Publications

Becker, J., Hollstein, F., Prokopczuk, M. and Sibbertsen, P. (2019): The Memory of Beta Factors,  Hannover Economic Papers, Nr. 661 | File |

Becker, J., Leschinski, C. and Sibbertsen, P. (2019): Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration,  Hannover Economic Papers, Nr. 660 | File |

Leschinski, C., Voges, M. and Sibbertsen, P. (2019): A Comparison of Semiparametric Tests for Fractional Cointegration,  Hannover Economic Papers, Nr. 651 | File |

Rodrigues, P. M. M., Sibbertsen, P. and Voges, M. (2019): Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium,  Hannover Economic Papers, Nr. 656. | File |

Stöver, B. (2019): Estimating the transition time from school to university using a stochastic mortality model,  Hannover Economic Papers, Nr. 657 | File |

Becker, J. and Leschinski, C. (2018): The Bias of Realized Volatility,  Hannover Economic Papers, Nr. 642 | File |

Becker, J. and Leschinski, C. (2018): Estimating the Volatility of Asset Pricing Factors,  Hannover Economic Papers, Nr. 631 | File |

Becker, J. and Leschinski, C. (2018): Directional Predictability of Daily Stock Returns,  Hannover Economic Papers, Nr. 624

Leschinski, C., Voges, M. and Sibbertsen, P. (2018): Integration and Disintegration of EMU Government Bond Markets,  Hannover Economic Papers, Nr. 625 | File |

Stöver, B. (2018): The local impact and multiplier effect of universities in Lower Saxony on the labour market,  Hannover Economic Papers, Nr. 646 | File |

Bodnar, T., Mazur, S., Ngailo, E., Parolya, N. (2017): Discriminant analysis in small and large dimensions | File |

Hirsch, T. and Rinke, S. (2017): Changes in Persistence in Outlier Contaminated Time Series

Nguyen, D. B. B., Prokopczuk, M. and Sibbertsen, P. (2017): The Long Memory of Equity Volatility: International Evidence | File |

Stöver, B. (2017): Empirical evidence in explaining the transition behaviour from school to studies - challenges in forecasting the number of first-year students in Germany,  Hannover Economic Papers, Nr. 596 | File |

Afzal, A. and Sibbertsen, P. (2019): Modeling fractional cointegration between high and low stock prices in Asian countries,  Empirical Economics (forthcoming)

Leschinski, C., Sibbertsen, P. (2019): Model Order Selection in Seasonal/Cyclical Long Memory Models,  Econometrics and Statistics, 1, 78-94 More Info

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

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)

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

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

Wenger, K., Fritzsch, B., Sibbertsen, P. and Ullmann, G. (2019): Can Google Trends improve Sales Forecasts on a Product Level?,  Applied Economics Letters (forthcoming)
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

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

Busch, M. and Sibbertsen, P. (2018): An Overview of Modified Semiparametric Memory Estimation Methods,  Econometrics, 6(1), 13 More Info

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)

Nguyen, D. B. B., Prokopczuk, M. and Sibbertsen, P. (2018): The Memory of Stock Return Volatility: Asset Pricing Implications,  Journal of Financial Markets (forthcoming)

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

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

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

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

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

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

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

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

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

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 (forthcoming)

Bartelheimer, P., Drosdowski, T., Stöver, B., Tyrell, M. & Wolter, M. I. (2017): Das Potenzial für Teilhabe - Spielräume und Risiken,  Forschungsverbund Sozioökonomische Berichterstattung, (Hg.): Berichterstattung zur sozioökonomischen Entwicklung in Deutschland, wbv Open Access More Info
DOI: 10.3278/6004498w001

Bieritz, L., Drosdowski, T., Stöver, B., Thobe, I. & Wolter, M. I. (2017): Konsumentwicklung bis 2030 nach Haushaltstypen und Szenarien,  Forschungsverbund Sozioökonomische Berichterstattung, (Hg.): Berichterstattung zur sozioökonomischen Entwicklung in Deutschland, wbv Open Acces More Info
DOI: 10.3278/6004498w017

Drosdowski, T., Mönnig, A., Stöver, B., Ulrich, P. & Wolter, M. I., Hänisch, C., Kalinowski, M. (2017): Gesamtwirtschaftliche Entwicklung 1991 bis 2030,  Forschungsverbund Sozioökonomische Berichterstattung, (Hg.): Berichterstattung zur sozioökonomischen Entwicklung in Deutschland, wbv Open Access
DOI: 10.3278/6004498w004

Stöver, B. & Wolter, M. I. (2015): Demographic Change and Consumption - How Ageing Affects the Level and Structure of Private Consumption,  Meade, D.S. (ed): In Quest of the Craft - Economic Modeling for the 21st Century, Firenze University Press, 195-209

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

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

Kruse, R., Sandberg, R. (2013): Linearity testing for trending data with an application of the wild bootstrap,  Essays in Nonlinear Time Series Econometrics: A Festschrift for Timo Teräsvirta, edited by Mika Meitz, Pentti Saikkonen and Niels Haldrup, Oxford University Press 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