Publikationen
Arbeitspapiere
Referierte Fachzeitschriften
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(2024): Defining an exposure index along the Schleswig-Holstein Baltic Sea coast, Marine Geology, Volume 476, 107382
DOI: https://doi.org/10.1016/j.margeo.2024.107382 -
(2024): The stability of government bond markets’ equilibrium and the interdependence of lending rates, Empirical Economics More info
DOI: https://doi.org/10.1007/s00181-024-02623-x -
(2023): Volatility-Dependent Probability Weighting and the Dynamics of the Pricing Kernel Puzzle, Review of Derivatives Research
DOI: https://doi.org/10.1007/s11147-023-09197-3 -
(2023): Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory, Empirical Economics
DOI: https://doi.org/10.1007/s00181-023-02426-6 -
(2023): Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory, Journal of Forecasting, Volume 42, Issue 7, 1889-1908
DOI: http://doi.org/10.1002/for.2988 -
(2021): Modeling fractional cointegration between high and low stock prices in Asian countries, Empirical Economics, 60 (2), 661 – 682 More info
DOI: 10.1007/s00181-019-01784-4 -
(2021): Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights, Mathematics 2021, 9(21), 2817 More info
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(2021): Protective operative techniques in radical hysterectomy in early cervical carcinoma and their influence on disease-free and overall survival: a systematic review and meta-analysis of risk groups, Archives of Gynecology and Obstetrics, 304, 577–587
DOI: https://doi.org/10.1007/s00404-021-06082-y -
(2021): A Comparison of Semiparametric Tests for Fractional Cointegration, Statistical Papers 62, 1997–2030
DOI: https://doi.org/10.1007/s00362-020-01169-1 -
(2021): Integration and Disintegration of EMU Government Bond Markets, Econometrics 2021, 9(1), 13 More info
DOI: 10.3390/econometrics9010013 -
(2021): Cyclical fractional cointegration, Econometrics and Statistics, Volume 19, 114-129 More info
DOI: https://doi.org/10.1016/j.ecosta.2020.05.004 -
(2021): Cyclical fractional cointegration, Econometrics and Statistics, Volume 19, 114-129 More info
DOI: https://doi.org/10.1016/j.ecosta.2020.05.004 -
(2020): Prophylactic HPV vaccination after conization: A systematic review and meta-analysis, Vaccine, Volume 38, Issue 41 | File |
DOI: 10.1016/j.vaccine.2020.07.055 -
(2020): Distinguishing between Breaks in the Mean and Breaks in Persistence under Long Memory, Economics Letters, Volume 193, 109338 More info
DOI: 10.1016/j.econlet.2020.109338 -
(2019): The Memory of Beta, Journal of Banking and Finance, Volume 124, 106026
DOI: https://doi.org/10.2139/ssrn.3492931 -
(2019): Model Order Selection in Seasonal/Cyclical Long Memory Models, Econometrics and Statistics, 1, 78-94
DOI: https://doi.org/10.1016/j.ecosta.2017.11.002 -
(2019): Liquidity Risk and the Covered Bond Market in Times of Crisis: Empirical Evidence from Germany, Annals of Operations Research 282, 407–426
DOI: https://doi.org/10.1007/s10479-019-03326-8 -
(2019): Can Google Trends improve Sales Forecasts on a Product Level?, Applied Economics Letters, Volume 27, Issue 17
DOI: 10.1080/13504851.2019.1686110 -
(2019): Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments, Advances in Statistical Analysis, 103, 02/2019, 237-256. More info
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(2018): An Overview of Modified Semiparametric Memory Estimation Methods, Econometrics, 6(1), 13 More info
DOI: 10.3390/econometrics6010013 -
(2018): The Memory of Stock Return Volatility: Asset Pricing Implications, Journal of Financial Markets, Volume 47, 100487 More info
DOI: 10.1016/j.finmar.2019.01.002 -
(2018): Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern, Beiträge zur Hochschulforschung, 03/2018, Heft 3, 8-33 More info
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(2018): A Simple Test on Structural Change in Long-Memory Time Series, Economics Letters, 163, 02/2018, 90-94 More info
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(2016): Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility, Economics Letters, 144, 07/2016, 80-84 More info
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(2016): Information Criteria for Nonlinear Time Series Models, Studies of Nonlinear Dynamics and Econometrics, 20(3), 325–341 More info
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(2015): About the impact of Model Risk on Capital Reserves: A Quantitative Analysis, Journal of Risk, 17, 69-97 More info
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(2014): The dynamics of real exchange rates - A reconsideration, Journal of Applied Econometrics, 29, 758 - 773 More info
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(2014): Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds, Journal of Banking and Finance, 41, 109 - 118 More info
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(2013): Fractional integration versus level shifts: the case of realized correlations, Statistical Papers, 54, 977 - 991 More info
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(2013): Weak identification in the ESTAR model and a new model, Journal of Time Series Analysis, 34, 238 - 261 More info
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(2012): On tests for linearity against STAR models with deterministic trends, Economics Letters, 117, 268 - 271 More info
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(2012): What do we know about real exchange rate non-linearities?, Empirical Economics, 43, 457 - 474 More info
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(2012): Testing for a break in persistence under long-range dependencies and mean shifts, Statistical Papers, 53, 357 - 370 More info
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(2009): Testing for a break in persistence under long-range dependencies, Journal of Time Series Analysis 30, 263 - 285 More info
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(2007): Empirical likelihood confidence intervals for the mean of a long-range dependent process, Journal of Time Series Analysis 28, 576 - 599 More info
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(2006): Phillips - Perron - type unit root tests in the nonlinear ESTAR framework, Allgemeines Statistisches Archiv 90, 439 - 456 More info
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(2006): The Power of the KPSS - Test for Cointegration when Residuals are Fractionally Integrated, Economics Letters 91, 321 - 324 More info
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(2005): Generating schemes for long memory processes, Generating schemes for long memory processes More info
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(2004): SamstagsUni: Ein Konzept zwischen Schule, Lehrerbildung und Hochschule, Zeitschrift für Hochschuldidaktik September 2004, 1 - 12 More info
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(2004): Long memory in volatilities of German stock returns, Empirical Economics 29, 477 - 488 More info
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(2004): Long-memory versus structural change: An overview, Statistical Papers 45, 465 - 515 More info
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(2003): Nonparametric M-estimation with long-memory errors, Journal of Statistical Planning and Inference 117, 199 - 206 More info
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(2003): Modelling Water Flow of the Rhine River Using Seasonal Long Memory, Water Resources Research 39, 1132 - 1138 More info
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(2003): Log-Periodogram estimation of the memory parameter of a long-memory process under trend, Statistics and Probability Letters 61, 261 - 268 More info
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(2002): On robust local polynomial estimation with long-memory errors, International Journal of Forecasting 18, 227 - 241 More info
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(2002): Testing for structural change in the presence of long-memory, International Journal of Business and Economics 1, 235 - 243
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(2002): Long Memory versus Structural Change in Financial Time Series, Allgemeines Statistisches Archiv 86, 83 - 96
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(2002): Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins, Hydrology and Water Resources Management 46, 166 - 174
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(2001): S-estimation in the linear regression model with long- memory error terms under trend, Journal of Time Series Analysis 22, 353 - 363 More info
Veröffentlichte Bücher und referierte Buchbeiträge
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(2018): Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks, Advances in Applied Financial Econometrics More info
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(2014): Testing for Cointegration in a Double-LSTR Framework, Beran, Jan, Feng, Yuanhua and Hebbel, Hartmut: Empirical Economic and Financial Research - Theory, Methods and Practice, Springer, New York More info
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(2014): A Simple procedures for specifying transition functions in persistent nonlinear time series models, Recent Advances in Estimating Nonlinear Models, Springer, New York, 2014, XVI, 169 - 191. More info
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(2010): Model Risk in GARCH-Type Financial Time Series, In: Model Risk, Identification, Measurement and Management, D. Rösch and H. Schedule (editors), Risk books, 75 – 89.
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(2010): Modellrisiko = Spezifikation + Validierung, In: Handbuch Solvency II, C. Bennemann, L. Oehlenberg, and G. Stahl (editors), Schäffer-Poeschel-Verlag.
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(2002): Tests on Fractional Cointegration. Comparison of a finite M- and ML-test on fractional cointegration, In: Developments in Robust Statistics. Editors: R. Dutter, U. Gather, P. J. Rousseeuw and P. Filzmoser, 306 - 315.
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(1999): Robuste Parameterschätzung im linearen Regressionsmodell., Verlag für Wissenschaft und Forschung, Berlin.
ISBN: 978-3897000926