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Philipp Sibbertsen

Institution: Leibniz Universität Hannover

Primary Field: Finance (weighted toward more recent publications)

Homepage: https://www.statistik.uni-hannover.de/de/sibbertsen

First Publication: 2002

Most Recent: 2025

RePEc ID: psi133 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 1.35 1.01 1.01 3.36 71%
Last 10 Years 0.00 2.69 1.01 2.19 5.89 76%
All Time 0.00 4.71 2.86 4.04 11.60 89%

Publication Statistics

Raw Publications 17
Coauthorship-Adjusted Count 12.28

Publications (17)

Year Article Journal Tier Authors
2025 Modeling and forecasting the long memory of Cyclical Trends in paleoclimate data Energy Economics A 3
2025 A CUSUM test for breaks in fractional cointegration Economics Letters C 2
2023 Long Memory, Spurious Memory: Persistence in Range-Based Volatility of Exchange Rates Open Economies Review C 2
2022 Real Exchange Rates and Fundamentals in a new Markov‐STAR Model Oxford Bulletin of Economics and Statistics B 4
2021 The memory of beta Journal of Banking & Finance B 4
2020 Distinguishing between breaks in the mean and breaks in persistence under long memory Economics Letters C 3
2018 A multivariate test against spurious long memory Journal of Econometrics A 3
2018 A simple test on structural change in long-memory time series Economics Letters C 3
2016 Inference on the long-memory properties of time series with non-stationary volatility Economics Letters C 2
2014 Testing for a break in the persistence in yield spreads of EMU government bonds Journal of Banking & Finance B 3
2014 The Dynamics of Real Exchange Rates: a Reconsideration Journal of Applied Econometrics B 3
2012 Long memory and changing persistence Economics Letters C 2
2012 On tests for linearity against STAR models with deterministic trends Economics Letters C 3
2009 Tests of bias in log-periodogram regression Economics Letters C 2
2006 The power of the KPSS-test for cointegration when residuals are fractionally integrated Economics Letters C 2
2005 Generating schemes for long memory processes: regimes, aggregation and linearity Journal of Econometrics A 2
2002 On robust local polynomial estimation with long-memory errors International Journal of Forecasting B 4