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Details about Erik Hjalmarsson

Workplace:Institutionen för Nationalekonomi med Statistik (Department of Economics and Statistics), 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 2021-08-16. Update your information in the RePEc Author Service.

Short-id: phj8


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Working Papers

2020

  1. The Evolution of Price Discovery in an Electronic Market
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
    See also Journal Article in Journal of Banking & Finance (2021)

2019

  1. Compound Returns
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads
  2. Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data
    Working Paper Series, Sveriges Riksbank (Central Bank of Sweden) Downloads
    Also in Working Papers, Örebro University, School of Business (2019) Downloads

    See also Journal Article in Journal of Housing Economics (2020)
  3. Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the Dog
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads

2017

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

2016

  1. Interactions among High-Frequency Traders
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads
    Also in Bank of England working papers, Bank of England (2015) Downloads View citations (6)

    See also Journal Article in Journal of Financial and Quantitative Analysis (2017)

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. Diversification across characteristics
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
  3. 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 (24)
    See also Journal Article in Journal of Finance (2014)

2008

  1. 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 (6)
    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)
  2. 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)
  3. 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)
  4. 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)
  5. 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 (4)
    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 (44)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2007) Downloads View citations (30)

    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. EFFICIENCY IN HOUSING MARKETS: DO HOME BUYERS KNOW HOW TO DISCOUNT?
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads View citations (2)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2006) Downloads View citations (1)
  2. 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)
  3. Inference in Long-Horizon Regressions
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  4. Predictive regressions with panel data
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)
    Also in Working Papers in Economics, University of Gothenburg, Department of Economics (2005) Downloads View citations (2)
  5. 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 (7)
  6. 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)

2003

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

2000

  1. Nord Pool: A Power Market Without Market Power
    Working Papers in Economics, University of Gothenburg, Department of Economics Downloads View citations (24)

Journal Articles

2021

  1. Anchoring in surveys of household expectations
    Economics Letters, 2021, 198, (C) Downloads
  2. 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 Downloads View citations (1)
  3. The evolution of price discovery in an electronic market
    Journal of Banking & Finance, 2021, 130, (C) Downloads View citations (1)
    See also Working Paper (2020)

2020

  1. Heterogeneity in households’ expectations of housing prices – evidence from micro data
    Journal of Housing Economics, 2020, 50, (C) Downloads
    See also Working Paper (2019)

2019

  1. A micro-data analysis of households’ expectations of mortgage rates
    Economics Letters, 2019, 185, (C) Downloads View citations (2)
  2. Stock Price Co-Movement and the Foundations of Pairs Trading
    Journal of Financial and Quantitative Analysis, 2019, 54, (2), 629-665 Downloads View citations (1)

2018

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

2017

  1. Interactions among High-Frequency Traders
    Journal of Financial and Quantitative Analysis, 2017, 52, (4), 1375-1402 Downloads View citations (10)
    See also Working Paper (2016)

2014

  1. Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
    Journal of Finance, 2014, 69, (5), 2045-2084 Downloads View citations (154)
    See also Working Paper (2009)

2012

  1. Characteristic-based mean-variance portfolio choice
    Journal of Banking & Finance, 2012, 36, (5), 1392-1401 Downloads View citations (13)
    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 (2)

2011

  1. New Methods for Inference in Long-Horizon Regressions
    Journal of Financial and Quantitative Analysis, 2011, 46, (3), 815-839 Downloads View citations (20)

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 (10)
    See also Working Paper (2008)
  2. Predicting Global Stock Returns
    Journal of Financial and Quantitative Analysis, 2010, 45, (1), 49-80 Downloads View citations (119)
    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 (29)
    See also Working Paper (2007)

2009

  1. Efficiency in housing markets: Which home buyers know how to discount?
    Journal of Banking & Finance, 2009, 33, (11), 2150-2163 Downloads View citations (10)
  2. Jackknifing stock return predictions
    Journal of Empirical Finance, 2009, 16, (5), 793-803 Downloads View citations (4)
    See also Working Paper (2008)
  3. Testing the expectations hypothesis when interest rates are near integrated
    Journal of Banking & Finance, 2009, 33, (5), 934-943 Downloads View citations (18)
    See also Working Paper (2008)
  4. What drives volatility persistence in the foreign exchange market?
    Journal of Financial Economics, 2009, 94, (2), 192-213 Downloads View citations (55)
    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 (14)
    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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