018-1540-6.

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2020Technical analysis based on high and low stock prices forecasts: evidence for Brazil using a fractionally cointegrated VAR model. (2020). MacIel, Leandro . In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1603-8.

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2018Adjusted blockwise empirical likelihood for long memory time series models. (2018). Jiang, Feifan ; Wang, Lihong. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:2:d:10.1007_s10260-017-0403-1.

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2018The emergence of the RMB: A New Normal for Chinas exchange rate system?. (2018). Spiwoks, Markus ; Wegener, Christoph ; Basse, Tobias ; Kunze, Frederik. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:348.

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Philipp Sibbertsen has edited the books:


YearTitleTypeCited

Works by Philipp Sibbertsen:


YearTitleTypeCited
2009What do we know about real exchange rate non-linearities? In: CREATES Research Papers.
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paper8
2010What do we know about real exchange rate nonlinearities?.(2010) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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This paper has another version. Agregated cites: 8
paper
2012What do we know about real exchange rate nonlinearities?.(2012) In: Empirical Economics.
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This paper has another version. Agregated cites: 8
article
2009Forecasting long memory time series under a break in persistence In: CREATES Research Papers.
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paper3
2009Forecasting long memory time series under a break in persistence.(2009) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 3
paper
2010Long memory and changing persistence In: CREATES Research Papers.
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paper5
2012Long memory and changing persistence.(2012) In: Economics Letters.
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This paper has another version. Agregated cites: 5
article
2010Long memory and changing persistence.(2010) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 5
paper
2012On tests for linearity against STAR models with deterministic trends In: CREATES Research Papers.
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paper0
2012On tests for linearity against STAR models with deterministic trends.(2012) In: Economics Letters.
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This paper has another version. Agregated cites: 0
article
2012On tests for linearity against STAR models with deterministic trends.(2012) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 0
paper
2013A unified framework for testing in the linear regression model under unknown order of fractional integration In: CREATES Research Papers.
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paper0
2013A unified framework for testing in the linear regression model under unknown order of fractional integration.(2013) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 0
paper
2001S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend In: Journal of Time Series Analysis.
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article0
2007Empirical likelihood confidence intervals for the mean of a long‐range dependent process In: Journal of Time Series Analysis.
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article5
2005Empirical likelihood confidence intervals for the mean of a long-range dependent process.(2005) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 5
paper
2009Testing for a break in persistence under long‐range dependencies In: Journal of Time Series Analysis.
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article31
2007Testing for a break in persistence under long-range dependencies.(2007) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 31
paper
2013Weak identification in the ESTAR model and a new model In: Journal of Time Series Analysis.
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article0
2016Information criteria for nonlinear time series models In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2015Information Criteria for Nonlinear Time Series Models.(2015) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 0
paper
2009Tests of bias in log-periodogram regression In: Economics Letters.
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article11
2008Tests of Bias in Log-Periodogram Regression.(2008) In: Discussion Papers.
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This paper has another version. Agregated cites: 11
paper
2005Tests of Bias in Log-Periodogram Regression.(2005) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 11
paper
2016Inference on the long-memory properties of time series with non-stationary volatility In: Economics Letters.
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article3
2014Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility.(2014) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 3
paper
2018A simple test on structural change in long-memory time series In: Economics Letters.
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article1
2017A Simple Test on Structural Change in Long-Memory Time Series.(2017) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 1
paper
2006The power of the KPSS-test for cointegration when residuals are fractionally integrated In: Economics Letters.
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article0
2005The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated.(2005) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 0
paper
2004The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated.(2004) In: Technical Reports.
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paper
2005Generating schemes for long memory processes: regimes, aggregation and linearity In: Journal of Econometrics.
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article38
2002Generating schemes for long memory processes: Regimes, aggregation and linearity.(2002) In: Technical Reports.
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This paper has another version. Agregated cites: 38
paper
2018A multivariate test against spurious long memory In: Journal of Econometrics.
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article0
2015A Multivariate Test Against Spurious Long Memory.(2015) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 0
paper
2019Model order selection in periodic long memory models In: Econometrics and Statistics.
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article2
2020The memory of stock return volatility: Asset pricing implications In: Journal of Financial Markets.
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article0
2017The Memory of Stock Return Volatility: Asset Pricing Implications.(2017) In: Hannover Economic Papers (HEP).
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paper
2002On robust local polynomial estimation with long-memory errors In: International Journal of Forecasting.
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article7
2000On robust local polynomial estimation with long-memory errors.(2000) In: CoFE Discussion Papers.
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This paper has another version. Agregated cites: 7
paper
2000On robust local polynominal estimation with long-memory errors.(2000) In: Technical Reports.
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This paper has another version. Agregated cites: 7
paper
2014Testing for a break in the persistence in yield spreads of EMU government bonds In: Journal of Banking & Finance.
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article21
2013Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds.(2013) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 21
paper
2003Log-periodogram estimation of the memory parameter of a long-memory process under trend In: Statistics & Probability Letters.
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article5
2001Log-periodogram estimation of the memory parameter of a long-memory process under trend.(2001) In: Technical Reports.
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This paper has another version. Agregated cites: 5
paper
2018An Overview of Modified Semiparametric Memory Estimation Methods In: Econometrics.
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article0
2018An Overview of Modified Semiparametric Memory Estimation Methods.(2018) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 0
paper
2005Phillips-Perron-type unit root tests in the nonlinear ESTAR framework In: Hannover Economic Papers (HEP).
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paper14
2006Phillips-Perron-type unit root tests in the nonlinear ESTAR framework.(2006) In: AStA Advances in Statistical Analysis.
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This paper has another version. Agregated cites: 14
article
2006Divergence of credit valuation in Germany - Continuous theory and discrete practice - In: Hannover Economic Papers (HEP).
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2007Can we distinguish between common nonlinear time series models and long memory? In: Hannover Economic Papers (HEP).
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paper4
2008Measuring Model Risk In: Hannover Economic Papers (HEP).
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paper2
2008A Study on Spurious Long Memory in Nonlinear Time Series Models In: Hannover Economic Papers (HEP).
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paper5
2009Testing for a break in persistence under long-range dependencies and mean shifts In: Hannover Economic Papers (HEP).
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paper18
2012Testing for a break in persistence under long-range dependencies and mean shifts.(2012) In: Statistical Papers.
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This paper has another version. Agregated cites: 18
article
2009Testing for Long Memory Against ESTAR Nonlinearities In: Hannover Economic Papers (HEP).
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paper0
2010Identification problems in ESTAR models and a new model In: Hannover Economic Papers (HEP).
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paper2
2011The dynamics of real exchange rates - A reconsideration In: Hannover Economic Papers (HEP).
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2014THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION.(2014) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 4
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2011Modellrisiko = Spezifikation + Validierung In: Hannover Economic Papers (HEP).
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paper0
2011About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis. In: Hannover Economic Papers (HEP).
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paper0
2011Two competitive models and their identification problem: The ESTAR and TSTAR model In: Hannover Economic Papers (HEP).
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paper0
2012Estimating the number of mean shifts under long memory In: Hannover Economic Papers (HEP).
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paper0
2012A simple specification procedure for the transition function in persistent nonlinear time series models In: Hannover Economic Papers (HEP).
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paper1
2013Testing for Cointegration in a Double-LSTR Framework In: Hannover Economic Papers (HEP).
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paper0
2014Credit Risk Modeling under Conditional Volatility In: Hannover Economic Papers (HEP).
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paper0
2014Model Order Selection in Seasonal/Cyclical Long Memory Models In: Hannover Economic Papers (HEP).
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paper0
2015Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model In: Hannover Economic Papers (HEP).
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paper0
2017Origins of Spurious Long Memory In: Hannover Economic Papers (HEP).
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paper0
2017Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments In: Hannover Economic Papers (HEP).
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paper1
2019Change-in-mean tests in long-memory time series: a review of recent developments.(2019) In: AStA Advances in Statistical Analysis.
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This paper has another version. Agregated cites: 1
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2017Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks In: Hannover Economic Papers (HEP).
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paper0
2017The Memory of Volatility In: Hannover Economic Papers (HEP).
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paper1
2017Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern In: Hannover Economic Papers (HEP).
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paper0
2017The Long Memory of Equity Volatility: International Evidence In: Hannover Economic Papers (HEP).
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2018Integration and Disintegration of EMU Government Bond Markets In: Hannover Economic Papers (HEP).
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2018The Periodogram of Spurious Long-Memory Processes In: Hannover Economic Papers (HEP).
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2019A Comparison of Semiparametric Tests for Fractional Cointegration In: Hannover Economic Papers (HEP).
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2019Testing for breaks in the cointegrating relationship: On the stability of government bond markets equilibrium In: Hannover Economic Papers (HEP).
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2019Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium.(2019) In: Working Papers.
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This paper has another version. Agregated cites: 0
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2019Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration In: Hannover Economic Papers (HEP).
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paper0
2019The Memory of Beta Factors In: Hannover Economic Papers (HEP).
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2020The Long Memory of Equity Volatility and the Macroeconomy: International Evidence In: Hannover Economic Papers (HEP).
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paper0
2020The similarities in efficiency of universities and universities of applied sciences in Lower Saxony In: Hannover Economic Papers (HEP).
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2002Testing for Structural Changes in the Presence of Long Memory In: International Journal of Business and Economics.
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article35
2000Testing for structural change in the presence of long memory.(2000) In: Technical Reports.
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1999S-Estimation in the Linear Regression Model with Long-Memory Error Terms In: Computing in Economics and Finance 1999.
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paper1
2019Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany In: Annals of Operations Research.
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2004Long memory in volatilities of German stock returns In: Empirical Economics.
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article22
2001Long-memory in volatilities of German stock returns.(2001) In: Technical Reports.
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This paper has another version. Agregated cites: 22
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2003Book reviews In: Statistical Papers.
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article0
2004Book reviews In: Statistical Papers.
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2004Long memory versus structural breaks: An overview In: Statistical Papers.
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article27
2001Long-memory versus structural breaks: An overview.(2001) In: Technical Reports.
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This paper has another version. Agregated cites: 27
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2013Editors’ introduction In: Statistical Papers.
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2013Fractional integration versus level shifts: the case of realized asset correlations In: Statistical Papers.
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2000Nonparametric M-Estimation with Long-Memory Errors In: CoFE Discussion Papers.
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2000Nonparametric M-estimation with long-memory errors.(2000) In: Technical Reports.
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This paper has another version. Agregated cites: 0
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1998S-estimators in the linear regression model with long-memory error terms In: Technical Reports.
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1999S-estimation in the nonlinear regression model with long-memory error terms In: Technical Reports.
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paper2
2000Robust CUSUM-M test in the presence of long-memory disturbances In: Technical Reports.
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paper1
2001Robust tests on fractional cointegration In: Technical Reports.
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paper1
2001Long memory vs. structural change in financial time series In: Technical Reports.
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paper1
2001Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins In: Technical Reports.
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2003Distinguishing between long-range dependence and deterministic trends In: Technical Reports.
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2003An introduction to Markov chains for interested high school students In: Technical Reports.
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2004The cost for the default of a loan : Linking theory and practice In: Technical Reports.
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2004Recognizing mathematical talent : an approach using discriminant analysis In: Technical Reports.
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paper0
2004Pricing of options under different volatility models In: Technical Reports.
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paper3

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