Publikationen
Journal articles
- Time-Varying Persistence in Real Oil Prices and its Determinant, with Christoph Wegener, forthcoming in Energy Economics (2019)
- Comparing Predictive Accuracy under Long Memory, With an Application to Volatility Forecasting, with Christian Leschinski and Michael Will, Journal of Financial Econometrics 17 (2019), 180-228
- The walking debt crisis, with Christoph Wegener and Tobias Basse, Journal of Economic Behaviour & Organization 157 (2019), 382-402
- Explosive behaviour and long memory with an application to European bond yield spreads, with Christoph Wegener, Scottish Journal of Political Economy 66 (2019), 139-153
- Bias-corrected estimation for speculative bubbles in stock prices, with Hendrik Kaufmann and Christoph Wegener, Economic Modelling 73 (2018), 354-364
- Changes in persistence, spurious regressions and the Fisher hypothesis, with Daniel Ventosa-Santaulària and Antonio Noriega, Studies in Nonlinear Dynamics & Econometrics 21 (2017)
- Interest rate convergence in the EMS prior to European Monetary Union, with Michael Frömmel, Journal of Policy Modeling 37 (2015), 990-1004
- A modifi ed test against spurious long memory, Economics Letters 135 (2015), 34-38
- The power of unit root tests against nonlinear local alternatives, with Matei Demetrescu, Journal of Time Series Analysis 34 (2013), 40-61
- When bubbles burst: Econometric tests based on structural breaks, with Jörg Breitung, Statistical Papers 54 (2013), Special Issue on Structural Breaks, 911-930
- Fractional integration versus level shifts: the case of realized asset correlations, with Philip Bertram and Philipp Sibbertsen, Statistical Papers 54 (2013), Special Issue on Structural Breaks, 977-991
- Testing for a rational bubble under long memory, with Michael Frömmel, Quantitative Finance 12 (2012), 1723-1732
- What do we know about real exchange rate nonlinearity?, with Michael Frömmel, Lukas Menkhoff and Philipp Sibbertsen, Empirical Economics 43 (2012), 457-474
- On tests for linearity against STAR models with deterministic trends, with Hendrik Kaufmann and Philipp Sibbertsen, Economics Letters 117 (2012), 268-271
- Long memory and changing persistence, with Philipp Sibbertsen, Economics Letters 114 (2012), 268-272
- On European monetary integration and the persistence properties of real exchange rates, Finance Research Letters 8 (2011), 45-50
- A new unit root test against ESTAR based on a class of modi fied statistics, Statistical Papers 52 (2011), 71-85
- Testing for a break in persistence under long-range dependencies, with Philipp Sibbertsen, Journal of Time Series Analysis 30 (2009), 263-285
Chapters in books
- Linearity testing for trending data with an application of the wild bootstrap, with Rickard Sandberg, Essays in Nonlinear Time Series Econometrics: A Festschrift for Timo Teräsvirta, edited by Mika Meitz, Pentti Saikkonen and Niels Haldrup, Oxford University Press (2014), 57-89
- Simple procedures for specifying transition functions in persistent nonlinear time series models, with Hendrik Kaufmann and Philipp Sibbertsen, Recent Advances in Estimating Nonlinear Models: With Applications in Economics and Finance, edited by Mark Wohar and Jun Ma, Springer (2014), 169-191
- Unit roots, structural breaks, and non-linearities, with Niels Haldrup, Timo Teräsvirta and Rasmus Varneskov, in: N. Hashimzade and M. Thornton, Eds., Handbook on Empirical Macroeconomics. Handbook of Research Methods and Applications series, Edward Elgar Publishing Ltd. (2013), 61-94