Details about Eric Hillebrand

Access statistics for papers by Eric Hillebrand.

Last updated 2021-07-12. Update your information in the RePEc Author Service.

Short-id: phi41

Working Papers

2020

1. A statistical model of the global carbon budget
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
2. Bagging Weak Predictors
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (2)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2014)
   See also Journal Article Bagging weak predictors, International Journal of Forecasting, Elsevier (2021) View citations (2) (2021)
3. Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2019

4. Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
   See also Journal Article Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors, Energy Economics, Elsevier (2021) View citations (16) (2021)

2018

5. The dynamics of factor loadings in the cross-section of returns
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
6. Using the Entire Yield Curve in Forecasting Output and Inflation
   Working Papers, University of California at Riverside, Department of Economics
   See also Journal Article Using the Entire Yield Curve in Forecasting Output and Inflation, Econometrics, MDPI (2018) View citations (11) (2018)

2015

7. DATA REVISIONS AND THE STATISTICAL RELATION OF GLOBAL MEAN SEA-LEVEL AND TEMPERATURE
   Discussion Papers, University of Copenhagen. Department of Economics
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015)
8. Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
9. Seasonal Changes in Central England Temperatures
   CEIS Research Paper, Tor Vergata University, CEIS View citations (2)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) View citations (2)
   See also Journal Article Seasonal changes in central England temperatures, Journal of the Royal Statistical Society Series A, Royal Statistical Society (2017) View citations (12) (2017)
10. Supervision in Factor Models Using a Large Number of Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
11. The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2013

12. Bagging Constrained Equity Premium Predictors
    Working Papers, University of California at Riverside, Department of Economics View citations (3)

2012

13. Asymptotic Theory for Regressions with Smoothly Changing Parameters
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    See also Journal Article Asymptotic Theory for Regressions with Smoothly Changing Parameters, Journal of Time Series Econometrics, De Gruyter (2013) View citations (11) (2013)
14. Let's Do It Again: Bagging Equity Premium Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2012)
15. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (5) (2016)
16. Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
17. WHY IT IS OK TO USE THE HAR-RV(1,5,21) MODEL
    Working Papers, University of Central Missouri, Department of Economics & Finance View citations (18)

2011

18. Using the Yield Curve in Forecasting Output Growth and In?flation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)

2010

19. Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (6)

2007

20. Forecasting realized volatility models:the benefits of bagging and nonlinear specifications
    Textos para discussão, Department of Economics PUC-Rio (Brazil) View citations (8)

2006

21. 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 (10)
    See also Journal Article A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility, International Economics and Economic Policy, Springer (2008) View citations (11) (2008)
22. Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility
    CESifo Working Paper Series, CESifo View citations (3)
    See also Journal Article Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility, Journal of International Financial Markets, Institutions and Money, Elsevier (2009) View citations (9) (2009)

2005

23. Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation
    Finance, University Library of Munich, Germany
24. Overlaying Time Scales in Financial Volatility Data
    Econometrics, University Library of Munich, Germany View citations (3)

2004

25. Neglecting Parameter Changes in Autoregressive Models
    Departmental Working Papers, Department of Economics, Louisiana State University View citations (1)
26. 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 (10)
    Also in International Finance, University Library of Munich, Germany (2004) View citations (9)
    Departmental Working Papers, Department of Economics, Louisiana State University (2003) View citations (26)
    Departmental Working Papers, Department of Economics, Louisiana State University (2003) View citations (27)

2003

27. Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models
    Econometrics, University Library of Munich, Germany View citations (2)

Journal Articles

2021

1. Bagging weak predictors
   International Journal of Forecasting, 2021, 37, (1), 237-254 View citations (2)
   See also Working Paper Bagging Weak Predictors, Monash Econometrics and Business Statistics Working Papers (2020) View citations (2) (2020)
2. Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors
   Energy Economics, 2021, 96, (C) View citations (16)
   See also Working Paper Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors, CREATES Research Papers (2019) View citations (3) (2019)

2020

3. Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature
   Econometrics, 2020, 8, (4), 1-19 View citations (1)

2019

4. Consistent estimation of time-varying loadings in high-dimensional factor models
   Journal of Econometrics, 2019, 208, (2), 535-562 View citations (12)

2018

5. Using the Entire Yield Curve in Forecasting Output and Inflation
   Econometrics, 2018, 6, (3), 1-27 View citations (11)
   See also Working Paper Using the Entire Yield Curve in Forecasting Output and Inflation, Working Papers (2018) (2018)

2017

6. Seasonal changes in central England temperatures
   Journal of the Royal Statistical Society Series A, 2017, 180, (3), 769-791 View citations (12)
   See also Working Paper Seasonal Changes in Central England Temperatures, CEIS Research Paper (2015) View citations (2) (2015)

2016

7. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
   Journal of Business & Economic Statistics, 2016, 34, (1), 23-41 View citations (5)
   See also Working Paper Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models, CREATES Research Papers (2012) View citations (2) (2012)

2013

8. Asymptotic Theory for Regressions with Smoothly Changing Parameters
   Journal of Time Series Econometrics, 2013, 5, (2), 133-162 View citations (11)
   See also Working Paper Asymptotic Theory for Regressions with Smoothly Changing Parameters, CREATES Research Papers (2012) View citations (4) (2012)

2012

9. Level changes in volatility models
   Annals of Finance, 2012, 8, (2), 277-308 View citations (2)

2010

10. The Benefits of Bagging for Forecast Models of Realized Volatility
    Econometric Reviews, 2010, 29, (5-6), 571-593 View citations (32)

2009

11. Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility
    Journal of International Financial Markets, Institutions and Money, 2009, 19, (3), 490-505 View citations (9)
    See also Working Paper Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility, CESifo Working Paper Series (2006) View citations (3) (2006)

2008

12. 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 View citations (11)
    See also Working Paper A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility, Working Paper Series (2006) View citations (10) (2006)
13. Interest rate volatility and home mortgage loans
    Applied Economics, 2008, 40, (18), 2381-2385 View citations (2)
14. Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue
    Management Science, 2008, 54, (5), 1015-1028 View citations (3)

2005

15. Neglecting parameter changes in GARCH models
    Journal of Econometrics, 2005, 129, (1-2), 121-138 View citations (211)

Editor

1. Advances in Econometrics
   Emerald Group Publishing Limited