Eric Hillebrand

Associate professor

Eric Hillebrand

Profile

Associate Professor

MS Econ, MS Math, PhD Econ 2003

Member of the Econometrics Section

Personal web page

 

Research Secretaries: Solveig Nygaard Sørensen and Bodil Krog

Eric Hillebrand is associate professor at the Department of Economics and Business Economics and at CREATES (Center for Research in Econometric Analysis of Time Series).  He received his PhD (Dr. rer. pol.) from the University of Bremen, Germany, in 2003. Before joining Aarhus University, he was an associate (2009-2011) and assistant (2003-2009) professor at the Department of Economics at Louisiana State University in Baton Rouge and a visiting researcher (2001-2003) at the Department of Mathematics at Stanford University in Palo Alto. His primary research interests are time series econometrics, climate econometrics, and financial econometrics.  Eric Hillebrand is a co-editor of the Advances in Econometrics series.


Teaching Interests: Time series econometrics, mathematics for economics, economic forecasting, financial econometrics


Research Interests: Time series econometrics, climate econometrics, financial econometrics

 

 Selected Publications

  • Proietti, T., and E. Hillebrand, Seasonal Changes in Central England Temperatures, forthcoming in the Journal of the Royal Statistical Society: Series A
  • Hillebrand, E. and M. Medeiros, 2016, Nonlinearity, Breaks, and Long-Range Dependence in Time Series Models, Journal of Business and Economic Statistics 34(1), 23-41
  • Hillebrand, E., Lee, T.-H., and M.C. Medeiros, 2014, Bagging Constrained Equity Premium Predictors, in Haldrup, N., Meitz, M., and P. Saikkonen (Eds.) Essays in Nonlinear Time Series Econometrics (Festschrift for Timo Teräsvirta), Oxford University Press, pp. 330-356
  • Hillebrand, E., Medeiros, M.C., and J. Xu, 2013, Asymptotic Theory for Regressions with Smoothly Changing Parameters, Journal of Time Series Econometrics 5(2), 133-162
  • Grassi, S., Hillebrand, E. and D. Ventosa-Santaularia, 2013, The statistical relation of sea-level and temperature revisited, Dynamics of Atmospheres and Oceans 64, 1-9
  • Hillebrand, E. and T.-H. Lee, 2012, Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors,  Advances in Econometrics Vol. 30, Emerald, 171-196
  • Hillebrand, E., Sengupta, A., and J. Xu, 2012, Temporal correlation of defaults in subprime securitization, Communications on Stochastic Analysis 6(3), 487-511
  • Craioveanu, M., and E. Hillebrand, 2012, Level changes in volatility models, Annals of Finance 8(2), 277-308
  • Hillebrand, E., Sengupta, A., and J. Xu, 2012, Impact of Correlation Fluctuations on Securitized Structures, in: Viens, F., Mariani, M.C., and I. Florescu (eds.), Handbook in Modeling High-Frequency Data in Finance, Wiley, pp. 75-95
  • Hillebrand, E. and M. Medeiros, 2010 The benefits of bagging for forecast models of realized volatility, Econometric Reviews 29(5), 571-593
  • Chance, D., Hillebrand, E., and J. Hilliard, 2009, Pricing Options on Film Revenue, Risk 22, May, 80-86
  • Hillebrand, E., Schnabl, G., and Y. Ulu, 2009, Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility, Journal of International Financial Markets, Institutions, and Money 19(3), 490-505
  • Hillebrand, E., and A. Sengupta, 2008, Pricing Functionals and Pricing Measures, Communications on Stochastic Analysis, 2(1), 53-70
  • Chance, D., Hillebrand, E. and J. Hillard, 2008, Pricing an option on revenue from an innovation: An application to movie box office revenue, Management Science 54, 1015-1028
  • Hillebrand, E., and G. Schnabl, 2008, A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility, International Economics and Economic Policy 5(4), 389-401
  • Hillebrand, E., and F. Koray, 2008, Interest Rate Volatility and Home Mortgage Loans, Applied Economics, 40(18), 2381-2385
  • Hillebrand, E., and M.C. Medeiros, 2008, Estimating and Forecasting GARCH Models in the Presence of Structural Breaks and Regime Switches, in: David Rapach and Mark Wohar (eds.), Forecasting in the Presence of Structural Breaks and Uncertainty, Frontiers of Economics and Globalization, Elsevier/Emerald 2008, pp. 303-327
  • Hillebrand, E., 2006, Overlaying Time Scales in Financial Volatility Data, Advances in Econometrics Vol. 20, Elsevier, pp. 153-178
  • Hillebrand, E., 2005, Neglecting parameter changes in GARCH models, Journal of Econometrics 129, 121-138

 

Editorial Service

Hillebrand, E. and S.J. Koopman (eds.), 2016, Dynamic Factor Models, Advances in Econometrics Vol. 35, Emerald Group Publishing

ID: 42665327