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Erik Hjalmarsson
Erik Hjalmarsson
Professor of Finance, University of Gothenburg
Verified email at economics.gu.se
Title
Cited by
Cited by
Year
Rise of the machines: Algorithmic trading in the foreign exchange market
AP Chaboud, B Chiquoine, E Hjalmarsson, C Vega
The Journal of Finance 69 (5), 2045-2084, 2014
9472014
Predicting global stock returns
E Hjalmarsson
Journal of Financial and Quantitative Analysis 45 (1), 49-80, 2010
3832010
Testing for cointegration using the Johansen methodology when variables are near-integrated
E Hjalmarsson, P Österholm
IMF Working paper, 2007
3132007
Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies
E Hjalmarsson, P Österholm
Empirical Economics 39, 51-76, 2010
1362010
What drives volatility persistence in the foreign exchange market?
D Berger, A Chaboud, E Hjalmarsson
Journal of Financial Economics 94 (2), 192-213, 2009
1322009
Nord Pool: A power market without market power
E Hjalmarsson
rapport nr.: Working Papers in Economics, 2000
1092000
New methods for inference in long-horizon regressions
E Hjalmarsson
Journal of Financial and Quantitative Analysis 46 (3), 815-839, 2011
952011
Characteristic-based mean-variance portfolio choice
E Hjalmarsson, P Manchev
Journal of Banking & Finance 36 (5), 1392-1401, 2012
642012
Jackknifing stock return predictions
B Chiquoine, E Hjalmarsson
Journal of Empirical Finance 16 (5), 793-803, 2009
612009
Testing the expectations hypothesis when interest rates are near integrated
M Beechey, E Hjalmarsson, P Österholm
Journal of Banking & Finance 33 (5), 934-943, 2009
562009
Efficiency in housing markets: Which home buyers know how to discount?
E Hjalmarsson, R Hjalmarsson
Journal of Banking & Finance 33 (11), 2150-2163, 2009
532009
The Stambaugh bias in panel predictive regressions
E Hjalmarsson
Finance Research Letters 5 (1), 47-58, 2008
442008
Interactions among high-frequency traders
E Benos, J Brugler, E Hjalmarsson, F Zikes
Journal of Financial and Quantitative Analysis 52 (4), 1375-1402, 2017
402017
Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
AP Chaboud, B Chiquoine, E Hjalmarsson, M Loretan
Journal of Empirical Finance 17 (2), 212-240, 2010
402010
A residual-based cointegration test for near unit root variables
E Hjalmarsson, P Österholm
FRB International Finance Discussion Paper, 2007
372007
On the predictability of global stock returns
E Hjalmarsson
rapport nr.: Working Papers in Economics, 2005
302005
Heterogeneity in households’ expectations of housing prices–evidence from micro data
E Hjalmarsson, P Österholm
Journal of Housing Economics 50, 101731, 2020
262020
Does the Black-Scholes formula work for electricity markets? A nonparametric approach
E Hjalmarsson
rapport nr.: Working Papers in Economics, 2003
242003
The evolution of price discovery in an electronic market
A Chaboud, E Hjalmarsson, F Zikes
Journal of Banking & Finance 130, 106171, 2021
222021
Should we expect significant out-of-sample results when predicting stock returns?
E Hjalmarsson
FRB International Finance Discussion Paper, 2006
212006
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