Working Papers

Bennedsen, M., Hillebrand, E., Koopman, S.J., Larsen, K., Continuous-time state space methods for delta-O-18 and delta-C-13, https://arxiv.org/abs/2404.05401, paper web site

Bennedsen, M., Hillebrand, E. Koopman, S.J., Larsen, K., Estimating Breakpoints Between Climate States in Paleoclimate Data, https://arxiv.org/abs/2404.08336

Bennedsen, M., Hillebrand, E., Zhou Lykke, J., Energy, economy, and emissions: A non-linear state space approach to projections, https://arxiv.org/abs/2312.06600

Bennedsen, M., Hillebrand, E. Koopman, S.J., A new approach to the CO2 airborne fraction: Enhancing statistical precision and tackling zero emissions, https://arxiv.org/abs/2311.01053

Bennedsen, M., Hillebrand, E. Koopman, S.J., A new statistical reduced complexity climate model

Borghi, R., Hillebrand, E., Mikkelsen, J.G., Urga, G., The dynamics of factor loadings in the cross section of returns, CREATES Working Paper 2018-38

Unpublished Manuscripts:

Boldrini, L. and E. Hillebrand, The Forecast Power of the Yield Curve, A Supervised Factor Model Approach, CREATES Working Paper 2015-39

Boldrini, L. and E. Hillebrand, Supervision in Factor Models Using a Large Number of Predictors, CREATES Working Paper 2015-38

Craioveanu, M. and E. Hillebrand, Why it is OK to use the HAR-RV(1,5,21) model (download here)

Hillebrand, E., Mean-Reversion Expectations and the 1987 Stock-Market Crash (download here)

Other activities:

Discussion of ``When Will Arctic Sea Ice Disappear? Projections of Area, Extent, Thickness and Volume", by F.X. Diebold, G.D. Rudebusch, M. Goebel, P. Goulet Coulombe, and B. Zhang, Conference on Climate Risk, Society for Financial Econometrics,  April 17, 2023,