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Erik Hjalmarsson

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Personal Details

First Name: Erik
Middle Name:
Last Name: Hjalmarsson
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RePEc Short-ID: phj8

Email: [This author has chosen not to make the email address public]
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Postal Address:
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Affiliation

(50%) School of Economics and Finance
Queen Mary
Location: London, United Kingdom
Homepage: http://www.econ.qmul.ac.uk/
Email:
Phone: +44 (0) 20 7882 5096
Fax: +44 (0) 20 8983 3580
Postal: London E1 4NS
Handle: RePEc:edi:deqmwuk (more details at EDIRC)
(50%) Nationalekonomiska institutionen
Handelshögskolan
Göteborgs Universitet
Location: Göteborg, Sweden
Homepage: http://www.handels.gu.se/econ/
Email:
Phone: 031-773 10 00
Fax:
Postal: Vasagatan 1, Box 640, 405 30 Göteborg
Handle: RePEc:edi:naiguse (more details at EDIRC)

Works

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Working papers

  1. Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2009. "Rise of the machines: algorithmic trading in the foreign exchange market," International Finance Discussion Papers 980, Board of Governors of the Federal Reserve System (U.S.).
  2. Erik Hjalmarsson & Peter Manchev, 2009. "Characteristic-based mean-variance portfolio choice," International Finance Discussion Papers 981, Board of Governors of the Federal Reserve System (U.S.).
  3. Erik Hjalmarsson, 2008. "Predicting global stock returns," International Finance Discussion Papers 933, Board of Governors of the Federal Reserve System (U.S.).
  4. Meredith Beechey & Erik Hjalmarsson & Par Osterholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers 953, Board of Governors of the Federal Reserve System (U.S.).
  5. Erik Hjalmarsson, 2008. "Interpreting long-horizon estimates in predictive regressions," International Finance Discussion Papers 928, Board of Governors of the Federal Reserve System (U.S.).
  6. Benjamin Chiquoine & Erik Hjalmarsson, 2008. "Jackknifing stock return predictions," International Finance Discussion Papers 932, Board of Governors of the Federal Reserve System (U.S.).
  7. Erik Hjalmarsson, 2007. "The Stambaugh bias in panel predictive regressions," International Finance Discussion Papers 914, Board of Governors of the Federal Reserve System (U.S.).
  8. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.).
  9. Erik Hjalmarsson & Par Osterholm, 2007. "Testing for cointegration using the Johansen methodology when variables are near-integrated," International Finance Discussion Papers 915, Board of Governors of the Federal Reserve System (U.S.).
  10. Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan, 2007. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," International Finance Discussion Papers 905, Board of Governors of the Federal Reserve System (U.S.).
  11. David Berger & Alain Chaboud & Erik Hjalmarsson & Edward Howorka, 2006. "What drives volatility persistence in the foreign exchange market?," International Finance Discussion Papers 862, Board of Governors of the Federal Reserve System (U.S.).
  12. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
  13. Erik Hjalmarsson, 2006. "Fully modified estimation with nearly integrated regressors," International Finance Discussion Papers 854, Board of Governors of the Federal Reserve System (U.S.).
  14. Erik Hjalmarsson, 2006. "Should we expect significant out-of-sample results when predicting stock returns?," International Finance Discussion Papers 855, Board of Governors of the Federal Reserve System (U.S.).
  15. Erik Hjalmarsson & Randi Hjalmarsson, 2006. "Efficiency in housing markets: do home buyers know how to discount?," International Finance Discussion Papers 879, Board of Governors of the Federal Reserve System (U.S.).
  16. Bakshi, Gurdip & Chen, Zhiwu & Hjalmarsson, Erik, 2005. "Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures," Working Papers in Economics 159, University of Gothenburg, Department of Economics.
  17. Hjalmarsson, Erik, 2005. "Predictive regressions with panel data," Working Papers in Economics 160, University of Gothenburg, Department of Economics.
  18. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
  19. Erik Hjalmarsson, 2005. "Estimation of average local-to-unity roots in heterogenous panels," International Finance Discussion Papers 852, Board of Governors of the Federal Reserve System (U.S.).
  20. Hjalmarsson, Erik, 2000. "Nord Pool: A Power Market Without Market Power," Working Papers in Economics 28, University of Gothenburg, Department of Economics.

Articles

  1. Hjalmarsson, Erik & Manchev, Petar, 2012. "Characteristic-based mean-variance portfolio choice," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1392-1401.
  2. Hjalmarsson, Erik, 2012. "Some curious power properties of long-horizon tests," Finance Research Letters, Elsevier, vol. 9(2), pages 81-91.
  3. Hjalmarsson, Erik, 2011. "New Methods for Inference in Long-Horizon Regressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(03), pages 815-839, June.
  4. Chaboud, Alain P. & Chiquoine, Benjamin & Hjalmarsson, Erik & Loretan, Mico, 2010. "Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets," Journal of Empirical Finance, Elsevier, vol. 17(2), pages 212-240, March.
  5. Hjalmarsson, Erik, 2010. "Predicting Global Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(01), pages 49-80, February.
  6. Erik Hjalmarsson & Pär Österholm, 2010. "Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies," Empirical Economics, Springer, vol. 39(1), pages 51-76, August.
  7. Berger, David & Chaboud, Alain & Hjalmarsson, Erik, 2009. "What drives volatility persistence in the foreign exchange market?," Journal of Financial Economics, Elsevier, vol. 94(2), pages 192-213, November.
  8. Chiquoine, Benjamin & Hjalmarsson, Erik, 2009. "Jackknifing stock return predictions," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 793-803, December.
  9. Beechey, Meredith & Hjalmarsson, Erik & sterholm, Pr, 2009. "Testing the expectations hypothesis when interest rates are near integrated," Journal of Banking & Finance, Elsevier, vol. 33(5), pages 934-943, May.
  10. Hjalmarsson, Erik, 2008. "The Stambaugh bias in panel predictive regressions," Finance Research Letters, Elsevier, vol. 5(1), pages 47-58, March.
  11. Hjalmarsson, Erik, 2008. "Interpreting long-horizon estimates in predictive regressions," Finance Research Letters, Elsevier, vol. 5(2), pages 104-117, June.
  12. Hjalmarsson, Erik, 2007. "Fully modified estimation with nearly integrated regressors," Finance Research Letters, Elsevier, vol. 4(2), pages 92-94, June.

NEP Fields

23 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2008-12-07
  2. NEP-CFN: Corporate Finance (2) 2005-02-13 2005-02-13
  3. NEP-ECM: Econometrics (17) 2005-02-13 2005-02-13 2006-04-29 2006-04-29 2006-04-29 2006-04-29 2006-12-16 2007-09-16 2007-11-24 2007-12-08 2008-01-26 2008-01-26 2008-03-08 2008-04-29 2008-07-14 2008-08-06 2008-12-07. Author is listed
  4. NEP-ENE: Energy Economics (1) 2000-11-20
  5. NEP-ETS: Econometric Time Series (10) 2006-04-29 2006-04-29 2006-04-29 2006-04-29 2006-12-16 2007-09-16 2007-11-24 2007-12-08 2008-01-26 2008-04-29. Author is listed
  6. NEP-FIN: Finance (2) 2005-02-13 2005-02-13
  7. NEP-FMK: Financial Markets (5) 2005-02-13 2006-04-29 2006-08-05 2008-07-14 2008-08-06. Author is listed
  8. NEP-FOR: Forecasting (5) 2006-04-29 2006-04-29 2008-04-29 2008-07-14 2008-08-06. Author is listed
  9. NEP-GEO: Economic Geography (2) 2006-11-04 2007-02-10
  10. NEP-IFN: International Finance (2) 2006-08-05 2009-11-21
  11. NEP-MAC: Macroeconomics (1) 2008-12-07
  12. NEP-MST: Market Microstructure (4) 2006-08-05 2007-11-24 2008-03-08 2009-11-21
  13. NEP-RMG: Risk Management (1) 2007-11-24
  14. NEP-URE: Urban & Real Estate Economics (2) 2006-11-04 2007-02-10

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