← All authors Philipp Sibbertsen Leibniz University Hannover (per OpenAlex) · ORCID · OpenAlex
64 papers in scope · 63 published · 1 on the econ.EM arXiv · 617 citations · h-index 13 (over the papers listed here)
Papers (1 of 64)
Mapping price dynamics across electricity market designs: A functional data approach with STL decomposition
published 2026 · Applied Energy · 2 citations
with Miao Yu
Monitoring breaks in fractional cointegration
published 2025 · Communication in Statistics-Theory and Methods
with Maik Dierkes, Krischan Fitter
The memory puzzle in precipitation: Uncertainty in memory parameter estimation and implications for forecasting practice
published 2025 · International Journal of Forecasting · 1 citations
with Markus Fritsch, Harry Haupt, Teresa Flock, Joachim Schnurbus
A perturbation robust test against spurious long memory
published 2025 · Econometrics and Statistics
with Vivien Less
A CUSUM test for breaks in fractional cointegration
published 2025 · Economics Letters · 1 citations
with Krischan Fitter
What determines the price of carbon? New evidence from phase III and IV of the EU ETS
published 2025 · Journal of Climate Finance · 4 citations · first circulated 2024
with Bente Dittmann, Tobias Lauter, Marcel Prokopczuk
Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data
published 2025 · Energy Economics · 1 citations · first circulated 2024
Block whittle estimation of time-varying stochastic regression models with long memory
published 2025 · Econometrics and Statistics
with Chris Fotso
working paper 2024 · arXiv
The stability of government bond markets’ equilibrium and the interdependence of lending rates
published 2024 · Empirical Economics · 1 citations
Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
published 2023 · Review of Derivatives Research · 6 citations
with Maik Dierkes, Jan Krupski, Sebastian Schroen
Optimal forecasts in the presence of discrete structural breaks under long memory
published 2023 · Journal of Forecasting · 2 citations
with Mwasi Paza Mboya
Measuring macroeconomic convergence and divergence within EMU using long memory
published 2023 · Empirical Economics · 1 citations · first circulated 2020
with Lena Dräger, Theoplasti Kolaiti
Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates
published 2022 · Open Economies Review · 10 citations
with Alia Afzal
Modelling Short-and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights
published 2021 · Mathematics · 8 citations
with Pushpa Dissanayake, Teresa Flock, Johanna Meier
Real Exchange Rates and Fundamentals in a new Markov‐STAR Model*
published 2021 · Oxford Bulletin of Economics and Statistics · 1 citations
Integration and Disintegration of EMU Government Bond Markets
published 2021 · Econometrics · 2 citations
with Christian Leschinski, Michelle Voges
The memory of beta
published 2020 · Journal of Banking & Finance · 18 citations · first circulated 2019
with Janis Becker, Fabian Hollstein, Marcel Prokopczuk
Volatility Transmission across Financial Markets: A Semiparametric Analysis
published 2020 · Journal of risk and financial management · 1 citations
with Theoplasti Kolaiti, Mwasi Paza Mboya
Distinguishing between breaks in the mean and breaks in persistence under long memory
published 2020 · Economics Letters · 6 citations
with Simon Wingert, Mwasi Paza Mboya
Cyclical fractional cointegration
published 2020 · Econometrics and Statistics · 5 citations
with Michelle Voges
A comparison of semiparametric tests for fractional cointegration
published 2020 · Statistical Papers · 1 citations
with Christian Leschinski, Michelle Voges
The similarities in efficiency of universities and universities of applied sciences in Lower Saxony
published 2020 · Hannover Economic Papers (HEP)
with Britta Stöver
no link
Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series
published 2020 · Hannover Economic Papers (HEP)
with Kai Wenger, Simon Wingert
no link
Seasonality robust local whittle estimation
published 2019 · Applied Economics Letters · 1 citations
with Simon Wingert, Christian Leschinski
Can google trends improve sales forecasts on a product level?
published 2019 · Applied Economics Letters · 8 citations
with Benjamin Fritzsch, Kai Wenger, Georg Ullmann
Modeling fractional cointegration between high and low stock prices in Asian countries
published 2019 · Empirical Economics · 8 citations
with Alia Afzal
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
published 2019 · Annals of Operations Research · 7 citations
The memory of stock return volatility: Asset pricing implications
published 2019 · Journal of Financial Markets · 21 citations · first circulated 2017
with Duc Binh Benno Nguyen, Marcel Prokopczuk
Change-in-mean tests in long-memory time series: a review of recent developments
published 2018 · AStA Advances in Statistical Analysis · 1 citations
with Kai Wenger, Christian Leschinski
An Overview of Modified Semiparametric Memory Estimation Methods
published 2018 · Econometrics · 3 citations
with Marie Busch
Model order selection in periodic long memory models
published 2018 · Econometrics and Statistics · 12 citations
with Christian Leschinski
The memory of volatility
published 2018 · Quantitative Finance and Economics
with Kai Wenger, Christian Leschinski
A multivariate test against spurious long memory
published 2017 · Journal of Econometrics · 19 citations · first circulated 2015
with Christian Leschinski, Marie Busch, Marie Holzhausen
A simple test on structural change in long-memory time series
published 2017 · Economics Letters
with Kai Wenger, Christian Leschinski
Inference on the long-memory properties of time series with non-stationary volatility
published 2016 · Economics Letters · 3 citations · first circulated 2014
with Matei Demetrescu
Information criteria for nonlinear time series models
published 2015 · Studies in Nonlinear Dynamics and Econometrics · 6 citations
with Saskia Rinke
The impact of model risk on capital reserves: a quantitative analysis
published 2015 · The Journal of Risk · first circulated 2011
with Philip Bertram, Gerhard Stahl
Testing for a break in the persistence in yield spreads of EMU government bonds
published 2014 · Journal of Banking & Finance · 71 citations · first circulated 2013
with Christoph Wegener, Tobias Basse
Recent Advances in Estimating Nonlinear Models
published 2014 · Springer US
with Robinson Kruse, Hendrik Kaufmann
no link
Editors’ introduction
published 2013 · Statistical Papers
with Rafael Weißbach
THE DYNAMICS OF REAL EXCHANGE RATES: A RECONSIDERATION
published 2013 · Journal of Applied Econometrics · 3 citations · first circulated 2011
with Hendrik Kaufmann, Florian Heinen
Fractional integration versus level shifts: the case of realized asset correlations
published 2013 · Statistical Papers · 13 citations
with Philip Bertram, Robinson Kruse
Testing for Cointegration in a Double-LSTR Framework
published 2013 · Hannover Economic Papers (HEP)
with Claudia von Grote
Weak identification in the ESTAR model and a new model
published 2012 · Journal of Time Series Analysis · 2 citations
with Florian Heinen, Stefanie Michael
On tests for linearity against STAR models with deterministic trends
published 2012 · Economics Letters
with Hendrik Kaufmann, Robinson Kruse
A simple specification procedure for the transition function in persistent nonlinear time series models
published 2012 · Hannover Economic Papers (HEP) · 4 citations
with Hendrik Kaufmann, Robinson Kruse
Long memory and changing persistence
published 2011 · Economics Letters
with Robinson Kruse
Modellrisiko = Spezifikation + Validierung
published 2011 · Hannover Economic Papers (HEP)
with Gerhard Stahl, Philip Bertram
no link
Testing for a break in persistence under long-range dependencies and mean shifts
published 2009 · Journal of Time Series Analysis · 75 citations · first circulated 2007
with Robinson Kruse, Juliane Willert
What Do We Know About Real Exchange Rate Non-Linearities?
published 2009 · Empirical Economics · 4 citations
with Robinson Kruse, Michael Frömmel, Lukas Menkhoff
Tests of bias in log-periodogram regression
published 2008 · Economics Letters · 21 citations
with James Davidson
Measuring model risk
published 2008 · The Journal of Risk Model Validation · 17 citations
with Gerhard Stahl, Corinna Luedtke
Empirical likelihood confidence intervals for the mean of a long‐range dependent process
published 2007 · Journal of Time Series Analysis · 1 citations
with Daniel J. Nordman, Soumendra N. Lahiri
Phillips-Perron-type unit root tests in the nonlinear ESTAR framework
published 2006 · Allgemeines Statistisches Archiv · 21 citations · first circulated 2005
with Christoph Rothe
The power of the KPSS-test for cointegration when residuals are fractionally integrated
published 2006 · Economics Letters · 1 citations · first circulated 2004
with Walter Krämer
Generating schemes for long memory processes: regimes, aggregation and linearity
published 2004 · Journal of Econometrics · 72 citations · first circulated 2002
with James Davidson
Long memory versus structural breaks: An overview
published 2004 · Statistical Papers · 7 citations
Long memory in volatilities of German stock returns
published 2004 · Empirical Economics · 44 citations · first circulated 2001
Nonparametric M-estimation with long-memory errors
published 2003 · Journal of Statistical Planning and Inference · 9 citations · first circulated 2000
with Jan Beran, Sucharita Ghosh, Sucharita Gosh
Log-periodogram estimation of the memory parameter of a long-memory process under trend
published 2003 · Statistics & Probability Letters · 16 citations · first circulated 2001
On robust local polynomial estimation with long-memory errors
published 2002 · International Journal of Forecasting · 21 citations · first circulated 2000
with Jan Beran, Yuanhua Feng, Sucharita Ghosh
Testing for Structural Changes in the Presence of Long Memory
published 2002 · International journal of business and economics · 46 citations · first circulated 2000
with Walter Krämer, Fachbereich Statistik
S‐Estimation in the Linear Regression Model with Long‐memory Error Terms Under Trend
published 2001 · Journal of Time Series Analysis · 9 citations
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