Philipp Sibbertsen : Citation Profile


Are you Philipp Sibbertsen?

Leibniz Universität Hannover (50% share)

10

H index

11

i10 index

409

Citations

RESEARCH PRODUCTION:

43

Articles

82

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   24 years (1998 - 2022). See details.
   Cites by year: 17
   Journals where Philipp Sibbertsen has often published
   Relations with other researchers
   Recent citing documents: 47.    Total self citations: 54 (11.66 %)

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   Permalink: http://citec.repec.org/psi133
   Updated: 2023-03-25    RAS profile: 2022-10-13    
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Relations with other researchers


Works with:

Leschinski, Christian (16)

Prokopczuk, Marcel (6)

Wenger, Kai (5)

Rodrigues, Paulo (2)

Stöver, Britta (2)

Dräger, Lena (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 (39)

Kruse, Robinson (21)

Mayoral, Laura (17)

Caporale, Guglielmo Maria (12)

Rodrigues, Paulo (10)

Frömmel, Michael (10)

Miller, Stephen (10)

Canarella, Giorgio (9)

Hassler, Uwe (9)

tansel, aysıt (8)

Ozdemir, Zeynel (8)

Cites to:

Nielsen, Morten (53)

Perron, Pierre (50)

Bollerslev, Tim (43)

Diebold, Francis (31)

Arteche, Josu (27)

Shimotsu, Katsumi (26)

Hurvich, Clifford (26)

Taylor, Mark (25)

Qu, Zhongjun (25)

Leybourne, Stephen (24)

Taylor, Robert (23)

Main data


Where Philipp Sibbertsen has published?


Journals with more than one article published# docs
Statistical Papers7
Economics Letters7
Journal of Time Series Analysis4
Empirical Economics3
AStA Advances in Statistical Analysis2
Journal of Banking & Finance2
Econometrics2
Journal of Econometrics2
Applied Economics Letters2
Econometrics and Statistics2

Working Papers Series with more than one paper published# docs
Hannover Economic Papers (HEP) / Leibniz Universitt Hannover, Wirtschaftswissenschaftliche Fakultt52
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 (2022 and 2021)


YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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2022Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089.

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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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2022Autoregressive spectral estimates under ignored changes in the mean. (2022). Hosseinkouchack, Mehdi ; Demetrescu, Matei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:329-340.

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2021The Covid-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields. (2021). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Poza, Carlos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8976.

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2021Fixed-bandwidth CUSUM tests under long memory. (2021). Leschinski, Christian ; Wenger, Kai. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:46-61.

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2021A mixed-integer linear programming approach for the T-row and the multi-bay facility layout problem. (2021). Dahlbeck, Mirko. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:443-462.

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2022Multivariate long memory structure in the cryptocurrency market: The impact of COVID-19. (2022). Demir, Ender ; Bhandari, Avishek ; Assaf, Ata ; Charif, Husni. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001004.

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2021Safe haven in GFC versus COVID-19: 100 turbulent days in the financial markets. (2021). Choudhury, Tonmoy ; Campbell, Ross ; Kinateder, Harald. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000325.

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2022How to identify the different phases of stock market bubbles statistically?. (2022). Horvath, Lajos ; Liu, Zhenya. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s154461232100369x.

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2022Greenwashing and credit spread: Evidence from the Chinese green bond market. (2022). Xu, Guoquan ; Lu, Nuotian ; Tong, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001830.

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2022Join the club! Dynamics of global ESG indices convergence. (2022). Kruse-Becher, Robinson ; Kerkemeier, Marco. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003099.

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2022Stochastic structure of metal prices: Evidence from fractional integration non-linearities and breaks. (2022). Tripathy, Trilochan ; Aikins, Emmanuel Joel ; Gil-Alana, Luis A. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s0301420722003543.

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2022The COVID-19 pandemic and the degree of persistence of US stock prices and bond yields. (2022). Poza, Carlos ; Gil-Alana, Luis Alberiko ; Caporale, Guglielmo Maria. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:86:y:2022:i:c:p:118-123.

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2022.

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2022.

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2021.

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2022Understanding of Macro Factors That Affect Yield of Government Bonds. (2022). Kopeykin, Maxim ; Koroleva, Ekaterina. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:8:p:166-:d:891111.

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2021The Impact of COVID-19 on Bank Equity and Performance: The Case of Central Eastern South European Countries. (2021). Kozak, Sylwester. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:19:p:11036-:d:650265.

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2023Precautionary Saving and Liquidity Shortage. (2023). Hu, Zirun ; He, Guohua. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2373-:d:1049389.

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2021Macroeconomic and policy implications of eurobonds. (2021). Badarau, Cristina ; Huart, Florence ; Sangare, I. In: Post-Print. RePEc:hal:journl:hal-03407523.

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2022Estimation and Testing in a Perturbed Multivariate Long Memory Framework. (2022). Sibbertsen, Philipp ; Less, Vivien. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-704.

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2022Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory. (2022). Sibbertsen, Philipp ; Mboya, Mwasi. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-705.

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2021Credit-to-GDP ratios. Non-linear trends and persistence: Evidence from 44 OECD economies. (2021). Gil-Alana, Luis ; Cuestas, Juan ; Malmierca, Maria. In: Working Papers. RePEc:jau:wpaper:2021/05.

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2022Unemployment hysteresis by sex and education attainment in the EU. (2022). Gil-Alana, Luis ; Cuestas, Juan. In: Working Papers. RePEc:jau:wpaper:2022/06.

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2021Functional Fuzzy Rule-Based Modeling for Interval-Valued Data: An Empirical Application for Exchange Rates Forecasting. (2021). Ballini, Rosangela ; MacIel, Leandro. In: Computational Economics. RePEc:kap:compec:v:57:y:2021:i:2:d:10.1007_s10614-020-09978-0.

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2022Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR. (2022). Rodríguez, Gabriel ; Rodriguez, Gabriel ; Saravia, Alexander Boca. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:55:y:2022:i:3:d:10.1007_s10644-021-09374-0.

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2022Market and model risks: a feasible joint estimate methodology. (2022). Segovia, Ana I ; Ibaez, Eva M ; Gonzalez-Sanchez, Mariano. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:3:d:10.1057_s41283-022-00090-1.

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2021Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process. (2021). Proietti, Tommaso ; Maddanu, Federico. In: CEIS Research Paper. RePEc:rtv:ceisrp:518.

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2021Persistence and cyclical dynamics of US and UK house prices: Evidence from over 150 years of data. (2021). GUPTA, RANGAN ; Gil-Alana, Luis ; Miller, Stephen M ; Canarella, Giorgio. In: Urban Studies. RePEc:sae:urbstu:v:58:y:2021:i:1:p:53-72.

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2022A harmonically weighted filter for cyclical long memory processes. (2022). Maddanu, Federico. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:106:y:2022:i:1:d:10.1007_s10182-021-00394-9.

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2021Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises. (2021). Kunze, Frederik ; Basse, Tobias ; Wegener, Christoph ; Stege, Nikolas. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03762-x.

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2021Monitoring memory parameter change-points in long-memory time series. (2021). Chen, Zhanshou ; Li, Fuxiao ; Xiao, Yanting. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:5:d:10.1007_s00181-020-01840-4.

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2022Tests for segmented cointegration: an application to US governments budgets. (2022). , Paulo ; Martins, Luis F. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:2:d:10.1007_s00181-021-02156-7.

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2022True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods. (2022). Mokni, Khaled ; Gil-Alana, Luis Alberiko ; Assaf, Ata. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:3:d:10.1007_s00181-021-02165-6.

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2021Modeling Bitcoin price volatility: long memory vs Markov switching. (2021). Chkili, Walid. In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:3:d:10.1007_s40822-021-00180-7.

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2021Long Memory and Fractality Among Global Equity Markets: a Multivariate Wavelet Approach. (2021). Kamaiah, Bandi ; Bhandari, Avishek. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:19:y:2021:i:1:d:10.1007_s40953-020-00220-0.

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2021An empirical study on the parsimony and descriptive power of TARMA models. (2021). Goracci, Greta. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00516-8.

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2021A new time-varying model for forecasting long-memory series. (2021). Grigoletto, Matteo ; Bisaglia, Luisa. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:1:d:10.1007_s10260-020-00517-7.

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2021Estimating multiple breaks in mean sequentially with fractionally integrated errors. (2021). Pang, Tianxiao. In: Statistical Papers. RePEc:spr:stpapr:v:62:y:2021:i:1:d:10.1007_s00362-019-01104-z.

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2022On nonparametric regression for bivariate circular long-memory time series. (2022). Ghosh, Sucharita ; Steffens, Britta ; Beran, Jan. In: Statistical Papers. RePEc:spr:stpapr:v:63:y:2022:i:1:d:10.1007_s00362-021-01228-1.

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2021Bootstrapping regression models with locally stationary disturbances. (2021). Muoz, Joel ; Vilar, Jose A ; Mateu, Jorge ; Ferreira, Guillermo. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:30:y:2021:i:2:d:10.1007_s11749-020-00721-3.

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2021Information in daily data volatility measurements. (2021). Kawakatsu, Hiroyuki. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1642-1656.

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2021Mapping US presidential terms with S&P500 index: Time series analysis approach. (2021). YAYA, OLAOLUWA ; Ogbonna, Ahamuefula ; Mudida, Robert ; Osuolale, Kazeem A ; Gilalana, Luis A. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:1938-1954.

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2021Estimating the volatility of asset pricing factors. (2021). Leschinski, Christian ; Becker, Janis. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:269-278.

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2022Do sentiment indices always improve the prediction accuracy of exchange rates?. (2022). Takeda, Fumiko ; Ito, Takumi. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:4:p:840-852.

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2022A review of some recent developments in the modelling and seasonal adjustment of infra-monthly time series. (2022). Webel, Karsten. In: Discussion Papers. RePEc:zbw:bubdps:312022.

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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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paper10
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: 10
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: 10
article
2009Forecasting long memory time series under a break in persistence In: CREATES Research Papers.
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paper4
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: 4
paper
2010Long memory and changing persistence In: CREATES Research Papers.
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paper4
2012Long memory and changing persistence.(2012) In: Economics Letters.
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This paper has another version. Agregated cites: 4
article
2010Long memory and changing persistence.(2010) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 4
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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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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article40
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: 40
paper
2013Weak identification in the ESTAR model and a new model In: Journal of Time Series Analysis.
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article0
2022Real Exchange Rates and Fundamentals in a new Markov?STAR Model In: Oxford Bulletin of Economics and Statistics.
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article0
2016Information criteria for nonlinear time series models In: Studies in Nonlinear Dynamics & Econometrics.
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article3
2015Information Criteria for Nonlinear Time Series Models.(2015) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 3
paper
2009Tests of bias in log-periodogram regression In: Economics Letters.
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article14
2008Tests of Bias in Log-Periodogram Regression.(2008) In: Discussion Papers.
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2005Tests of Bias in Log-Periodogram Regression.(2005) In: Hannover Economic Papers (HEP).
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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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article5
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: 5
paper
2020Distinguishing between breaks in the mean and breaks in persistence under long memory In: Economics Letters.
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article1
2006The power of the KPSS-test for cointegration when residuals are fractionally integrated In: Economics Letters.
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2005The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated.(2005) In: Hannover Economic Papers (HEP).
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2004The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated.(2004) In: Technical Reports.
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2005Generating schemes for long memory processes: regimes, aggregation and linearity In: Journal of Econometrics.
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article46
2002Generating schemes for long memory processes: Regimes, aggregation and linearity.(2002) In: Technical Reports.
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2018A multivariate test against spurious long memory In: Journal of Econometrics.
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2015A Multivariate Test Against Spurious Long Memory.(2015) In: Hannover Economic Papers (HEP).
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2021Cyclical fractional cointegration In: Econometrics and Statistics.
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article1
2019Model order selection in periodic long memory models In: Econometrics and Statistics.
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article6
2020The memory of stock return volatility: Asset pricing implications In: Journal of Financial Markets.
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article1
2017The Memory of Stock Return Volatility: Asset Pricing Implications.(2017) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 1
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2002On robust local polynomial estimation with long-memory errors In: International Journal of Forecasting.
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article8
2000On robust local polynomial estimation with long-memory errors.(2000) In: CoFE Discussion Papers.
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2000On robust local polynominal estimation with long-memory errors.(2000) In: Technical Reports.
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2021The memory of beta In: Journal of Banking & Finance.
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article1
2014Testing for a break in the persistence in yield spreads of EMU government bonds In: Journal of Banking & Finance.
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article30
2013Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds.(2013) In: Hannover Economic Papers (HEP).
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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
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2018An Overview of Modified Semiparametric Memory Estimation Methods In: Econometrics.
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article1
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: 1
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2021Integration and Disintegration of EMU Government Bond Markets In: Econometrics.
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2018Integration and Disintegration of EMU Government Bond Markets.(2018) In: Hannover Economic Papers (HEP).
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2020Volatility Transmission across Financial Markets: A Semiparametric Analysis In: JRFM.
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In: .
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2021Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights.(2021) In: Hannover Economic Papers (HEP).
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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
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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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2008Measuring Model Risk In: Hannover Economic Papers (HEP).
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paper5
2008A Study on Spurious Long Memory in Nonlinear Time Series Models In: Hannover Economic Papers (HEP).
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paper6
2009Testing for a break in persistence under long-range dependencies and mean shifts In: Hannover Economic Papers (HEP).
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paper24
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: 24
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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paper4
2011The dynamics of real exchange rates - A reconsideration In: Hannover Economic Papers (HEP).
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paper4
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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2011Two competitive models and their identification problem: The ESTAR and TSTAR model In: Hannover Economic Papers (HEP).
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2012Estimating the number of mean shifts under long memory In: Hannover Economic Papers (HEP).
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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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2015Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model In: Hannover Economic Papers (HEP).
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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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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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