Eric Hillebrand

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Mikkel BennedsenAarhus UniversityVerified email at econ.au.dk
Siem Jan KoopmanProfessor of Econometrics, Vrije Universiteit AmsterdamVerified email at vu.nl
Marcelo C. MedeirosProfessor, Department of Economics, The University of Illinois at Urbana-ChampaignVerified email at illinois.edu
Gunther SchnablInstitute for Economic Policy, Leipzig UniversityVerified email at wifa.uni-leipzig.de
Tae-Hwy LeeUniversity of California, RiversideVerified email at ucr.edu
Giovanni UrgaProfessor of Econometrics & Finance, Bayes Business School, London (U.K.)Verified email at city.ac.uk
Tommaso ProiettiUniversity of Rome Tor Vergata, Dipartimento di Economia e FinanzaVerified email at uniroma2.it
Don ChanceLouisiana State UniversityVerified email at lsu.edu
JE HilliardProfessor of Finance, Auburn UniversityVerified email at auburn.edu
Ambar SenguptaLouisiana State University and University of ConnecticutVerified email at uconn.edu
Sebastian JensenPostdoc, Aarhus University, CREATESVerified email at econ.au.dk
Wei WeiLecturer, Department of Econometrics and Business Statistics, Monash UniversityVerified email at monash.edu
Faik KorayProfessor of Economics, Louisiana State UniversityVerified email at lsu.edu
Felix PretisUniversity of Victoria, Dept. of Economics, University of Oxford, Nuffield CollegeVerified email at uvic.ca
Daniel Ventosa-SantaulàriaProfesor de Econometría, CIDEVerified email at cide.edu
Torben SchmithDanish Meteorological Institute (DMI)Verified email at dmi.dk
Lars SprengVerified email at bayes.city.ac.uk
Stefano GrassiUniversity of Rome Tor Vergata

Eric Hillebrand

Professor, Department of Economics and Business Economics, Aarhus University

Verified email at econ.au.dk - Homepage

time series econometrics climate econometrics financial econometrics


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
Neglecting parameter changes in GARCH models E Hillebrand Journal of Econometrics 129 (1-2), 121-138, 2005	444	2005
The benefits of bagging for forecast models of realized volatility E Hillebrand, MC Medeiros Econometric Reviews 29 (5-6), 571-593, 2010	100	2010
A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility E Hillebrand, G Schnabl International Economics and Economic Policy 5, 389-401, 2008	89*	2008
Nonlinearity, breaks, and long-range dependence in time-series models E Hillebrand, MC Medeiros Journal of Business & Economic Statistics 34 (1), 23-41, 2016	39*	2016
Modeling, forecasting, and nowcasting US CO2 emissions using many macroeconomic predictors M Bennedsen, E Hillebrand, SJ Koopman Energy Economics 96, 105118, 2021	36	2021
Mean reversion models of financial markets E Hillebrand Universität Bremen, 2003	34	2003
Seasonal changes in central England temperatures T Proietti, E Hillebrand Journal of the Royal Statistical Society Series A: Statistics in Society 180 …, 2017	33	2017
Why it is OK to use the HAR-RV (1, 5, 21) model M Craioveanu, E Hillebrand University of Central Missouri, Department of Economics & Finance Working Papers, 2012	33	2012
Pricing an option on revenue from an innovation: An application to movie box office revenue DM Chance, E Hillebrand, JE Hilliard Management Science 54 (5), 1015-1028, 2008	33	2008
Consistent estimation of time-varying loadings in high-dimensional factor models JG Mikkelsen, E Hillebrand, G Urga Journal of econometrics 208 (2), 535-562, 2019	25*	2019
Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility E Hillebrand, G Schnabl, Y Ulu Journal of International Financial Markets, Institutions and Money 19 (3 …, 2009	25	2009
Bagging weak predictors E Hillebrand, M Lukas, W Wei International Journal of Forecasting 37 (1), 237-254, 2021	24	2021
Trend analysis of the airborne fraction and sink rate of anthropogenically released CO₂ M Bennedsen, E Hillebrand, SJ Koopman Biogeosciences 16 (18), 3651-3663, 2019	23	2019
Using the entire yield curve in forecasting output and inflation E Hillebrand, H Huang, TH Lee, C Li Econometrics 6 (3), 40, 2018	23*	2018
Chapter 8 Estimating and Forecasting GARCH Models in the Presence of Structural Breaks and Regime Switches E Hillebrand, MC Medeiros Forecasting in the presence of structural breaks and model uncertainty, 303-327, 2008	21	2008
Interest rate volatility and home mortgage loans E Hillebrand, F Koray Applied Economics 40 (18), 2381-2385, 2008	20	2008
Asymptotic theory for regressions with smoothly changing parameters E Hillebrand, MC Medeiros, J Xu Journal of Time Series Econometrics 5 (2), 133-162, 2013	18	2013
Phase changes and seasonal warming in early instrumental temperature records E Hillebrand, T Proietti Journal of Climate 30 (17), 6795-6821, 2017	15	2017
Econometric models of climate change: Introduction by the guest editors E Hillebrand, F Pretis, T Proietti Journal of Econometrics, 2020	13	2020
The statistical relation of sea-level and temperature revisited S Grassi, E Hillebrand, D Ventosa-Santaularia Dynamics of Atmospheres and Oceans 64, 1-9, 2013	12	2013

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