Philipp Sibbertsen : Citation Profile


Are you Philipp Sibbertsen?

Leibniz Universität Hannover (50% share)

10

H index

12

i10 index

438

Citations

RESEARCH PRODUCTION:

47

Articles

86

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   26 years (1998 - 2024). See details.
   Cites by year: 16
   Journals where Philipp Sibbertsen has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 59 (11.87 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/psi133
   Updated: 2024-07-05    RAS profile: 2024-07-05    
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Relations with other researchers


Works with:

Leschinski, Christian (7)

Prokopczuk, Marcel (4)

Dräger, Lena (3)

Rodrigues, Paulo (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 (43)

Kruse, Robinson (23)

Mayoral, Laura (17)

Caporale, Guglielmo Maria (13)

Rodrigues, Paulo (11)

Miller, Stephen (10)

Frömmel, Michael (10)

Canarella, Giorgio (9)

Hassler, Uwe (9)

Nautz, Dieter (8)

Ozdemir, Zeynel (8)

Cites to:

Perron, Pierre (63)

Nielsen, Morten (54)

Bollerslev, Tim (43)

Diebold, Francis (34)

Qu, Zhongjun (32)

Hurvich, Clifford (31)

Shimotsu, Katsumi (29)

Arteche, Josu (28)

Taylor, Mark (26)

Leybourne, Stephen (24)

Sarno, Lucio (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 Economics4
Econometrics2
Applied Economics Letters2
AStA Advances in Statistical Analysis2
Journal of Banking & Finance2
Econometrics and Statistics2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Hannover Economic Papers (HEP) / Leibniz Universitt Hannover, Wirtschaftswissenschaftliche Fakultt56
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 (2024 and 2023)


YearTitle of citing document
2023Testing 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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2024Modelling cycles in climate series: The fractional sinusoidal waveform process. (2024). Proietti, Tommaso ; Maddanu, Federico. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622000987.

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2023Seasonality in High Frequency Time Series. (2023). Proietti, Tommaso ; Pedregal, Diego J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:62-82.

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2024Review and comparison of measures of explained variation and model selection in linear mixed-effects models. (2024). Ghisletta, Paolo ; Jacot, Nadege ; Cantoni, Eva. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:150-168.

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2024Combining Long and Short Memory in Time Series Models: the Role of Asymptotic Correlations of the MLEs. (2024). Cho, Dooyeon ; Baillie, Richard T ; Rho, Seunghwa. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:88-112.

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2023Time-varying bond market integration and the impact of financial crises. (2023). Hyde, Stuart ; Cho, Sungjun ; Qin, Weiping. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004258.

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2023Herding behavior and the dynamics of ESG performance in the European banking industry. (2023). Wang, Qishu. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010127.

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2023Efficiency dynamics across segmented Bitcoin Markets: Evidence from a decomposition strategy. (2023). Mishra, Tapas ; Satchell, Stephen ; Gao, Yang ; Duan, Kun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s1042443123000100.

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2023Predicting mobility using limited data during early stages of a pandemic. (2023). Araz, Ozgur M ; Sajeesh, S ; Lash, Michael T. In: Journal of Business Research. RePEc:eee:jbrese:v:157:y:2023:i:c:s0148296322008785.

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2023Persistence and long run co-movements across stock market prices. (2023). Martin-Valmayor, Miguel Angel ; Infante, Juan ; Gil-Alana, Luis A. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:89:y:2023:i:c:p:347-357.

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2023Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies. (2023). Yunus, Nafeesa. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:211-232.

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2023Long memory in the high frequency cryptocurrency markets using fractal connectivity analysis: The impact of COVID-19. (2023). Bhandari, Avishek ; Yousaf, Imran ; Mokni, Khaled ; Assaf, Ata. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002070.

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2023An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia. (2023). Hensher, David A ; Zeng, Jingjing ; Li, Zheng. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:169:y:2023:i:c:s0965856423000149.

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2023.

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2023.

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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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2023FIEGARCH, modulus asymmetric FILog-GARCH and trend-stationary dual long memory time series. (2023). Letmathe, Sebastian ; Gries, Thomas ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:156.

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2023Approximating long-memory processes with low-order autoregressions: Implications for modeling realized volatility. (2023). Cho, Dooyeon ; Rho, Seunghwa ; Baillie, Richard T. In: Empirical Economics. RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-022-02357-8.

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2023Linear approximation of the Threshold AutoRegressive model: an application to order estimation. (2023). Vitale, Cosimo Damiano ; Niglio, Marcella ; Giordano, Francesco. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:32:y:2023:i:1:d:10.1007_s10260-022-00638-1.

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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 nother 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 nother version. Agregated cites: 10
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 nother version. Agregated cites: 3
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 nother version. Agregated cites: 4
article
2010Long memory and changing persistence.(2010) In: Hannover Economic Papers (HEP).
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This paper has nother 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 nother 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 nother 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 nother 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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article6
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 nother version. Agregated cites: 6
paper
2009Testing for a break in persistence under long?range dependencies In: Journal of Time Series Analysis.
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article41
2007Testing for a break in persistence under long-range dependencies.(2007) In: Hannover Economic Papers (HEP).
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This paper has nother version. Agregated cites: 41
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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article4
2015Information Criteria for Nonlinear Time Series Models.(2015) In: Hannover Economic Papers (HEP).
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This paper has nother version. Agregated cites: 4
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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This paper has nother version. Agregated cites: 14
paper
2005Tests of Bias in Log-Periodogram Regression.(2005) In: Hannover Economic Papers (HEP).
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This paper has nother version. Agregated cites: 14
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 nother 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 nother 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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article2
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 nother 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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This paper has nother version. Agregated cites: 0
paper
2005Generating schemes for long memory processes: regimes, aggregation and linearity In: Journal of Econometrics.
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article47
2002Generating schemes for long memory processes: Regimes, aggregation and linearity.(2002) In: Technical Reports.
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This paper has nother version. Agregated cites: 47
paper
2018A multivariate test against spurious long memory In: Journal of Econometrics.
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article5
2015A Multivariate Test Against Spurious Long Memory.(2015) In: Hannover Economic Papers (HEP).
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This paper has nother version. Agregated cites: 5
paper
2021Cyclical fractional cointegration In: Econometrics and Statistics.
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article2
2019Model order selection in periodic long memory models In: Econometrics and Statistics.
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article10
2020The memory of stock return volatility: Asset pricing implications In: Journal of Financial Markets.
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article2
2017The Memory of Stock Return Volatility: Asset Pricing Implications.(2017) In: Hannover Economic Papers (HEP).
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This paper has nother version. Agregated cites: 2
paper
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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This paper has nother version. Agregated cites: 8
paper
2000On robust local polynominal estimation with long-memory errors.(2000) In: Technical Reports.
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This paper has nother version. Agregated cites: 8
paper
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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article34
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 nother version. Agregated cites: 34
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 nother version. Agregated cites: 5
paper
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 nother version. Agregated cites: 1
paper
2021Integration and Disintegration of EMU Government Bond Markets In: Econometrics.
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article2
2018Integration and Disintegration of EMU Government Bond Markets.(2018) In: Hannover Economic Papers (HEP).
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This paper has nother version. Agregated cites: 2
paper
2020Volatility Transmission across Financial Markets: A Semiparametric Analysis In: JRFM.
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article0
In: .
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article0
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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This paper has nother 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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paper15
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 nother version. Agregated cites: 15
article
2006Divergence of credit valuation in Germany - Continuous theory and discrete practice - In: Hannover Economic Papers (HEP).
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paper0
2007Can we distinguish between common nonlinear time series models and long memory? In: Hannover Economic Papers (HEP).
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paper5
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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paper9
2009Testing for a break in persistence under long-range dependencies and mean shifts In: Hannover Economic Papers (HEP).
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paper26
2012Testing for a break in persistence under long-range dependencies and mean shifts.(2012) In: Statistical Papers.
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This paper has nother version. Agregated cites: 26
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 nother version. Agregated cites: 4
article
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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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 nother version. Agregated cites: 8
article
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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paper4
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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paper0
2018The Periodogram of Spurious Long-Memory Processes In: Hannover Economic Papers (HEP).
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paper0
2019A Comparison of Semiparametric Tests for Fractional Cointegration In: Hannover Economic Papers (HEP).
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paper0
2021A comparison of semiparametric tests for fractional cointegration.(2021) In: Statistical Papers.
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This paper has nother version. Agregated cites: 0
article
2019Testing for breaks in the cointegrating relationship: On the stability of government bond markets equilibrium In: Hannover Economic Papers (HEP).
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paper1
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 nother version. Agregated cites: 1
paper
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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paper2
2020The similarities in efficiency of universities and universities of applied sciences in Lower Saxony In: Hannover Economic Papers (HEP).
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paper0
2021Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory In: Hannover Economic Papers (HEP).
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paper0
2023Measuring macroeconomic convergence and divergence within EMU using long memory.(2023) In: Empirical Economics.
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This paper has nother version. Agregated cites: 0
article
2020Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series In: Hannover Economic Papers (HEP).
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paper0
2021Do algebraic numbers follow Khinchins Law? In: Hannover Economic Papers (HEP).
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paper0
2022Roths Theorem implies a Weakened Version of the ABC Conjecture for Special Cases In: Hannover Economic Papers (HEP).
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2022Estimation and Testing in a Perturbed Multivariate Long Memory Framework In: Hannover Economic Papers (HEP).
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2022Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory In: Hannover Economic Papers (HEP).
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2023Optimal forecasts in the presence of discrete structural breaks under long memory.(2023) In: Journal of Forecasting.
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This paper has nother version. Agregated cites: 0
article
2023Spatial autoregressive fractionally integrated moving average model In: Hannover Economic Papers (HEP).
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paper0
2024Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data 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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article36
2000Testing for structural change in the presence of long memory.(2000) In: Technical Reports.
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This paper has nother version. Agregated cites: 36
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2023Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates In: Open Economies Review.
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article0
2024Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle In: Review of Derivatives Research.
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article0
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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article5
2004Long memory in volatilities of German stock returns In: Empirical Economics.
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article26
2001Long-memory in volatilities of German stock returns.(2001) In: Technical Reports.
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This paper has nother version. Agregated cites: 26
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2021Modeling fractional cointegration between high and low stock prices in Asian countries In: Empirical Economics.
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article0
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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article42
2001Long-memory versus structural breaks: An overview.(2001) In: Technical Reports.
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This paper has nother version. Agregated cites: 42
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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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article6
2020Can google trends improve sales forecasts on a product level? In: Applied Economics Letters.
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article1
2020Seasonality robust local whittle estimation In: Applied Economics Letters.
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article0
2000Nonparametric M-Estimation with Long-Memory Errors In: CoFE Discussion Papers.
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paper0
2000Nonparametric M-estimation with long-memory errors.(2000) In: Technical Reports.
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This paper has nother 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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paper0
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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paper0
2003Distinguishing between long-range dependence and deterministic trends In: Technical Reports.
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paper10
2003An introduction to Markov chains for interested high school students In: Technical Reports.
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paper0
2004The cost for the default of a loan : Linking theory and practice In: Technical Reports.
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paper1
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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