Publications

In journals

Bennedsen, M., Hillebrand, E., Koopman, S.J., Larsen, K., and R. Lupien, Estimating Breakpoints Between Climate States in Paleoclimate Data, Climate of the Past 21(11), 1981-2008, (doi), earlier version at arXiv

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

Bennedsen, M., Hillebrand, E., and S.J. Koopman, 2025, A statistical reduced complexity climate model for probabilistic analyses and projections, Journal of Climate 38(21), 6329-6350, (doi), earlier version at arXiv, replication code 

Bennedsen, M., Hillebrand, E., and S.J. Koopman, 2024, A regression-based approach to the CO2 airborne fraction, Nature Communications 15, 8507, (doi)  earlier version at arXiv 

Bennedsen, M., Hillebrand, E., and S.M. Jensen, 2023, A neural network approach to the environmental Kuznets curve, Energy Economics 126, 106985, (doi) earlier version is CREATES Working Paper 2022-09

Bennedsen, M., Hillebrand, E., and J. Zhou Lykke, 2023, Global temperature projections from a statistical energy balance model using multiple sources of historical data, Journal of Climate 36(19), p. 6817-6838, (doi) earlier version at arXiv

Bennedsen, M., Hillebrand, E., and S.J. Koopman, 2023, On the evidence of a trend in the CO2 airborne fraction, Comment ("Matters Arising") on van Marle et al. (2022), Nature 616, E1-E3, (doi)  earlier version at arXiv

Hillebrand, E., Mikkelsen, J.G., Spreng, L., and G. Urga, 2023, Foreign exchange rates and macroeconomic fundamentals: Evidence of instabilities from time-varying factor loadings, Journal of Applied Econometrics 38(6), 857-877, (doi) data and replication code

Bennedsen, M., Hillebrand, E., and S.J. Koopman, 2023, A multivariate dynamic statistical model of the Global Carbon Budget 1959-2020, Journal of the Royal Statistical Society: Series A 186(1): 20-42 (doi), Paper Web Site

Bennedsen, M., Hillebrand, E., and S.J. Koopman, 2021, Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors, Energy Economics 96, 105118, (doi), earlier version is CREATES Working Paper 2019-21

Hillebrand, E., Lukas, M. and W. Wei, 2021, Bagging weak predictors, International Journal of Forecasting, 37(1), 237-254, (doi), earlier version is CREATES Working Paper 2014-01

Hillebrand, E., Johansen, S. and T. Schmith, 2020, Data revisions and the statistical relation of global mean sea level and temperature, Econometrics 8(4), 41 (doi, open access, part of special issue Celebrated Econometricians: David Hendry), earlier version is CREATES Working Paper 2015-23

Bennedsen, M., Hillebrand, E. and S.J. Koopman,  2019, Trend analysis of the airborne fraction and sink rate of anthropogenically released CO2, Biogeosciences 16(18): 3651-3663 (doi), cited in IPCC AR6 WG1 Chapter 5 p. 691

Mikkelsen, J.G., Hillebrand, E. and G. Urga, 2019, Consistent estimation of time-varying loadings in high-dimensional factor models, Journal of Econometrics 208(2), 535-562, (doi), earlier version is CREATES Working Paper 2015-61

Hillebrand, E., Huang, H., Lee, T.-H., and C. Li, 2018, Using the entire yield curve in forecasting output and inflation, Econometrics 6(3), 40. (doi, open access)

Hillebrand, E. and T. Proietti, 2017, Phase changes and seasonal warming in early instrumental temperature records, Journal of Climate 30(17), 6795-6821 (doi), R code, R Markdown, Paper web site

Proietti, T., and E. Hillebrand, 2017, Seasonal changes in Central England Temperatures,  Journal of the Royal Statistical Society: Series A 180(3), 769-791, (doi), earlier version is CREATES Working Paper 2015-28

Hillebrand, E. and M. Medeiros, 2016, Nonlinearity, breaks, and long-range dependence in time series models, Journal of Business and Economic Statistics 34(1), 23-41, (doi) (download accepted version, download online supplement), earlier version is CREATES Working Paper 2012-30

Grassi, S., Hillebrand, E., and D. Ventosa-Santaulària, 2013, The statistical relation of sea-level and temperature revisited, Dynamics of Atmospheres and Oceans 64 (November), 1-9, (doi).  (Working paper version here and Matlab code here. R Markdown notebook here.  Rmd code to run R Markdown yourself here.)

Hillebrand, E., Medeiros, M.C., and J. Xu, 2013, Asymptotic theory for regressions with smoothly changing parameters, Journal of Time Series Econometrics 5(2), 133-162, (doi), earlier version is CREATES Working Paper 2012-31.

Hillebrand, E., Sengupta, A., and J. Xu, 2012, Temporal correlation of defaults in subprime securitization, Communications on Stochastic Analysis 6(3), 487-511, (DOI: 10.31390/cosa.6.3.09, open access).

Craioveanu, M., and E. Hillebrand, 2012, Level changes in volatility models, Annals of Finance 8(2), 277-308, (doi).

Hillebrand, E., and M.C. Medeiros, 2010, The benefits of bagging for forecast models of realized volatility, Econometric Reviews 29(5), 2010, 571-593, (doi).

Chance, D., Hillebrand, E., and J. Hilliard, 2009, Pricing options on film revenue, Risk 22, May, 80-86, (doi).

Hillebrand, E., Schnabl, G., and Y. Ulu, 2009, Japanese foreign exchange intervention and the Yen/Dollar exchange rate: A simultaneous equations approach using realized volatility, Journal of International Financial Markets, Institutions, and Money 19(3), 490-505, (doi).  (Earlier version is CESifo Working Paper No. 1766.)

Hillebrand, E., and G. Schnabl, 2008, A structural break in the effects of Japanese foreign exchange intervention on Yen/Dollar exchange rate volatility, International Economics and Economic Policy 5(4), 389-401, (doi).  (Earlier version is ECB Working Paper 650.)

Chance, D., Hillebrand, E., and J. Hilliard, 2008, Pricing an option on revenue from an innovation: An application to movie box office revenue, Management Science 54, 1015-1028, (doi). (Download Technical Manual here and replication files here.)

Hillebrand, E., and F. Koray, 2008, Interest rate volatility and home mortgage loans, Applied Economics, 40(18), 2381-2385, (doi).

Hillebrand, E., and A. Sengupta, 2008, Pricing functionals and pricing measures, Communications on Stochastic Analysis, 2(1), 53-70, (DOI: 10.31390/cosa.2.1.05, open access).

Hillebrand, E., 2005, Neglecting parameter changes in GARCH models, Journal of Econometrics 129, 121-138, (doi).

In collections

Hillebrand, E. (to appear), Teaching Mathematics for Economists, in: Hillebrand, E. and W.E. Griffiths (Editors): Teaching Econometrics - A Tribute to R. Carter Hill, Advanced Studies in Theoretical and Applied Econometrics, Vol. 56, to appear, Springer, https://arxiv.org/abs/2505.22671

Hillebrand, E., Lee, T.-H., and M.C. Medeiros, 2014, Bagging constrained equity premium predictors, in Haldrup, N., Meitz, M., and P. Saikkonen (Eds.) Essays in Nonlinear Time Series Econometrics (Festschrift for Timo Teräsvirta), Oxford University Press, pp. 330-356, earlier version is CREATES Working Paper 2012-41.

Hillebrand, E. and T.-H. Lee, 2012, Stein-rule estimation and generalized shrinkage methods for forecasting using many predictors,  Advances in Econometrics Vol. 30, Emerald, 171-196, (doi), earlier version is CREATES Working Paper 2012-18.

Hillebrand, E., Sengupta, A., and J. Xu, 2012, Impact of correlation fluctuations on securitized structures, in: Viens, F., Mariani, M.C., and I. Florescu (eds.), Handbook in Modeling High-Frequency Data in Finance, Wiley, pp. 75-95.

Hillebrand, E., and M.C. Medeiros, 2008, Estimating and forecasting GARCH models in the presence of structural breaks and regime switches, in: David Rapach and Mark Wohar (eds.), Forecasting in the Presence of Structural Breaks and Uncertainty, Frontiers of Economics and Globalization, Elsevier/Emerald 2008, pp. 303-327.

Hillebrand, E., 2006, Overlaying time scales in financial volatility data, Advances in Econometrics Vol. 20, Elsevier, pp. 153-178, (doi).

Editorial chapters

Hillebrand, E. and W.E. Griffiths (to appear): Introduction, in: Hillebrand, E. and W.E. Griffiths (Editors): Teaching Econometrics - A Tribute to R. Carter Hill, Advanced Studies in Theoretical and Applied Econometrics, Vol. 56, to appear, Springer (doi)

Hillebrand, E., Pretis, F. and T. Proietti (2020): Econometric models of climate change: Introduction by the guest-editors, Journal of Econometrics 214(1): 1-5. (doi)

Hillebrand, E. and S.J. Koopman (2016): Dynamic Factor Models (Editors' introduction), in: Hillebrand, E. and Koopman, S.J.  (Editors): Dynamic Factor Models. Advances in Econometrics Vol. 35, 2016, Emerald Group Publishing, (doi)