Details about Eric Hillebrand

Access statistics for papers by Eric Hillebrand.

Last updated 2009-03-15. Update your information in the RePEc Author Service.

Short-id: phi41

Working Papers

2007

1. Forecasting realized volatility models:the benefits of bagging and nonlinear specifications
   Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations

2006

2. A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
   Working Paper Series, European Central Bank View citations
   See also Journal Article in International Economics and Economic Policy (2008)
3. Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility
   CESifo Working Paper Series, CESifo Group Munich

2005

4. Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation
   Finance, EconWPA
5. Overlaying Time Scales in Financial Volatility Data
   Econometrics, EconWPA View citations

2004

6. The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection
   Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group View citations
   Also in International Finance, EconWPA (2004) View citations
   Departmental Working Papers, Department of Economics, Louisiana State University View citations

2003

7. Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models
   Econometrics, EconWPA

Undated

8. Neglecting Parameter Changes in Autoregressive Models
   Departmental Working Papers, Department of Economics, Louisiana State University View citations

Journal Articles

2008

1. A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
   International Economics and Economic Policy, 2008, 5, (4), 389-401
   See also Working Paper (2006)
2. Interest rate volatility and home mortgage loans
   Applied Economics, 2008, 40, (18), 2381-2385

2005

3. Neglecting parameter changes in GARCH models
   Journal of Econometrics, 2005, 129, (1-2), 121-138 View citations