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Kai Wenger

Personal Details

First Name:Kai
Middle Name:
Last Name:Wenger
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RePEc Short-ID:pwe411
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https://www.statistik.uni-hannover.de/wenger.html

Affiliation

Wirtschaftswissenschaftliche Fakultät
Leibniz Universität Hannover

Hannover, Germany
http://www.wiwi.uni-hannover.de/
RePEc:edi:fwhande (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Wenger, Kai & Leschinski, Christian, 2018. "Fixed-Bandwidth CUSUM Tests Under Long Memory," Hannover Economic Papers (HEP) dp-647, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  2. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments," Hannover Economic Papers (HEP) dp-598, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  3. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  4. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "A Simple Test on Structural Change in Long-Memory Time Series," Hannover Economic Papers (HEP) dp-592, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

Articles

  1. Wenger, Kai & Less, Vivien, 2020. "A modified Wilcoxon test for change points in long-range dependent time series," Economics Letters, Elsevier, vol. 192(C).
  2. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
  3. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2018. "A simple test on structural change in long-memory time series," Economics Letters, Elsevier, vol. 163(C), pages 90-94.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

    Mentioned in:

    1. Long Memory in Realized Volatility
      by Francis Diebold in No Hesitations on 2017-10-07 18:07:00

Working papers

  1. Wenger, Kai & Leschinski, Christian, 2018. "Fixed-Bandwidth CUSUM Tests Under Long Memory," Hannover Economic Papers (HEP) dp-647, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

    Cited by:

    1. Hirukawa, Masayuki, 2023. "Robust Covariance Matrix Estimation in Time Series: A Review," Econometrics and Statistics, Elsevier, vol. 27(C), pages 36-61.
    2. Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020. "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP) dp-676, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

  2. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "Change-in-Mean Tests in Long-memory Time Series: A Review of Recent Developments," Hannover Economic Papers (HEP) dp-598, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

    Cited by:

    1. Li, Zheng & Zeng, Jingjing & Hensher, David A., 2023. "An efficient approach to structural breaks and the case of automobile gasoline consumption in Australia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 169(C).
    2. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    3. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    4. Daiqing Xi & Tianxiao Pang, 2021. "Estimating multiple breaks in mean sequentially with fractionally integrated errors," Statistical Papers, Springer, vol. 62(1), pages 451-494, February.
    5. Sibbertsen, Philipp & Wenger, Kai & Wingert, Simon, 2020. "Testing for Multiple Structural Breaks in Multivariate Long Memory Time Series," Hannover Economic Papers (HEP) dp-676, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    6. Wenger, Kai & Less, Vivien, 2020. "A modified Wilcoxon test for change points in long-range dependent time series," Economics Letters, Elsevier, vol. 192(C).

  3. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "The Memory of Volatility," Hannover Economic Papers (HEP) dp-601, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

    Cited by:

    1. Busch, Marie & Sibbertsen, Philipp, 2018. "An Overview of Modified Semiparametric Memory Estimation Methods," Hannover Economic Papers (HEP) dp-628, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    2. Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2017. "The Long Memory of Equity Volatility: International Evidence," Hannover Economic Papers (HEP) dp-614, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    3. Janis Becker & Christian Leschinski, 2021. "Estimating the volatility of asset pricing factors," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 269-278, March.
    4. Hiroyuki Kawakatsu, 2021. "Information in daily data volatility measurements," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 1642-1656, April.
    5. Theoplasti Kolaiti & Mwasi Mboya & Philipp Sibbertsen, 2020. "Volatility Transmission across Financial Markets: A Semiparametric Analysis," JRFM, MDPI, vol. 13(8), pages 1-13, July.
    6. Stéphane Goutte & David Guerreiro & Bilel Sanhaji & Sophie Saglio & Julien Chevallier, 2019. "International Financial Markets," Post-Print halshs-02183053, HAL.

  4. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2017. "A Simple Test on Structural Change in Long-Memory Time Series," Hannover Economic Papers (HEP) dp-592, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.

    Cited by:

    1. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    2. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    3. Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020. "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, vol. 193(C).
    4. Daiqing Xi & Tianxiao Pang, 2021. "Estimating multiple breaks in mean sequentially with fractionally integrated errors," Statistical Papers, Springer, vol. 62(1), pages 451-494, February.
    5. Richard T. Baillie & Fabio Calonaci & Dooyeon Cho & Seunghwa Rho, 2019. "Long Memory, Realized Volatility and HAR Models," Working Papers 881, Queen Mary University of London, School of Economics and Finance.
    6. Dooruj Rambaccussing & Murat Mazibas, 2020. "True versus Spurious Long Memory in Cryptocurrencies," JRFM, MDPI, vol. 13(9), pages 1-11, August.

Articles

  1. Kai Wenger & Christian Leschinski & Philipp Sibbertsen, 2019. "Change-in-mean tests in long-memory time series: a review of recent developments," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(2), pages 237-256, June.
    See citations under working paper version above.
  2. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2018. "A simple test on structural change in long-memory time series," Economics Letters, Elsevier, vol. 163(C), pages 90-94.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (4) 2017-04-23 2017-06-25 2017-08-06 2018-12-17. Author is listed
  2. NEP-ETS: Econometric Time Series (4) 2017-04-23 2017-06-25 2017-08-06 2018-12-17. Author is listed
  3. NEP-ORE: Operations Research (4) 2017-04-23 2017-06-25 2017-08-06 2018-12-17. Author is listed

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