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Details about Eric Hillebrand

E-mail:
Homepage:https://sites.google.com/site/erichillebrand/
Postal address:CREATES - Center for Research in Econometric Analysis of Time Series Department of Economics and Business Aarhus University Fuglesangs Alle 4 8201 Aarhus V
Workplace:Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Eric Hillebrand.

Last updated 2020-02-03. Update your information in the RePEc Author Service.

Short-id: phi41


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Working Papers

2019

  1. Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2018

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

2015

  1. DATA REVISIONS AND THE STATISTICAL RELATION OF GLOBAL MEAN SEA-LEVEL AND TEMPERATURE
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads
  2. Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
  3. Seasonal Changes in Central England Temperatures
    CEIS Research Paper, Tor Vergata University, CEIS Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2015) Downloads

    See also Journal Article in Journal of the Royal Statistical Society Series A (2017)
  4. Supervision in Factor Models Using a Large Number of Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  5. The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2014

  1. Bagging Weak Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2013

  1. Bagging Constrained Equity Premium Predictors
    Working Papers, University of California at Riverside, Department of Economics Downloads View citations (2)

2012

  1. Asymptotic Theory for Regressions with Smoothly Changing Parameters
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article in Journal of Time Series Econometrics (2013)
  2. Let's Do It Again: Bagging Equity Premium Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in Textos para discussão, Department of Economics PUC-Rio (Brazil) (2012) Downloads
  3. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Journal of Business & Economic Statistics (2016)
  4. Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
  5. WHY IT IS OK TO USE THE HAR-RV(1,5,21) MODEL
    Working Papers, University of Central Missouri, Department of Economics & Finance Downloads View citations (8)

2011

  1. Using the Yield Curve in Forecasting Output Growth and In?flation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)

2010

  1. Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (3)

2007

  1. Forecasting realized volatility models:the benefits of bagging and nonlinear specifications
    Textos para discussão, Department of Economics PUC-Rio (Brazil) Downloads View citations (7)

2006

  1. A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
    Working Paper Series, European Central Bank Downloads View citations (8)
    See also Journal Article in International Economics and Economic Policy (2008)
  2. Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility
    CESifo Working Paper Series, CESifo Downloads View citations (3)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2009)

2005

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

2004

  1. Neglecting Parameter Changes in Autoregressive Models
    Departmental Working Papers, Department of Economics, Louisiana State University Downloads View citations (1)
  2. 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 Downloads View citations (8)
    Also in Departmental Working Papers, Department of Economics, Louisiana State University (2003) Downloads View citations (21)
    International Finance, University Library of Munich, Germany (2004) Downloads View citations (7)
    Departmental Working Papers, Department of Economics, Louisiana State University (2003) Downloads View citations (3)

2003

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

Journal Articles

2019

  1. Consistent estimation of time-varying loadings in high-dimensional factor models
    Journal of Econometrics, 2019, 208, (2), 535-562 Downloads View citations (1)

2018

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

2017

  1. Seasonal changes in central England temperatures
    Journal of the Royal Statistical Society Series A, 2017, 180, (3), 769-791 Downloads View citations (6)
    See also Working Paper (2015)

2016

  1. Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
    Journal of Business & Economic Statistics, 2016, 34, (1), 23-41 Downloads View citations (4)
    See also Working Paper (2012)

2013

  1. Asymptotic Theory for Regressions with Smoothly Changing Parameters
    Journal of Time Series Econometrics, 2013, 5, (2), 133-162 Downloads View citations (9)
    See also Working Paper (2012)

2012

  1. Level changes in volatility models
    Annals of Finance, 2012, 8, (2), 277-308 Downloads View citations (1)

2010

  1. The Benefits of Bagging for Forecast Models of Realized Volatility
    Econometric Reviews, 2010, 29, (5-6), 571-593 Downloads View citations (20)

2009

  1. 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 Downloads View citations (9)
    See also Working Paper (2006)

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 Downloads View citations (9)
    See also Working Paper (2006)
  2. Interest rate volatility and home mortgage loans
    Applied Economics, 2008, 40, (18), 2381-2385 Downloads View citations (1)
  3. Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue
    Management Science, 2008, 54, (5), 1015-1028 Downloads View citations (1)

2005

  1. Neglecting parameter changes in GARCH models
    Journal of Econometrics, 2005, 129, (1-2), 121-138 Downloads View citations (171)

Edited books

2016

  1. Dynamic Factor Models, vol 35
    Advances in Econometrics, Emerald Publishing Ltd Downloads View citations (2)

Editor

  1. Advances in Econometrics
    Emerald Publishing Ltd
  2. Advances in Econometrics
    Emerald Publishing Ltd
 
Page updated 2021-06-12