Details about Birger Nilsson

Access statistics for papers by Birger Nilsson.

Last updated 2025-04-28. Update your information in the RePEc Author Service.

Short-id: pni227

Working Papers

2017

1. Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets
   Working Papers, Lund University, Department of Economics View citations (2)
   See also Journal Article Cross-commodity news transmission and volatility spillovers in the German energy markets, Journal of Banking & Finance, Elsevier (2018) View citations (20) (2018)

2013

2. Does Commonality in Illiquidity Matter to Investors?
   Working Papers, Lund University, Department of Economics View citations (2)
   Also in Working Papers, Federal Reserve Bank of St. Louis (2013) View citations (2)
3. Foreign Institutional Investors and Stock Market Liquidity in China: State Ownership, Trading Activity and Information Asymmetry
   Knut Wicksell Working Paper Series, Lund University, Knut Wicksell Centre for Financial Studies View citations (9)
   Also in Working Papers, Lund University, Department of Economics (2013) View citations (9)

2011

4. The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010
   Working Papers, Lund University, Department of Economics
   See also Journal Article The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010, Journal of Banking & Finance, Elsevier (2013) View citations (15) (2013)

2009

5. Dynamics in Systematic Liquidity
   Working Papers, Lund University, Department of Economics
   Also in Working Papers, Federal Reserve Bank of St. Louis (2009)

2007

6. Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK
   Working Papers, Lund University, Department of Economics View citations (2)
   Also in Working Papers, Federal Reserve Bank of St. Louis (2007) View citations (2)
7. New York mark-ups on petroleum products
   Working Papers, Lund University, Department of Economics
   See also Journal Article NEW YORK MARK‐UPS ON PETROLEUM PRODUCTS, Manchester School, University of Manchester (2012) (2012)

2006

8. Forecasting Inflation: the Relevance of Higher Moments
   Computing in Economics and Finance 2006, Society for Computational Economics

2004

9. A Two-State Capital Asset Pricing Model with Unobservable States
   Working Papers, Lund University, Department of Economics View citations (1)

2002

10. Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon
    Working Papers, Lund University, Department of Economics View citations (5)
    See also Journal Article Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon, European Financial Management, European Financial Management Association (2003) View citations (18) (2003)
11. Financial Liberalization and the Changing Characteristics of Nordic Stock Returns
    Working Papers, Lund University, Department of Economics View citations (3)
12. International Asset Pricing and the Benefits from World Market Diversification
    Working Papers, Lund University, Department of Economics View citations (8)

Journal Articles

2018

1. Cross-commodity news transmission and volatility spillovers in the German energy markets
   Journal of Banking & Finance, 2018, 95, (C), 231-243 View citations (20)
   See also Working Paper Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets, Working Papers (2017) View citations (2) (2017)

2017

2. Foreign Institutional Investment, Ownership, and Liquidity: Real and Informational Frictions
   The Financial Review, 2017, 52, (1), 101-144 View citations (20)

2013

3. The components of the illiquidity premium: An empirical analysis of US stocks 1927–2010
   Journal of Banking & Finance, 2013, 37, (11), 4476-4487 View citations (15)
   See also Working Paper The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010, Working Papers (2011) (2011)

2012

4. NEW YORK MARK‐UPS ON PETROLEUM PRODUCTS
   Manchester School, 2012, 80, (2), 145-171
   See also Working Paper New York mark-ups on petroleum products, Working Papers (2007) (2007)

2010

5. Inflation forecasting, relative price variability and skewness
   Applied Economics Letters, 2010, 17, (6), 593-596 View citations (3)

2008

6. MEAN–VARIANCE VERSUS FULL‐SCALE OPTIMIZATION: BROAD EVIDENCE FOR THE UK
   Manchester School, 2008, 76, (s1), 134-156 View citations (2)

2006

7. Forecasting with Monetary Aggregates: Recent Evidence for the United States
   Journal of Economics and Business, 2006, 58, (5-6), 428-446 View citations (13)
8. Predictable non-linearities in U.S. inflation
   Economics Letters, 2006, 93, (3), 323-328 View citations (13)

2003

9. Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon
   European Financial Management, 2003, 9, (2), 179-200 View citations (18)
   See also Working Paper Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon, Working Papers (2002) View citations (5) (2002)

Chapters

2004

1. TOOLS FOR NON-LINEAR TIME SERIES FORECASTING IN ECONOMICS – AN EMPIRICAL COMPARISON OF REGIME SWITCHING VECTOR AUTOREGRESSIVE MODELS AND RECURRENT NEURAL NETWORKS
   A chapter in Applications of Artificial Intelligence in Finance and Economics, 2004, pp 71-91