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Logo: Institute of Statistics/Leibniz Universität Hannover
Logo Leibniz Universität Hannover
Logo: Institute of Statistics/Leibniz Universität Hannover
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Prof. Dr. Philipp Sibbertsen



Curriculum Vitae

  • Professor of Statistics, since 2005
  • Heisenbergstipendiat of DFG, 2004-2005
  • Research Assistant at the Department of Statistics, University of Dortmund, 1999-2004
  • PhD in Statistics, University of Dortmund, 1999

Research Interests

  • Time Series Analysis
  • Statistics of Financial Markets, Empirical Capital Market Research

Selected Publications


  • Leschinski, C. and Sibbertsen, P.: Origins of Spurious Long Memory (WP)


  • Demetrescu, M., Sibbertsen, P.: Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility. Economics Letters, 144, 80-84 (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)
  • Rinke, S. and Sibbertsen, P.: Information Criteria for Nonlinear Time Series Models. Studies of Nonlinear Dynamics and Econometrics, 20(3), 325 - 341 (WP)
  • Sibbertsen, P. ,Bertram, P., Ma, J.: Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model (WP)


  • 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., Heinen, F., Sibbertsen, P.: The dynamics of real exchange rates - A reconsideration. Journal of Applied Econometrics, 29, 758 - 773 (link)
  • Kaufmann, H., Kruse, R., Sibbertsen, P.: A simple specification procedure for the transition function in persistent nonlinear time series models, Recent Advances in Estimating Nonlinear Models, Springer, New York, 2014, XVI, 169 - 191 (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., Sibbertsen, P.: Fractional integration versus level shifts: the case of realized asset correlation. Statistical Papers, 54, 977 - 991 (link)
  • 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)


  • Sibbertsen, P., Kruse, R.: Testing for a break in persistence under long-range dependencies. Journal of Time Series Analysis 30, 263 - 285 (link)


  • 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)


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

Current Teaching

Summer term 2017

  • Descriptive Statistics
  • Statistical Methods