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Hillebrand, Eric T.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,132 |
Total
Citations
51 |
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1.
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The Effects of Japanese Foreign Exchange Intervention GARCH Estimation and Change Point Detection
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Hillebrand, Eric T.
University of Aarhus - CREATES Schnabl, Gunther
University of Leipzig - Institute for Economic Policy
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Posted:
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24 Nov 03
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Last Revised:
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08 Feb 05
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271
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10
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Hillebrand, Eric T.
University of Aarhus - CREATES Schnabl, Gunther
University of Leipzig - Institute for Economic Policy
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113
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10
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Japan, Foreign Exchange Intervention, Exchange Rate Volatility, GARCH, Change Point Detection, Liquidity Trap
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Hillebrand, Eric T.
University of Aarhus - CREATES Schnabl, Gunther
University of Leipzig - Institute for Economic Policy
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158
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10
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Japan, Foreign Exchange Intervention, Exchange Rate Volatility, GARCH, Change Point Detection, Liquidity Trap
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2.
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Hillebrand, Eric T.
University of Aarhus - CREATES
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214
(69,815)
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Stock market crash, mean reversion, stock return predictability, change-points
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3.
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Chance, Don M.
Louisiana State University, Baton Rouge - Department of Finance Hillebrand, Eric T.
University of Aarhus - CREATES Hilliard, Jimmy E.
Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
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193
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1
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option pricing, gamma process, risk management, movie revenues, non-decreasing process, Bayesian update
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4.
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Hillebrand, Eric T.
University of Aarhus - CREATES Schnabl, Gunther
University of Leipzig - Institute for Economic Policy Ulu, Yasemin
American University of Beirut - School of Business
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144
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3
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5.
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Hillebrand, Eric T.
University of Aarhus - CREATES Schnabl, Gunther
University of Leipzig - Institute for Economic Policy
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134
(107,928)
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12
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Japan, Foreign Exchange Intervention, Exchange Rate Volatility, GARCH, Change Point Detection, Structural Breaks
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Hillebrand, Eric T.
University of Aarhus - CREATES
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134
(107,928)
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2
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GARCH, volatility persistence, spurious high persistence, long memory, fractional integration, change-points, wavelets
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7.
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Hillebrand, Eric T.
University of Aarhus - CREATES
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42
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23
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Change-points, persistence, ARMA, VAR, GARCH
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8.
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Hillebrand, Eric T.
University of Aarhus - CREATES Koray, Faik
Louisiana State University, Baton Rouge - Department of Economics
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Interest Rate Volatility, Home Mortgage Loans
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