Ausgewählte Publikationen

Prof. Dr. Robinson Kruse-Becher

  • Robust inference under time-varying volatility: A real-time evaluation of professional forecasters, mit Matei Demetrescu und Christoph Hanck, 3te Revision für Journal of Applied Econometrics
  • Time-varying persistence in real oil prices and its determinant, mit Christoph Wegener, Energy Economics 85 (2020), Article 104328
  • Comparing predictive accuracy under long memory, with an application to volatility forecasting, mit Christian Leschinski und Michael Will, Journal of Financial Econometrics, 17 (2019), 180–228
  • The walking debt crisis, mit Tobias Basse und Christoph Wegener, Journal of Economic Behavior & Organization 157 (2019), 382-402
  • Bias-corrected estimation for speculative bubbles in stock prices, mit Hendrik Kaufmann and Christoph Wegener, Economic Modelling 73 (2018), 354-364
  • A modified test against spurious long memory, Economics Letters 135 (2015), 34-38
  • Linearity testing for trending data with an application of the wild bootstrap, mit 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
  • Unit roots, structural breaks, and non-linearities, mit 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
  • The power of unit root tests against nonlinear local alternatives, mit Matei Demetrescu, Journal of Time Series Analysis 34 (2013), 40-61
  • When bubbles burst: Econometric tests based on structural breaks, mit Jörg Breitung, Statistical Papers 54 (2013), Special Issue on Structural Breaks, 911-930
  • Testing for a rational bubble under long memory, mit Michael Frömmel, Quantitative Finance 12 (2012), 1723-1732
  • What do we know about real exchange rate nonlinearity?, mit Michael Frömmel, Lukas Menkhoff und Philipp Sibbertsen, Empirical Economics 43 (2012), 457-474
  • A new unit root test against ESTAR based on a class of modified statistics, Statistical Papers 52 (2011), 71-85
  • Testing for a break in persistence under long-range dependencies, mit Philipp Sibbertsen, Journal of Time Series Analysis 30 (2009), 263-285

M.Sc. Simon Lineu Umbach

  • Forecasting with supervised factor models, Empirical Economics, 58 (2020), 169-190.