Eric Hillebrand : Citation Profile

Are you Eric Hillebrand?

Aarhus Universitet

9

H index

9

i10 index

429

Citations

RESEARCH PRODUCTION:

15

Articles

33

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   18 years (2003 - 2021). See details.
   Cites by year: 23
   Journals where Eric Hillebrand has often published
   Relations with other researchers
   Recent citing documents: 42.    Total self citations: 20 (4.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phi41
   Updated: 2024-12-03    RAS profile: 2021-07-12    
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Relations with other researchers

Works with:

Koopman, Siem Jan (3)

Urga, Giovanni (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Eric Hillebrand.

Is cited by:

Medeiros, Marcelo (19)

GUPTA, RANGAN (14)

Miller, Stephen (12)

Darné, Olivier (12)

Teräsvirta, Timo (10)

Schnabl, Gunther (10)

Çevik, Emrah (7)

Scharth, Marcel (7)

Krämer, Walter (6)

Audrino, Francesco (6)

Silvennoinen, Annastiina (6)

Cites to:

Bollerslev, Tim (54)

Diebold, Francis (34)

Watson, Mark (32)

Reichlin, Lucrezia (29)

Ng, Serena (28)

Bai, Jushan (26)

Andersen, Torben (23)

Giannone, Domenico (23)

Medeiros, Marcelo (21)

Inoue, Atsushi (14)

Kilian, Lutz (13)

Main data

Where Eric Hillebrand has published?

Journals with more than one article published# docs
Econometrics2
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Textos para discussão / Department of Economics PUC-Rio (Brazil)3
Econometrics / University Library of Munich, Germany2

Recent works citing Eric Hillebrand (2024 and 2023)

YearTitle of citing document
2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2021). Perron, Pierre ; Deng, Taosong ; Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.01604.

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2024Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models. (2021). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2024High-Dimensional Causality for Climatic Attribution. (2023). Smeekes, Stephan ; Margaritella, Luca ; Friedrich, Marina. In: Papers. RePEc:arx:papers:2302.03996.

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2024Sequential monitoring for explosive volatility regimes. (2024). Wang, Shixuan ; Trapani, Lorenzo ; Horvath, Lajos. In: Papers. RePEc:arx:papers:2404.17885.

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2023Heterogeneous predictive association of CO2 with global warming. (2023). Ramos, Andrey ; Gonzalo, Jesus ; Dolado, Juan J ; Chen, Liang. In: Economica. RePEc:bla:econom:v:90:y:2023:i:360:p:1397-1421.

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2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

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2023Exploring Okuns law asymmetry: An endogenous threshold logistic smooth transition regression approach. (2023). McAdam, Peter ; Tzavalis, Elias ; Christopoulos, Dimitris. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:1:p:123-158.

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2023Heterogeneous Predictive Association of CO2 with Global Warming. (2023). Ramos, Andrey David ; Muoz, Jesus Gonzalo ; Dolado, Juan Jose ; Chen, Liang. In: UC3M Working papers. Economics. RePEc:cte:werepe:36451.

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2023Modelling intervals of minimum/maximum temperatures in the Iberian Peninsula. (2023). Ortega, Esther Ruiz ; Rodriguez, Carlos Vladimir ; Gonzalez-Rivera, Gloria. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:37968.

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2023Testing for structural changes in large dimensional factor models via discrete Fourier transform. (2023). Wang, Xia ; Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:302-331.

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2023Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models. (2023). Casini, Alessandro. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:372-392.

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2023Specification tests for time-varying coefficient models. (2023). Su, Liangjun ; Hong, Yongmiao ; Wang, Xia ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:720-744.

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2024The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003470.

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2024Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2024). Teräsvirta, Timo ; Silvennoinen, Annastiina ; He, Changli ; Terasvirta, Timo ; Kang, Jian. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002105.

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2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

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2023Does the substitution effect lead to feedback effect linkage between ethanol, crude oil, and soft agricultural commodities?. (2023). Rao, Sandeep ; Singh, Vipul Kumar ; Kumar, Pawan. In: Energy Economics. RePEc:eee:eneeco:v:119:y:2023:i:c:s0140988323000725.

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2023Using machine learning to select variables in data envelopment analysis: Simulations and application using electricity distribution data. (2023). Soderberg, Magnus ; Sjolander, Par ; Mnsson, Kristofer ; Javed, Farrukh ; Duras, Toni. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001196.

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2023Accurate forecasts and comparative analysis of Chinese CO2 emissions using a superior time-delay grey model. (2023). Lin, Qianqian ; Hu, Jiaqi ; Ding, Song. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s014098832300511x.

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2023Sequential data-driven carbon peaking path simulation research of the Yangtze River Delta urban agglomeration based on semantic mining and heuristic algorithm optimization. (2023). Zhu, Wenjun ; Shi, Changfeng ; Zeng, Qingshun ; Na, Xiaohong ; Zhi, Jiaqi. In: Energy. RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028098.

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2023Risk spillovers from Chinas and the US stock markets during high-volatility periods: Evidence from East Asianstock markets. (2023). Xiao, Yang ; Wang, BO. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000546.

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2023Asymmetric volatility in the cryptocurrency market: New evidence from models with structural breaks. (2023). Nichols, Brian ; Jaffri, Ali ; Butt, Hassan Anjum ; Aharon, David Y. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001679.

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2023Estimation of a dynamic multi-level factor model with possible long-range dependence. (2023). Rodriguez-Caballero, Vladimir C ; Ergemen, Yunus Emre. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:405-430.

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2023Stock market volatility prediction: Evidence from a new bagging model. (2023). Huang, Dengshi ; Xu, Weiju ; Bu, Jinfeng ; Luo, Qin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:445-456.

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2023Oil futures volatility prediction: Bagging or combination?. (2023). Zhang, Jixiang ; Ma, Feng ; Lyu, Zhichong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:87:y:2023:i:c:p:457-467.

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2024Volatility transmission between upstream and midstream energy sectors. (2024). Payne, James ; Malik, Farooq ; Ewing, Bradley T. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1191-1199.

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2023The United States Energy Consumption and Carbon Dioxide Emissions: A Comprehensive Forecast Using a Regression Model. (2023). Kokulnathan, Thangavelu ; Wu, Mu-En ; Keerthana, Krishnamurthy Baskar. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:10:p:7932-:d:1145353.

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2023Forecasting Renewable Energy Generation with Machine Learning and Deep Learning: Current Advances and Future Prospects. (2023). Semie, Addisu Gezahegn ; Chaka, Mesfin Diro ; Benti, Natei Ermias. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:9:p:7087-:d:1130894.

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2023Testing for parameter change epochs in GARCH time series. (2023). Wu, Wei Biao ; Wang, Weining ; Richter, Stefan. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:3:p:467-491..

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2023The diffusion pattern of new products: evidence from the Korean movie industry. (2023). Kim, Sang-Hoon ; Lee, Youseok ; Cha, Kyoung Cheon. In: Asian Business & Management. RePEc:pal:abaman:v:22:y:2023:i:5:d:10.1057_s41291-022-00196-0.

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2023Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2023). Wang, FA ; Urga, Giovanni. In: MPRA Paper. RePEc:pra:mprapa:117012.

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2023Long memory and regime switching in the stochastic volatility modelling. (2023). Shi, Yanlin. In: Annals of Operations Research. RePEc:spr:annopr:v:320:y:2023:i:2:d:10.1007_s10479-020-03841-z.

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2023Trends in atmospheric ethane. (2023). Proietti, Tommaso ; Maddanu, Federico. In: Climatic Change. RePEc:spr:climat:v:176:y:2023:i:5:d:10.1007_s10584-023-03508-1.

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2023The role of oil and risk shocks in the high?frequency movements of the term structure of interest rates: Evidence from the U.S. Treasury market. (2023). GUPTA, RANGAN ; Subramaniam, Sowmya ; Sheng, Xin ; Hussain, Syed Jawad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1845-1857.

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2023Exchange rates and macroeconomic fundamentals: Evidence of instabilities from time?varying factor loadings. (2023). Mikkelsen, Jakob Guldbak ; Hillebrand, Eric ; Urga, Giovanni ; Spreng, Lars. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:6:p:857-877.

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2023A comparison of methods for forecasting value at risk and expected shortfall of cryptocurrencies. (2023). Taylor, James W ; Trucios, Carlos. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:989-1007.

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Eric Hillebrand is editor of

Journal
Advances in Econometrics

Works by Eric Hillebrand:

YearTitleTypeCited
2011Using the Yield Curve in Forecasting Output Growth and In?flation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2012Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2012Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2016Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2012Asymptotic Theory for Regressions with Smoothly Changing Parameters In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2013Asymptotic Theory for Regressions with Smoothly Changing Parameters.(2013) In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2012Lets Do It Again: Bagging Equity Premium Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2012Let´s do it again: bagging equity premium predictors.(2012) In: Textos para discussão.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2014Bagging Weak Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2021Bagging weak predictors.(2021) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2020Bagging Weak Predictors.(2020) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2015Data revisions and the statistical relation of global mean sea-level and temperature In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2015DATA REVISIONS AND THE STATISTICAL RELATION OF GLOBAL MEAN SEA-LEVEL AND TEMPERATURE.(2015) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2015Seasonal Changes in Central England Temperatures In: CREATES Research Papers.
[Full Text][Citation analysis]		paper14
2017Seasonal changes in central England temperatures.(2017) In: Journal of the Royal Statistical Society Series A.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2015Seasonal Changes in Central England Temperatures.(2015) In: CEIS Research Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2015Supervision in Factor Models Using a Large Number of Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2015The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2015Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2018The dynamics of factor loadings in the cross-section of returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2019Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors In: CREATES Research Papers.
[Full Text][Citation analysis]		paper9
2021Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors.(2021) In: Energy Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2020A statistical model of the global carbon budget In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2020Exchange Rates and Macroeconomic Fundamentals: Evidence of Instabilities from Time-Varying Factor Loadings In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2006Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper11
2009Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility.(2009) In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2006A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility In: Working Paper Series.
[Full Text][Citation analysis]		paper17
2008A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility.(2008) In: International Economics and Economic Policy.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		article
2005Neglecting parameter changes in GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article204
2019Consistent estimation of time-varying loadings in high-dimensional factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
2018Using the Entire Yield Curve in Forecasting Output and Inflation In: Econometrics.
[Full Text][Citation analysis]		article10
2020Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature In: Econometrics.
[Full Text][Citation analysis]		article1
2008Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue In: Management Science.
[Full Text][Citation analysis]		article3
2012Level changes in volatility models In: Annals of Finance.
[Full Text][Citation analysis]		article1
2003The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection In: Departmental Working Papers.
[Full Text][Citation analysis]		paper36
2003The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection.(2003) In: Departmental Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2004The Effects of Japanese Foreign Exchange Intervention, GARCH Estimation and Change Point Detection.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004.
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This paper has nother version. Agregated cites: 36		paper
2004The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection.(2004) In: International Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		paper
2004Neglecting Parameter Changes in Autoregressive Models In: Departmental Working Papers.
[Full Text][Citation analysis]		paper0
2007Forecasting realized volatility models:the benefits of bagging and nonlinear specifications In: Textos para discussão.
[Full Text][Citation analysis]		paper6
2010Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility In: Textos para discussão.
[Full Text][Citation analysis]		paper8
2008Interest rate volatility and home mortgage loans In: Applied Economics.
[Full Text][Citation analysis]		article2
2010The Benefits of Bagging for Forecast Models of Realized Volatility In: Econometric Reviews.
[Full Text][Citation analysis]		article31
2013Bagging Constrained Equity Premium Predictors In: Working Papers.
[Full Text][Citation analysis]		paper1
2012WHY IT IS OK TO USE THE HAR-RV(1,5,21) MODEL In: Working Papers.
[Full Text][Citation analysis]		paper18
2003Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models In: Econometrics.
[Full Text][Citation analysis]		paper2
2005Overlaying Time Scales in Financial Volatility Data In: Econometrics.
[Full Text][Citation analysis]		paper3
2005Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation In: Finance.
[Full Text][Citation analysis]		paper0

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