Auflistung Wirtschaftswissenschaftliche Fakultät nach Autor/in "9f5fef3c-3fc5-4f99-8a30-34219c456a32"

Auflistung Wirtschaftswissenschaftliche Fakultät nach Autor/in "9f5fef3c-3fc5-4f99-8a30-34219c456a32"

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  • A comparison of semiparametric tests for fractional cointegration 
    Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp (Berlin, Heidelberg [u.a.] : Springer, 2020)
    There are various competing procedures to determine whether fractional cointegration is present in a multivariate time series, but no standard approach has emerged. We provide a synthesis of this literature and conduct a ...
  • Integration and disintegration of emu government bond markets 
    Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp (Basel : MDPI AG, 2021)
    It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between ...
  • Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates 
    Afzal, Alia; Sibbertsen, Philipp (Dordrecht [u.a.] : Springer Science + Business Media B.V, 2022)
    This study considers the long memory and fractional integration in the range-based volatilities across 30 currencies against USD. Graphical analysis of the autocorrelation function at long lags and pole near zero frequencies ...
  • The memory of volatility 
    Wenger, Kai R.; Leschinski, Christian H.; Sibbertsen, Philipp (Springield : AIMS Press, 2018)
    The focus of the volatility literature on forecasting and the predominance of the conceptually simpler HAR model over long memory stochastic volatility models has led to the fact that the actual degree of memory estimates ...
  • Optimal forecasts in the presence of discrete structural breaks under long memory 
    Paza Mboya, Mwasi; Sibbertsen, Philipp (New York, NY : Wiley Interscience, 2023)
    We develop methods to obtain optimal forecast under long memory in the presence of a discrete structural break based on different weighting schemes for the observations. We observe significant changes in the forecasts when ...
  • An overview of modified semiparametric memory estimation methods 
    Busch, Marie; Sibbertsen, Philipp (Basel : MDPI AG, 2018)
    Several modified estimation methods of the memory parameter have been introduced in the past years. They aim to decrease the upward bias of the memory parameter in cases of low frequency contaminations or an additive noise ...
  • Real Exchange Rates and Fundamentals in a new Markov-STAR Model* 
    Bertram, Philip; Flock, Teresa; Ma, Jun; Sibbertsen, Philipp (Oxford : Wiley-Blackwell, 2022)
    We propose a new nonlinear Markov-STAR model to capture both the Markov switching and smooth transition dynamics for real exchange rates. We derive stationarity conditions for the model and apply it to the real exchange ...
  • Using a two-step framework for the investigation of storm impacted beach/dune erosion 
    Dissanayake, Pushpa; Brown, Jennifer; Sibbertsen, Philipp; Winter, Christian (Amsterdam [u.a.] : Elsevier Science, 2021)
    Long-term coastal management of beach/dune systems requires the definition and assessment of storm events. This study presents a framework using statistical analyses and numerical modelling (XBeach) to characterize storm ...

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