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Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility

Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - In: Journal of international financial markets, … 19 (2009) 3, pp. 490-505

Persistent link: https://www.econbiz.de/10008250532

Alternative investments - Pricing options on film revenue - This article illustrates two models for cumulative revenues from films, and how these models can be used to price options. The authors find that while both models lead to option prices that accurately reflect discounted future option payouts, the gamma process model is easier to implement.

Chance, Don; Hillebrand, Eric; Hilliard, Jimmy - In: Risk : managing risk in the world's financial markets 22 (2009) 5, pp. 80-86

Persistent link: https://www.econbiz.de/10008257105

Interest rate volatility and home mortgage loans

Hillebrand, Eric; Koray, Faik - In: Applied economics 40 (2008) 18, pp. 2381-2386

Persistent link: https://www.econbiz.de/10008931832

The Benefits of Bagging for Forecast Models of Realized Volatility

Hillebrand, Eric; Medeiros, Marcelo - In: Econometric reviews 29 (2010) 5, pp. 571-594

Persistent link: https://www.econbiz.de/10008637979

Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility

Hillebrand, Eric; Schnabl, Gunther; Ulu, Yasemin - In: Journal of international financial markets, … 19 (2009) 3, pp. 490-506

Persistent link: https://www.econbiz.de/10008881880

Exchange rates and macroeconomic fundamentals : evidence of instabilities from time-varying factor loadings

Hillebrand, Eric; Mikkelsen, Jakob Guldbæk; Spreng, Lars; … - In: Journal of applied econometrics 38 (2023) 6, pp. 857-877

Persistent link: https://www.econbiz.de/10014432197

The benefits of bagging for forecast models of realized volatility

Hillebrand, Eric; Medeiros, Marcelo C. - In: Econometric reviews 29 (2010) 5/6, pp. 571-593

Persistent link: https://www.econbiz.de/10008668163

Asymmetries, breaks, and long-range dependence : an estimation framework for daily realized volatility

Hillebrand, Eric; Medeiros, Marcelo C. - 2010

We study the simultaneous occurrence of long memory and nonlinear effects, such as structural breaks and thresholds, in autoregressive moving average (ARMA) time series models and apply our modeling framework to series of daily realized volatility. Asymptotic theory for the quasi-maximum...

Persistent link: https://www.econbiz.de/10008657318

Bagging weak predictors

Lukas, Manuel; Hillebrand, Eric - 2014

Persistent link: https://www.econbiz.de/10010237812

Asymptotic theory for regressions with smoothly changing parameters

Hillebrand, Eric; Medeiros, Marcelo C.; Xu, Junyue - In: Journal of time series econometrics 5 (2013) 2, pp. 133-162

Persistent link: https://www.econbiz.de/10010225454