Eric Hillebrand
Biographic Data
| ID | 8921443 |
|---|---|
| NAME | Eric Hillebrand |
| GIVEN NAMES | Eric |
| FAMILY NAME | Hillebrand |
| SIGNATURE | HILLEBRAND E |
| AFFILIATIONS | Aarhus University |
| ORCID | 0000-0002-8461-1671 |
| VERIFIED | Yes |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 2 |
| WORKS AS EDITOR | 1 |
| FIRST PUBLICATION YEAR | 2016 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
Exchange rates and macroeconomic fundamentals
We examine the relationship between exchange rates and macroeconomic fundamentals using a two‐step maximum likelihood estimator through which we compute time‐varying factor loadings. Factors are obtained as principal components, extracted from vintage macro‐datasets that combine FRED‐MD and OECD databases. Using 14 currencies over 1990–2021, we show that the loadings on the factors vary considerably over time and increase the percentage of explai…
Dynamic Factor Models
Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in time series models and apply our modeling framework to daily realized measures of integrated variance. We develop asymptotic theory for parameter estimation and propose two model-building procedures. The methodology is applied to stocks of the Dow Jones Industrial Average during the period 2000 to 2009. We find strong evi…
No prominent works on this page.
Dynamic Factor Models
Nonlinearity, Breaks, and Long-Range Dependence in Time-Series Models
We study the simultaneous occurrence of long memory and nonlinear effects, such as parameter changes and threshold effects, in time series models and apply our modeling framework to daily realized measures of integrated variance. We develop asymptotic theory for parameter estimation and propose two model-building procedures. The methodology is applied to stocks of the Dow Jones Industrial Average during the period 2000 to 2009. We find strong evi…
Exchange rates and macroeconomic fundamentals
We examine the relationship between exchange rates and macroeconomic fundamentals using a two‐step maximum likelihood estimator through which we compute time‐varying factor loadings. Factors are obtained as principal components, extracted from vintage macro‐datasets that combine FRED‐MD and OECD databases. Using 14 currencies over 1990–2021, we show that the loadings on the factors vary considerably over time and increase the percentage of explai…
Computer Science (3 works) · Econometrics (2 works) · Economics (2 works) · Market Dynamics and Volatility (2 works) · Accounting (1 work) · Bayesian Modeling and Causal Inference (1 work) · Business (1 work) · Complex Systems and Time Series Analysis (1 work) · demographic modeling and climate adaptation (1 work) · Engineering (1 work)