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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

The memory of volatility

Wenger, Kai R.; Leschinski, Christian H.; Sibbertsen, … - In: Quantitative finance and economics 2 (2018) 1, pp. 137-159

Persistent link: https://www.econbiz.de/10012137903

A simple test on structural change in long-memory time series

Wenger, Kai; Leschinski, Christian; Sibbertsen, Philipp - In: Economics letters 163 (2018), pp. 90-94

Persistent link: https://www.econbiz.de/10011982960

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - In: Economics letters 144 (2016), pp. 80-84

Persistent link: https://www.econbiz.de/10011617209

Long memory vs. structural change in financial time series

Krämer, Walter; Sibbertsen, Philipp; Kleiber, Christian - In: Allgemeines statistisches Archiv : AStA ; journal of … 86 (2002) 1, pp. 83-96

Persistent link: https://www.econbiz.de/10001650471

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

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

Long memory, spurious memory : persistence in range-based volatility of exchange rates

Afzal, Alia; Sibbertsen, Philipp - In: Open economies review 34 (2023) 4, pp. 789-811

Persistent link: https://www.econbiz.de/10014383572

The memory of stock return volatility : asset pricing implications

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - In: Journal of financial markets 47 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012631778

Volatility transmission across financial markets : a semiparametric analysis

Kolaiti, Theoplasti; Mboya, Mwasi; Sibbertsen, Philipp - In: Journal of risk and financial management : JRFM 13 (2020) 8/160, pp. 1-13

This paper revisits the question whether volatilities of different markets and trading zones have a long-run equilibrium in the sense that they are fractionally cointegrated. We consider the U.S., Japanese and German stock, bond and foreign exchange markets to see whether there is fractional...

Persistent link: https://www.econbiz.de/10012322368