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Philipp Sibbertsen

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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.statistik.uni-hannover.de/sibbertsen.html
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Affiliation

(50%) Wirtschaftswissenschaftliche Fakultät
Leibniz Universität Hannover
Location: Hannover, Germany
Homepage: http://www.wiwi.uni-hannover.de/
Email:
Phone: (0511) 762-5350
Fax: (0511) 762-5665
Postal: Koenigsworther Platz 1, D-30167 Hannover
Handle: RePEc:edi:fwhande (more details at EDIRC)
(50%) Universität Hannover, Fakultät Wirtschaftswissenschaften, Abteilung Statistik (University of Hannover, Faculty of Economics and Business Administration, Statistics Division)
Homepage: http://www.wiwi.uni-hannover.de/statistik/index.htm
Location: Germany, Hannover

Works

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Working papers

  1. Rohde, Johannes & Sibbertsen, Philipp, 2014. "Credit Risk Modeling under Conditional Volatility," Hannover Economic Papers (HEP) dp-528, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  2. Christensen, Bent Jesper & Kruse, Robinson & Sibbertsen, Philipp, 2013. "A unified framework for testing in the linear regression model under unknown order of fractional integration," Hannover Economic Papers (HEP) dp-519, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  3. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2013. "Testing for a Break in the Persistence in Yield Spreads of EMU Government Bonds," Hannover Economic Papers (HEP) dp-517, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  4. Grote, Claudia & Sibbertsen, Philipp, 2013. "Testing for Cointegration in a Double-LSTR Framework," Hannover Economic Papers (HEP) dp-514, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  5. Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012. "On tests for linearity against STAR models with deterministic trends," Hannover Economic Papers (HEP) dp-492, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  6. Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012. "A simple specification procedure for the transition function in persistent nonlinear time series models," Hannover Economic Papers (HEP) dp-500, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  7. Sibbertsen, Philipp & Willert, Juliane, 2012. "Estimating the number of mean shifts under long memory," Hannover Economic Papers (HEP) dp-496, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  8. Bertram, Philip & Sibbertsen, Philipp & Stahl, Gerhard, 2011. "About the Impact of Model Risk on Capital Reserves: A Quantitative Analysis," Hannover Economic Papers (HEP) dp-469, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  9. Heinen, Florian & Kaufmann, Hendrik & Sibbertsen, Philipp, 2011. "The dynamics of real exchange rates - A reconsideration," Hannover Economic Papers (HEP) dp-463, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  10. Heinen, Florian & Michael, Stefanie & Sibbertsen, Philipp, 2011. "Two competitive models and their identification problem: The ESTAR and TSTAR model," Hannover Economic Papers (HEP) dp-474, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  11. Stahl, Gerhard & Sibbertsen, Philipp & Bertram, Philip, 2011. "Modellrisiko = Spezifikation + Validierung," Hannover Economic Papers (HEP) dp-468, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  12. Kruse, Robinson & Sibbertsen, Philipp, 2010. "Long memory and changing persistence," Hannover Economic Papers (HEP) dp-455, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  13. Donauer, Stefanie & Heinen, Florian & Sibbertsen, Philipp, 2010. "Identification problems in ESTAR models and a new model," Hannover Economic Papers (HEP) dp-444, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  14. Florian Heinen & Philipp Sibbertsen & Robinson Kruse, 2009. "Forecasting long memory time series under a break in persistence," CREATES Research Papers 2009-53, School of Economics and Management, University of Aarhus.
  15. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2009. "What do we know about real exchange rate non-linearities?," CREATES Research Papers 2009-50, School of Economics and Management, University of Aarhus.
  16. Sibbertsen, Philipp & Willert, Juliane, 2009. "Testing for a break in persistence under long-range dependencies and mean shifts," Hannover Economic Papers (HEP) dp-422, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  17. Kuswanto, Heri & Sibbertsen, Philipp, 2009. "Testing for Long Memory Against ESTAR Nonlinearities," Hannover Economic Papers (HEP) dp-427, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  18. Sibbertsen, Philipp & Stahl, Gerhard & Luedtke, Corinna, 2008. "Measuring Model Risk," Hannover Economic Papers (HEP) dp-409, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  19. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  20. Sibbertsen, Philipp & Kruse, Robinson, 2007. "Testing for a break in persistence under long-range dependencies," Hannover Economic Papers (HEP) dp-381, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  21. Kuswanto, Heri & Sibbertsen, Philipp, 2007. "Can we distinguish between common nonlinear time series models and long memory?," Hannover Economic Papers (HEP) dp-380, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  22. Weibach, Rafael & Sibbertsen, Philipp, 2006. "Divergence of credit valuation in Germany - Continuous theory and discrete practice -," Hannover Economic Papers (HEP) dp-344, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  23. Davidson, James & Sibbertsen, Philipp, 2005. "Tests of Bias in Log-Periodogram Regression," Hannover Economic Papers (HEP) dp-317, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  24. Nordman, Dan Nordman & Sibbertsen, Philipp & Lahiri, Soumendra N., 2005. "Empirical likelihood confidence intervals for the mean of a long-range dependent process," Hannover Economic Papers (HEP) dp-327, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  25. Rothe, Christoph & Sibbertsen, Philipp, 2005. "Phillips-Perron-type unit root tests in the nonlinear ESTAR framework," Hannover Economic Papers (HEP) dp-315, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  26. Sibbertsen, Philipp & Krämer, Walter, 2005. "The Power of the KPSS-Test for Cointegration when Residuals are Fractionally Integrated," Hannover Economic Papers (HEP) dp-318, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  27. Gebel, Meike & Sibbertsen, Philipp, 2004. "Recognizing mathematical talent : an approach using discriminant analysis," Technical Reports 2004,45, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  28. Herzberg, Markus & Sibbertsen, Philipp, 2004. "Pricing of options under different volatility models," Technical Reports 2004,62, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  29. Sibbertsen, Philipp & Weißbach, Rafael, 2004. "The cost for the default of a loan : Linking theory and practice," Technical Reports 2004,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  30. Sibbertsen, Philipp & Venetis, Ioannis, 2003. "Distinguishing between long-range dependence and deterministic trends," Technical Reports 2003,16, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  31. Halverscheid, Stefan & Sibbertsen, Philipp, 2003. "An introduction to Markov chains for interested high school students," Technical Reports 2003,17, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  32. Davidson, James & Sibbertsen, Philipp, 2002. "Generating schemes for long memory processes: Regimes, aggregation and linearity," Technical Reports 2002,46, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  33. Krämer, Walter & Sibbertsen, Philipp & Kleiber, Christian, 2001. "Long memory vs. structural change in financial time series," Technical Reports 2001,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  34. Peters, Andrea & Sibbertsen, Philipp, 2001. "Robust tests on fractional cointegration," Technical Reports 2001,29, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  35. Sibbertsen, Philipp, 2001. "Log-periodogram estimation of the memory parameter of a long-memory process under trend," Technical Reports 2001,39, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  36. Sibbertsen, Philipp, 2001. "Long-memory versus structural breaks: An overview," Technical Reports 2001,28, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  37. Sibbertsen, Philipp, 2001. "Long-memory in volatilities of German stock returns," Technical Reports 2001,42, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  38. Lohre, Michael & Sibbertsen, Philipp, 2001. "Persistenz und saisonale Abhängigkeiten in Abflüssen des Rheins," Technical Reports 2001,38, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  39. 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.
  40. 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.
  41. Krämer, Walter & Sibbertsen, Philipp, 2000. "Testing for structural change in the presence of long memory," Technical Reports 2000,31, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  42. Sibbertsen, Philipp, 2000. "Robust CUSUM-M test in the presence of long-memory disturbances," Technical Reports 2000,19, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  43. Sibbertsen, Philipp, 1999. "S-estimation in the nonlinear regression model with long-memory error terms," Technical Reports 1999,36, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  44. 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.
  45. Sibbertsen, Philipp, 1998. "S-estimators in the linear regression model with long-memory error terms," Technical Reports 1998,33, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

Articles

  1. Sibbertsen, Philipp & Wegener, Christoph & Basse, Tobias, 2014. "Testing for a break in the persistence in yield spreads of EMU government bonds," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 109-118.
  2. Philipp Sibbertsen & Rafael Weißbach, 2013. "Editors’ introduction," Statistical Papers, Springer, vol. 54(4), pages 907-909, November.
  3. Florian Heinen & Stefanie Michael & Philipp Sibbertsen, 2013. "Weak identification in the ESTAR model and a new model," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(2), pages 238-261, 03.
  4. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
  5. Robinson Kruse & Michael Frömmel & Lukas Menkhoff & Philipp Sibbertsen, 2012. "What do we know about real exchange rate nonlinearities?," Empirical Economics, Springer, vol. 43(2), pages 457-474, October.
  6. Kruse, Robinson & Sibbertsen, Philipp, 2012. "Long memory and changing persistence," Economics Letters, Elsevier, vol. 114(3), pages 268-272.
  7. Kaufmann, Hendrik & Kruse, Robinson & Sibbertsen, Philipp, 2012. "On tests for linearity against STAR models with deterministic trends," Economics Letters, Elsevier, vol. 117(1), pages 268-271.
  8. Philipp Sibbertsen & Juliane Willert, 2012. "Testing for a break in persistence under long-range dependencies and mean shifts," Statistical Papers, Springer, vol. 53(2), pages 357-370, May.
  9. Philipp Sibbertsen & Robinson Kruse, 2009. "Testing for a break in persistence under long-range dependencies," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(3), pages 263-285, 05.
  10. Davidson, James & Sibbertsen, Philipp, 2009. "Tests of bias in log-periodogram regression," Economics Letters, Elsevier, vol. 102(2), pages 83-86, February.
  11. 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, Wiley Blackwell, vol. 28(4), pages 576-599, 07.
  12. 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.
  13. 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.
  14. 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.
  15. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
  16. Philipp Sibbertsen, 2004. "Long memory in volatilities of German stock returns," Empirical Economics, Springer, vol. 29(3), pages 477-488, 09.
  17. Ricardo Maronna & Philipp Sibbertsen & Olaf Hübler, 2003. "Book reviews," Statistical Papers, Springer, vol. 44(4), pages 601-604, October.
  18. 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.
  19. 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.
  20. Walter Kramer & Philipp Sibbertsen, 2002. "Testing for Structural Changes in the Presence of Long Memory," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 1(3), pages 235-242, December.

NEP Fields

34 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (2) 2006-08-26 2014-05-04
  2. NEP-CBA: Central Banking (4) 2009-11-07 2010-10-23 2011-01-30 2011-04-02
  3. NEP-CMP: Computational Economics (1) 2011-04-02
  4. NEP-ECM: Econometrics (25) 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 2009-11-07 2009-11-21 2009-12-05 2010-04-04 2010-09-03 2010-09-11 2010-10-23 2011-01-30 2011-05-30 2012-02-20 2012-09-03 2013-08-05 2013-11-16. Author is listed
  5. NEP-EEC: European Economics (1) 2013-09-13
  6. NEP-ETS: Econometric Time Series (23) 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 2009-11-07 2009-11-21 2009-12-05 2010-04-04 2010-09-03 2010-09-11 2011-05-30 2012-02-20 2012-03-28 2012-05-22 2012-09-03 2013-08-05 2013-11-09 2013-11-16. Author is listed
  7. NEP-FMK: Financial Markets (1) 2006-08-26
  8. NEP-FOR: Forecasting (2) 2009-11-21 2009-12-05
  9. NEP-GER: German Papers (1) 2011-04-16
  10. NEP-IFN: International Finance (1) 2009-11-07
  11. NEP-OPM: Open Economy Macroeconomics (3) 2009-11-07 2010-10-23 2011-01-30
  12. NEP-ORE: Operations Research (1) 2008-11-11
  13. NEP-RMG: Risk Management (3) 2008-11-11 2011-04-02 2014-05-04

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