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Erik Hjalmarsson

Personal Details

First Name:Erik
Middle Name:
Last Name:Hjalmarsson
Suffix:
RePEc Short-ID:phj8
[This author has chosen not to make the email address public]
Terminal Degree:2005 Economics Department; Yale University (from RePEc Genealogy)

Affiliation

Institutionen för Nationalekonomi med Statistik
Handelshögskolan
Göteborgs Universitet

Göteborg, Sweden
https://www.gu.se/handelshogskolan/nationalekonomi-statistik
RePEc:edi:naiguse (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Andersson, Fredrik N G & Hjalmarsson, Erik & Österholm, Pär, 2022. "Inflation Illiteracy – A Micro-Data Analysis," Working Papers 2022:6, Örebro University, School of Business.
  2. Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Jürgen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüss & Michael Razen & Utz Weitzel & David Abad-Dí­az & Menachem Abudy & Tobi, 2021. "Non-Standard Errors," Working Papers 2021-31, Faculty of Economics and Statistics, Universität Innsbruck.
    • Albert J. Menkveld & Anna Dreber & Felix Holzmeister & Juergen Huber & Magnus Johannesson & Michael Kirchler & Sebastian Neusüß & Michael Razen & Utz Weitzel & David Abad‐Díaz & Menachem (Meni) Abudy , 2024. "Nonstandard Errors," Journal of Finance, American Finance Association, vol. 79(3), pages 2339-2390, June.
  3. Alain P. Chaboud & Erik Hjalmarsson & Filip Zikes, 2020. "The Evolution of Price Discovery in an Electronic Market," Finance and Economics Discussion Series 2020-051, Board of Governors of the Federal Reserve System (U.S.).
  4. Hjalmarsson, Erik & Kiss, Tamás, 2019. "Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the Dog," Working Papers in Economics 768, University of Gothenburg, Department of Economics.
  5. Hjalmarsson, Erik & Österholm, Pär, 2019. "Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data," Working Papers 2019:11, Örebro University, School of Business.
  6. Farago, Adam & Hjalmarsson, Erik, 2019. "Compound Returns," Working Papers in Economics 767, University of Gothenburg, Department of Economics.
  7. Hjalmarsson, Erik & Österholm, Pär, 2017. "Households’ Mortgage-Rate Expectations: More Realistic than at First Glance?," Working Papers 2017:9, Örebro University, School of Business.
  8. Benos, Evangelos & Brugler, James & Hjalmarsson , Erik & Zikes , Filip, 2015. "Interactions among high-frequency traders," Bank of England working papers 523, Bank of England.
  9. 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.).
  10. Erik Hjalmarsson, 2009. "Diversification across characteristics," International Finance Discussion Papers 986, Board of Governors of the Federal Reserve System (U.S.).
  11. Alain P. 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.).
  12. Meredith J. Beechey & Erik Hjalmarsson & Pär Österholm, 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.).
  13. Erik Hjalmarsson, 2008. "Predicting global stock returns," International Finance Discussion Papers 933, Board of Governors of the Federal Reserve System (U.S.).
  14. 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.).
  15. Benjamin Chiquoine & Erik Hjalmarsson, 2008. "Jackknifing stock return predictions," International Finance Discussion Papers 932, Board of Governors of the Federal Reserve System (U.S.).
  16. Erik Hjalmarsson & Pär Österholm, 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.).
  17. 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.).
  18. Erik Hjalmarsson & Pär Österholm, 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.).
  19. Alain P. 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.).
  20. 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.).
  21. 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.).
  22. 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.).
  23. Erik Hjalmarsson, 2006. "Inference in Long-Horizon Regressions," International Finance Discussion Papers 853, Board of Governors of the Federal Reserve System (U.S.).
  24. David W. Berger & Alain P. 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.).
  25. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics 161, University of Gothenburg, Department of Economics.
  26. Hjalmarsson, Erik, 2005. "Predictive regressions with panel data," Working Papers in Economics 160, University of Gothenburg, Department of Economics.
  27. 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.
  28. 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.).
  29. Hjalmarsson, Erik, 2003. "Does the Black-Scholes formula work for electricity markets? A nonparametric approach," Working Papers in Economics 101, University of Gothenburg, Department of Economics.
  30. Hjalmarsson, Erik, 2000. "Nord Pool: A Power Market Without Market Power," Working Papers in Economics 28, University of Gothenburg, Department of Economics.
    repec:grz:wpsses:2021-08 is not listed on IDEAS

Articles

  1. Erik Hjalmarsson & Tamas Kiss, 2022. "Long‐run predictability tests are even worse than you thought," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1334-1355, November.
  2. Erik Hjalmarsson & Tamás Kiss, 2021. "Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog," Critical Finance Review, now publishers, vol. 10(3), pages 445-464, August.
  3. Hjalmarsson, Erik & Österholm, Pär, 2021. "Anchoring in surveys of household expectations," Economics Letters, Elsevier, vol. 198(C).
  4. Chaboud, Alain & Hjalmarsson, Erik & Zikes, Filip, 2021. "The evolution of price discovery in an electronic market," Journal of Banking & Finance, Elsevier, vol. 130(C).
  5. Hjalmarsson, Erik & Österholm, Pär, 2020. "Heterogeneity in households’ expectations of housing prices – evidence from micro data," Journal of Housing Economics, Elsevier, vol. 50(C).
  6. Farago, Adam & Hjalmarsson, Erik, 2019. "Stock Price Co-Movement and the Foundations of Pairs Trading," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 54(2), pages 629-665, April.
  7. Hjalmarsson, Erik & Österholm, Pär, 2019. "A micro-data analysis of households’ expectations of mortgage rates," Economics Letters, Elsevier, vol. 185(C).
  8. Hjalmarsson, Erik, 2018. "Maximal predictability under long-term mean reversion," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 269-282.
  9. Benos, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip, 2017. "Interactions among High-Frequency Traders," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 52(4), pages 1375-1402, August.
  10. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2014. "Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 69(5), pages 2045-2084, October.
  11. Hjalmarsson, Erik & Manchev, Petar, 2012. "Characteristic-based mean-variance portfolio choice," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1392-1401.
  12. Hjalmarsson, Erik, 2012. "Some curious power properties of long-horizon tests," Finance Research Letters, Elsevier, vol. 9(2), pages 81-91.
  13. Hjalmarsson, Erik, 2011. "New Methods for Inference in Long-Horizon Regressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 46(3), pages 815-839, June.
  14. 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.
  15. Hjalmarsson, Erik, 2010. "Predicting Global Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(1), pages 49-80, February.
  16. 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.
  17. Hjalmarsson, Erik & Hjalmarsson, Randi, 2009. "Efficiency in housing markets: Which home buyers know how to discount?," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2150-2163, November.
  18. Chiquoine, Benjamin & Hjalmarsson, Erik, 2009. "Jackknifing stock return predictions," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 793-803, December.
  19. 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.
  20. 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.
  21. Hjalmarsson, Erik, 2008. "The Stambaugh bias in panel predictive regressions," Finance Research Letters, Elsevier, vol. 5(1), pages 47-58, March.
  22. Hjalmarsson, Erik, 2008. "Interpreting long-horizon estimates in predictive regressions," Finance Research Letters, Elsevier, vol. 5(2), pages 104-117, June.
  23. Hjalmarsson, Erik, 2007. "Fully modified estimation with nearly integrated regressors," Finance Research Letters, Elsevier, vol. 4(2), pages 92-94, June.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  2. Closeness measure in co-authorship network
  3. Betweenness measure in co-authorship network

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 31 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-ECM: Econometrics (17) 2005-02-13 2005-02-13 2006-04-29 2006-04-29 2006-04-29 2006-04-29 2006-12-16 2007-11-24 2007-12-08 2008-01-26 2008-01-26 2008-03-08 2008-04-29 2008-07-14 2008-08-06 2008-12-07 2019-06-17. Author is listed
  2. NEP-ETS: Econometric Time Series (9) 2006-04-29 2006-04-29 2006-04-29 2006-04-29 2006-12-16 2007-11-24 2007-12-08 2008-01-26 2008-04-29. Author is listed
  3. NEP-MST: Market Microstructure (7) 2006-08-05 2007-11-24 2008-03-08 2009-11-21 2015-03-05 2017-01-01 2020-07-27. Author is listed
  4. NEP-FMK: Financial Markets (5) 2005-02-13 2006-04-29 2006-08-05 2008-07-14 2008-08-06. Author is listed
  5. NEP-FOR: Forecasting (5) 2006-04-29 2006-04-29 2008-04-29 2008-07-14 2008-08-06. Author is listed
  6. NEP-URE: Urban and Real Estate Economics (5) 2006-11-04 2007-02-10 2017-12-11 2019-12-16 2020-01-27. Author is listed
  7. NEP-CFN: Corporate Finance (3) 2003-08-17 2005-02-13 2005-02-13
  8. NEP-FIN: Finance (3) 2003-08-17 2005-02-13 2005-02-13
  9. NEP-MAC: Macroeconomics (3) 2008-12-07 2017-12-11 2022-06-20
  10. NEP-EUR: Microeconomic European Issues (2) 2020-01-27 2022-06-20
  11. NEP-GEO: Economic Geography (2) 2006-11-04 2007-02-10
  12. NEP-IFN: International Finance (2) 2006-08-05 2009-11-21
  13. NEP-RMG: Risk Management (2) 2003-08-17 2007-11-24
  14. NEP-CBA: Central Banking (1) 2008-12-07
  15. NEP-CMP: Computational Economics (1) 2003-08-17
  16. NEP-ENE: Energy Economics (1) 2000-11-20
  17. NEP-FLE: Financial Literacy and Education (1) 2022-06-20
  18. NEP-MFD: Microfinance (1) 2015-03-05
  19. NEP-MON: Monetary Economics (1) 2022-06-20

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