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Details about Erik Hjalmarsson

Workplace:School of Economics and Finance, Queen Mary University of London, (more information at EDIRC)
Nationalekonomiska institutionen (Department of Economics), Handelshögskolan (School of Business, Economics and Law), Göteborgs Universitet (University of Gothenburg), (more information at EDIRC)

Access statistics for papers by Erik Hjalmarsson.

Last updated 2013-10-09. Update your information in the RePEc Author Service.

Short-id: phj8


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Working Papers

2009

  1. Characteristic-based mean-variance portfolio choice
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in Journal of Banking & Finance (2012)
  2. 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.) Downloads View citations (23)

2008

  1. Efficiency in Housing Markets: Do Home Buyers Know how to Discount?
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    Also in Working Papers in Economics, University of Gothenburg, Department of Economics (2006) Downloads View citations (2)
  2. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
    BIS Working Papers, Bank for International Settlements Downloads View citations (5)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads View citations (2)

    See also Journal Article in Journal of Empirical Finance (2010)
  3. Interpreting long-horizon estimates in predictive regressions
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
    See also Journal Article in Finance Research Letters (2008)
  4. Jackknifing stock return predictions
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    See also Journal Article in Journal of Empirical Finance (2009)
  5. Predicting global stock returns
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (5)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2010)
  6. Testing the expectations hypothesis when interest rates are near integrated
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
    See also Journal Article in Journal of Banking & Finance (2009)

2007

  1. A residual-based cointegration test for near unit root variables
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
  2. Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated
    IMF Working Papers, International Monetary Fund Downloads View citations (20)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads View citations (27)

    See also Journal Article in Empirical Economics (2010)
  3. The Stambaugh bias in panel predictive regressions
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    See also Journal Article in Finance Research Letters (2008)

2006

  1. Fully modified estimation with nearly integrated regressors
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    See also Journal Article in Finance Research Letters (2007)
  2. Inference in Long-Horizon Regressions
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  3. Predictive regressions with panel data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
    Also in Working Papers in Economics, University of Gothenburg, Department of Economics (2005) Downloads View citations (2)
  4. 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.) Downloads View citations (6)
  5. What drives volatility persistence in the foreign exchange market?
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
    See also Journal Article in Journal of Financial Economics (2009)

2005

  1. Estimation of average local-to-unity roots in heterogenous panels
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
  2. On the Predictability of Global Stock Returns
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads View citations (6)
  3. 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 Downloads View citations (1)

2000

  1. Nord Pool: A Power Market Without Market Power
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads View citations (21)

Journal Articles

2012

  1. Characteristic-based mean-variance portfolio choice
    Journal of Banking & Finance, 2012, 36, (5), 1392-1401 Downloads View citations (6)
    See also Working Paper (2009)
  2. Some curious power properties of long-horizon tests
    Finance Research Letters, 2012, 9, (2), 81-91 Downloads View citations (1)

2011

  1. New Methods for Inference in Long-Horizon Regressions
    Journal of Financial and Quantitative Analysis, 2011, 46, (3), 815-839 Downloads View citations (9)

2010

  1. Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
    Journal of Empirical Finance, 2010, 17, (2), 212-240 Downloads View citations (6)
    See also Working Paper (2008)
  2. Predicting Global Stock Returns
    Journal of Financial and Quantitative Analysis, 2010, 45, (1), 49-80 Downloads View citations (83)
    See also Working Paper (2008)
  3. Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies
    Empirical Economics, 2010, 39, (1), 51-76 Downloads View citations (20)
    See also Working Paper (2007)

2009

  1. Jackknifing stock return predictions
    Journal of Empirical Finance, 2009, 16, (5), 793-803 Downloads View citations (3)
    See also Working Paper (2008)
  2. Testing the expectations hypothesis when interest rates are near integrated
    Journal of Banking & Finance, 2009, 33, (5), 934-943 Downloads View citations (14)
    See also Working Paper (2008)
  3. What drives volatility persistence in the foreign exchange market?
    Journal of Financial Economics, 2009, 94, (2), 192-213 Downloads View citations (39)
    See also Working Paper (2006)

2008

  1. Interpreting long-horizon estimates in predictive regressions
    Finance Research Letters, 2008, 5, (2), 104-117 Downloads View citations (3)
    See also Working Paper (2008)
  2. The Stambaugh bias in panel predictive regressions
    Finance Research Letters, 2008, 5, (1), 47-58 Downloads View citations (8)
    See also Working Paper (2007)

2007

  1. Fully modified estimation with nearly integrated regressors
    Finance Research Letters, 2007, 4, (2), 92-94 Downloads View citations (5)
    See also Working Paper (2006)
 
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