Eric Hillebrand : Citation Profile


Are you Eric Hillebrand?

Aarhus Universitet

7

H index

5

i10 index

262

Citations

RESEARCH PRODUCTION:

12

Articles

30

Papers

EDITOR:

1

Books edited

2

Series edited

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 16
   Journals where Eric Hillebrand has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 14 (5.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phi41
   Updated: 2020-07-04    RAS profile: 2020-02-03    
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Relations with other researchers


Works with:

Proietti, Tommaso (3)

Urga, Giovanni (3)

Medeiros, Marcelo (2)

Johansen, Soren (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 (15)

Miller, Stephen (10)

McAleer, Michael (9)

Schnabl, Gunther (8)

Teräsvirta, Timo (8)

Scharth, Marcel (7)

Darné, Olivier (6)

GUPTA, RANGAN (5)

Silvennoinen, Annastiina (5)

Krämer, Walter (5)

Lahiani, Amine (5)

Cites to:

Bollerslev, Tim (39)

Bai, Jushan (23)

Ng, Serena (22)

Diebold, Francis (20)

Medeiros, Marcelo (19)

Watson, Mark (18)

Reichlin, Lucrezia (18)

Granger, Clive (16)

Andersen, Torben (15)

Inoue, Atsushi (13)

McAleer, Michael (13)

Main data


Where Eric Hillebrand has published?


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

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

Recent works citing Eric Hillebrand (2019 and 2018)


YearTitle of citing document
2017Consistency and asymptotic normality of maximum likelihood estimators of a multiplicative time-varying smooth transition correlation GARCH model. (2017). Teräsvirta, Timo ; Silvennoinen, Annastiina ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-28.

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2019Long monthly temperature series and the Vector Seasonal Shifting Mean and Covariance Autoregressive model. (2019). Teräsvirta, Timo ; Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: CREATES Research Papers. RePEc:aah:create:2019-18.

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2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre. In: Staff Working Papers. RePEc:bca:bocawp:17-13.

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2018DOES THE GREAT RECESSION IMPLY THE END OF THE GREAT MODERATION? INTERNATIONAL EVIDENCE. (2018). Darné, Olivier ; Charles, Amlie ; Ferrara, Laurent ; Darne, Olivier. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:2:p:745-760.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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2017MONETARY POLICY SWITCHING IN THE EURO AREA AND MULTIPLE STEADY STATES: AN EMPIRICAL INVESTIGATION. (2017). Dufrénot, Gilles ; Khayat, Guillaume A ; Dufrenot, Gilles. In: Macroeconomic Dynamics. RePEc:cup:macdyn:v:21:y:2017:i:05:p:1175-1188_00.

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2018Volatility Spillover Effect between Stock and Exchange Rate in Oil Exporting Countries. (2018). Mikhaylov, Alexey Yurievich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-39.

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2018Correlation of Oil Prices and Gross Domestic Product in Oil Producing Countries. (2018). Tang, Bao-Jun ; Mikhaylov, Alexey Yurievich ; Nyangarika, Anthony Msafiri. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-05-6.

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2019Detecting structural breaks in realized volatility. (2019). Baek, Changryong ; Song, Junmo. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:134:y:2019:i:c:p:58-75.

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2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

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2018On the persistence of the forward premium in the joint presence of nonlinearity, asymmetry, and structural changes. (2018). Cho, Dooyeon. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:310-319.

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2020Trends in distributional characteristics: Existence of global warming. (2020). Gonzalo, Jesus ; Gadea, Maria Dolores. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:153-174.

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2020Global hemispheric temperatures and co-shifting: A vector shifting-mean autoregressive analysis. (2020). Teräsvirta, Timo ; Holt, Matthew ; Terasvirta, Timo. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:198-215.

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2020Modeling time series when some observations are zero. (2020). Harvey, Andrew ; Ito, Ryoko. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:33-45.

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2019The shifting seasonal mean autoregressive model and seasonality in the Central England monthly temperature series, 1772–2016. (2019). Teräsvirta, Timo ; Zhang, Shuhua ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:1-24.

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2018Real Options in Operations Research: A Review. (2018). Tsekrekos, Andrianos ; Trigeorgis, Lenos. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:1:p:1-24.

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2019Liquidity, surprise volume and return premia in the oil market. (2019). Wagner, Niklasf ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:93-104.

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2018Forecasting mid-long term electric energy consumption through bagging ARIMA and exponential smoothing methods. (2018). de Oliveira, Erick Meira ; Cyrino, Fernando Luiz. In: Energy. RePEc:eee:energy:v:144:y:2018:i:c:p:776-788.

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2018Improving time series forecasting: An approach combining bootstrap aggregation, clusters and exponential smoothing. (2018). Dantas, Tiago Mendes ; Cyrino, Fernando Luiz. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:748-761.

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2018Self-selection and treatment effects: Revisiting the effectiveness of foreign exchange intervention. (2018). Pontines, Victor. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:57:y:2018:i:c:p:299-316.

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2019Modeling volatility of precious metals markets by using regime-switching GARCH models. (2019). Tiwari, Aviral ; Shahbaz, Muhammad ; Mubashra, Sana ; Naeem, Muhammad. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s0301420719303022.

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2018On the interdependence of natural gas and stock markets under structural breaks. (2018). Ahmed, Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:67:y:2018:i:c:p:149-161.

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2019Islamic and conventional equity markets: Two sides of the same coin, or not?. (2019). , Walid. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:72:y:2019:i:c:p:191-205.

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2020Dynamic transmissions between main stock markets and SME stock markets: Evidence from tropical economies. (2020). Low, David ; Eagle, Lynne ; Chaiechi, Taha ; Nguyen, Trang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:308-324.

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2018Estimating downside risk in stock returns under structural breaks. (2018). Hood, Matthew ; Malik, Farooq . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:102-112.

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2019Volatility forecasting of crude oil market: Can the regime switching GARCH model beat the single-regime GARCH models?. (2019). He, Ling-Yun ; Ripple, Ronald ; Yao, Ting ; Zhang, Yue-Jun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:302-317.

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2020Change-point detection in CO2 emission-energy consumption nexus using a recursive Bayesian estimation approach. (2020). Adepoju, Abosede Adedayo ; Awe, Olushina Olawale. In: Statistics in Transition New Series. RePEc:exl:29stat:v:21:y:2020:i:1:p:123-136.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:23-:d:143630.

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2018Oil Prices and Global Stock Markets: A Time-Varying Causality-In-Mean and Causality-in-Variance Analysis. (2018). Çevik, Emrah ; Atukeren, Erdal ; Korkmaz, Turhan. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:10:p:2848-:d:177242.

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2018Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model. (2018). Shi, Yanlin ; Yang, Yang. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:26-:d:138135.

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2018Does the Great Recession imply the end of the Great Moderation? International evidence. (2018). Ferrara, Laurent ; Darne, Olivier ; Charles, Amelie. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01757081.

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2018Does the Great Recession imply the end of the Great Moderation? International evidence. (2018). Ferrara, Laurent ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01757081.

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2018“Scaling Down Downside Risk with Inter-Quantile Semivariances”. (2018). Uribe, Jorge. In: IREA Working Papers. RePEc:ira:wpaper:201826.

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2018Effective energy commodities’ risk management: Econometric modeling of price volatility. (2018). HALKOS, GEORGE ; Tzirivis, Apostolos. In: MPRA Paper. RePEc:pra:mprapa:90781.

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2017Are Multifractal Processes Suited to Forecasting Electricity Price Volatility? Evidence from Australian Intraday Data. (2017). Wilfling, Bernd ; Lau, Chi Keung ; GUPTA, RANGAN ; Segnon, Mawuli. In: Working Papers. RePEc:pre:wpaper:201739.

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2018Forecasting Realized Volatility Measures with Multivariate and Univariate Models: The Case of The US Banking Sector. (2018). Hecq, Alain ; Cubadda, Gianluca ; Riccardo, Antonio. In: CEIS Research Paper. RePEc:rtv:ceisrp:445.

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2019Estimating volatility transmission between oil prices and the US Dollar exchange rate under structural breaks. (2019). Anjum, Hassan. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:43:y:2019:i:4:d:10.1007_s12197-019-09472-w.

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2019A Study on Volatility Spurious Almost Integration Effect: A Threshold Realized GARCH Approach. (2019). Xu, Dinghai. In: Working Papers. RePEc:wat:wpaper:1903.

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2019Testing for an omitted multiplicative long-term component in GARCH models. (2019). Schienle, Melanie ; Conrad, Christian. In: Working Paper Series in Economics. RePEc:zbw:kitwps:121.

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Eric Hillebrand is editor of


Journal
Advances in Econometrics
Advances in Econometrics

Eric Hillebrand has edited the books:


YearTitleTypeCited

Works by Eric Hillebrand:


YearTitleTypeCited
2011Using the Yield Curve in Forecasting Output Growth and In?flation In: CREATES Research Papers.
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paper2
2012Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors In: CREATES Research Papers.
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paper1
2012Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models In: CREATES Research Papers.
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paper6
2016Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 6
article
2012Asymptotic Theory for Regressions with Smoothly Changing Parameters In: CREATES Research Papers.
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paper10
2013Asymptotic Theory for Regressions with Smoothly Changing Parameters.(2013) In: Journal of Time Series Econometrics.
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This paper has another version. Agregated cites: 10
article
2012Lets Do It Again: Bagging Equity Premium Predictors In: CREATES Research Papers.
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paper2
2012Let´s do it again: bagging equity premium predictors.(2012) In: Textos para discussão.
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This paper has another version. Agregated cites: 2
paper
2014Bagging Weak Predictors In: CREATES Research Papers.
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paper0
2015Data revisions and the statistical relation of global mean sea-level and temperature In: CREATES Research Papers.
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paper0
2015DATA REVISIONS AND THE STATISTICAL RELATION OF GLOBAL MEAN SEA-LEVEL AND TEMPERATURE.(2015) In: Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2015Seasonal Changes in Central England Temperatures In: CREATES Research Papers.
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paper4
2017Seasonal changes in central England temperatures.(2017) In: Journal of the Royal Statistical Society Series A.
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article
2015Seasonal Changes in Central England Temperatures.(2015) In: CEIS Research Paper.
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paper
2015Supervision in Factor Models Using a Large Number of Predictors In: CREATES Research Papers.
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paper0
2015The Forecasting Power of the Yield Curve, a Supervised Factor Model Approach In: CREATES Research Papers.
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paper0
2015Maximum Likelihood Estimation of Time-Varying Loadings in High-Dimensional Factor Models In: CREATES Research Papers.
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paper2
2018The dynamics of factor loadings in the cross-section of returns In: CREATES Research Papers.
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paper0
2019Modeling, Forecasting, and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors In: CREATES Research Papers.
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paper0
2006Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility In: CESifo Working Paper Series.
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paper1
2006A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility In: Working Paper Series.
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paper15
2008A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility.(2008) In: International Economics and Economic Policy.
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This paper has another version. Agregated cites: 15
article
2005Neglecting parameter changes in GARCH models In: Journal of Econometrics.
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article143
2019Consistent estimation of time-varying loadings in high-dimensional factor models In: Journal of Econometrics.
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article0
2009Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility In: Journal of International Financial Markets, Institutions and Money.
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article8
2018Using the Entire Yield Curve in Forecasting Output and Inflation In: Econometrics.
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article0
2008Pricing an Option on Revenue from an Innovation: An Application to Movie Box Office Revenue In: Management Science.
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article1
2012Level changes in volatility models In: Annals of Finance.
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article1
2003The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection In: Departmental Working Papers.
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paper28
2003The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection.(2003) In: Departmental Working Papers.
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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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2004The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection.(2004) In: International Finance.
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2004Neglecting Parameter Changes in Autoregressive Models In: Departmental Working Papers.
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2007Forecasting realized volatility models:the benefits of bagging and nonlinear specifications In: Textos para discussão.
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2010Asymmetries, breaks, and long-range dependence: An estimation framework for daily realized volatility In: Textos para discussão.
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paper3
2008Interest rate volatility and home mortgage loans In: Applied Economics.
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2010The Benefits of Bagging for Forecast Models of Realized Volatility In: Econometric Reviews.
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article16
2013Bagging Constrained Equity Premium Predictors In: Working Papers.
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paper1
2012WHY IT IS OK TO USE THE HAR-RV(1,5,21) MODEL In: Working Papers.
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paper7
2003Overlaying Time Scales and Persistence Estimation in GARCH(1,1) Models In: Econometrics.
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paper2
2005Overlaying Time Scales in Financial Volatility Data In: Econometrics.
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paper3
2005Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation In: Finance.
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paper0

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