Eric T. Hillebrand

University of Aarhus - CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

10

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CITATIONS
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51

Scholarly Papers (10)

The Effects of Japanese Foreign Exchange Intervention GARCH Estimation and Change Point Detection

Japan Bank for International Corporation Institute Working Paper No. 6
Number of pages: 35 Posted: 24 Nov 2003
Eric T. Hillebrand and Gunther Schnabl
University of Aarhus - CREATES and University of Leipzig - Institute for Economic Policy
Downloads 198 (124,774)
Citation 11

Abstract:

Japan, Foreign Exchange Intervention, Exchange Rate Volatility, GARCH, Change Point Detection, Liquidity Trap

The Effects of Japanese Foreign Exchange Intervention GARCH Estimation and Change Point Detection

Japan Bank for International Corporation Institute Working Paper No. 6
Number of pages: 35 Posted: 08 Feb 2005
Eric T. Hillebrand and Gunther Schnabl
University of Aarhus - CREATES and University of Leipzig - Institute for Economic Policy
Downloads 129 (181,702)
Citation 11

Abstract:

Japan, Foreign Exchange Intervention, Exchange Rate Volatility, GARCH, Change Point Detection, Liquidity Trap

2.

Mean Reversion Expectations and the 1987 Stock Market Crash: An Empirical Investigation

Louisiana State University Economics Working Paper No. 2003-10
Number of pages: 42 Posted: 31 Jan 2005
Eric T. Hillebrand
University of Aarhus - CREATES
Downloads 222 (107,623)

Abstract:

Stock market crash, mean reversion, stock return predictability, change-points

3.

Pricing an Option on a Non-Decreasing Asset Value: An Application to Movie Revenue

Number of pages: 44 Posted: 18 Dec 2005
Don M. Chance, Eric T. Hillebrand and Jimmy E. Hilliard
Louisiana State University, Baton Rouge - Department of Finance, University of Aarhus - CREATES and Louisiana State University, Baton Rouge - E.J. Ourso College of Business Administration
Downloads 199 (121,016)

Abstract:

option pricing, gamma process, risk management, movie revenues, non-decreasing process, Bayesian update

4.

Japanese Foreign Exchange Intervention and the Yen/Dollar Exchange Rate: A Simultaneous Equations Approach Using Realized Volatility

CESifo Working Paper Series No. 1766
Number of pages: 27 Posted: 09 Aug 2006
Eric T. Hillebrand, Gunther Schnabl and Yasemin Ulu
University of Aarhus - CREATES, University of Leipzig - Institute for Economic Policy and American University of Beirut - Olayan School of Business
Downloads 154 (151,558)
Citation 4

Abstract:

5.

A Structural Break in the Effects of Japanese Foreign Exchange Intervention on Yen/Dollar Exchange Rate Volatility

ECB Working Paper No. 650
Number of pages: 38 Posted: 19 Jul 2006
Eric T. Hillebrand and Gunther Schnabl
University of Aarhus - CREATES and University of Leipzig - Institute for Economic Policy
Downloads 139 (163,955)
Citation 11

Abstract:

Japan, Foreign Exchange Intervention, Exchange Rate Volatility, GARCH, Change Point Detection, Structural Breaks

6.

Overlaying Time Scales in Financial Volatility Data

Number of pages: 40 Posted: 31 Jan 2005
Eric T. Hillebrand
University of Aarhus - CREATES
Downloads 139 (166,751)
Citation 1

Abstract:

GARCH, volatility persistence, spurious high persistence, long memory, fractional integration, change-points, wavelets

7.

Neglecting Parameter Changes in Autoregressive Models

Louisiana State University Ecocomics Working Paper No. 2004-04
Number of pages: 44 Posted: 31 Jan 2005
Eric T. Hillebrand
University of Aarhus - CREATES
Downloads 46 (308,245)
Citation 24

Abstract:

Change-points, persistence, ARMA, VAR, GARCH

8.

Seasonal Changes in Central England Temperatures

CEIS Working Paper No. 347
Number of pages: 29 Posted: 17 Jun 2015
Tommaso Proietti and Eric T. Hillebrand
University of Rome II - Department of Economics and Finance and University of Aarhus - CREATES
Downloads 10 (432,915)

Abstract:

Global Warming, Seasonal Models, Structural Change, Amplitude and Phase Shifts

9.

Data Revisions and the Statistical Relation of Global Mean Sea-Level and Temperature

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 15-09
Number of pages: 14 Posted: 02 Jun 2015
Eric T. Hillebrand, Soren Johansen and Torben Schmith
University of Aarhus - CREATES, University of Copenhagen - Department of Economics and Danish Meteorological Institute
Downloads 3 (479,183)

Abstract:

Sea-level, temperature, semi-empirical models, data revisions

10.

Interest Rate Volatility and Home Mortgage Loans

Applied Economics, Forthcoming
Posted: 09 Aug 2006
Eric T. Hillebrand and Faik Koray
University of Aarhus - CREATES and Louisiana State University, Baton Rouge - Department of Economics

Abstract:

Interest Rate Volatility, Home Mortgage Loans