Publications
- 2020
- Published
Seasonality robust local whittle estimation
Wingert, S., Leschinski, C. & Sibbertsen, P., 23 Oct 2020, In: Applied Economics Letters. 27, 18, p. 1489-1494 6 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Can google trends improve sales forecasts on a product level?
Fritzsch, B., Wenger, K., Sibbertsen, P. & Ullmann, G., 6 Oct 2020, In: Applied Economics Letters. 27, 17, p. 1409-1414 6 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Prophylactic HPV vaccination after conization: A systematic review and meta-analysis
Jentschke, M., Kampers, J., Becker, J., Sibbertsen, P. & Hillemanns, P., 22 Sept 2020, In: Vaccine. 38, 41, p. 6402-6409 8 p.Research output: Contribution to journal › Review article › Research › peer review
- Published
Distinguishing between breaks in the mean and breaks in persistence under long memory
Wingert, S., Mboya, M. P. & Sibbertsen, P., Aug 2020, In: Economics Letters. 193, 109338.Research output: Contribution to journal › Article › Research › peer review
- Published
Volatility Transmission across Financial Markets: A Semiparametric Analysis
Kolaiti, T., Mboya, M. & Sibbertsen, P., 24 Jul 2020, In: JOURNAL OF RISK AND FINANCIAL MANAGEMENT. 13, 8, 160.Research output: Contribution to journal › Article › Research › peer review
- Published
The memory of stock return volatility: Asset pricing implications
Nguyen, D. B. B., Prokopczuk, M. & Sibbertsen, P., Jan 2020, In: Journal of Financial Markets. 47, 100487.Research output: Contribution to journal › Article › Research › peer review
- Published
Essays on Long Memory Estimation and Testing for Structural Breaks under Long-Range Dependent Errors
Wingert, S., 2020, Hannover. 93 p.Research output: Thesis › Doctoral thesis
- Published
Essays on Structural Change Tests under Long Memory
Wenger, K. R., 2020, Hannover. 19 p.Research output: Thesis › Doctoral thesis
- Published
Essays on Testing for Nonlinearity in Time Series: Issues in Nonlinear Cointegration, Structural Breaks and Changes in Persistence
Grote, C., 2020, Hannover. 72 p.Research output: Thesis › Doctoral thesis
- Published
Studien zu hochschulpolitischen Fragestellungen
Stöver, B., 2020, Hannover. 46 p.Research output: Thesis › Doctoral thesis
- 2019
- Published
Liquidity risk and the covered bond market in times of crisis: empirical evidence from Germany
Wegener, C., Basse, T., Sibbertsen, P. & Nguyen, D. K., Nov 2019, In: Annals of Operations Research. 282, 1-2, p. 407-426 20 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Change-in-mean tests in long-memory time series: A review of recent developments
Wenger, K., Leschinski, C. & Sibbertsen, P., 1 Jun 2019, In: AStA Advances in Statistical Analysis. 103, 2, p. 237-256 20 p.Research output: Contribution to journal › Review article › Research › peer review
- Published
Model order selection in periodic long memory models
Leschinski, C. & Sibbertsen, P., Jan 2019, In: Econometrics and Statistics. 9, p. 78-94 17 p.Research output: Contribution to journal › Article › Research › peer review
- Published
Essays on fractional cointegration and seasonal long memory
Voges, M., 2019, Hannover. 123 p.Research output: Thesis › Doctoral thesis
- Published
Essays on fractional cointegration and spurious long memory
Afzal, A., 2019, Hannover. 98 p.Research output: Thesis › Doctoral thesis
- Published
Stochastic mortality modelling with cointegrated vector autoregressive processes and characterizations of logistic-type hazard rate distributions
Salfeld, T., 2019, Hannover. 316 p.Research output: Thesis › Doctoral thesis
- 2018
- Published
The memory of volatility
Wenger, K., Leschinski, C. & Sibbertsen, P., 31 Mar 2018, In: Quantitative Finance and Economics (QFE). 2, 1, p. 137-159 23 p.Research output: Contribution to journal › Article › Research › peer review
- Published
An Overview of Modified Semiparametric Memory Estimation Methods
Busch, M. & Sibbertsen, P., 12 Mar 2018, In: Econometrics. 6, 1, 13.Research output: Contribution to journal › Article › Research › peer review
- Published
A multivariate test against spurious long memory
Sibbertsen, P., Leschinski, C. & Busch, M., Mar 2018, In: Journal of Econometrics. 203, 1, p. 33-49 17 p.Research output: Contribution to journal › Article › Research › peer review
- Published
A simple test on structural change in long-memory time series
Wenger, K., Leschinski, C. & Sibbertsen, P., Feb 2018, In: Economics Letters. 163, p. 90-94 5 p.Research output: Contribution to journal › Article › Research › peer review