Details about Erik Hjalmarsson

Access statistics for papers by Erik Hjalmarsson.

Last updated 2023-01-24. Update your information in the RePEc Author Service.

Short-id: phj8

Working Papers

2022

1. Inflation Illiteracy – A Micro-Data Analysis
   Working Papers, Örebro University, School of Business

2021

2. Non-Standard Errors
   Working Papers, Faculty of Economics and Statistics, Universität Innsbruck View citations (6)

2020

3. The Evolution of Price Discovery in an Electronic Market
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
   See also Journal Article The evolution of price discovery in an electronic market, Journal of Banking & Finance, Elsevier (2021) View citations (5) (2021)

2019

4. Compound Returns
   Working Papers in Economics, University of Gothenburg, Department of Economics
5. Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data
   Working Papers, Örebro University, School of Business
   Also in Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) (2019)
   See also Journal Article Heterogeneity in households’ expectations of housing prices – evidence from micro data, Journal of Housing Economics, Elsevier (2020) View citations (2) (2020)
6. Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the Dog
   Working Papers in Economics, University of Gothenburg, Department of Economics

2017

7. Households’ Mortgage-Rate Expectations: More Realistic than at First Glance?
   Working Papers, Örebro University, School of Business View citations (2)

2016

8. Interactions among High-Frequency Traders
   Working Papers in Economics, University of Gothenburg, Department of Economics
   Also in Bank of England working papers, Bank of England (2015) View citations (6)
   See also Journal Article Interactions among High-Frequency Traders, Journal of Financial and Quantitative Analysis, Cambridge University Press (2017) View citations (16) (2017)

2009

9. Characteristic-based mean-variance portfolio choice
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
   See also Journal Article Characteristic-based mean-variance portfolio choice, Journal of Banking & Finance, Elsevier (2012) View citations (16) (2012)
10. Diversification across characteristics
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
11. Rise of the machines: algorithmic trading in the foreign exchange market
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (26)
    See also Journal Article Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market, Journal of Finance, American Finance Association (2014) View citations (190) (2014)

2008

12. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
    BIS Working Papers, Bank for International Settlements View citations (6)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (2)
    See also Journal Article Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets, Journal of Empirical Finance, Elsevier (2010) View citations (12) (2010)
13. Interpreting long-horizon estimates in predictive regressions
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (3)
    See also Journal Article Interpreting long-horizon estimates in predictive regressions, Finance Research Letters, Elsevier (2008) View citations (3) (2008)
14. Jackknifing stock return predictions
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    See also Journal Article Jackknifing stock return predictions, Journal of Empirical Finance, Elsevier (2009) View citations (4) (2009)
15. Predicting global stock returns
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
    See also Journal Article Predicting Global Stock Returns, Journal of Financial and Quantitative Analysis, Cambridge University Press (2010) View citations (146) (2010)
16. Testing the expectations hypothesis when interest rates are near integrated
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    See also Journal Article Testing the expectations hypothesis when interest rates are near integrated, Journal of Banking & Finance, Elsevier (2009) View citations (18) (2009)

2007

17. A residual-based cointegration test for near unit root variables
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
18. Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated
    IMF Working Papers, International Monetary Fund View citations (58)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) View citations (38)
    See also Journal Article Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies, Empirical Economics, Springer (2010) View citations (41) (2010)
19. The Stambaugh bias in panel predictive regressions
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article The Stambaugh bias in panel predictive regressions, Finance Research Letters, Elsevier (2008) View citations (15) (2008)

2006

20. EFFICIENCY IN HOUSING MARKETS: DO HOME BUYERS KNOW HOW TO DISCOUNT?
    Working Papers in Economics, University of Gothenburg, Department of Economics View citations (2)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) View citations (1)
21. Fully modified estimation with nearly integrated regressors
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
    See also Journal Article Fully modified estimation with nearly integrated regressors, Finance Research Letters, Elsevier (2007) View citations (7) (2007)
22. Inference in Long-Horizon Regressions
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
23. Predictive regressions with panel data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    Also in Working Papers in Economics, University of Gothenburg, Department of Economics (2005) View citations (2)
24. Should we expect significant out-of-sample results when predicting stock returns?
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
25. What drives volatility persistence in the foreign exchange market?
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
    See also Journal Article What drives volatility persistence in the foreign exchange market?, Journal of Financial Economics, Elsevier (2009) View citations (58) (2009)

2005

26. Estimation of average local-to-unity roots in heterogenous panels
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
27. On the Predictability of Global Stock Returns
    Working Papers in Economics, University of Gothenburg, Department of Economics View citations (6)
28. Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures
    Working Papers in Economics, University of Gothenburg, Department of Economics View citations (1)

2003

29. Does the Black-Scholes formula work for electricity markets? A nonparametric approach
    Working Papers in Economics, University of Gothenburg, Department of Economics View citations (4)

2000

30. Nord Pool: A Power Market Without Market Power
    Working Papers in Economics, University of Gothenburg, Department of Economics View citations (25)

Journal Articles

2022

1. Long‐run predictability tests are even worse than you thought
   Journal of Applied Econometrics, 2022, 37, (7), 1334-1355 View citations (1)

2021

2. Anchoring in surveys of household expectations
   Economics Letters, 2021, 198, (C)
3. Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog
   Critical Finance Review, 2021, 10, (3), 445-464 View citations (2)
4. The evolution of price discovery in an electronic market
   Journal of Banking & Finance, 2021, 130, (C) View citations (5)
   See also Working Paper The Evolution of Price Discovery in an Electronic Market, Finance and Economics Discussion Series (2020) View citations (2) (2020)

2020

5. Heterogeneity in households’ expectations of housing prices – evidence from micro data
   Journal of Housing Economics, 2020, 50, (C) View citations (2)
   See also Working Paper Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data, Working Papers (2019) (2019)

2019

6. A micro-data analysis of households’ expectations of mortgage rates
   Economics Letters, 2019, 185, (C) View citations (2)
7. Stock Price Co-Movement and the Foundations of Pairs Trading
   Journal of Financial and Quantitative Analysis, 2019, 54, (2), 629-665 View citations (3)

2018

8. Maximal predictability under long-term mean reversion
   Journal of Empirical Finance, 2018, 45, (C), 269-282

2017

9. Interactions among High-Frequency Traders
   Journal of Financial and Quantitative Analysis, 2017, 52, (4), 1375-1402 View citations (16)
   See also Working Paper Interactions among High-Frequency Traders, Working Papers in Economics (2016) (2016)

2014

10. Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
    Journal of Finance, 2014, 69, (5), 2045-2084 View citations (190)
    See also Working Paper Rise of the machines: algorithmic trading in the foreign exchange market, International Finance Discussion Papers (2009) View citations (26) (2009)

2012

11. Characteristic-based mean-variance portfolio choice
    Journal of Banking & Finance, 2012, 36, (5), 1392-1401 View citations (16)
    See also Working Paper Characteristic-based mean-variance portfolio choice, International Finance Discussion Papers (2009) (2009)
12. Some curious power properties of long-horizon tests
    Finance Research Letters, 2012, 9, (2), 81-91 View citations (4)

2011

13. New Methods for Inference in Long-Horizon Regressions
    Journal of Financial and Quantitative Analysis, 2011, 46, (3), 815-839 View citations (28)

2010

14. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
    Journal of Empirical Finance, 2010, 17, (2), 212-240 View citations (12)
    See also Working Paper Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets, BIS Working Papers (2008) View citations (6) (2008)
15. Predicting Global Stock Returns
    Journal of Financial and Quantitative Analysis, 2010, 45, (1), 49-80 View citations (146)
    See also Working Paper Predicting global stock returns, International Finance Discussion Papers (2008) View citations (5) (2008)
16. Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies
    Empirical Economics, 2010, 39, (1), 51-76 View citations (41)
    See also Working Paper Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated, IMF Working Papers (2007) View citations (58) (2007)

2009

17. Efficiency in housing markets: Which home buyers know how to discount?
    Journal of Banking & Finance, 2009, 33, (11), 2150-2163 View citations (14)
18. Jackknifing stock return predictions
    Journal of Empirical Finance, 2009, 16, (5), 793-803 View citations (4)
    See also Working Paper Jackknifing stock return predictions, International Finance Discussion Papers (2008) View citations (4) (2008)
19. Testing the expectations hypothesis when interest rates are near integrated
    Journal of Banking & Finance, 2009, 33, (5), 934-943 View citations (18)
    See also Working Paper Testing the expectations hypothesis when interest rates are near integrated, International Finance Discussion Papers (2008) View citations (4) (2008)
20. What drives volatility persistence in the foreign exchange market?
    Journal of Financial Economics, 2009, 94, (2), 192-213 View citations (58)
    See also Working Paper What drives volatility persistence in the foreign exchange market?, International Finance Discussion Papers (2006) View citations (2) (2006)

2008

21. Interpreting long-horizon estimates in predictive regressions
    Finance Research Letters, 2008, 5, (2), 104-117 View citations (3)
    See also Working Paper Interpreting long-horizon estimates in predictive regressions, International Finance Discussion Papers (2008) View citations (3) (2008)
22. The Stambaugh bias in panel predictive regressions
    Finance Research Letters, 2008, 5, (1), 47-58 View citations (15)
    See also Working Paper The Stambaugh bias in panel predictive regressions, International Finance Discussion Papers (2007) View citations (1) (2007)

2007

23. Fully modified estimation with nearly integrated regressors
    Finance Research Letters, 2007, 4, (2), 92-94 View citations (7)
    See also Working Paper Fully modified estimation with nearly integrated regressors, International Finance Discussion Papers (2006) View citations (1) (2006)