Leibniz Universität Hannover Faculty Wirtschaftswissenschaftliche Fakultät
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Institut für Statistik
 
Institut für Statistik Institut Team Prof. Dr. Philipp Sibbertsen
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Arbeitspapiere

  • Otto, P. and Sibbertsen, P. (2023): Spatial autoregressive fractionally integrated moving average model | File |
  • Rodrigues, P. M. M., Sibbertsen, P. and Voges, M. (2023): Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium,  Hannover Economic Papers, Nr. 656. | File |
  • Less, V. and Sibbertsen, P. (2022): Estimation and Testing in a Perturbed Multivariate Long Memory Framework | File |
  • Dräger, L., Nguyen, D. B. B., Prokopczuk, M. and Sibbertsen, P. (2020): The Long Memory of Equity Volatility and the Macroeconomy: International Evidence | File |
  • Stöver, B. and Sibbertsen, P. (2020): The similarities in efficiency of universities and universities of applied sciences in Lower Saxony,  Hannover Economic Papers, Nr. 673 | File |

Referierte Fachzeitschriften

  • Dierkes, M., Krupski, J., Schroen, S., Sibbertsen, P. (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
  • Dräger, L., Kolaiti, T. and Sibbertsen, P. (2023): Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory,  Empirical Economics
    DOI: https://doi.org/10.1007/s00181-023-02426-6
  • Mboya, M. and Sibbertsen, P. (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
  • Afzal, A. and Sibbertsen, P. (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
  • Bertram, P., Flock, T., Ma, J. and Sibbertsen, P. (2021): Real Exchange Rates and Fundamentals in a new Markov-STAR Model,  forthcoming in Oxford Bulletin of Economics and Statistics | File | More info
  • Dissanayake, P., Flock, T., Meier, J. und Sibbertsen, P. (2021): Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights,  Mathematics 2021, 9(21), 2817 More info
  • Kampers, J., Gerhardt, E., Sibbertsen, P., Flock, T., Klapdor, R., Hertel, H., Jentschke, M. and Hillemanns, P. (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
  • Leschinski, C., Voges, M. and Sibbertsen, P. (2021): A Comparison of Semiparametric Tests for Fractional Cointegration,  Statistical Papers 62, 1997–2030
    DOI: https://doi.org/10.1007/s00362-020-01169-1
  • Leschinski, C., Voges, M. and Sibbertsen, P. (2021): Integration and Disintegration of EMU Government Bond Markets,  Econometrics 2021, 9(1), 13 More info
    DOI: 10.3390/econometrics9010013
  • Voges, M. and Sibbertsen, P. (2021): Cyclical fractional cointegration,  Econometrics and Statistics, Volume 19, 114-129 More info
    DOI: https://doi.org/10.1016/j.ecosta.2020.05.004
  • Voges, M. and Sibbertsen, P. (2021): Cyclical fractional cointegration,  Econometrics and Statistics, Volume 19, 114-129 More info
    DOI: https://doi.org/10.1016/j.ecosta.2020.05.004
  • Jentschke, M., Kampers, J., Becker, J., Sibbertsen, P. and Hillemanns, P. (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
  • Wingert, S., Mboya, M. and Sibbertsen, P. (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
  • Becker, J., Hollstein, F., Prokopczuk, M. and Sibbertsen, P. (2019): The Memory of Beta,  Journal of Banking and Finance, Volume 124, 106026
    DOI: https://doi.org/10.2139/ssrn.3492931
  • Leschinski, C., Sibbertsen, P. (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
  • Wegener, C., Basse, T., Sibbertsen, P. and Nguyen, D. K. (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
  • Wenger, K., Fritzsch, B., Sibbertsen, P. and Ullmann, G. (2019): Can Google Trends improve Sales Forecasts on a Product Level?,  Applied Economics Letters, Volume 27, Issue 17
    DOI: 10.1080/13504851.2019.1686110
  • Wenger, K., Leschinski, C. and Sibbertsen, P. (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
  • Busch, M. and Sibbertsen, P. (2018): An Overview of Modified Semiparametric Memory Estimation Methods,  Econometrics, 6(1), 13 More info
    DOI: 10.3390/econometrics6010013
  • Nguyen, D. B. B., Prokopczuk, M. and Sibbertsen, P. (2020) (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
  • Sibbertsen, P., Leschinski, C., Busch, M. (2018): A Multivariate Test Against Spurious Long Memory,  Journal of Econometrics | File | More info
  • Stöver, B. and Sibbertsen, P. (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
  • Wenger, K., Leschinski, C. and Sibbertsen, P. (2018): The Memory of Volatility,  Quantitative Finance and Economics, 2(1), 137-159 More info
  • Wenger, K., Leschinski, C. and Sibbertsen, P. (2018): A Simple Test on Structural Change in Long-Memory Time Series,  Economics Letters, 163, 02/2018, 90-94 More info
  • Demetrescu, M., Sibbertsen, P. (2016): Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility,  Economics Letters, 144, 07/2016, 80-84 More info
  • Rinke, S. and Sibbertsen, P. (2016): Information Criteria for Nonlinear Time Series Models,  Studies of Nonlinear Dynamics and Econometrics, 20(3), 325–341 More info
  • Bertram, P., Sibbertsen, P., Stahl, G. (2015): About the impact of Model Risk on Capital Reserves: A Quantitative Analysis,  Journal of Risk, 17, 69-97 More info
  • Kaufmann, H., Heinen, F., Sibbertsen, P. (2014): The dynamics of real exchange rates - A reconsideration,  Journal of Applied Econometrics, 29, 758 - 773 More info
  • Sibbertsen, P., Wegener, C. and Basse, T. (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
  • Bertram, P., Kruse, R. and Sibbertsen, P. (2013): Fractional integration versus level shifts: the case of realized correlations,  Statistical Papers, 54, 977 - 991 More info
  • Heinen, F., Michael, S. and Sibbertsen, P. (2013): Weak identification in the ESTAR model and a new model,  Journal of Time Series Analysis, 34, 238 - 261 More info
  • Kaufmann H., Kruse R. and Sibbertsen P. (2012): On tests for linearity against STAR models with deterministic trends,  Economics Letters, 117, 268 - 271 More info
  • Kruse, R., Frömmel, M., Menkhoff, L., Sibbertsen, P. (2012): What do we know about real exchange rate non-linearities?,  Empirical Economics, 43, 457 - 474 More info
  • Kruse, R., Sibbertsen, P. (2012): Long memory and changing persistence,  Economics Letters, 114, 268 - 272 More info
  • Sibbertsen, P., Willert, J. (2012): Testing for a break in persistence under long-range dependencies and mean shifts,  Statistical Papers, 53, 357 - 370 More info
  • Davidson, J., Sibbertsen, P. (2009): Tests of Bias in Log-Periodogram Regression,  Economics Letters 102, 83-86 More info
  • Sibbertsen, P., Kruse, R. (2009): Testing for a break in persistence under long-range dependencies,  Journal of Time Series Analysis 30, 263 - 285 More info
  • Sibbertsen, P., Stahl, G., Luedtke, C. (2008): Measuring model risk,  Journal of Risk Model Validation 2, 65 - 81 More info
  • Nordman, D., Sibbertsen, P., Lahiri, S. N. (2007): Empirical likelihood confidence intervals for the mean of a long-range dependent process,  Journal of Time Series Analysis 28, 576 - 599 More info
  • Rothe, C., Sibbertsen, P. (2006): Phillips - Perron - type unit root tests in the nonlinear ESTAR framework,  Allgemeines Statistisches Archiv 90, 439 - 456 More info
  • Sibbertsen, P., Krämer, W. (2006): The Power of the KPSS - Test for Cointegration when Residuals are Fractionally Integrated,  Economics Letters 91, 321 - 324 More info
  • Davidson, J., Sibbertsen, P. (2005): Generating schemes for long memory processes,  Generating schemes for long memory processes More info
  • Halverscheid, S., Hiltawsky, K., Sibbertsen, P. (2004): SamstagsUni: Ein Konzept zwischen Schule, Lehrerbildung und Hochschule,  Zeitschrift für Hochschuldidaktik September 2004, 1 - 12 More info
  • Sibbertsen, P. (2004): Long memory in volatilities of German stock returns,  Empirical Economics 29, 477 - 488 More info
  • Sibbertsen, P. (2004): Long-memory versus structural change: An overview,  Statistical Papers 45, 465 - 515 More info
  • Beran, J., Ghosh, S., Sibbertsen, P. (2003): Nonparametric M-estimation with long-memory errors,  Journal of Statistical Planning and Inference 117, 199 - 206 More info
  • Lohre, M., Sibbertsen, P., Könning, T. (2003): Modelling Water Flow of the Rhine River Using Seasonal Long Memory,  Water Resources Research 39, 1132 - 1138 More info
  • Sibbertsen, P. (2003): Log-Periodogram estimation of the memory parameter of a long-memory process under trend,  Statistics and Probability Letters 61, 261 - 268 More info
  • Beran, J., Feng, Y., Ghosh, S., Sibbertsen, P. (2002): On robust local polynomial estimation with long-memory errors,  International Journal of Forecasting 18, 227 - 241 More info
  • Krämer, W., Sibbertsen, P. (2002): Testing for structural change in the presence of long-memory,  International Journal of Business and Economics 1, 235 - 243
  • Krämer, W., Sibbertsen, P., Kleiber, C. (2002): Long Memory versus Structural Change in Financial Time Series,  Allgemeines Statistisches Archiv 86, 83 - 96
  • Lohre, M., Sibbertsen, P. (2002): Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins,  Hydrology and Water Resources Management 46, 166 - 174
  • Sibbertsen, P. (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

  • Voges, M., Leschinski, C. and Sibbertsen, P. (2018): Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks,  Advances in Applied Financial Econometrics More info
  • Grote, C., Sibbertsen, P. (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
  • Kaufmann, H., Kruse, R., Sibbertsen, P. (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
  • Luedtke, C. , Sibbertsen, P. (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.
  • Stahl, G., Sibbertsen, P., Bertram, P. (2010): Modellrisiko = Spezifikation + Validierung,  In: Handbuch Solvency II, C. Bennemann, L. Oehlenberg, and G. Stahl (editors), Schäffer-Poeschel-Verlag.
  • Peters, A., Sibbertsen, P. (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.
  • Sibbertsen, P. (1999): Robuste Parameterschätzung im linearen Regressionsmodell.,  Verlag für Wissenschaft und Forschung, Berlin.
    ISBN: 978-3897000926

Last Change: 02.03.20 Print

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