Robinson Kruse
Robinson Kruse is Professor for Applied Statistics at the University of Hagen, Germany. Before taking up this position, he was employed as an associate professor for Financial Econometrics in Cologne, as 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 structural changes, forecast evaluation and explosiveness with applications in empirical finance and macroeconomics.
Kerkemeier, M. & Kruse-Becher, R. (2022). Join the club! Dynamics of global ESG indices convergence. Finance Research Letters, 49, Article 103085. https://doi.org/10.1016/j.frl.2022.103085
Demetrescu, M., Hanck, C. & Kruse-Becher, R. (2022). Robust inference under time-varying volatility: A real-time evaluation of professional forecasters. Journal of Applied Econometrics, 37(5), 1010-1030. https://doi.org/10.1002/jae.2906
Kruse, R. & Wegener, C. (2020). Time-varying persistence in real oil prices and its determinant. Energy Economics, 85, Article 104328. https://doi.org/10.1016/j.eneco.2019.02.020
Kruse, R., Leschinski, C. & Will, M. (2019). Comparing Predictive Accuracy under Long Memory, With an Application to Volatility Forecasting. Journal of Financial Econometrics, 17(2), 180-228. https://doi.org/10.1093/jjfinec/nby011
Kruse, R. & Wegener, C. (2019). Explosive behaviour and long memory with an application to European bond yield spreads. Scottish Journal of Political Economy, 66(1), 139-153. https://doi.org/10.1111/sjpe.12179
Wegener, C., Kruse, R. & Basse, T. (2019). The walking debt crisis. Journal of Economic Behavior & Organization, 157, 382-402. https://doi.org/10.1016/j.jebo.2017.10.008
Kruse, R., Kaufmann, H. & Wegener, C. (2018). Bias-corrected estimation for speculative bubbles in stock prices. Economic Modelling, 73, 354-364. https://doi.org/10.1016/j.econmod.2018.04.014
Kruse, R., Ventosa-Santaularia, D. & Noriega, A. E. (2017). Changes in persistence, spurious regressions and the Fisher hypothesis. Studies in Nonlinear Dynamics and Econometrics (Online), 21(3), Article 20150062. https://doi.org/10.1515/snde-2015-0062
Kruse, R. (2015). A modified test against spurious long memory. Economics Letters, 135, 34-38. https://doi.org/10.1016/j.econlet.2015.07.019
Frömmel, M. & Kruse, R. (2015). Interest rate convergence in the EMS prior to European Monetary Union. Journal of Policy Modeling, 37(6), 990–1004. https://doi.org/10.1016/j.jpolmod.2015.08.002
Bertram, P., Kruse, R. & Sibbertsen, P. (2013). Fractional integration versus level shifts: The case of realized asset correlations. Statistical Papers, 54(4), 977-991. https://doi.org/10.1007/s00362-013-0513-2
Demetrescu, M. & Kruse, R. (2013). The power of unit root tests against nonlinear local alternatives. Journal of Time Series Analysis, 34(1), 40-61. https://doi.org/10.1111/j.1467-9892.2012.00812.x
Breitung, J. & Kruse, R. (2013). When bubbles burst: Econometric tests based on structural breaks. Statistical Papers, 54(4), 911-930. https://doi.org/10.1007/s00362-012-0497-3
Kruse, R. & Sibbertsen, P. (2012). Long memory and changing persistence. Economics Letters, 114(3), 268-272. https://doi.org/10.1016/j.econlet.2011.10.026
Kaufmann, H., Kruse, R. & Sibbertsen, P. (2012). On tests for linearity against STAR models with deterministic trends. Economics Letters, 117(1), 268-271. https://doi.org/10.1016/j.econlet.2012.05.025
Frömmel, M. & Kruse, R. (2012). Testing for a rational bubble under long memory. Quantitative Finance, 12(11), 1723-1732. https://doi.org/10.1080/14697688.2011.578151
Kruse, R., Frömmel, M., Menkhoff, L. & Sibbertsen , P. (2012). What do we know about real exchange rate nonlinearities? Empirical Economics, 43(2), 457-474. https://doi.org/10.1007/s00181-010-0431-2
Kruse, R. (2011). A new unit root test against ESTAR based on a class of modified statistics. Statistical Papers, 52(1), 71-85. https://doi.org/10.1007/s00362-009-0204-1
Kruse, R. (2011). On European monetary integration and the persistence of real effective exchange rates. Finance Research Letters, 8(1), 45-50. https://doi.org/10.1016/j.frl.2010.06.001
Sibbertsen, P. & Kruse, R. (2009). Testing for a break in persistence under long-range dependencies. Journal of Time Series Analysis, 30(3), 263-285. https://doi.org/10.1111/j.1467-9892.2009.00611.x
