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Birger Nilsson

Personal Details

First Name:Birger
Middle Name:
Last Name:Nilsson
Suffix:
RePEc Short-ID:pni227
[This author has chosen not to make the email address public]

Affiliation

Nationalekonomiska Institutionen
Ekonomihögskolan
Lunds Universitet

Lund, Sweden
http://www.nek.lu.se/

: +46 +46 222 0000
+46 +46 2224613
P.O. Box 7082, S-222 07 LUND
RePEc:edi:delunse (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Nilsson, Birger, 2009. "Dynamics in Systematic Liquidity," Working Papers 2009:7, Lund University, Department of Economics.
  2. Wlaslowski, Szymon & Binner, Jane & Guiletti, Monica & Joseph, Nathan & Nilsson, Birger, 2007. "New York mark-ups on petroleum products," Working Papers 2008:2, Lund University, Department of Economics.
  3. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Thomas Elger & Birger Nilsson, 2007. "Mean-variance vs. full-scale optimization: broad evidence for the U.K," Working Papers 2007-016, Federal Reserve Bank of St. Louis.
  4. Jane M. Binner & C. Thomas Elger & Barry E. Jones & Birger Nilsson, 2006. "Forecasting Inflation: the Relevance of Higher Moments," Computing in Economics and Finance 2006 407, Society for Computational Economics.
  5. Nilsson, Birger & Hansson, Björn, 2004. "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers 2004:28, Lund University, Department of Economics.
  6. Graflund, Andreas & Nilsson, Birger, 2002. "Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon," Working Papers 2002:8, Lund University, Department of Economics.
  7. Nilsson, Birger, 2002. "Financial Liberalization and the Changing Characteristics of Nordic Stock Returns," Working Papers 2002:4, Lund University, Department of Economics.
  8. Nilsson, Birger, 2002. "International Asset Pricing and the Benefits from World Market Diversification," Working Papers 2002:1, Lund University, Department of Economics.

Articles

  1. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Thomas Elger & Birger Nilsson, 2008. "Mean-Variance Versus Full-Scale Optimization: Broad Evidence For The Uk," Manchester School, University of Manchester, vol. 76(s1), pages 134-156, September.
  2. Elger, Thomas & Jones, Barry E. & Nilsson, Birger, 2006. "Forecasting with Monetary Aggregates: Recent Evidence for the United States," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 428-446.
  3. Binner, Jane M. & Elger, C. Thomas & Nilsson, Birger & Tepper, Jonathan A., 2006. "Predictable non-linearities in U.S. inflation," Economics Letters, Elsevier, vol. 93(3), pages 323-328, December.
  4. Andreas Graflund & Birger Nilsson, 2003. "Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon," European Financial Management, European Financial Management Association, vol. 9(2), pages 179-200.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Thomas Elger & Birger Nilsson, 2007. "Mean-variance vs. full-scale optimization: broad evidence for the U.K," Working Papers 2007-016, Federal Reserve Bank of St. Louis.

    Cited by:

    1. de Farias Neto, Joao Jose, 2008. "S-shaped utility, subprime crash and the black swan," MPRA Paper 12122, University Library of Munich, Germany.
    2. David Johnstone & Dennis Lindley, 2013. "Mean-Variance and Expected Utility: The Borch Paradox," Papers 1306.2728, arXiv.org.
    3. Michael J. Best & Xili Zhang, 2011. "Degeneracy Resolution for Bilinear Utility Functions," Journal of Optimization Theory and Applications, Springer, vol. 150(3), pages 615-634, September.
    4. George Yungchih Wang, 2012. "Evaluating an Investment Project in an Incomplete Market," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 4(1), pages 055-073, June.

  2. Nilsson, Birger & Hansson, Björn, 2004. "A Two-State Capital Asset Pricing Model with Unobservable States," Working Papers 2004:28, Lund University, Department of Economics.

    Cited by:

    1. Nandini Srivastava & Stephen Satchell, 2012. "Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable," Birkbeck Working Papers in Economics and Finance 1209, Birkbeck, Department of Economics, Mathematics & Statistics.

  3. Graflund, Andreas & Nilsson, Birger, 2002. "Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon," Working Papers 2002:8, Lund University, Department of Economics.

    Cited by:

    1. Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004. "The effects of systemic crises when investors can be crisis ignorant," ERIM Report Series Research in Management ERS-2004-027-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    2. Kung, James J., 2009. "A two-asset stochastic model for long-term portfolio selection," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3089-3098.
    3. Levy, Moshe & Kaplanski, Guy, 2015. "Portfolio selection in a two-regime world," European Journal of Operational Research, Elsevier, vol. 242(2), pages 514-524.
    4. Buckley, Ian & Saunders, David & Seco, Luis, 2008. "Portfolio optimization when asset returns have the Gaussian mixture distribution," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1434-1461, March.
    5. Xie, Shuxiang, 2009. "Continuous-time mean-variance portfolio selection with liability and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 148-155, August.
    6. Bulla, Jan & Mergner, Sascha & Bulla, Ingo & Sesboüé, André & Chesneau, Christophe, 2010. "Markov-switching Asset Allocation: Do Profitable Strategies Exist?," MPRA Paper 21154, University Library of Munich, Germany.
    7. McCarthy, David & Miles, David K, 2007. "Optimal Portfolio Allocation for Corporate Pension Funds," CEPR Discussion Papers 6394, C.E.P.R. Discussion Papers.
    8. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 309-337, September.
    9. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.

  4. Nilsson, Birger, 2002. "Financial Liberalization and the Changing Characteristics of Nordic Stock Returns," Working Papers 2002:4, Lund University, Department of Economics.

    Cited by:

    1. Batra, Amit, 2004. "Stock return volatility patterns in India," Indian Council for Research on International Economic Relations, New Delhi Working Papers 124, Indian Council for Research on International Economic Relations, New Delhi, India.
    2. Panicos Demetriades & Michaeil Karoglou & Siong Hook Law, 2007. "Financial Liberalisation and Breaks in Stock Market Volatility: Evidence from East Asia," Money Macro and Finance (MMF) Research Group Conference 2006 162, Money Macro and Finance Research Group.
    3. Alexius, Annika, 2004. "Far Out on the Yield Curve," Working Paper Series 2004:12, Uppsala University, Department of Economics.

  5. Nilsson, Birger, 2002. "International Asset Pricing and the Benefits from World Market Diversification," Working Papers 2002:1, Lund University, Department of Economics.

    Cited by:

    1. Jaroslava HLOUSKOVA & Kurt SCHMIDHEINY & Martin WAGNER, 2004. "Multistep Predictions for Multivariate GARCH Models: Closed Form Solution and the Value for Portfolio Management," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 04.10, Université de Lausanne, Faculté des HEC, DEEP.
    2. Jaroslava Hlouskova & Kurt Schmidheiny & Martin Wagner, 2002. "Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management," Diskussionsschriften dp0212, Universitaet Bern, Departement Volkswirtschaft.
    3. Mohamed El Hedi Arouri, 2005. "Intégration financière et diversification internationale des portefeuilles," Économie et Prévision, Programme National Persée, vol. 168(2), pages 115-132.
    4. Sébastien WÄLTI, 2003. "Testing for Contagion in International Financial Markets: Which Way to Go?," FAME Research Paper Series rp92, International Center for Financial Asset Management and Engineering.
    5. AROURI Mohamed El Hedi, 2004. "The Impact of Increasing Stock Market Integration on Expected Gains from International Portfolio Diversification: Evidence from a Multivariate Approach with Time Varying Risk," Economics Bulletin, AccessEcon, vol. 6(3), pages 1-13.
    6. Nicholas lawrence Samouilhan, 2007. "The Price Of Risk In The South African Equity Market," South African Journal of Economics, Economic Society of South Africa, vol. 75(3), pages 442-458, September.

Articles

  1. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Thomas Elger & Birger Nilsson, 2008. "Mean-Variance Versus Full-Scale Optimization: Broad Evidence For The Uk," Manchester School, University of Manchester, vol. 76(s1), pages 134-156, September.

    Cited by:

    1. David Johnstone & Dennis Lindley, 2013. "Mean-Variance and Expected Utility: The Borch Paradox," Papers 1306.2728, arXiv.org.

  2. Elger, Thomas & Jones, Barry E. & Nilsson, Birger, 2006. "Forecasting with Monetary Aggregates: Recent Evidence for the United States," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 428-446.

    Cited by:

    1. Rakesh K. Bissoondeeal & Michail Karoglou & Alicia M. Gazely, 2011. "Forecasting The Uk/Us Exchange Rate With Divisia Monetary Models And Neural Networks," Scottish Journal of Political Economy, Scottish Economic Society, vol. 58(1), pages 127-152, February.
    2. Richard G. Anderson & Barry E. Jones, 2011. "A comprehensive revision of the U.S. monetary services (divisia) indexes," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 325-360.
    3. Binner, J.M. & Tino, P. & Tepper, J. & Anderson, R. & Jones, B. & Kendall, G., 2010. "Does money matter in inflation forecasting?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4793-4808.
    4. Chin-Hong, Puah & Lee-Chea, Hiew, 2010. "Financial Liberalization, Weighted Monetary Aggregates and Money Demand in Indonesia," MPRA Paper 31731, University Library of Munich, Germany.
    5. Jones, Barry E. & Fleissig, Adrian R. & Elger, Thomas & Dutkowsky, Donald H., 2008. "Retail sweep programs and monetary asset substitution," Economics Letters, Elsevier, vol. 99(1), pages 159-163, April.
    6. Periklis Gogas & Theophilos Papadimitriou & Elvira Takli, 2013. "Comparison of simple sum and Divisia monetary aggregates in GDP forecasting: a support vector machines approach," Economics Bulletin, AccessEcon, vol. 33(2), pages 1101-1115.
    7. Elger, C. Thomas & Jones, Barry E. & Edgerton, David L. & Binner, Jane M., 2008. "A Note On The Optimal Level Of Monetary Aggregation In The United Kingdom," Macroeconomic Dynamics, Cambridge University Press, vol. 12(01), pages 117-131, February.
    8. Binner, Jane M. & Bissoondeeal, Rakesh K. & Elger, C. Thomas & Jones, Barry E. & Mullineux, Andrew W., 2009. "Admissible monetary aggregates for the euro area," Journal of International Money and Finance, Elsevier, vol. 28(1), pages 99-114, February.
    9. Shahid IQBAL & Maqbool H. SIAL, 2016. "Projections of Inflation Dynamics for Pakistan: GMDH Approach," Journal of Economics and Political Economy, KSP Journals, vol. 3(3), pages 536-559, September.

  3. Binner, Jane M. & Elger, C. Thomas & Nilsson, Birger & Tepper, Jonathan A., 2006. "Predictable non-linearities in U.S. inflation," Economics Letters, Elsevier, vol. 93(3), pages 323-328, December.

    Cited by:

    1. Elger, Thomas & Jones, Barry E. & Nilsson, Birger, 2006. "Forecasting with Monetary Aggregates: Recent Evidence for the United States," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 428-446.
    2. Zhang, Lingxiang, 2013. "Modeling China's inflation dynamics: An MRSTAR approach," Economic Modelling, Elsevier, vol. 31(C), pages 440-446.
    3. Binner, J.M. & Tino, P. & Tepper, J. & Anderson, R. & Jones, B. & Kendall, G., 2010. "Does money matter in inflation forecasting?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4793-4808.
    4. Emrah Çevik & Erdal Atukeren & Turhan Korkmaz, 2013. "Nonlinearity and nonstationarity in international art market prices: evidence from Markov-switching ADF unit root tests," Empirical Economics, Springer, vol. 45(2), pages 675-695, October.
    5. Marcos Álvarez-Díaz & Rangan Gupta, 2015. "Forecasting the US CPI: Does Nonlinearity Matter?," Working Papers 201512, University of Pretoria, Department of Economics.

  4. Andreas Graflund & Birger Nilsson, 2003. "Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon," European Financial Management, European Financial Management Association, vol. 9(2), pages 179-200.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 10 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-FIN: Finance (2) 2004-12-12 2004-12-15
  2. NEP-FMK: Financial Markets (2) 2002-02-15 2002-03-14
  3. NEP-UPT: Utility Models & Prospect Theory (2) 2007-06-23 2008-01-26
  4. NEP-CBA: Central Banking (1) 2006-07-15
  5. NEP-ECM: Econometrics (1) 2006-07-15
  6. NEP-ETS: Econometric Time Series (1) 2006-07-15
  7. NEP-FOR: Forecasting (1) 2006-07-15
  8. NEP-MAC: Macroeconomics (1) 2006-07-15
  9. NEP-MON: Monetary Economics (1) 2006-07-15
  10. NEP-PKE: Post Keynesian Economics (1) 2002-02-15
  11. NEP-RMG: Risk Management (1) 2004-12-12

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