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Leibniz Universität Hannover/Institut für Statistik
Logo Leibniz Universität Hannover
Leibniz Universität Hannover/Institut für Statistik
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Publikationen / Publications

Current discussion papers


  • Wegener, C., Basse, T., Sibbertsen, P. and Nguyen, D. K.: Liquidity Risk and the Covered Bond Market in Times of Crisis: Empirical Evidence from Germany, Annals of Operations Research (forthcoming)
  • Wenger, K., Leschinski, C. and Sibbertsen, P.: Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments, Advances in Statistical Analysis, 103, 02/2019, 237-256 (link)
  • Leschinski, C., Sibbertsen, P.: Model Order Selection in Seasonal/Cyclical Long Memory Models. Econometrics and Statistics, 1, 78-94 (link)


  •  Nguyen, D. B. B., Prokopczuk, M. and Sibbertsen, P.: The Memory of Stock Return Volatility: Asset Pricing Implications, Journal of Financial Markets (forthcoming)
  • Kruse, R., Leschinski, C. and Will, M.: Comparing predictive accuracy under long memory - with an application to volatility forecasting, Journal of Financial Econometrics (forthcoming)
  • Stöver, B. and Sibbertsen, P.: Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern, Beiträge zur Hochschulforschung, 03/2018, Heft 3, 8-33 (link)
  • Busch, M. and Sibbertsen, P.: An Overview of Modified Semiparametric Memory Estimation Methods, Econometrics, 6(1), 13 (link)
  • Voges, M., Leschinski, C. and Sibbertsen, P.: Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks, Advances in Applied Financial Econometrics (forthcoming)
  • Wenger, K., Leschinski, C. and Sibbertsen, P.: The Memory of Volatility, Quantitative Finance and Economics, 2(1), 137-159 (link)
  • Sibbertsen, P., Leschinski, C., Busch, M.: A Multivariate Test Against Spurious Long Memory, Journal of Econometrics (link); Supplementary Appendix
  • Bodnar, T., Parolya, N., Schmid, W.: Estimation of the global minimum variance portfolio in high dimensions,European Journal of Operational Research, 1, 04/2018, 371-390 (link)
  • Wenger, K., Leschinski, C. and Sibbertsen, P.: A Simple Test on Structural Change in Long-Memory Time Series, Economics Letters, 163, 02/2018, 90-94 (link)


  • Leschinski, C.: On the memory of products of long range dependent time series, Economics Letters, 153, 04/2017, 72-76 (link)
  • Leschinski, C. and Bertram, P.: Time varying contagion in EMU government bond spreads, Journal of Financial Stability, 29, 04/2017, 72-91 (link)
  • Golosnoy, V., Parolya, N.: "To have what they are having": portfolio choice for mimicking mean-variance savers, Quantitative Finance, 04/2017, 1645-1653 (link)


  • Demetrescu, M., Sibbertsen, P.: Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility. Economics Letters, 144, 07/2016, 80-84 (link)
  • Bodnar, T., Dette, H., Parolya, N.: Spectral analysis of the Moore-Penrose inverse of a large dimensional sample covariance matrix, Journal of Multivariate Analysis 148, 06/2016, 160-172, (link)
  • Bodnar, T., Gupta, A.K., Parolya, N.: Direct Shrinkage Estimation of Large Dimensional Precision Matrix, Journal of Multivariate Analysis 146, 04/2016, 223-236, (link)
  • Rinke, S. and Sibbertsen, P.: Information Criteria for Nonlinear Time Series Models. Studies of Nonlinear Dynamics and Econometrics, 20(3), 325–341 (link)


    • Bertram, P., Sibbertsen, P., Stahl, G.: About the impact of Model Risk on Capital Reserves: A Quantitative Analysis. Journal of Risk, 17, 69-97 (link)
    • Bodnar, T., Parolya, N., Schmid, W.: 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 (link)
    • Bodnar, T., Parolya, N., Schmid, W.: A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function, Annals of Operations Research 229, 121-158 (link)
    • Rohde, J.: Downside Risk Measure Performance in the Presence of Breaks in Volatility. Journal of Risk Model Validation, 9(4) (link)


    • Bodnar, T., Gupta, A.K., Parolya, N.: On the Strong Convergence of the Optimal Linear Shrinkage Estimator for the Large Dimensional Covariance Matrix, Journal of Multivariate Analysis, 132, 215-228 (link)
    • Grote, C., Sibbertsen, P.: 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 (link)
    • Kaufmann, H., Kruse, R., Sibbertsen, P.: 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 (link)
    • Kaufmann, H., Heinen, F., Sibbertsen, P.: The dynamics of real exchange rates - A reconsideration. Journal of Applied Econometrics, 29, 758 - 773 (link)
    • Sibbertsen, P., Wegener, C. and Basse, T.: Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds, Journal of Banking and Finance, 41, 109 - 118 (link)


    • Bertram, P., Kruse, R. and Sibbertsen, P.: Fractional integration versus level shifts: the case of realized correlations. Statistical Papers, 54, 977 - 991 (link)
    • Breitung, J., Kruse, R.: When bubbles burst: Econometric tests based on structural breaks, Statistical Papers, 54, 911 - 930 (link)
    • Demetrescu, M. and R. Kruse: The Power of Unit Root Tests Against Nonlinear Local Alternatives, Journal of Time Series Analysis, 34, 40 - 61 (link)
    • Haldrup, N., Kruse, R., Teräsvirta, T. and R.T. Varneskov: 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 (WP)
    • Heinen, F., Michael, S. and Sibbertsen, P.: Weak identification in the ESTAR model and a new model, Journal of Time Series Analysis, 34, 238 - 261  (link)
    • Bodnar, T., Parolya, N., Schmid, W.: On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory, European Journal of Operational Research, 229, 637-644 (link)


    • Kaufmann H., Kruse R. and Sibbertsen P.: On tests for linearity against STAR models with deterministic trends, Economics Letters, 117, 268 - 271 (link)
    • Kruse, R., Frömmel, M.: Testing for a rational bubble under long memory. Quantitative Finance, 12, 1723 - 1732 (link)

    • Kruse, R., Frömmel, M., Menkhoff, L., Sibbertsen, P.: What do we know about real exchange rate non-linearities? Empirical Economics, 43, 457 - 474 (link)
    • Kruse, R., Sibbertsen, P.: Long memory and changing persistence. Economics Letters, 114, 268 - 272 (link)
    • Sibbertsen, P., Willert, J.: Testing for a break in persistence under long-range dependencies and mean shifts. Statistical Papers, 53, 357 - 370 (link)



    • Luedtke, C. , Sibbertsen, P.: 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.: Modellrisiko = Spezifikation + Validierung. In: Handbuch Solvency II,  C. Bennemann, L. Oehlenberg,  and G. Stahl (editors), Schäffer-Poeschel-Verlag.


    • Davidson, J., Sibbertsen, P.: Tests of Bias in Log-Periodogram Regression. Economics Letters 102, 83-86 (link)
    • Sibbertsen, P., Kruse, R.: Testing for a break in persistence under long-range dependencies. Journal of Time Series Analysis 30, 263 - 285  (link)


    • Sibbertsen, P., Stahl, G., Luedtke, C.: Measuring model risk. Journal of Risk Model Validation 2, 65 - 81 (link)


    • Luedtke, C.: Ist die Kassenärztliche Vereinigung obsolet? - Eine wettbewerbliche Analyse der Auswirkungen von Direktverträgen zwischen Krankenkassen und Leistungsanbietern. In: Friedrich, M., Schulenburg, J.-M. (2007): Das Gesundheitssystem zwischen Wettbewerb und Staatsdirigismus, 104 - 126
    • Nordman, D., Sibbertsen, P., Lahiri, S. N.: Empirical likelihood confidence intervals for the mean of a long-range dependent process. Journal of Time Series Analysis 28, 576 - 599. (link)


    • Rothe, C., Sibbertsen, P.: Phillips - Perron - type unit root tests in the nonlinear ESTAR framework. Allgemeines Statistisches Archiv 90, 439 - 456 (link)
    • Sibbertsen, P., Krämer, W.: The Power of the KPSS - Test for Cointegration when Residuals are Fractionally Integrated. Economics Letters 91, 321 - 324 (link)  


    • Davidson, J., Sibbertsen, P.: Generating schemes for long memory processes. Journal of Econometrics 128, 253 - 282 (link)


    • Halverscheid, S., Hiltawsky, K., Sibbertsen, P.: SamstagsUni: Ein Konzept zwischen Schule, Lehrerbildung und Hochschule. Zeitschrift für Hochschuldidaktik September 2004, 1 - 12. (link)
    • Sibbertsen, P.: Long memory in volatilities of German stock returns. Empirical Economics 29, 477 - 488 (link)
    • Sibbertsen, P.: Long-memory versus structural change: An overview. Statistical Papers 45, 465 - 515. (link)


    • Beran, J., Ghosh, S., Sibbertsen, P.: Nonparametric M-estimation with long-memory errors. Journal of Statistical Planning and Inference 117, 199 - 206. (link)
    • Lohre, M., Sibbertsen, P., Könning, T.: Modelling Water Flow of the Rhine River Using Seasonal Long Memory. Water Resources Research 39, 1132 - 1138. (link)
    • Sibbertsen, P.: Log-Periodogram estimation of the memory parameter of a long-memory process under trend. Statistics and Probability Letters 61, 261 - 268. (link)


    • Beran, J., Feng, Y., Ghosh, S., Sibbertsen, P.: On robust local polynomial estimation with long-memory errors. International Journal of Forecasting 18, 227 - 241. (link)
    • Lohre, M., Sibbertsen, P.: Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins. Hydrology and Water Resources Management 46, 166 - 174.
    • Krämer, W., Sibbertsen, P.: 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.: Long Memory versus Structural Change in Financial Time Series. Allgemeines Statistisches Archiv 86, 83 - 96.
    • Peters, A., Sibbertsen, P.: 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. (2001): S-estimation in the linear regression model with long- memory error terms under trend. Journal of Time Series Analysis 22, 353 - 363. (link)


    • Sibbertsen, P.: Robuste Parameterschätzung im linearen Regressionsmodell. Verlag für Wissenschaft und Forschung, Berlin.