Eric Hillebrand : Citation Profile

Aarhus Universitet

11

H index

11

i10 index

458

Citations

RESEARCH PRODUCTION:

15

Articles

33

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   18 years (2003 - 2021). See details.
   Cites by year: 25
   Journals where Eric Hillebrand has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 20 (4.18 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/phi41
   Updated: 2025-12-20    RAS profile: 2021-07-12    
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Relations with other researchers

Works with:

Koopman, Siem Jan (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)

Darné, Olivier (12)

Miller, Stephen (12)

Schnabl, Gunther (10)

Teräsvirta, Timo (10)

Härdle, Wolfgang (7)

Çevik, Emrah (7)

Scharth, Marcel (7)

Krämer, Walter (6)

Audrino, Francesco (6)

Cites to:

Bollerslev, Tim (54)

Diebold, Francis (34)

Watson, Mark (33)

Reichlin, Lucrezia (29)

Ng, Serena (28)

Bai, Jushan (26)

Giannone, Domenico (23)

Andersen, Torben (23)

Medeiros, Marcelo (21)

Inoue, Atsushi (17)

Kilian, Lutz (16)

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 discusso / Department of Economics PUC-Rio (Brazil)3
Econometrics / University Library of Munich, Germany2

Recent works citing Eric Hillebrand (2025 and 2024)

YearTitle of citing document
2024Examining the Nexus of Financial Inclusion, Household Consumption, and Economic Growth: A 3SLS Approach. (2024). Karatepe, Yalin ; Ekmen, Brahim. In: Journal of Research in Economics, Politics & Finance. RePEc:ahs:journl:v:9:y:2024:i:1:p:1-25.

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2024Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference. (2024). 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. (2024). Casini, Alessandro. In: Papers. RePEc:arx:papers:2103.02981.

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

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2024Forecasting Bitcoin Volatility: A Comparative Analysis of Volatility Approaches. (2024). Jeleskovic, Vahidin ; Chinazzo, Cristina. In: Papers. RePEc:arx:papers:2401.02049.

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

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2024Temperature in the Iberian Peninsula: Trend, seasonality, and heterogeneity. (2024). Ruiz, Esther ; Rodriguez Caballero, Carlos. In: Papers. RePEc:arx:papers:2406.14145.

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2024A new GARCH model with a deterministic time-varying intercept. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Back, Alexander ; Ahlgren, Niklas. In: Papers. RePEc:arx:papers:2410.03239.

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2024From rotational to scalar invariance: Enhancing identifiability in score-driven factor models. (2024). Dzuverovic, Emilija ; Corsi, Fulvio ; Buccheri, Giuseppe. In: Papers. RePEc:arx:papers:2412.01367.

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2025The Global Carbon Budget as a cointegrated system. (2025). Nielsen, Morten ; Hillebrand, Eric ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2412.09226.

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2025High-frequency Density Nowcasts of U.S. State-Level Carbon Dioxide Emissions. (2025). Garr, Ignacio ; Ramos, Andrey. In: Papers. RePEc:arx:papers:2501.03380.

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2025Time-Varying Factor-Augmented Models for Volatility Forecasting. (2025). Chen, Elynn ; Mo, Junyi ; Li, Jiayu ; Zhang, Duo. In: Papers. RePEc:arx:papers:2508.01880.

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2024Future directions in nowcasting economic activity: A systematic literature review. (2024). Pekarskiene, Irena ; Lukauskas, Mantas ; Grybauskas, Andrius ; Bruneckiene, Jurgita ; Pilinkiene, Vaida ; Stundziene, Alina. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1199-1233.

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2024Cyclical Time Series: An Empirical Analysis of Temperatures in Central England Over Three Centuries. (2024). Phillips, Peter ; Marotta, Fulvia ; Giraitis, Liudas. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2409.

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2024“Gray” Prediction of Carbon Neutral Pathways in the G7 Economies by 2050. (2024). Huang, Zili ; Jiang, Mingqi ; Ur, Hafiz ; Xu, Guangyue. In: Applied Energy. RePEc:eee:appene:v:373:y:2024:i:c:s0306261924013072.

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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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2024The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Han, XU ; Duan, Jiangtao. 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 ; Terasvirta, Timo ; Kang, Jian ; He, Changli. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002105.

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2024Estimation and inference for high dimensional factor model with regime switching. (2024). Urga, Giovanni ; Wang, FA. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000988.

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2024GMM estimation for high-dimensional panel data models. (2024). LINTON, OLIVER ; GAO, Jiti ; Dong, Chaohua ; Cheng, Tingting. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001982.

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2024Reprint of: The likelihood ratio test for structural changes in factor models. (2024). Bai, Jushan ; Duan, Jiangtao ; Han, XU. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000915.

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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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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2024A state-dependent international CAPM for partially integrated markets: Using local and US risk factors. (2024). Tajaddini, Reza ; Hematizadeh, Roksana. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000954.

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2025Nowcasting U.S. state-level CO2 emissions and energy consumption. (2025). Nandi, Shaoni ; Fosten, Jack. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:20-30.

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2024What are the best alternatives for sustainability? A rationalization theme for natural resource depletion and technical innovation. (2024). Liu, Nan ; Zhang, Kai ; Hong, Cencen. In: Resources Policy. RePEc:eee:jrpoli:v:95:y:2024:i:c:s0301420724004665.

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2024Money/asset ratio as a predictor of inflation. (2024). Do, Nguyen Duc. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001029.

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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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2024Forecasting VaR and ES through Markov-switching GARCH models: does the specication matter?. (2024). Valls Pereira, Pedro ; Hotta, Luiz ; Zevallos, Mauricio Henrique ; Trucios, Carlos Cesar. In: Textos para discussão. RePEc:fgv:eesptd:567.

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2024Bayesian Inference for Long Memory Stochastic Volatility Models. (2024). Laurini, Márcio ; Chaim, Pedro. In: Econometrics. RePEc:gam:jecnmx:v:12:y:2024:i:4:p:35-:d:1530826.

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2024CCUS Technology and Carbon Emissions: Evidence from the United States. (2024). Mon, Min Thura ; Yamaka, Woraphon ; Tansuchat, Roengchai. In: Energies. RePEc:gam:jeners:v:17:y:2024:i:7:p:1748-:d:1370732.

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2025A Comprehensive Approach to CO 2 Emissions Analysis in High-Human-Development-Index Countries Using Statistical and Time Series Approaches. (2025). Ahmed, Imtiaz ; Nimbarte, Ashish ; Islam, Farzana ; Raihan, Ahmed Shoyeb ; Khosravi, Hamed. In: Sustainability. RePEc:gam:jsusta:v:17:y:2025:i:2:p:603-:d:1566870.

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2025A Smooth Transition Autoregressive Model for Matrix-Variate Time Series. (2025). Bucci, Andrea. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:1:d:10.1007_s10614-024-10568-7.

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2025Realized Volatility Forecasting for Stocks and Futures Indices with Rolling CEEMDAN and Machine Learning Models. (2025). Zhang, Yuetong ; Peng, Ying ; Song, Yuping. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:2:d:10.1007_s10614-024-10732-z.

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2024Time-Varying Structural Approximate Dynamic Factor Model. (2024). Liu, Qingfeng ; Zhao, Ziyan. In: Economic Growth Centre Working Paper Series. RePEc:nan:wpaper:2401.

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2024Identification of Time-Varying Factor Models. (2024). Cheung, Ying Lun. In: Journal of Business & Economic Statistics. RePEc:taf:jnlbes:v:42:y:2024:i:1:p:76-94.

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2025Adaptive Now‐ and Forecasting of Global Temperatures Under Smooth Structural Changes. (2025). Krusebecher, Robinson. In: Environmetrics. RePEc:wly:envmet:v:36:y:2025:i:6:n:e70033.

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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]		paper7
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: 7		article
2012Asymptotic Theory for Regressions with Smoothly Changing Parameters In: CREATES Research Papers.
[Full Text][Citation analysis]		paper14
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: 14		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]		paper5
2021Bagging weak predictors.(2021) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2020Bagging Weak Predictors.(2020) In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		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.
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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]		paper18
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: 18		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.
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This paper has nother version. Agregated cites: 17		article
2005Neglecting parameter changes in GARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]		article207
2019Consistent estimation of time-varying loadings in high-dimensional factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article15
2018Using the Entire Yield Curve in Forecasting Output and Inflation In: Econometrics.
[Full Text][Citation analysis]		article11
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.
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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: 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]		article3
2010The Benefits of Bagging for Forecast Models of Realized Volatility In: Econometric Reviews.
[Full Text][Citation analysis]		article37
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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