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  • The Long Memory of Equity Volatility and the Macroeconomy: International Evidence 
    Dräger, Lena; Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, Philipp (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be ...
  • Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory 
    Dräger, Lena; Kolaiti, Theoplasti; Sibbertsen, Philipp (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    This paper measures the convergence or divergence of EMU inflation rates and industrial production by testing for the existence of fractional cointegration relations. The notion of fractional cointegration allows for ...
  • The Memory of Beta Factors 
    Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; Sibbertsen, Philipp (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors ...
  • Strategic Interactions between Tax and Statutory Auditors and Different Information Regimes: Implications for Tax Audit Efficiency 
    Blaufus, Kay; Schöndube, Jens Robert; Wielenberg, Stefan (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    We examine whether tax audits become more efficient if tax auditors have access to audited financial statements and information about statutory audit adjustments. We extend the standard tax compliance game by a statutory ...
  • Where do Creditor Rights Matter? Creditor Rights, Political Constraints, and Cross-Border M&A Activity 
    Gassebner, Martin; Gnutzmann-Mkrtchyan, Arevik; Méon, Pierre-Guillaume (Hannover : Institutionelles Repositorium der Leibniz Universität Hannover, 2020)
    In this paper, we evaluate the impact of creditor rights and political risk on both the number and the value of cross-border M&A flows in a gravity model using a negative binomial model and Heckman’s two-stage selection ...

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