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Philipp Sibbertsen

Personal Details

First Name:Philipp
Middle Name:
Last Name:Sibbertsen
Suffix:
RePEc Short-ID:psi133
[This author has chosen not to make the email address public]
https://www.statistik.uni-hannover.de/de/sibbertsen
Terminal Degree:1999 (from RePEc Genealogy)

Affiliation

(50%) Wirtschaftswissenschaftliche Fakultät
Leibniz Universität Hannover

Hannover, Germany
http://www.wiwi.uni-hannover.de/
RePEc:edi:fwhande (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Jannik Kreye & Philipp Sibbertsen, 2024. "Testing for a Forecast Accuracy Breakdown under Long Memory," Papers 2409.07087, arXiv.org.
  2. Barrio Castro, Tomás del & Escribano, Álvaro & Sibbertsen, Philipp, 2024. "Modeling and Forecasting the Long Memory of Cyclical Trends in Paleoclimate Data," UC3M Working papers. Economics 43987, Universidad Carlos III de Madrid. Departamento de Economía.
  3. Otto, Philipp & Sibbertsen, Philipp, 2023. "Spatial autoregressive fractionally integrated moving average model," Hannover Economic Papers (HEP) dp-712, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  4. Mboya, Mwasi & Sibbertsen, Philipp, 2022. "Optimal Forecasts in the Presence of Discrete Structural Breaks under Long Memory," Hannover Economic Papers (HEP) dp-705, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  5. Sibbertsen, Philipp & Müller, Karsten & Lampert, Timm & Taktikos, Michael, 2022. "Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases," Hannover Economic Papers (HEP) dp-700, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  6. Less, Vivien & Sibbertsen, Philipp, 2022. "Estimation and Testing in a Perturbed Multivariate Long Memory Framework," Hannover Economic Papers (HEP) dp-704, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  7. Dissanayake, Pushpa & Flock, Teresa & Meier, Johanna & Sibbertsen, Philipp, 2021. "Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights," Hannover Economic Papers (HEP) dp-690, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  8. Sibbertsen, Phillipp & Lampert, Timm & Müller, Karsten & Taktikos, Michael, 2021. "Do algebraic numbers follow Khinchin's Law?," Hannover Economic Papers (HEP) dp-686, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  9. Dräger, Lena & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2020. "The Long Memory of Equity Volatility and the Macroeconomy: International Evidence," Hannover Economic Papers (HEP) dp-667, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  10. Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020. "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP) dp-676, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  11. Stöver, Britta & Sibbertsen, Philipp, 2020. "The similarities in efficiency of universities and universities of applied sciences in Lower Saxony," Hannover Economic Papers (HEP) dp-673, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  12. Dräger, Lena & Kolaiti, Theoplasti & Sibbertsen, Philipp, 2020. "Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory," Hannover Economic Papers (HEP) dp-675, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät, revised Feb 2021.
  13. Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2019. "A Comparison of Semiparametric Tests for Fractional Cointegration," Hannover Economic Papers (HEP) dp-651, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  14. Rodrigues, Paulo M.M. & Sibbertsen, Philipp & Voges, Michelle, 2019. "Testing for breaks in the cointegrating relationship: On the stability of government bond markets' equilibrium," Hannover Economic Papers (HEP) dp-656, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  15. Becker, Janis & Leschinski, Christian & Sibbertsen, Philipp, 2019. "Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration," Hannover Economic Papers (HEP) dp-660, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  16. Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2019. "The Memory of Beta Factors," Hannover Economic Papers (HEP) dp-661, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  17. Busch, Marie & Sibbertsen, Philipp, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Hannover Economic Papers (HEP) dp-628, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  18. Leschinski, Christian & Sibbertsen, Philipp, 2018. "The Periodogram of Spurious Long-Memory Processes," Hannover Economic Papers (HEP) dp-632, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  19. Leschinski, Christian & Voges, Michelle & Sibbertsen, Philipp, 2018. "Integration and Disintegration of EMU Government Bond Markets," Hannover Economic Papers (HEP) dp-625, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  20. Sibbertsen, Philipp & Stöver, Britta, 2017. "Die räumliche Flexibilität von Studierenden - Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern," Hannover Economic Papers (HEP) dp-604, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  21. Voges, Michelle & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks," Hannover Economic Papers (HEP) dp-599, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  22. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  23. Leschinski, Christian & Sibbertsen, Philipp, 2017. "Origins of Spurious Long Memory," Hannover Economic Papers (HEP) dp-595, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  24. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "A Simple Test on Structural Change in Long-Memory Time Series," Hannover Economic Papers (HEP) dp-592, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  25. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2017. "The Long Memory of Equity Volatility: International Evidence," Hannover Economic Papers (HEP) dp-614, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  26. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2017. "The Memory of Stock Return Volatility: Asset Pricing Implications," Hannover Economic Papers (HEP) dp-613, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  27. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments," Hannover Economic Papers (HEP) dp-598, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  28. Sibbertsen, Philipp & Leschinski, Christian & Holzhausen, Marie, 2015. "A Multivariate Test Against Spurious Long Memory," Hannover Economic Papers (HEP) dp-547, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  29. Bertram, Philip & Ma, Jun & Sibbertsen, Philipp, 2015. "Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model," Hannover Economic Papers (HEP) dp-565, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  30. Rinke, Saskia & Sibbertsen, Philipp, 2015. "Information Criteria for Nonlinear Time Series Models," Hannover Economic Papers (HEP) dp-548, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  31. Rohde, Johannes & Sibbertsen, Philipp, 2014. "Credit Risk Modeling under Conditional Volatility," Hannover Economic Papers (HEP) dp-528, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  32. Demetrescu, Matei & Sibbertsen, Philipp, 2014. "Inference on the Long-Memory Properties of Time Series with Non-Stationary Volatility," Hannover Economic Papers (HEP) dp-531, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  33. Leschinski, Christian & Sibbertsen, Philipp, 2014. "Model Order Selection in Seasonal/Cyclical Long Memory Models," Hannover Economic Papers (HEP) dp-535, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  34. Grote, Claudia & Sibbertsen, Philipp, 2013. "Testing for Cointegration in a Double-LSTR Framework," Hannover Economic Papers (HEP) dp-514, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  35. Bent Jesper Christensen & Robinson Kruse & Philipp Sibbertsen, 2013. "A unified framework for testing in the linear regression model under unknown order of fractional integration," CREATES Research Papers 2013-35, Department of Economics and Business Economics, Aarhus University.
  36. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2013. "Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds," Hannover Economic Papers (HEP) dp-517, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  37. Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012. "A simple specification procedure for the transition function in persistent nonlinear time series models," Hannover Economic Papers (HEP) dp-500, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  38. Sibbertsen, Philipp & Willert, Juliane, 2012. "Estimating the number of mean shifts under long memory," Hannover Economic Papers (HEP) dp-496, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  39. Hendrik Kaufmann & Robinson Kruse & Philipp Sibbertsen, 2012. "On tests for linearity against STAR models with deterministic trends," CREATES Research Papers 2012-20, Department of Economics and Business Economics, Aarhus University.
  40. Heinen, Florian & Kaufmann, Hendrik & Sibbertsen, Philipp, 2011. "The dynamics of real exchange rates - A reconsideration," Hannover Economic Papers (HEP) dp-463, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  41. Stahl, Gerhard & Sibbertsen, Philipp & Bertram, Philip, 2011. "Modellrisiko = Spezifikation + Validierung," Hannover Economic Papers (HEP) dp-468, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  42. Heinen, Florian & Michael, Stefanie & Sibbertsen, Philipp, 2011. "Two competitive models and their identification problem: The ESTAR and TSTAR model," Hannover Economic Papers (HEP) dp-474, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  43. Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011. "About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis," Hannover Economic Papers (HEP) dp-469, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  44. Robinson Kruse & Philipp Sibbertsen, 2010. "Long memory and changing persistence," CREATES Research Papers 2010-42, Department of Economics and Business Economics, Aarhus University.
  45. Donauer, Stefanie & Heinen, Florian & Sibbertsen, Philipp, 2010. "Identification problems in ESTAR models and a new model," Hannover Economic Papers (HEP) dp-444, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  46. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009. "What do we know about real exchange rate non-linearities?," CREATES Research Papers 2009-50, Department of Economics and Business Economics, Aarhus University.
  47. Sibbertsen, Philipp & Willert, Juliane, 2009. "Testing for a break in persistence under long-range dependencies and mean shifts," Hannover Economic Papers (HEP) dp-422, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  48. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  49. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, Department of Economics and Business Economics, Aarhus University.
  50. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  51. Sibbertsen, Philipp & Stahl, Gerhard & Luedtke, Corinna, 2008. "Measuring Model Risk," Hannover Economic Papers (HEP) dp-409, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  52. James Davidson & Philipp Sibbertsen, 2008. "Tests of Bias in Log-Periodogram Regression," Discussion Papers 0805, University of Exeter, Department of Economics.
  53. Sibbertsen, Philipp & Kruse, Robinson, 2007. "Testing for a break in persistence under long-range dependencies," Hannover Economic Papers (HEP) dp-381, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  54. Kuswanto, Heri & Sibbertsen, Philipp, 2007. "Can we distinguish between common nonlinear time series models and long memory?," Hannover Economic Papers (HEP) dp-380, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  55. Weibach, Rafael & Sibbertsen, Philipp, 2006. "Divergence of credit valuation in Germany - Continuous theory and discrete practice -," Hannover Economic Papers (HEP) dp-344, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  56. Sibbertsen, Philipp & Krämer, Walter, 2005. "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Hannover Economic Papers (HEP) dp-318, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  57. Rothe, Christoph & Sibbertsen, Philipp, 2005. "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," Hannover Economic Papers (HEP) dp-315, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  58. Nordman, Dan Nordman & Sibbertsen, Philipp & Lahiri, Soumendra N., 2005. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Hannover Economic Papers (HEP) dp-327, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  59. Gebel, Meike & Sibbertsen, Philipp, 2004. "Recognizing mathematical talent : an approach using discriminant analysis," Technical Reports 2004,45, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  60. Sibbertsen, Philipp & Weißbach, Rafael, 2004. "The cost for the default of a loan : Linking theory and practice," Technical Reports 2004,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  61. Herzberg, Markus & Sibbertsen, Philipp, 2004. "Pricing of options under different volatility models," Technical Reports 2004,62, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  62. Sibbertsen, Philipp & Venetis, Ioannis, 2003. "Distinguishing between long-range dependence and deterministic trends," Technical Reports 2003,16, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  63. Halverscheid, Stefan & Sibbertsen, Philipp, 2003. "An introduction to Markov chains for interested high school students," Technical Reports 2003,17, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  64. Davidson, James & Sibbertsen, Philipp, 2002. "Generating schemes for long memory processes: Regimes, aggregation and linearity," Technical Reports 2002,46, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  65. Krämer, Walter & Sibbertsen, Philipp & Kleiber, Christian, 2001. "Long memory vs. structural change in financial time series," Technical Reports 2001,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  66. Sibbertsen, Philipp, 2001. "Log-periodogram estimation of the memory parameter of a long-memory process under trend," Technical Reports 2001,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  67. Sibbertsen, Philipp, 2001. "Long-memory versus structural breaks: An overview," Technical Reports 2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  68. Lohre, Michael & Sibbertsen, Philipp, 2001. "Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins," Technical Reports 2001,38, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  69. Sibbertsen, Philipp, 2001. "Long-memory in volatilities of German stock returns," Technical Reports 2001,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  70. Peters, Andrea & Sibbertsen, Philipp, 2001. "Robust tests on fractional cointegration," Technical Reports 2001,29, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  71. Beran, Jan & Gosh, Sucharita & Sibbertsen, Philipp, 2000. "Nonparametric M-Estimation with Long-Memory Errors," CoFE Discussion Papers 00/19, University of Konstanz, Center of Finance and Econometrics (CoFE).
  72. Beran, Jan & Feng, Yuanhua & Gosh, Sucharita & Sibbertsen, Philipp, 2000. "On robust local polynomial estimation with long-memory errors," CoFE Discussion Papers 00/18, University of Konstanz, Center of Finance and Econometrics (CoFE).
  73. Krämer, Walter & Sibbertsen, Philipp, 2000. "Testing for structural change in the presence of long memory," Technical Reports 2000,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  74. Sibbertsen, Philipp, 2000. "Robust CUSUM-M test in the presence of long-memory disturbances," Technical Reports 2000,19, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  75. Philipp Sibbertsen, 1999. "S-Estimation in the Linear Regression Model with Long-Memory Error Terms," Computing in Economics and Finance 1999 512, Society for Computational Economics.
  76. Sibbertsen, Philipp, 1999. "S-estimation in the nonlinear regression model with long-memory error terms," Technical Reports 1999,36, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  77. Sibbertsen, Philipp, 1998. "S-estimators in the linear regression model with long-memory error terms," Technical Reports 1998,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

Articles

  1. Maik Dierkes & Jan Krupski & Sebastian Schroen & Philipp Sibbertsen, 2024. "Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle," Review of Derivatives Research, Springer, vol. 27(1), pages 1-35, April.
  2. Lena Dräger & Theoplasti Kolaiti & Philipp Sibbertsen, 2023. "Measuring macroeconomic convergence and divergence within EMU using long memory," Empirical Economics, Springer, vol. 65(5), pages 2333-2356, November.
  3. Alia Afzal & Philipp Sibbertsen, 2023. "Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates," Open Economies Review, Springer, vol. 34(4), pages 789-811, September.
  4. Mwasi Paza Mboya & Philipp Sibbertsen, 2023. "Optimal forecasts in the presence of discrete structural breaks under long memory," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1889-1908, November.
  5. Philip Bertram & Teresa Flock & Jun Ma & Philipp Sibbertsen, 2022. "Real Exchange Rates and Fundamentals in a new Markov‐STAR Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(2), pages 356-379, April.
  6. Pushpa Dissanayake & Teresa Flock & Johanna Meier & Philipp Sibbertsen, 2021. "Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights," Mathematics, MDPI, vol. 9(21), pages 1-33, November.
  7. Becker, Janis & Hollstein, Fabian & Prokopczuk, Marcel & Sibbertsen, Philipp, 2021. "The memory of beta," Journal of Banking & Finance, Elsevier, vol. 124(C).
  8. Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
  9. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "A comparison of semiparametric tests for fractional cointegration," Statistical Papers, Springer, vol. 62(4), pages 1997-2030, August.
  10. Alia Afzal & Philipp Sibbertsen, 2021. "Modeling fractional cointegration between high and low stock prices in Asian countries," Empirical Economics, Springer, vol. 60(2), pages 661-682, February.
  11. Christian Leschinski & Michelle Voges & Philipp Sibbertsen, 2021. "Integration and Disintegration of EMU Government Bond Markets," Econometrics, MDPI, vol. 9(1), pages 1-17, March.
  12. Benjamin Fritzsch & Kai Wenger & Philipp Sibbertsen & Georg Ullmann, 2020. "Can google trends improve sales forecasts on a product level?," Applied Economics Letters, Taylor & Francis Journals, vol. 27(17), pages 1409-1414, October.
  13. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2020. "The memory of stock return volatility: Asset pricing implications," Journal of Financial Markets, Elsevier, vol. 47(C).
  14. Theoplasti Kolaiti & Mwasi Mboya & Philipp Sibbertsen, 2020. "Volatility Transmission across Financial Markets: A Semiparametric Analysis," JRFM, MDPI, vol. 13(8), pages 1-13, July.
  15. Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020. "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, vol. 193(C).
  16. Simon Wingert & Christian Leschinski & Philipp Sibbertsen, 2020. "Seasonality robust local whittle estimation," Applied Economics Letters, Taylor & Francis Journals, vol. 27(18), pages 1489-1494, October.
  17. Christoph Wegener & Tobias Basse & Philipp Sibbertsen & Duc Khuong Nguyen, 2019. "Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany," Annals of Operations Research, Springer, vol. 282(1), pages 407-426, November.
  18. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
  19. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
  20. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2018. "A simple test on structural change in long-memory time series," Economics Letters, Elsevier, vol. 163(C), pages 90-94.
  21. Sibbertsen, Philipp & Leschinski, Christian & Busch, Marie, 2018. "A multivariate test against spurious long memory," Journal of Econometrics, Elsevier, vol. 203(1), pages 33-49.
  22. Marie Busch & Philipp Sibbertsen, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Econometrics, MDPI, vol. 6(1), pages 1-21, March.
  23. Demetrescu, Matei & Sibbertsen, Philipp, 2016. "Inference on the long-memory properties of time series with non-stationary volatility," Economics Letters, Elsevier, vol. 144(C), pages 80-84.
  24. Rinke Saskia & Sibbertsen Philipp, 2016. "Information criteria for nonlinear time series models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(3), pages 325-341, June.
  25. Hendrik Kaufmann & Florian Heinen & Philipp Sibbertsen, 2014. "The Dynamics Of Real Exchange Rates: A Reconsideration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 758-773, August.
  26. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2014. "Testing for a break in the persistence in yield spreads of EMU government bonds," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 109-118.
  27. Philipp Sibbertsen & Rafael Weißbach, 2013. "Editors’ introduction," Statistical Papers, Springer, vol. 54(4), pages 907-909, November.
  28. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
  29. Florian Heinen & Stefanie Michael & Philipp Sibbertsen, 2013. "Weak identification in the ESTAR model and a new model," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(2), pages 238-261, March.
  30. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2012. "What do we know about real exchange rate nonlinearities?," Empirical Economics, Springer, vol. 43(2), pages 457-474, October.
  31. Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012. "On tests for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 117(1), pages 268-271.
  32. Philipp Sibbertsen & Juliane Willert, 2012. "Testing for a break in persistence under long-range dependencies and mean shifts," Statistical Papers, Springer, vol. 53(2), pages 357-370, May.
  33. Kruse, Robinson & Sibbertsen, Philipp, 2012. "Long memory and changing persistence," Economics Letters, Elsevier, vol. 114(3), pages 268-272.
  34. Philipp Sibbertsen & Robinson Kruse, 2009. "Testing for a break in persistence under long‐range dependencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 263-285, May.
  35. Davidson, James & Sibbertsen, Philipp, 2009. "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, vol. 102(2), pages 83-86, February.
  36. Daniel J. Nordman & Philipp Sibbertsen & Soumendra N. Lahiri, 2007. "Empirical likelihood confidence intervals for the mean of a long‐range dependent process," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(4), pages 576-599, July.
  37. Sibbertsen, Philipp & Kramer, Walter, 2006. "The power of the KPSS-test for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 91(3), pages 321-324, June.
  38. Christoph Rothe & Philipp Sibbertsen, 2006. "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(3), pages 439-456, September.
  39. Davidson, James & Sibbertsen, Philipp, 2005. "Generating schemes for long memory processes: regimes, aggregation and linearity," Journal of Econometrics, Elsevier, vol. 128(2), pages 253-282, October.
  40. Philipp Sibbertsen & Roland Schultze & Ricardo Maronna, 2004. "Book reviews," Statistical Papers, Springer, vol. 45(3), pages 457-460, July.
  41. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
  42. Philipp Sibbertsen, 2004. "Long memory in volatilities of German stock returns," Empirical Economics, Springer, vol. 29(3), pages 477-488, September.
  43. Sibbertsen, Philipp, 2003. "Log-periodogram estimation of the memory parameter of a long-memory process under trend," Statistics & Probability Letters, Elsevier, vol. 61(3), pages 261-268, February.
  44. Ricardo Maronna & Philipp Sibbertsen & Olaf Hübler, 2003. "Book reviews," Statistical Papers, Springer, vol. 44(4), pages 601-604, October.
  45. Beran, Jan & Feng, Yuanhua & Ghosh, Sucharita & Sibbertsen, Philipp, 2002. "On robust local polynomial estimation with long-memory errors," International Journal of Forecasting, Elsevier, vol. 18(2), pages 227-241.
  46. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.
  47. Philipp Sibbertsen, 2001. "S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend," Journal of Time Series Analysis, Wiley Blackwell, vol. 22(3), pages 353-363, May.

Books

  1. Stefan Helber & Michael Breitner & Daniel Rösch & Cornelia Schön & Johann-Matthias Graf von der Schu (ed.), 2014. "Operations Research Proceedings 2012," Operations Research Proceedings, Springer, edition 127, number 978-3-319-00795-3, April.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Works
  2. Number of Distinct Works
  3. Number of Distinct Works, Weighted by Number of Authors
  4. Betweenness measure in co-authorship network

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 62 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (43) 2005-06-14 2005-07-11 2005-07-11 2005-12-01 2007-11-24 2007-11-24 2008-11-11 2008-11-11 2009-07-17 2009-08-30 2009-11-07 2009-11-21 2009-12-05 2010-04-04 2010-09-03 2010-09-11 2010-10-23 2011-01-30 2011-05-30 2012-02-20 2012-09-03 2013-08-05 2013-11-16 2014-07-28 2014-10-03 2015-03-13 2015-04-02 2017-04-23 2017-05-28 2017-06-25 2017-07-16 2017-08-06 2018-03-19 2018-06-25 2019-01-28 2019-07-08 2019-09-30 2019-09-30 2020-11-16 2023-01-09 2023-01-16 2023-09-25 2024-10-21. Author is listed
  2. NEP-ETS: Econometric Time Series (41) 1999-07-12 2005-06-14 2007-11-24 2007-11-24 2008-11-11 2009-07-17 2009-08-30 2009-11-07 2009-11-21 2009-12-05 2010-04-04 2010-09-03 2010-09-11 2011-05-30 2012-02-20 2012-03-28 2012-05-22 2012-09-03 2013-08-05 2013-11-09 2013-11-16 2014-07-28 2014-10-03 2015-03-13 2015-04-02 2017-04-23 2017-05-28 2017-06-25 2017-08-06 2018-03-19 2018-06-25 2019-01-28 2019-07-08 2019-09-30 2020-03-16 2020-11-16 2021-10-11 2023-01-09 2023-01-16 2024-07-15 2024-10-21. Author is listed
  3. NEP-ORE: Operations Research (11) 2008-11-11 2014-10-03 2015-04-02 2017-04-23 2017-06-25 2017-08-06 2019-09-30 2019-09-30 2020-06-22 2020-11-16 2021-10-11. Author is listed
  4. NEP-FOR: Forecasting (6) 2009-11-21 2009-12-05 2014-10-03 2019-09-30 2023-01-16 2024-07-15. Author is listed
  5. NEP-EEC: European Economics (5) 2013-09-13 2018-01-29 2019-07-08 2019-09-02 2020-07-27. Author is listed
  6. NEP-CBA: Central Banking (4) 2009-11-07 2010-10-23 2011-01-30 2011-04-02
  7. NEP-RMG: Risk Management (4) 2008-11-11 2011-04-02 2014-05-04 2020-03-16
  8. NEP-FMK: Financial Markets (3) 2006-08-26 2017-12-18 2019-09-30
  9. NEP-OPM: Open Economy Macroeconomics (3) 2009-11-07 2010-10-23 2011-01-30
  10. NEP-BAN: Banking (2) 2006-08-26 2014-05-04
  11. NEP-ENV: Environmental Economics (2) 2024-07-15 2024-07-15
  12. NEP-GER: German Papers (2) 2011-04-16 2017-09-10
  13. NEP-IFN: International Finance (2) 2009-11-07 2020-03-16
  14. NEP-MAC: Macroeconomics (2) 2018-01-29 2020-07-27
  15. NEP-CMP: Computational Economics (1) 2011-04-02
  16. NEP-EFF: Efficiency and Productivity (1) 2020-06-22
  17. NEP-ENE: Energy Economics (1) 2014-10-03
  18. NEP-MON: Monetary Economics (1) 2020-07-27
  19. NEP-MST: Market Microstructure (1) 2017-07-16
  20. NEP-URE: Urban and Real Estate Economics (1) 2023-09-25

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