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Institut für Ökonometrie und Statistik
Universität zu Köln
Albertus-Magnus Platz
D-50923 Köln


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  • Time Series Econometrics
  • Forecasting
  • Empirical Finance


  • International Research Fellow, Center for Research in Econometric Analysis of TimE Series (CREATES), Aarhus University, Denmark

Aktuelle Forschungspapiere

Papers under revision


Research papers

  • Testing the marginal normality of heteroskedastic series (with Matei Demetrescu)
  • Discriminating between true and spurious long memory processes: A new test based on non-linear transformations (with Niels Haldrup)


Journal articles

  • The walking debt crisis, with Christoph Wegener and Tobias Basse, forthcoming in the Journal of Economic Behaviour & Organization
  • 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