Erik Hjalmarsson

Names

Affiliations

• Göteborgs Universitet → Handelshögskolan → Institutionen för Nationalekonomi med Statistik
  • website
  • location: Göteborg, Sweden

Research profile

author of:

• Jackknifing stock return predictions
  by Benjamin Chiquoine & Erik Hjalmarsson
• Inference in Long-Horizon Regressions
  by Erik Hjalmarsson
• Predictive regressions with panel data
  by Hjalmarsson, Erik
• Predicting Global Stock Returns
  by Hjalmarsson, Erik
• Jackknifing stock return predictions
  by Chiquoine, Benjamin & Hjalmarsson, Erik
• Predicting global stock returns
  by Erik Hjalmarsson
• New Methods for Inference in Long-Horizon Regressions
  by Hjalmarsson, Erik
• Nord Pool: A Power Market Without Market Power
  by Hjalmarsson, Erik
• Predictive regressions with panel data
  by Erik Hjalmarsson
• Interpreting long-horizon estimates in predictive regressions
  by Hjalmarsson, Erik
• Interpreting long-horizon estimates in predictive regressions
  by Erik Hjalmarsson
• On the Predictability of Global Stock Returns
  by Hjalmarsson, Erik
• Rise of the machines: algorithmic trading in the foreign exchange market
  by Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega
• Testing for cointegration using the Johansen methodology when variables are near-integrated
  by Erik Hjalmarsson & Pär Österholm
• What drives volatility persistence in the foreign exchange market?
  by David W. Berger & Alain P. Chaboud & Erik Hjalmarsson & Edward Howorka
• Should we expect significant out-of-sample results when predicting stock returns?
  by Erik Hjalmarsson
• Testing the expectations hypothesis when interest rates are near integrated
  by Meredith J. Beechey & Erik Hjalmarsson & Pär Österholm
• The Stambaugh bias in panel predictive regressions
  by Erik Hjalmarsson
• Testing the expectations hypothesis when interest rates are near integrated
  by Beechey, Meredith & Hjalmarsson, Erik & sterholm, Pr
• Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies
  by Erik Hjalmarsson & Pär Österholm
• Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures
  by Bakshi, Gurdip & Chen, Zhiwu & Hjalmarsson, Erik
• Some curious power properties of long-horizon tests
  by Hjalmarsson, Erik
• The Stambaugh bias in panel predictive regressions
  by Hjalmarsson, Erik
• A residual-based cointegration test for near unit root variables
  by Erik Hjalmarsson & Pär Österholm
• Characteristic-based mean-variance portfolio choice
  by Hjalmarsson, Erik & Manchev, Petar
• Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
  by Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan
• Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
  by Chaboud, Alain P. & Chiquoine, Benjamin & Hjalmarsson, Erik & Loretan, Mico
• Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
  by Alain Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Mico Loretan
• Fully modified estimation with nearly integrated regressors
  by Hjalmarsson, Erik
• What drives volatility persistence in the foreign exchange market?
  by Berger, David & Chaboud, Alain & Hjalmarsson, Erik
• Estimation of average local-to-unity roots in heterogenous panels
  by Erik Hjalmarsson
• Efficiency in Housing Markets: Do Home Buyers Know how to Discount?
  by Erik Hjalmarsson & Randi Hjalmarsson
• Fully modified estimation with nearly integrated regressors
  by Erik Hjalmarsson
• EFFICIENCY IN HOUSING MARKETS: DO HOME BUYERS KNOW HOW TO DISCOUNT?
  by Hjalmarsson, Erik & Hjalmarsson, Randi
• Characteristic-based mean-variance portfolio choice
  by Erik Hjalmarsson & Peter Manchev
• Diversification across characteristics
  by Erik Hjalmarsson
• The Evolution of Price Discovery in an Electronic Market
  by Alain P. Chaboud & Erik Hjalmarsson & Filip Zikes
• Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data
  by Hjalmarsson, Erik & Österholm, Pär
• Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the Dog
  by Hjalmarsson, Erik & Kiss, Tamás
• Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated
  by Erik Hjalmarsson & Pär Österholm
• Interactions among high-frequency traders
  by Benos, Evangelos & Brugler, James & Hjalmarsson , Erik & Zikes , Filip
• Maximal predictability under long-term mean reversion
  by Hjalmarsson, Erik
• Stock Price Co-Movement and the Foundations of Pairs Trading
  by Farago, Adam & Hjalmarsson, Erik
• Compound Returns
  by Farago, Adam & Hjalmarsson, Erik
• Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
  by ALAIN P. CHABOUD & BENJAMIN CHIQUOINE & ERIK HJALMARSSON & CLARA VEGA
• Interactions among High-Frequency Traders
  by Benos, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip
• A micro-data analysis of households’ expectations of mortgage rates
  by Hjalmarsson, Erik & Österholm, Pär
• Interactions among High-Frequency Traders
  by Benes, Evangelos & Brugler, James & Hjalmarsson, Erik & Zikes, Filip
• Does the Black-Scholes formula work for electricity markets? A nonparametric approach
  by Hjalmarsson, Erik
• Heterogeneity in households’ expectations of housing prices – evidence from micro data
  by Hjalmarsson, Erik & Österholm, Pär
• Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data
  by Hjalmarsson, Erik & Österholm, Pär
• Households’ Mortgage-Rate Expectations: More Realistic than at First Glance?
  by Hjalmarsson, Erik & Österholm, Pär
• Efficiency in housing markets: Which home buyers know how to discount?
  by Hjalmarsson, Erik & Hjalmarsson, Randi
• Anchoring in surveys of household expectations
  by Hjalmarsson, Erik & Österholm, Pär
• The evolution of price discovery in an electronic market
  by Chaboud, Alain & Hjalmarsson, Erik & Zikes, Filip
• Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog
  by Erik Hjalmarsson & Tamás Kiss