-
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 |
-
Wingert, S., Mboya, M. and Sibbertsen, P.
(2020):
Distinguishing between Breaks in the Mean and Breaks in Persistence under Long Memory,
Economics Letters (forthcoming)
-
Stöver, B.
(2020):
The regional significance of university locations in Lower Saxony,
Raumforschung und Raumordnung / Spatial Research and Planning (published online ahead of print).
More Info
-
Wenger, K. and Less, V.
(2020):
A Modified Wilcoxon Test for Change Points in Long-Range Dependent Time Series,
Economics Letters (forthcoming)
DOI:
doi.org/10.1016/j.econlet.2020.109237
-
Voges, M. and Sibbertsen, P.
(2020):
Cyclical fractional cointegration,
Econometrics and Statistics (forthcoming)
-
Leschinski, C., Voges, M. and Sibbertsen, P.
(2020):
A Comparison of Semiparametric Tests for Fractional Cointegration,
Statistical Papers (forthcoming)
-
Wenger, K. and Leschinski, C.
(2019):
Fixed-Bandwidth CUSUM Tests Under Long Memory,
Econometrics and Statistics (forthcoming)
DOI:
10.1016/j.ecosta.2019.08.001
-
Becker, J., Hollstein, F., Prokopczuk, M. and Sibbertsen, P.
(2019):
The Memory of Beta Factors,
Hannover Economic Papers, Nr. 661
-
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 (forthcoming)
-
Leschinski, C., Sibbertsen, P.
(2019):
Model Order Selection in Seasonal/Cyclical Long Memory Models,
Econometrics and Statistics, 1, 78-94
More Info
-
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
-
Afzal, A. and Sibbertsen, P.
(2019):
Modeling fractional cointegration between high and low stock prices in Asian countries,
Empirical Economics (forthcoming)
-
Stöver, B.
(2019):
The impact of a shortened schooling time on the transition from school to studies – empirical evidence from a natural experiment,
Educational Research and Evaluation, 25:3-4, 179-202
DOI:
10.1080/13803611.2019.1683043
-
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
-
Wenger, K. and Becker, J.
(2019):
An R package for estimation procedures and tests for persistent time series,
Journal of Open Source Software, 4(43), 1820
DOI:
10.21105/joss.01820
-
Kruse, R., Leschinski, C. and Will, M.
(2018):
Comparing predictive accuracy under long memory - with an application to volatility forecasting,
Journal of Financial Econometrics (forthcoming)
-
Bodnar, T., Parolya, N., Schmid, W.
(2018):
Estimation of the global minimum variance portfolio in high dimensions,
European Journal of Operational Research, 1, 04/2018, 371-390
More Info
-
Nguyen, D. B. B., Prokopczuk, M. and Sibbertsen, P.
(2018):
The Memory of Stock Return Volatility: Asset Pricing Implications,
Journal of Financial Markets (forthcoming)
-
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
-
Busch, M. and Sibbertsen, P.
(2018):
An Overview of Modified Semiparametric Memory Estimation Methods,
Econometrics, 6(1), 13
More Info
-
Wenger, K., Leschinski, C. and Sibbertsen, P.
(2018):
The Memory of Volatility,
Quantitative Finance and Economics, 2(1), 137-159
More Info
-
Sibbertsen, P., Leschinski, C., Busch, M.
(2018):
A Multivariate Test Against Spurious Long Memory,
Journal of Econometrics
| File |
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
-
Golosnoy, V., Parolya, N.
(2017):
"To have what they are having": portfolio choice for mimicking mean-variance savers,
Quantitative Finance, 04/2017, 1645-1653
More Info
-
Leschinski, C.
(2017):
On the memory of products of long range dependent time series,
Economics Letters, 153, 04/2017, 72-76
More Info
-
Leschinski, C. and Bertram, P.
(2017):
Time varying contagion in EMU government bond spreads,
Journal of Financial Stability, 29, 04/2017, 72-91
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
-
Bodnar, T., Dette, H., Parolya, N.
(2016):
Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix,
Journal of Multivariate Analysis 148, 06/2016, 160-172
More Info
-
Bodnar, T., Gupta, A.K., Parolya, N.
(2016):
Direct Shrinkage Estimation of Large Dimensional Precision Matrix,
Journal of Multivariate Analysis 146, 04/2016, 223-236
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
-
Bodnar, T., Parolya, N., Schmid, W.
(2015):
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability,
European Journal of Operational Research 246, 528-542
More Info
-
Bodnar, T., Parolya, N., Schmid, W.
(2015):
A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function,
Annals of Operations Research 229, 121-158
More Info
-
Rohde, J.
(2015):
Downside Risk Measure Performance in the Presence of Breaks in Volatility,
Journal of Risk Model Validation, 9(4)
-
Bodnar, T., Gupta, A.K., Parolya, N.
(2014):
On the Strong Convergence of the Optimal Linear Shrinkage Estimator for the Large Dimensional Covariance Matrix,
Journal of Multivariate Analysis, 132, 215-228
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
-
Breitung, J., Kruse, R.
(2013):
When bubbles burst: Econometric tests based on structural breaks,
Statistical Papers, 54, 911 - 930
More Info
-
Demetrescu, M. and R. Kruse
(2013):
The Power of Unit Root Tests Against Nonlinear Local Alternatives,
Journal of Time Series Analysis, 34, 40 - 61
More Info
-
Haldrup, N., Kruse, R., Teräsvirta, T. and R.T. Varneskov
(2013):
Unit roots, structural breaks, and non-linearities,
In N. Hashimzade and M. Thornton, Eds., Handbook on Empirical Macroeconomics. Handbook of Research Methods and Applications series, Edward Elgar Publishing Ltd., 61 - 94
| File |
-
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
-
Bodnar, T., Parolya, N., Schmid, W.
(2013):
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory,
European Journal of Operational Research, 229, 637-644
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.
(2012):
Testing for a rational bubble under long memory,
Quantitative Finance, 12, 1723 - 1732
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
-
Lohre, M., Sibbertsen, P.
(2002):
Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins,
Hydrology and Water Resources Management 46, 166 - 174
-
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
-
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