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Institute of Statistics

Organisational unit: Institute

Type of address: Visitor address.
Königsworther Platz 1
30167
Hannover
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Publications

  1. 2018
  2. Published

    Essays on robust long memory inference

    Will, M. W., 2018, Hannover. 139 p.

    Research output: Thesis › Doctoral thesis

  3. Published

    Essays on Spurious Long Memory Time Series

    Busch, M. T., 2018, Hannover.

    Research output: Thesis › Doctoral thesis

  4. Published

    The periodogram of spurious long-memory processes

    Leschinski, C. & Sibbertsen, P., 2018, Hannover

    Research output: Other contribution › Other publication › Research

  5. 2017
  6. Published

    Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks

    Voges, M., Leschinski, C. & Sibbertsen, P., 28 Jun 2017, Hannover

    Research output: Other contribution › Other publication › Research

  7. Published

    Die räumliche Flexibilität von Studierenden: Gründe für das Wanderungsverhalten von Studienanfänger/-innen zwischen den Bundesländern

    Sibbertsen, P. & Stöver, B., 2017, Hannover (Germany)

    Research output: Other contribution › Other publication › Research

  8. Published

    Origins of spurious long memory

    Leschinski, C. & Sibbertsen, P., 2017, Hannover

    Research output: Other contribution › Other publication › Research

  9. Published

    The long memory of equity volatility: international evidence

    Nguyen, D. B. B., Prokopczuk, M. & Sibbertsen, P., 2017, [Hannover], (Hannover economic papers (HEP); vol. Nummer: 614 (Nov 2017)).

    Research output: Working paper/Preprint › Working paper/Discussion paper

  10. 2016
  11. Published

    Information criteria for nonlinear time series models

    Rinke, S. & Sibbertsen, P., 1 Jun 2016, In: Studies in Nonlinear Dynamics and Econometrics. 20, 3, p. 325-341 17 p.

    Research output: Contribution to journal › Article › Research › peer review

  12. 2015
  13. Published

    The impact of model risk on capital reserves: a quantitative analysis

    Bertram, P., Sibbertsen, P. & Stahl, G., 15 May 2015, In: Journal of risk. 17, 5, p. 67-97 31 p.

    Research output: Contribution to journal › Article › Research › peer review

  14. Published

    Essays on model risk: the role of volatility for the accuracy of financial risk models

    Rohde, J., 2015, Hannover.

    Research output: Thesis › Doctoral thesis

  15. Published

    Testing for Cointegration in a Double-LSTR Framework

    Grote, C. & Sibbertsen, P., 2015, Empirical Economic and Financial Research: Theory, Methods and Practice. p. 437-450 14 p. (Advanced Studies in Theoretical and Applied Econometrics; vol. 48).

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review

  16. 2014
  17. Published

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

    Sibbertsen, P., Wegener, C. & Basse, T., Apr 2014, In: Journal of Banking and Finance. 41, p. 109-118 10 p.

    Research output: Contribution to journal › Article › Research › peer review

  18. Published

    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

    Helber, S. (Editor), Breitner, M. H. (Editor), Rösch, D. (Editor), Schön, C. (Editor), Schulenburg, J. G. V. D. (Editor), Sibbertsen, P. (Editor), Steinbach, M. C. (Editor), Weber, S. (Editor) & Wolter, A. (Editor), 2014, (Operations Research Proceedings)

    Research output: Book/Report › Conference proceeding › Research

  19. 2013
  20. Published

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

    Bertram, P., Kruse, R. & Sibbertsen, P., Nov 2013, In: Statistical papers. 54, 4, p. 977-991 15 p.

    Research output: Contribution to journal › Article › Research › peer review

  21. Published

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

    Kaufmann, H., Kruse, R. & Sibbertsen, P., 27 Aug 2013, Recent Advances in Estimating Nonlinear Models: With Applications in Economics and Finance. Springer New York, Vol. 9781461480600. p. 169-191 23 p.

    Research output: Chapter in book/report/conference proceeding › Contribution to book/anthology › Research › peer review

  22. Published

    Weak identification in the ESTAR model and a new model

    Heinen, F., Michael, S. & Sibbertsen, P., Mar 2013, In: Journal of time series analysis. 34, 2, p. 238-261 24 p.

    Research output: Contribution to journal › Article › Research › peer review

  23. 2012
  24. Published

    On tests for linearity against STAR models with deterministic trends

    Kaufmann, H., Kruse, R. & Sibbertsen, P., Oct 2012, In: Economics letters. 117, 1, p. 268-271 4 p.

    Research output: Contribution to journal › Article › Research › peer review

  25. Published

    What do we know about real exchange rate nonlinearities?

    Kruse, R., Frömmel, M., Menkhoff, L. & Sibbertsen, P., Oct 2012, In: Empirical economics. 43, 2, p. 457-474 18 p.

    Research output: Contribution to journal › Article › Research › peer review

  26. Published

    Testing for a break in persistence under long-range dependencies and mean shifts

    Sibbertsen, P. & Willert, J., May 2012, In: Statistical papers. 53, 2, p. 357-370 14 p.

    Research output: Contribution to journal › Article › Research › peer review

  27. Published

    Long memory and changing persistence

    Kruse, R. & Sibbertsen, P., Mar 2012, In: Economics letters. 114, 3, p. 268-272 5 p.

    Research output: Contribution to journal › Article › Research › peer review

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