Eric Hillebrand
Aarhus University
70 Papers
469 Citations
Eric Hillebrand is an academic researcher from Aarhus University. The author has contributed to research in topics: Estimator & Autoregressive conditional heteroskedasticity. The author has an hindex of 16, co-authored 64 publications. Previous affiliations of Eric Hillebrand include Louisiana State University & Stanford University.
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Papers
Neglecting parameter changes in GARCH models
TL;DR: In this paper, the authors show that the sum of the estimated autoregressive parameters of the conditional variance converges to one for all common estimators of the GARCH model.
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The Benefits of Bagging for Forecast Models of Realized Volatility
TL;DR: It is shown that bagging can improve the forecast accuracy of time series models for realized volatility and the log-linear specification shows larger improvements than the nonlinear model.
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Japanese foreign exchange intervention and the yen/dollar exchange rate: a simultaneous equations approach using realized volatility
TL;DR: This article used realized volatility to study the influence of central bank interventions on the yen/dollar exchange rate and found that during the period 1995 through 1999, interventions of the Japanese monetary authorities did not have the desired effect with respect to the exchange rate level and measured an increase in volatility associated with interventions.
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A structural break in the effects of Japanese foreign exchange intervention on yen/dollar exchange rate volatility
Eric Hillebrand,Gunther Schnabl +1 more
TL;DR: This article studied the impact of Japanese foreign exchange intervention on the volatility of the yen/dollar exchange rate since the early 1990s in a GARCH framework with interventions as exogenous variables.
The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection
TL;DR: In this paper, the authors used daily data of the Dow Jones Industrial Average and the S&P500 index to show that mean-reversion in returns is a transient but recurring phenomenon.