Advanced Search
MyIDEAS: Login to follow this author

Eric Hillebrand

Contents:

This is information that was supplied by Eric Hillebrand in registering through RePEc. If you are Eric Hillebrand , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Eric
Middle Name:
Last Name: Hillebrand
Suffix:

RePEc Short-ID: phi41

Email:
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
Phone:

Affiliation

Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
Email:
Phone:
Fax:
Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)

Works

as in new window

Working papers

  1. Manuel Lukas & Eric Hillebrand, 2014. "Bagging Weak Predictors," CREATES Research Papers 2014-01, School of Economics and Management, University of Aarhus.
  2. Eric Hillebrand & Tae-Hwy Lee, 2012. "Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors," CREATES Research Papers 2012-18, School of Economics and Management, University of Aarhus.
  3. Eric Hillebrand & Marcelo C. Medeiros, 2012. "Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models," CREATES Research Papers 2012-30, School of Economics and Management, University of Aarhus.
  4. Mihaela Craioveanu & Eric Hillebrand, 2012. "Why It Is Ok To Use The Har-Rv(1,5,21) Model," Working Papers 1201, University of Central Missouri, Department of Economics & Finance, revised Aug 2012.
  5. Eric Hillebrand & Marcelo C. Medeiros & Junyue Xu, 2012. "Asymptotic Theory for Regressions with Smoothly Changing Parameters," CREATES Research Papers 2012-31, School of Economics and Management, University of Aarhus.
  6. Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros, 2012. "Let's Do It Again: Bagging Equity Premium Predictors," CREATES Research Papers 2012-41, School of Economics and Management, University of Aarhus.
  7. Eric Hillebrand & Huiyu Huang & Tae-Hwy Lee & Canlin Li, 2011. "Using the Yield Curve in Forecasting Output Growth and In?flation," CREATES Research Papers 2012-17, School of Economics and Management, University of Aarhus.
  8. ERIC HILLEBRAND & MArcelo Cunha Medeiros, 2010. "Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility," Textos para discussão 578, Department of Economics PUC-Rio (Brazil).
  9. Eric Hillebrand & Marcelo Cunha Medeiros, 2007. "Forecasting realized volatility models:the benefits of bagging and nonlinear specifications," Textos para discussão 547, Department of Economics PUC-Rio (Brazil).
  10. Eric Hillebrand & Gunther Schnabl & Yasemin Ulu, 2006. "Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility," CESifo Working Paper Series 1766, CESifo Group Munich.
  11. Hillebrand, Eric & Schnabl, Gunther, 2006. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series 0650, European Central Bank.
  12. Eric Hillebrand, 2005. "Overlaying Time Scales in Financial Volatility Data," Econometrics 0501015, EconWPA.
  13. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, EconWPA.
  14. Eric Hillebrand & Gunther Schnabl, 2004. "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," International Finance 0410008, EconWPA.
  15. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, EconWPA.
  16. Eric Hillebrand, . "Neglecting Parameter Changes in Autoregressive Models," Departmental Working Papers 2004-04, Department of Economics, Louisiana State University.

Articles

  1. Hillebrand Eric & Medeiros Marcelo C. & Xu Junyue, 2013. "Asymptotic Theory for Regressions with Smoothly Changing Parameters," Journal of Time Series Econometrics, De Gruyter, vol. 5(2), pages 133-162, April.
  2. Mihaela Craioveanu & Eric Hillebrand, 2012. "Level changes in volatility models," Annals of Finance, Springer, vol. 8(2), pages 277-308, May.
  3. Eric Hillebrand & Marcelo Medeiros, 2010. "The Benefits of Bagging for Forecast Models of Realized Volatility," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 571-593.
  4. Hillebrand, Eric & Schnabl, Gunther & Ulu, Yasemin, 2009. "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, vol. 19(3), pages 490-505, July.
  5. Eric Hillebrand & Gunther Schnabl, 2008. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," International Economics and Economic Policy, Springer, vol. 5(4), pages 389-401, December.
  6. Don M. Chance & Eric Hillebrand & Jimmy E. Hilliard, 2008. "Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue," Management Science, INFORMS, vol. 54(5), pages 1015-1028, May.
  7. Eric Hillebrand & Faik Koray, 2008. "Interest rate volatility and home mortgage loans," Applied Economics, Taylor & Francis Journals, vol. 40(18), pages 2381-2385.
  8. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138.

NEP Fields

16 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (2) 2005-04-16 2005-04-16
  2. NEP-CBA: Central Banking (1) 2006-08-19
  3. NEP-CMP: Computational Economics (1) 2005-04-16
  4. NEP-ECM: Econometrics (11) 2003-02-10 2004-09-30 2005-04-16 2007-08-27 2010-10-30 2012-05-15 2012-07-14 2012-07-14 2012-09-09 2012-10-20 2014-01-17. Author is listed
  5. NEP-ETS: Econometric Time Series (12) 2003-01-27 2003-09-14 2004-09-30 2004-09-30 2004-11-07 2005-04-16 2006-07-28 2007-08-27 2010-10-30 2012-05-15 2012-07-14 2012-07-14. Author is listed
  6. NEP-FIN: Finance (5) 2003-09-14 2004-09-30 2005-04-16 2006-07-28 2006-08-19. Author is listed
  7. NEP-FMK: Financial Markets (2) 2006-07-28 2006-08-19
  8. NEP-FOR: Forecasting (6) 2007-08-27 2010-10-30 2012-05-15 2012-05-15 2012-07-14 2012-10-20. Author is listed
  9. NEP-HIS: Business, Economic & Financial History (1) 2005-04-16
  10. NEP-IFN: International Finance (5) 2003-09-14 2004-09-30 2004-11-07 2006-07-28 2006-08-19. Author is listed
  11. NEP-MAC: Macroeconomics (1) 2006-08-19
  12. NEP-MON: Monetary Economics (3) 2004-09-30 2006-07-28 2006-08-19
  13. NEP-MST: Market Microstructure (1) 2006-08-19
  14. NEP-ORE: Operations Research (2) 2012-05-15 2012-07-14
  15. NEP-SEA: South East Asia (4) 2004-09-30 2004-11-07 2006-07-28 2006-08-19. Author is listed

Statistics

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Eric Hillebrand should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.