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Information about:
Philipp Sibbertsen

Personal Details | Affiliation | Works
This is information that was supplied by Philipp Sibbertsen in registering through RePEc. If you are Philipp Sibbertsen , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Philipp
Middle Name:
Last Name: Sibbertsen
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RePEc Short-ID: psi133

Email:
Homepage: http://www.wiwi.uni-hannover.de/statistik/professor.html
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-427, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]

  2. Sibbertsen, Philipp & Willert, Juliane, 2009. "Testing for a break in persistence under long-range dependencies and mean shifts," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-422, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]

  3. Sibbertsen, Philipp & Stahl, Gerhard & Luedtke, Corinna, 2008. "Measuring Model Risk," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-409, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]

  4. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-410, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]

  5. Kuswanto, Heri & Sibbertsen, Philipp, 2007. "Can we distinguish between common nonlinear time series models and long memory?," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-380, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]

  6. Sibbertsen, Philipp & Kruse, Robinson, 2007. "Testing for a break in persistence under long-range dependencies," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-381, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    Published as:

  7. Weibach, Rafael & Sibbertsen, Philipp, 2006. "Divergence of credit valuation in Germany - Continuous theory and discrete practice -," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-344, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]

  8. Davidson, James & Sibbertsen, Philipp, 2005. "Tests of Bias in Log-Periodogram Regression," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-317, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    Published as:

  9. Nordman, Dan Nordman & Sibbertsen, Philipp & Lahiri, Soumendra N., 2005. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-327, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    Published as:

  10. Sibbertsen, Philipp & Krämer, Walter, 2005. "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-318, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    Published as:

  11. Rothe, Christoph & Sibbertsen, Philipp, 2005. "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-315, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    Published as:

  12. Jan Beran & Sucharita Gosh & Philipp Sibbertsen, 2000. "Nonparametric M-Estimation with Long-Memory Errors," CoFE Discussion Paper 00-19, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]

  13. Jan Beran & Yuanhua Feng & Sucharita Gosh & Philipp Sibbertsen, 2000. "On robust local polynomial estimation with long-memory errors," CoFE Discussion Paper 00-18, Center of Finance and Econometrics, University of Konstanz. [Downloadable!]
    Published as:

  14. Philipp Sibbertsen, 1999. "S-Estimation in the Linear Regression Model with Long-Memory Error Terms," Computing in Economics and Finance 1999 512, Society for Computational Economics.

Articles

  1. Philipp Sibbertsen & Robinson Kruse, 2009. "Testing for a break in persistence under long-range dependencies," Journal of Time Series Analysis, Blackwell Publishing, vol. 30(3), pages 263-285, 05. [Downloadable!] (restricted)
    Other versions:

  2. Davidson, James & Sibbertsen, Philipp, 2009. "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, vol. 102(2), pages 83-86, February. [Downloadable!] (restricted)
    Other versions:

  3. Daniel J. Nordman & Philipp Sibbertsen & Soumendra N. Lahiri, 2007. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Journal of Time Series Analysis, Blackwell Publishing, vol. 28(4), pages 576-599, 07. [Downloadable!] (restricted)
    Other versions:

  4. Christoph Rothe & Philipp Sibbertsen, 2006. "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," AStA Advances in Statistical Analysis, Springer, vol. 90(3), pages 439-456, September. [Downloadable!] (restricted)
    Other versions:

  5. Sibbertsen, Philipp & Kramer, Walter, 2006. "The power of the KPSS-test for cointegration when residuals are fractionally integrated," Economics Letters, Elsevier, vol. 91(3), pages 321-324, June. [Downloadable!] (restricted)
    Other versions:

  6. Davidson, James & Sibbertsen, Philipp, 2005. "Generating schemes for long memory processes: regimes, aggregation and linearity," Journal of Econometrics, Elsevier, vol. 128(2), pages 253-282, October. [Downloadable!] (restricted)

  7. Philipp Sibbertsen, 2004. "Long memory in volatilities of German stock returns," Empirical Economics, Springer, vol. 29(3), pages 477-488, 09. [Downloadable!] (restricted)

  8. Sibbertsen, Philipp, 2003. "Log-periodogram estimation of the memory parameter of a long-memory process under trend," Statistics & Probability Letters, Elsevier, vol. 61(3), pages 261-268, February. [Downloadable!] (restricted)

  9. Beran, Jan & Feng, Yuanhua & Ghosh, Sucharita & Sibbertsen, Philipp, 2002. "On robust local polynomial estimation with long-memory errors," International Journal of Forecasting, Elsevier, vol. 18(2), pages 227-241. [Downloadable!] (restricted)
    Other versions:

NEP Fields

14 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2006-08-26
  2. NEP-ECM: Econometrics (12) 2000-08-02 2000-08-02 2005-06-14 2005-07-11 2005-07-11 2005-12-01 2007-11-24 2007-11-24 2008-11-11 2008-11-11 2009-07-17 2009-08-30 Author is listed
  3. NEP-ETS: Econometric Time Series (9) 1999-07-12 2000-08-02 2000-08-02 2005-06-14 2007-11-24 2007-11-24 2008-11-11 2009-07-17 2009-08-30 Author is listed
  4. NEP-FMK: Financial Markets (1) 2006-08-26
  5. NEP-ORE: Operations Research (1) 2008-11-11
  6. NEP-RMG: Risk Management (1) 2008-11-11
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This page was last updated on 2009-11-28.

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