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Information about:
Eric Hillebrand

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

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Personal Details

First Name: Eric
Middle Name:
Last Name: Hillebrand
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RePEc Short-ID: phi41

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Homepage: http://www.bus.lsu.edu/economics/faculty/ehillebrand/personal/
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. 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). [Downloadable!]

  2. Eric Hillebrand & Gunther Schnabl, 2006. "A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility," Working Paper Series 650, European Central Bank. [Downloadable!]

  3. 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 CESifo Working Paper No. , CESifo GmbH. [Downloadable!]

  4. Eric Hillebrand, 2005. "Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation," Finance 0501015, EconWPA. [Downloadable!]

  5. Eric Hillebrand, 2005. "Overlaying Time Scales in Financial Volatility Data," Econometrics 0501015, EconWPA. [Downloadable!]

  6. Eric Hillebrand & Gunther Schnabl, 2004. "The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection," International Finance 0410008, EconWPA. [Downloadable!]
    Other versions:

  7. Eric Hillebrand, 2003. "Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models," Econometrics 0301003, EconWPA. [Downloadable!]

  8. Eric Hillebrand, . "Neglecting Parameter Changes in Autoregressive Models," Departmental Working Papers 2004-04, Department of Economics, Louisiana State University. [Downloadable!]

Articles

  1. Hillebrand, Eric, 2005. "Neglecting parameter changes in GARCH models," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 121-138. [Downloadable!] (restricted)

NEP Fields

8 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 Author is listed
  2. NEP-CBA: Central Banking (1) 2006-08-19
  3. NEP-CMP: Computational Economics (1) 2005-04-16
  4. NEP-ECM: Econometrics (4) 2003-02-10 2004-09-30 2005-04-16 2007-08-27 Author is listed
  5. NEP-ETS: Econometric Time Series (8) 2003-01-27 2003-09-14 2004-09-30 2004-09-30 2004-11-07 2005-04-16 2006-07-28 2007-08-27 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 Author is listed
  8. NEP-FOR: Forecasting (1) 2007-08-27
  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 Author is listed
  13. NEP-MST: Market Microstructure (1) 2006-08-19
  14. NEP-SEA: South East Asia (4) 2004-09-30 2004-11-07 2006-07-28 2006-08-19 Author is listed
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This page was last updated on 2008-8-30.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.