10
H index
12
i10 index
420
Citations
Philipp Sibbertsen : Citation Profile
Leibniz Universität Hannover (50% share) | RESEARCH PRODUCTION: 43 Articles 88 Papers EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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26 years (1998 - 2024). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Philipp Sibbertsen. | Is cited by:
| Cites to:
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Main data
Where Philipp Sibbertsen has published?
| Journals with more than one article published | # docs |
|---|---|
| Economics Letters | 7 |
| Statistical Papers | 7 |
| Empirical Economics | 4 |
| Econometrics and Statistics | 2 |
| Journal of Banking & Finance | 2 |
| Journal of Econometrics | 2 |
| Applied Economics Letters | 2 |
| AStA Advances in Statistical Analysis | 2 |
| Econometrics | 2 |
Recent works citing Philipp Sibbertsen (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Testing for long-range dependence in non-stationary time series time-varying regression. (2021). Wu, Weichi ; Bai, Lujia. In: Papers. RePEc:arx:papers:2110.08089. Full description at Econpapers || Download paper |
| 2024 | Modelling 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. Full description at Econpapers || Download paper |
| 2023 | Seasonality 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. Full description at Econpapers || Download paper |
| 2024 | Review 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. Full description at Econpapers || Download paper |
| 2024 | Combining 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. Full description at Econpapers || Download paper |
| 2023 | Time-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. Full description at Econpapers || Download paper |
| 2023 | Herding 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. Full description at Econpapers || Download paper |
| 2023 | Efficiency 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. Full description at Econpapers || Download paper |
| 2023 | Predicting 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. Full description at Econpapers || Download paper |
| 2023 | Persistence 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. Full description at Econpapers || Download paper |
| 2023 | Long-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. Full description at Econpapers || Download paper |
| 2023 | Long 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. Full description at Econpapers || Download paper |
| 2023 | An 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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Precautionary Saving and Liquidity Shortage. (2023). Hu, Zirun ; He, Guohua. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:3:p:2373-:d:1049389. Full description at Econpapers || Download paper |
| 2023 | FIEGARCH, 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. Full description at Econpapers || Download paper |
| 2023 | Approximating 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. Full description at Econpapers || Download paper |
| 2023 | Linear 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. Full description at Econpapers || Download paper |
Philipp Sibbertsen has edited the books:
| Year | Title | Type | Cited |
|---|
Works by Philipp Sibbertsen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2009 | What do we know about real exchange rate non-linearities? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 10 |
| 2010 | What do we know about real exchange rate nonlinearities?.(2010) In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
| 2012 | What do we know about real exchange rate nonlinearities?.(2012) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | article | |
| 2009 | Forecasting long memory time series under a break in persistence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2009 | Forecasting long memory time series under a break in persistence.(2009) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2010 | Long memory and changing persistence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2012 | Long memory and changing persistence.(2012) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2010 | Long memory and changing persistence.(2010) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2012 | On tests for linearity against STAR models with deterministic trends In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | On tests for linearity against STAR models with deterministic trends.(2012) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2012 | On tests for linearity against STAR models with deterministic trends.(2012) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2013 | A unified framework for testing in the linear regression model under unknown order of fractional integration In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | A unified framework for testing in the linear regression model under unknown order of fractional integration.(2013) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2024 | Testing for a Forecast Accuracy Breakdown under Long Memory In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Weak identification in the ESTAR model and a new model In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 0 |
| 2016 | Information criteria for nonlinear time series models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2015 | Information Criteria for Nonlinear Time Series Models.(2015) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2024 | Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data In: UC3M Working papers. Economics. [Full Text][Citation analysis] | paper | 0 |
| 2024 | Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data.(2024) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2009 | Tests of bias in log-periodogram regression In: Economics Letters. [Full Text][Citation analysis] | article | 15 |
| 2008 | Tests of Bias in Log-Periodogram Regression.(2008) In: Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2005 | Tests of Bias in Log-Periodogram Regression.(2005) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | paper | |
| 2016 | Inference on the long-memory properties of time series with non-stationary volatility In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2014 | Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility.(2014) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2018 | A simple test on structural change in long-memory time series In: Economics Letters. [Full Text][Citation analysis] | article | 5 |
| 2017 | A Simple Test on Structural Change in Long-Memory Time Series.(2017) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2020 | Distinguishing between breaks in the mean and breaks in persistence under long memory In: Economics Letters. [Full Text][Citation analysis] | article | 2 |
| 2006 | The power of the KPSS-test for cointegration when residuals are fractionally integrated In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2005 | The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated.(2005) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2004 | The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated.(2004) In: Technical Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2005 | Generating schemes for long memory processes: regimes, aggregation and linearity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 47 |
| 2002 | Generating schemes for long memory processes: Regimes, aggregation and linearity.(2002) In: Technical Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 47 | paper | |
| 2018 | A multivariate test against spurious long memory In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2015 | A Multivariate Test Against Spurious Long Memory.(2015) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2021 | Cyclical fractional cointegration In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 2019 | Model order selection in periodic long memory models In: Econometrics and Statistics. [Full Text][Citation analysis] | article | 11 |
| 2020 | The memory of stock return volatility: Asset pricing implications In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 2 |
| 2017 | The Memory of Stock Return Volatility: Asset Pricing Implications.(2017) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2002 | On robust local polynomial estimation with long-memory errors In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 8 |
| 2000 | On robust local polynomial estimation with long-memory errors.(2000) In: CoFE Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2000 | On robust local polynominal estimation with long-memory errors.(2000) In: Technical Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
| 2021 | The memory of beta In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 1 |
| 2014 | Testing for a break in the persistence in yield spreads of EMU government bonds In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 35 |
| 2013 | Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds.(2013) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | paper | |
| 2003 | Log-periodogram estimation of the memory parameter of a long-memory process under trend In: Statistics & Probability Letters. [Full Text][Citation analysis] | article | 5 |
| 2001 | Log-periodogram estimation of the memory parameter of a long-memory process under trend.(2001) In: Technical Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2018 | An Overview of Modified Semiparametric Memory Estimation Methods In: Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2018 | An Overview of Modified Semiparametric Memory Estimation Methods.(2018) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2021 | Integration and Disintegration of EMU Government Bond Markets In: Econometrics. [Full Text][Citation analysis] | article | 3 |
| 2018 | Integration and Disintegration of EMU Government Bond Markets.(2018) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2020 | Volatility Transmission across Financial Markets: A Semiparametric Analysis In: JRFM. [Full Text][Citation analysis] | article | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 2021 | Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights.(2021) In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2005 | Phillips-Perron-type unit root tests in the nonlinear ESTAR framework In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 15 |
| 2006 | Phillips-Perron-type unit root tests in the nonlinear ESTAR framework.(2006) In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | article | |
| 2005 | Empirical likelihood confidence intervals for the mean of a long-range dependent process In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2006 | Divergence of credit valuation in Germany - Continuous theory and discrete practice - In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2007 | Can we distinguish between common nonlinear time series models and long memory? In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 5 |
| 2007 | Testing for a break in persistence under long-range dependencies In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 22 |
| 2008 | Measuring Model Risk In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 5 |
| 2008 | A Study on Spurious Long Memory in Nonlinear Time Series Models In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 9 |
| 2009 | Testing for a break in persistence under long-range dependencies and mean shifts In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 26 |
| 2012 | Testing for a break in persistence under long-range dependencies and mean shifts.(2012) In: Statistical Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2009 | Testing for Long Memory Against ESTAR Nonlinearities In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2010 | Identification problems in ESTAR models and a new model In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 4 |
| 2011 | The dynamics of real exchange rates - A reconsideration In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 4 |
| 2014 | THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2011 | Modellrisiko = Spezifikation + Validierung In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2011 | About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis. In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2011 | Two competitive models and their identification problem: The ESTAR and TSTAR model In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2012 | Estimating the number of mean shifts under long memory In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2012 | A simple specification procedure for the transition function in persistent nonlinear time series models In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 1 |
| 2013 | Testing for Cointegration in a Double-LSTR Framework In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2014 | Credit Risk Modeling under Conditional Volatility In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2014 | Model Order Selection in Seasonal/Cyclical Long Memory Models In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2015 | Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2017 | Origins of Spurious Long Memory In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2017 | Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 8 |
| 2019 | Change-in-mean tests in long-memory time series: a review of recent developments.(2019) In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
| 2017 | Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2017 | The Memory of Volatility In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 4 |
| 2017 | Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2017 | The Long Memory of Equity Volatility: International Evidence In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2018 | The Periodogram of Spurious Long-Memory Processes In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2019 | A Comparison of Semiparametric Tests for Fractional Cointegration In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2021 | A comparison of semiparametric tests for fractional cointegration.(2021) In: Statistical Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2019 | Testing for breaks in the cointegrating relationship: On the stability of government bond markets equilibrium In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 1 |
| 2019 | Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium.(2019) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2019 | Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2019 | The Memory of Beta Factors In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2020 | The Long Memory of Equity Volatility and the Macroeconomy: International Evidence In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 2 |
| 2020 | The similarities in efficiency of universities and universities of applied sciences in Lower Saxony In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2021 | Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2023 | Measuring macroeconomic convergence and divergence within EMU using long memory.(2023) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2020 | Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2021 | Do algebraic numbers follow Khinchins Law? In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2022 | Roths Theorem implies a Weakened Version of the ABC Conjecture for Special Cases In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2022 | Estimation and Testing in a Perturbed Multivariate Long Memory Framework In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2022 | Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2023 | Optimal forecasts in the presence of discrete structural breaks under long memory.(2023) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2023 | Spatial autoregressive fractionally integrated moving average model In: Hannover Economic Papers (HEP). [Full Text][Citation analysis] | paper | 0 |
| 2002 | Testing for Structural Changes in the Presence of Long Memory In: International Journal of Business and Economics. [Full Text][Citation analysis] | article | 36 |
| 2000 | Testing for structural change in the presence of long memory.(2000) In: Technical Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 36 | paper | |
| 2023 | Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates In: Open Economies Review. [Full Text][Citation analysis] | article | 0 |
| 2024 | Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle In: Review of Derivatives Research. [Full Text][Citation analysis] | article | 0 |
| 1999 | S-Estimation in the Linear Regression Model with Long-Memory Error Terms In: Computing in Economics and Finance 1999. [Citation analysis] | paper | 1 |
| 2019 | Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany In: Annals of Operations Research. [Full Text][Citation analysis] | article | 5 |
| 2004 | Long memory in volatilities of German stock returns In: Empirical Economics. [Full Text][Citation analysis] | article | 27 |
| 2001 | Long-memory in volatilities of German stock returns.(2001) In: Technical Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
| 2021 | Modeling fractional cointegration between high and low stock prices in Asian countries In: Empirical Economics. [Full Text][Citation analysis] | article | 0 |
| 2003 | Book reviews In: Statistical Papers. [Full Text][Citation analysis] | article | 0 |
| 2004 | Book reviews In: Statistical Papers. [Full Text][Citation analysis] | article | 0 |
| 2004 | Long memory versus structural breaks: An overview In: Statistical Papers. [Full Text][Citation analysis] | article | 44 |
| 2001 | Long-memory versus structural breaks: An overview.(2001) In: Technical Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 44 | paper | |
| 2013 | Editors’ introduction In: Statistical Papers. [Full Text][Citation analysis] | article | 0 |
| 2013 | Fractional integration versus level shifts: the case of realized asset correlations In: Statistical Papers. [Full Text][Citation analysis] | article | 6 |
| 2020 | Can google trends improve sales forecasts on a product level? In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2020 | Seasonality robust local whittle estimation In: Applied Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2000 | Nonparametric M-Estimation with Long-Memory Errors In: CoFE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Nonparametric M-estimation with long-memory errors.(2000) In: Technical Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 1998 | S-estimators in the linear regression model with long-memory error terms In: Technical Reports. [Full Text][Citation analysis] | paper | 0 |
| 1999 | S-estimation in the nonlinear regression model with long-memory error terms In: Technical Reports. [Full Text][Citation analysis] | paper | 2 |
| 2000 | Robust CUSUM-M test in the presence of long-memory disturbances In: Technical Reports. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Robust tests on fractional cointegration In: Technical Reports. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Long memory vs. structural change in financial time series In: Technical Reports. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins In: Technical Reports. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Distinguishing between long-range dependence and deterministic trends In: Technical Reports. [Full Text][Citation analysis] | paper | 10 |
| 2003 | An introduction to Markov chains for interested high school students In: Technical Reports. [Full Text][Citation analysis] | paper | 0 |
| 2004 | The cost for the default of a loan : Linking theory and practice In: Technical Reports. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Recognizing mathematical talent : an approach using discriminant analysis In: Technical Reports. [Full Text][Citation analysis] | paper | 0 |
| 2004 | Pricing of options under different volatility models In: Technical Reports. [Full Text][Citation analysis] | paper | 3 |
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