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Long memory in volatilities of German stock returns
Sibbertsen, Philipp - In: Empirical economics : a journal of the Institute for … 29 (2004) 3, pp. 477-488
Persistent link: https://www.econbiz.de/10002222104
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The power of the KPSS-test for cointegration when residuals are fractionally integrated
Sibbertsen, Philipp; Krämer, Walter - In: Economics letters 91 (2006) 3, pp. 321-324
Persistent link: https://www.econbiz.de/10003333609
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Tests of bias in log-periodogram regression
Davidson, James E. H.; Sibbertsen, Philipp - In: Economics letters 102 (2009) 2, pp. 83-86
Persistent link: https://www.econbiz.de/10003818334
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Long memory and changing persistence
Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 114 (2012) 3, pp. 268-272
Persistent link: https://www.econbiz.de/10009550790
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On tests for linearity against STAR models with deterministic trends
Kaufmann, Hendrik; Kruse, Robinson; Sibbertsen, Philipp - In: Economics letters 117 (2012) 1, pp. 268-271
Persistent link: https://www.econbiz.de/10009697775
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What do we know about real exchange rate nonlinearities?
Kruse, Robinson; Frömmel, Michael; Menkhoff, Lukas; … - In: Empirical economics : a journal of the Institute for … 43 (2012) 2, pp. 457-474
Persistent link: https://www.econbiz.de/10009630353
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The impact of model risk on capital reserves : a quantitative analysis
Bertram, Philip; Sibbertsen, Philipp; Stahl, Gerhard - In: Journal of risk 17 (2014/2015) 5, pp. 69-97
Persistent link: https://www.econbiz.de/10011438894
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Information criteria for nonlinear time series models
Rinke, Saskia; Sibbertsen, Philipp - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 3, pp. 325-341
Persistent link: https://www.econbiz.de/10011507539
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Testing for a break in the persistence in yield spreads of EMU government bonds
Sibbertsen, Philipp; Wegener, Christoph; Basse, Tobias - In: Journal of banking & finance 41 (2014), pp. 109-118
Persistent link: https://www.econbiz.de/10010408487
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The dynamics of real exchange rates : a reconsideration
Kaufmann, Hendrik; Heinen, Florian; Sibbertsen, Philipp - In: Journal of applied econometrics 29 (2014) 5, pp. 758-773
Persistent link: https://www.econbiz.de/10010414852