P. Sibbertsen

发表

What do we know about real exchange rate nonlinearities?

Robinson Kruse, Philipp Sibbertsen, Lukas Menkhoff, 2012 .

What Do We Know About Real Exchange Rate Non-Linearities?

Lukas Menkhoff, Robinson Kruse, Michael Frömmel, 2009 .

Generating Schemes for Long Memory Processes: Regimes, Aggregation and Linearity

James Davidson, Philipp Sibbertsen, J. Davidson, 2005 .

Long memory in volatilities of German stock returns

P. Sibbertsen, 2001 .

Modeling fractional cointegration between high and low stock prices in Asian countries

P. Sibbertsen, Alia Afzal, 2019, Empirical Economics.

Robust CUSUM-M test in the presence of long-memory disturbances

Philipp Sibbertsen, P. Sibbertsen, 2000 .

The Memory of Stock Return Volatility: Asset Pricing Implications

P. Sibbertsen, Marcel Prokopczuk, Duc Binh Benno Nguyen, 2018, Journal of Financial Markets.

Divergence of credit valuation in Germany - Continuous theory and discrete practice -

P. Sibbertsen, Rafael Weibach, 2006 .

Fractional integration versus level shifts: the case of realized asset correlations

Robinson Kruse, P. Sibbertsen, P. Bertram, 2013 .

Distinguishing between Long-Range Dependence and Deterministic Trends

P. Sibbertsen, I. Venetis, 2003 .

Two competitive models and their identification problem: The ESTAR and TSTAR model

P. Sibbertsen, Florian Heinen, S. Michael, 2011 .

A mathematical programming approach to model the impacts of sectoral interventions on sustainable development in rural sub-Saharan Africa

U. Grote, P. Sibbertsen, 2019 .

Long-memory versus Structural Breaks: an Overview 1

P. Sibbertsen, 2001 .

Information criteria for nonlinear time series models

P. Sibbertsen, Saskia Rinke, 2016 .

Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series

P. Sibbertsen, Kai Wenger, Simon Wingert, 2020 .

A Multivariate Test Against Spurious Long Memory

P. Sibbertsen, C. Leschinski, Marie Busch, 2017 .

Prophylactic HPV vaccination after conization: A systematic review and meta-analysis

P. Hillemanns, P. Sibbertsen, M. Jentschke, 2020, Geburtshilfe und Frauenheilkunde.

Estimating the number of mean shifts under long memory

P. Sibbertsen, J. Willert, Juliane Willert, 2012 .

A Simple Test on Structural Change in Long-Memory Time Series

P. Sibbertsen, Kai Wenger, C. Leschinski, 2018 .

Operations Proceedings 2012

Daniel Rösch, Michael H. Breitner, Stefan Helber, 2012 .

Operations Research Proceedings 2012, Selected Papers of the International Annual Conference of the German Operations Research Society (GOR), Leibniz University of Hannover, Germany, September 5-7, 2012

Marc C. Steinbach, Daniel Rösch, Michael H. Breitner, 2014, OR.

Cyclical fractional cointegration

P. Sibbertsen, Michelle Voges, 2020, Econometrics and Statistics.

Do algebraic numbers follow Khinchin's Law?

P. Sibbertsen, T. Lampert, Karsten Muller, 2022, 2208.14359.

On tests for linearity against STAR models with deterministic trends

Robinson Kruse, P. Sibbertsen, Hendrik Kaufmann, 2012 .

Perioperative morbidity of different operative approaches in early cervical carcinoma: a systematic review and meta-analysis comparing minimally invasive versus open radical hysterectomy

P. Hillemanns, P. Sibbertsen, T. Flock, 2021, Archives of Gynecology and Obstetrics.

A comparison of semiparametric tests for fractional cointegration

P. Sibbertsen, C. Leschinski, Michelle Voges, 2020, Statistical Papers.

What do we know about real exchange rate nonlinearities?

Lukas Menkhoff, Robinson Kruse, Michael Frömmel, 2011, Empirical Economics.

Fractional integration versus level shifts: the case of realized asset correlations

Robinson Kruse, P. Sibbertsen, P. Bertram, 2013, Statistical Papers.

Change-in-mean tests in long-memory time series: a review of recent developments

P. Sibbertsen, Kai Wenger, C. Leschinski, 2018, AStA Advances in Statistical Analysis.

A comparison of semiparametric tests for fractional cointegration

Philipp Sibbertsen, Christian Leschinski, Michelle Voges, 2020, Statistical Papers.

Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany

Philipp Sibbertsen, Christoph Wegener, Duc Khuong Nguyen, 2019, Annals of Operations Research.

Testing for breaks in the cointegrating relationship: On the stability of government bond markets’ equilibrium

P. Sibbertsen, P. Rodrigues, Michelle Voges, 2019 .

Testing for Cointegration in a Double-LSTR Framework

Claudia Grote, P. Sibbertsen, 2015 .

P. Sibbertsen, Britta Stöver, 2020 .

The Memory of Beta Factors

Janis Becker, Fabian Hollstein, Marcel Prokopczuk, 2020 .

The Memory of Beta

P. Sibbertsen, Marcel Prokopczuk, Fabian Hollstein, 2019, Journal of Banking & Finance.

The Long Memory of Equity Volatility and the Macroeconomy: International Evidence

P. Sibbertsen, Marcel Prokopczuk, Duc Binh Benno Nguyen, 2017 .

The Impact of Model Risk on Capital Reserves: A Quantitative Analysis

P. Sibbertsen, Gerhard Stahl, P. Bertram, 2015 .

The dynamics of real exchange rates - A reconsideration

Philipp Sibbertsen, Hendrik Kaufmann, Florian Heinen, 2014 .

Using a two-step framework for the investigation of storm impacted beach/dune erosion

Jennifer M. Brown, C. Winter, P. Sibbertsen, 2021, Coastal Engineering.

Change-in-mean tests in long-memory time series: a review of recent developments

Philipp Sibbertsen, Kai Wenger, Christian Leschinski, 2019 .

Testing for a break in the persistence in yield spreads of EMU government bonds

P. Sibbertsen, Tobias Basse, Christoph Wegener, 2013 .

Criteria for Nonlinear Time Series Models ∗

P. Sibbertsen, Saskia Rinke, 2015 .

Fractional Cointegration and EMU Government Bond Market Integration

P. Sibbertsen, C. Leschinski, Michelle Voges, 2018 .

Tests of Bias in Log-Periodogram Regression

J. Davidson, P. Sibbertsen, 2009 .

Pricing of options under different volatility models

P. Sibbertsen, Markus Herzberg, 2004 .

Measuring model risk

Philipp Sibbertsen, Gerhard Stahl, P. Sibbertsen, 2008 .

On robust local polynomial estimation with long-memory errors

Jan Beran, Yuanhua Feng, Sucharita Ghosh, 2002 .

Real Exchange Rates and Fundamentals in a new Markov‐STAR Model*

Jun Ma, P. Sibbertsen, T. Flock, 2021, Oxford Bulletin of Economics and Statistics.

Real exchange rates and economic fundamentals: An investigation based on a Markov-STAR model

Jun Ma, Philipp Sibbertsen, Jun Ma, 2015 .

A Simple Specification Procedure for the Transition Function in Persistent Nonlinear Time Series Models

Robinson Kruse, Philipp Sibbertsen, Hendrik Kaufmann, 2014 .

Integration and Disintegration of EMU Government Bond Markets

P. Sibbertsen, C. Leschinski, Michelle Voges, 2021, Econometrics.

Weak identification in the ESTAR model and a new model

P. Sibbertsen, Florian Heinen, S. Michael, 2013 .

Identification problems in ESTAR models and a new model

P. Sibbertsen, Florian Heinen, S. Donauer, 2010 .

Testing for long memory against ESTAR nonlinearities

P. Sibbertsen, H. Kuswanto, 2009 .

A Study on "Spurious Long Memory in Nonlinear Time Series Models"

P. Sibbertsen, H. Kuswanto, 2008 .

Can we distinguish between common nonlinear time series models and long memory

Heri Kuswanto, Philipp Sibbertsen, P. Sibbertsen, 2007 .

Phillips-Perron-type unit root tests in the nonlinear ESTAR framework

Philipp Sibbertsen, Christoph Rothe, C. Rothe, 2006 .

S-estimators in the linear regression model with long-memory error terms

P. Sibbertsen, 1999 .

Credit Risk Modeling under Conditional Volatility

P. Sibbertsen, J. Rohde, 2014 .

Roth's Theorem implies a Weakened Version of the ABC Conjecture for Special Cases

P. Sibbertsen, T. Lampert, Karsten Muller, 2022, 2208.14354.

Protective operative techniques in radical hysterectomy in early cervical carcinoma and their influence on disease-free and overall survival: a systematic review and meta-analysis of risk groups

P. Hillemanns, P. Sibbertsen, T. Flock, 2021, Archives of Gynecology and Obstetrics.

Modeling water flow of the Rhine River using seasonal long memory

P. Sibbertsen, Mike Løhre, Tamara Könning, 2003 .

Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights

P. Sibbertsen, T. Flock, P. Dissanayake, 2021, Mathematics.

Model Order Selection in Seasonal/Cyclical Long Memory Models

Philipp Sibbertsen, Christian Leschinski, P. Sibbertsen, 2014 .

Model order selection in periodic long memory models

Philipp Sibbertsen, Christian Leschinski, P. Sibbertsen, 2019, Econometrics and Statistics.

The cost for the default of a loan : Linking theory and practice

R. Weißbach, P. Sibbertsen, 2004 .

Measuring macroeconomic convergence and divergence within EMU using long memory

P. Sibbertsen, Lena Dräger, Theoplasti Kolaiti, 2020, Empirical Economics.

Spatial autoregressive fractionally integrated moving average model

P. Sibbertsen, Philipp Otto, 2023, 2309.06880.

Testing for structural change in the presence of long memory

Walter Krämer, Philipp Sibbertsen, W. Krämer, 2000 .

Empirical likelihood confidence intervals for the mean of a long‐range dependent process

Philipp Sibbertsen, Daniel Nordman, S. Lahiri, 2007 .

Long memory versus structural breaks: An overview

Philipp Sibbertsen, P. Sibbertsen, 2004 .

Long-memory in volatilities of German stock returns

P. Sibbertsen, 2004 .

Log-periodogram estimation of the memory parameter of a long-memory process under trend

Philipp Sibbertsen, P. Sibbertsen, 2003 .

The stability of government bond markets’ equilibrium and the interdependence of lending rates

P. Sibbertsen, Michelle Voges, Paulo M. M. Rodrigues, 2024, Empirical Economics.

Seasonal long memory in intra-day volatility and trading volume of Dow Jones stocks

P. Sibbertsen, C. Leschinski, Michelle Voges, 2019, International Financial Markets.

Volatility Transmission across Financial Markets: A Semiparametric Analysis

P. Sibbertsen, Theoplasti Kolaiti, M. Mboya, 2020, Journal of Risk and Financial Management.

A unified framework for testing in the linear regression model under unknown order of fractional integration

B. Christensen, Robinson Kruse, P. Sibbertsen, 2013 .