Robinson Kruse

Robinson Kruse is an Associate Professor for Financial Econometrics at the University of Cologne. Before taking up this position, he was employed as an assistant professor at Rijksuniversiteit Groningen and Leibniz University Hannover. He has been a postdoctoral fellow at CREATES from August 2008 - July 2011. His research interests in the field of time series econometrics include long memory processes, structural breaks, forecasting, non-linearities and unit roots.

Publications 2007-

  • Basse, Tobias and Robinson Kruse, The walking debt crisis, Journal of Economic Behaviour & Organization (forthcoming).
  • Kruse, Robinson, Antonio Noriega, and Daniel Ventosa-Santaularia. Changes in persistence, spurious regressions and the Fisher hypothesis, Studies in Nonlinear Dynamics & Econometrics (forthcoming).
  • 2015, Kruse, Robinson, A modified test against spurious long memory, Economics Letters 135, 34-38.
  • 2015, Frömmel, Michael and Robinson Kruse, Interest rate convergence in the EMS prior to European Monetary Union, Journal of Policy Modeling 37, 990-1004.
  • 2014, Kruse, Robinson and Rickard Sandberg, Linearity testing for trending data with an application of the wild bootstrap, with Rickard Sandberg; in Niels Haldrup; Mika Meitz; Pentti Saikkonen, Essays in Nonlinear Time Series Econometrics, Oxford University Press, 57-89.
  • 2014, Kaufmann, Hendrik, Robinson Kruse and Philipp Sibbertsen, Simple procedures for specifying transition functions in persistent nonlinear time series models; in Recent Advances in Estimating Nonlinear Models: With Applications in Economics and Finance, New York: Springer, 169-191.
  • 2013, Bertram, Philip, Robinson Kruse and Philipp Sibbertsen, Fractional integration versus level shifts: the case of realized asset correlations, Statistical Papers 54, 977-991.
  • 2013, Haldrup, N., R. Kruse, T. Teräsvirta and R.T. Varneskov, Unit roots, non-linearities and structural breaks, in N. Hashimzade and M. Thornton, eds. Handbook of Research Methods and Applications in Empirical Macroeconomics, 61-94. Edward Elgar.
  • 2013, Demetrescu, Matei and Robinson Kruse. The Power of Unit Root Tests Against Nonlinear Local Alternatives. Journal of Time Series Analysis 34, 40-61.
  • 2013, Breitung, Jörg and Robinson Kruse, When bubbles burst: Econometric tests based on structural breaks, Statistical Papers 54, 911-93.
  • 2012. Frommel, Michael and Robinson Kruse. Testing for a rational bubble under long memory. Quantitative Finance 12, 1723-1732.
  • 2012. Frommel, Michael, Robinson Kruse, Lukas Menkhoff and Philipp Sibbertsen. What do we know about real exchange rate nonlinearity? Empirical Economics 43, 457-474.
  • 2012. Kaufmann, Hendrik, Robinson Kruse and Philipp Sibbertsen. On tests for linearity against STAR models with deterministic trends. Economics Letters 117, 268-271.
  • 2012. Kruse, Robinson and Philipp Sibbertsen. Long memory and changing persistence. Economics Letters 114, 268-272.
  • 2011. Kruse, Robinson. On European monetary integration and the persistence properties of real exchange rates. Finance Research Letters 8, 45-50.
  • 2011. Kruse, Robinson. A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers 52, 71-85.
  • 2009. Kruse, Robinson and Philipp Sibbertsen. Testing for a break in persistence under long-range dependencies. Journal of Time Series Analysis 30, 263-285.