Philipp Sibbertsen

University of Hannover

Welfengarten 1

D-30167 Hannover, 30167

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

282

CITATIONS
Rank 30,691

SSRN RANKINGS

Top 30,691

in Total Papers Citations

7

Scholarly Papers (8)

1.

The Memory of Stock Return Volatility: Asset Pricing Implications

Journal of Financial Markets, Forthcoming
Number of pages: 66 Posted: 22 Nov 2017 Last Revised: 18 Jan 2019
Duc Binh Benno Nguyen, Marcel Prokopczuk and Philipp Sibbertsen
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 140 (202,989)

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Asset Pricing; Long Memory; Persistence; Volatility

2.

Forecasting Long Memory Time Series Under a Break in Persistence

CREATES Research Paper 2009-53
Number of pages: 31 Posted: 19 Nov 2009
Philipp Sibbertsen and Robinson Kruse
University of Hannover and Aarhus University
Downloads 50 (381,111)

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Long memory time series, Break in persistence, Structural change, Simulation, Forecasting competition

3.

The Long Memory of Equity Volatility: International Evidence

Number of pages: 44 Posted: 22 Nov 2017
Duc Binh Benno Nguyen, Marcel Prokopczuk and Philipp Sibbertsen
Leibniz Universität Hannover - Faculty of Economics and Management, Leibniz Universität Hannover - Faculty of Economics and Management and University of Hannover
Downloads 41 (412,780)

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International, Long Memory, Volatility

4.

What Do We Know About Real Exchange Rate Non-Linearities?

CREATES Research Paper 2009-50
Number of pages: 27 Posted: 29 Oct 2009
Aarhus University, Ghent University - Department of Financial Economics, German Institute for Economic Research (DIW Berlin) and University of Hannover
Downloads 33 (444,972)

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real exchange rates, unit root test, ESTAR, Markov Switching, PPP

5.

Empirical Likelihood Confidence Intervals for the Mean of a Long-Range Dependent Process

Journal of Time Series Analysis, Vol. 28, No. 4, pp. 576-599, July 2007
Number of pages: 24 Posted: 18 Jun 2007
Daniel Nordman, Soumendra N. Lahiri and Philipp Sibbertsen
Iowa State University - Department of Statistics, Iowa State University - Department of Statistics and University of Hannover
Downloads 15 (540,527)
Citation 2
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6.

Testing for a Break in Persistence Under Long-Range Dependencies

Journal of Time Series Analysis, Vol. 30, Issue 3, pp. 263-285, May 2009
Number of pages: 23 Posted: 27 Apr 2009
Robinson Kruse and Philipp Sibbertsen
Aarhus University and University of Hannover
Downloads 2 (625,157)
Citation 5
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7.

Weak Identification in the ESTAR Model and a New Model

Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 238-261, 2013
Number of pages: 24 Posted: 22 Feb 2013
Florian Heinen, Stefanie Michael and Philipp Sibbertsen
affiliation not provided to SSRN, affiliation not provided to SSRN and University of Hannover
Downloads 1 (637,542)
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Nonlinearities, smooth transition, linearity testing, unit root testing, real exchange rates

8.

The Impact of Model Risk on Capital Reserves: A Quantitative Analysis

Journal of Risk, Vol. 17, No. 5, 2015
Number of pages: 30 Posted: 24 Jun 2016
Philip Bertram, Philipp Sibbertsen and Gerhard Stahl
Leibniz Universität Hannover, University of Hannover and European Union - Committee of the Regions
Downloads 0 (655,592)
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model risk, estimation risk, misspecification risk, Basel multiplication factor, empirical model specification, capital reserves