Erik Hjalmarsson : Citation Profile

Are you Erik Hjalmarsson?

Göteborgs Universitet

12

H index

12

i10 index

630

Citations

RESEARCH PRODUCTION:

23

Articles

37

Papers

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 28
   Journals where Erik Hjalmarsson has often published
   Relations with other researchers
   Recent citing documents: 108.    Total self citations: 19 (2.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phj8
   Updated: 2023-05-27    RAS profile: 2023-01-24    
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Relations with other researchers

Works with:

Österholm, Pär (7)

Kassner, Bernhard (2)

Taylor, Nick (2)

Sarno, Lucio (2)

Lof, Matthijs (2)

Wolff, Christian (2)

Dumitrescu, Ariadna (2)

Smales, Lee (2)

Pelizzon, Loriana (2)

Prokopczuk, Marcel (2)

Caporin, Massimiliano (2)

Patel, Vinay (2)

Ødegaard, Bernt (2)

Korajczyk, Robert (2)

Ait-Sahalia, Yacine (2)

Frijns, Bart (2)

Verousis, Thanos (2)

Tonks, Ian (2)

Frömmel, Michael (2)

van Kervel, Vincent (2)

Scaillet, Olivier (2)

Park, Andreas (2)

Ranaldo, Angelo (2)

Colliard, Jean-Edouard (2)

Putnins, Talis (2)

Dreber, Anna (2)

Menkveld, Albert (2)

Schuerhoff, Norman (2)

CAPELLE-BLANCARD, Gunther (2)

Mihet, Roxana (2)

Talavera, Oleksandr (2)

Renault, Thomas (2)

Abudy, Menachem (2)

Lopez-Lira, Alejandro (2)

Harris, Jeffrey (2)

Bouri, Elie (2)

Dimpfl, Thomas (2)

Gerritsen, Dirk (2)

PASCUAL, ROBERTO (2)

Patton, Andrew (2)

Hautsch, Nikolaus (2)

Rakowski, David (2)

Brownlees, Christian (2)

Davies, Ryan (2)

Xia, Shuo (2)

Jalkh, Naji (2)

Palan, Stefan (2)

Pastor, Lubos (2)

Schwarz, Marco (2)

Foucault, Thierry (2)

Walther, Thomas (2)

Gorbenko, Arseny (2)

Nielsson, Ulf (2)

Horenstein, Alex (2)

Kearney, Fearghal (2)

Vogel, Sebastian (2)

Stefanova, Denitsa (2)

Adrian, Tobias (2)

Liew, Chee (2)

Schenk-Hoppé, Klaus (2)

LINTON, OLIVER (2)

Reitz, Stefan (2)

Hurlin, Christophe (2)

Jurkatis, Simon (2)

Rinne, Kalle (2)

Bos, Charles (2)

Deku, Solomon (2)

Johannesson, Magnus (2)

Lajaunie, Quentin (2)

Bohorquez Correa, Santiago (2)

Regis, Luca (2)

Gehrig, Thomas (2)

Wilhelmsson, Anders (2)

Sojli, Elvira (2)

Roy, Saurabh (2)

Holzmeister, Felix (2)

Alexeev, Vitali (2)

Ferrara, Gerardo (2)

Vilkov, Grigory (2)

Xiu, Dacheng (2)

Chernov, Mikhail (2)

Heath, Davidson (2)

Chow, Nikolai Sheung-Chi (2)

Moinas, Sophie (2)

Deev, Oleg (2)

Theissen, Erik (2)

Kiss, Tamas (2)

Wong, Wing-Keung (2)

Pasquariello, Paolo (2)

Zhou, Chen (2)

FERROUHI, EL MEHDI (2)

He, Xuezhong (Tony) (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Erik Hjalmarsson.

Is cited by:

Österholm, Pär (13)

Westerlund, Joakim (12)

Narayan, Paresh (9)

Rime, Dagfinn (9)

Sarno, Lucio (8)

Ozdemir, Zeynel (7)

tansel, aysıt (7)

Verona, Fabio (6)

King, Michael (6)

Nitschka, Thomas (6)

Pastor, Lubos (6)

Cites to:

Campbell, John (95)

Phillips, Peter (56)

Shiller, Robert (36)

Yogo, Motohiro (29)

Stambaugh, Robert (21)

Moon, Hyungsik (19)

Elliott, Graham (18)

Calvet, Laurent (16)

Bollerslev, Tim (10)

French, Kenneth (10)

Stock, James (10)

Main data

Where Erik Hjalmarsson has published?

Journals with more than one article published# docs
Finance Research Letters4
Journal of Banking & Finance4
Journal of Financial and Quantitative Analysis4
Journal of Empirical Finance3
Economics Letters2

Working Papers Series with more than one paper published# docs
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)18
Working Papers in Economics / University of Gothenburg, Department of Economics9
Working Papers / rebro University, School of Business3

Recent works citing Erik Hjalmarsson (2022 and 2021)

YearTitle of citing document
2021Transmission of global wheat prices to domestic markets in Kenya: A cointegration approach. (2021). Kirui, Patrick Kipruto ; Nzuma, Jonathan Makau. In: African Journal of Agricultural and Resource Economics. RePEc:ags:afjare:333932.

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2022When is the Order to Trade Ratio fee effective?. (2022). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:11.

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2022When is the Order to Trade fee effective?. (2021). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Working Papers. RePEc:anf:wpaper:8.

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2021Foreign exchange markets: price response and spread impact. (2021). Henao, Juan Camilo ; Guhr, Thomas. In: Papers. RePEc:arx:papers:2104.09309.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Kynigakis, Iason ; Cotter, John ; Conlon, Thomas. In: Papers. RePEc:arx:papers:2107.13866.

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2023Implicit Nickell Bias in Panel Local Projection. (2023). Shi, Zhentao ; Sheng, Liugang ; Mei, Ziwei. In: Papers. RePEc:arx:papers:2302.13455.

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2022Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22.

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2022Market integration of domestic and imported seafood: Insights from the Sydney Fish Market. (2022). Pascoe, Sean ; Hoshino, Eriko ; Schrobback, Peggy ; Curtotti, Robert . In: Australian Journal of Agricultural and Resource Economics. RePEc:bla:ajarec:v:66:y:2022:i:1:p:216-236.

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2021The relation between municipal and government bond yields in an era of unconventional monetary policy. (2021). Österholm, Pär ; Nordstrom, Martin ; Knezevic, David ; Osterholm, Par. In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:1:n:e12176.

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2022A reexamination of factor momentum: How strong is it?. (2022). Liu, Jiadong ; Liao, Ming ; Fan, Minyou. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:585-615.

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2022Can technical indicators predict the Chinese equity risk premium?. (2022). Glabadanidis, Paskalis ; Sun, Mingwei. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:1:p:114-142.

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2022Skill, Scale, and Value Creation in the Mutual Fund Industry. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Barras, Laurent. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:601-638.

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2022Predictable Financial Crises. (2022). Sorensen, Jakob Ahm ; Shleifer, Andrei ; Hanson, Samuel G ; Greenwood, Robin. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:863-921.

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2022Periodicity of trading activity in foreign exchange markets. (2022). Chen, Tao ; Chang, Haodong. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:2:p:445-465.

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2021Market Power and Joint Ownership: Evidence from Nuclear Plants in Sweden. (2021). Lundin, Erik. In: Journal of Industrial Economics. RePEc:bla:jindec:v:69:y:2021:i:3:p:485-536.

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2022Human vs. Machine: Disposition Effect among Algorithmic and Human Day Traders. (2022). Liaudinskas, Karolis. In: Working Paper. RePEc:bno:worpap:2022_6.

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2021Comparing minds and machines: implications for financial stability. (2021). Haldane, Andy ; Buckmann, Marcus ; Huser, Anne-Caroline. In: Bank of England working papers. RePEc:boe:boeewp:0937.

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2022Reviewing the Trade Openness, Domestic Investment, and Economic Growth Nexus: Contemporary Policy Implications for the MENA Region. (2022). Canitez, Murat ; Ay, Ahmet ; Khatir, Abdul Qahar ; Onifade, Stephen Taiwo. In: Revista Finanzas y Politica Economica. RePEc:col:000443:020556.

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2021The Relationship between Gold and Brent Crude Oil Prices: An Unrestricted Vector Autoregression Approach. (2021). Pruchnicka-Grabias, Izabela. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-04-34.

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2021Commonality and contrarian trading among algorithmic traders. (2021). Prasanna, Krishna P ; Arumugam, Devika. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:30:y:2021:i:c:s2214635021000393.

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2021Market stability with machine learning agents. (2021). Georges, Christophre ; Pereira, Javier. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:122:y:2021:i:c:s0165188920302001.

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2023Interest rate changes and the cross-section of global equity returns. (2023). Long, Huaigang ; Bianchi, Robert J ; Cakici, Nusret ; Zaremba, Adam. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s0165188923000027.

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2023Forecasting dividend growth: The role of adjusted earnings yield. (2023). Li, Luyang ; Chen, LI ; Huang, Difang ; Yu, Deshui. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322004254.

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2021Factor tracking: A new smart beta strategy that outperforms naïve diversification. (2021). Bian, Yun ; Du, Jiangze ; Jiang, Chonghui ; Zhang, Jinqing. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:396-408.

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2021Herding for profits: Market breadth and the cross-section of global equity returns. (2021). Mikutowski, Mateusz ; Karathanasopoulos, Andreas ; Szyszka, Adam ; Zaremba, Adam. In: Economic Modelling. RePEc:eee:ecmode:v:97:y:2021:i:c:p:348-364.

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2021Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence. (2021). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V ; Rachinger, Heiko ; Andrada-Felix, Julian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s106294082100067x.

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2021Network-augmented time-varying parametric portfolio selection: Evidence from the Chinese stock market. (2021). Jiang, Cuixia ; Li, Mengting ; Xu, Qifa. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001224.

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2021Tail risk and return predictability for the Japanese equity market. (2021). Ubukata, Masato ; Todorov, Viktor ; Andersen, Torben G. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:344-363.

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2022Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence. (2022). Xu, Qiuhua ; Fang, Ying ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:114-133.

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2021The speed of stock price adjustment to corporate announcements: Insights from Turkey. (2021). Hasan, Afan ; Simsek, Koray D ; Simsir, Serif Aziz ; Ersan, Oguz. In: Emerging Markets Review. RePEc:eee:ememar:v:47:y:2021:i:c:s1566014120305872.

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2021Investor sentiment and stock returns: Global evidence. (2021). Duxbury, Darren ; Su, Chen ; Wang, Wenzhao. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:365-391.

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2021City goes dark: Dark trading and adverse selection in aggregate markets. (2021). Sun, Yuxin ; Diaz-Rainey, Ivan ; Aquilina, Matteo ; Ibikunle, Gbenga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:64:y:2021:i:c:p:1-22.

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2022Long-horizon stock valuation and return forecasts based on demographic projections. (2022). Pesavento, Elena ; Maynard, Alex ; Gospodinov, Nikolay ; Chen, Chaoyi. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:190-215.

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2022Testing predictability of stock returns under possible bubbles. (2022). Yang, Zihui ; Long, Wei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:246-260.

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2022Economic evaluation of asset pricing models under predictability. (2022). Hansen, Erwin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:50-66.

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2021Dynamic efficiency and arbitrage potential in Bitcoin: A long-memory approach. (2021). Ye, Jinqiang ; Urquhart, Andrew ; Li, Zeming ; Duan, Kun. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000685.

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2021International stock return predictability. (2021). Smith, Simon C. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002805.

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2022High-frequency trading and market quality: The case of a “slightly exposed” market. (2022). Ekinci, Cumhur ; Ersan, Ouz. In: International Review of Financial Analysis. RePEc:eee:finana:v:79:y:2022:i:c:s1057521921003185.

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2022Market distraction and near-zero daily volatility persistence. (2022). Wang, Jianxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000023.

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2021Do market participants’ forecasts of financial variables outperform the random-walk benchmark?. (2021). Österholm, Pär ; Osterholm, Par ; Kladivko, Kamil. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s1544612319313443.

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2021Time weighted price contribution. (2021). Spokeviciute, Laima ; Jahanshahloo, Hossein. In: Finance Research Letters. RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000283.

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2022Do computerized traders follow social norms? Evidence from the holocaust remembrance moment of silence. (2022). Abudy, Menachem ; Mugerman, Yevgeny ; Gildin, Ilan. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322001854.

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2023A three-factor stochastic model for forecasting production of energy materials. (2023). Orlando, Giuseppe ; Bufalo, Michele. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005347.

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2021Cash conversion cycle and aggregate stock returns. (2021). Lin, XI. In: Journal of Financial Markets. RePEc:eee:finmar:v:52:y:2021:i:c:s138641812030029x.

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2022Intraday time series momentum: Global evidence and links to market characteristics. (2022). Urquhart, Andrew ; Sakkas, Athanasios ; Li, Zeming. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100001x.

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2022Macroeconomics matter: Leading economic indicators and the cross-section of global stock returns. (2022). Bouri, Elie ; Zhou, Wenyu ; Zaremba, Adam ; Long, Huaigang. In: Journal of Financial Markets. RePEc:eee:finmar:v:61:y:2022:i:c:s1386418122000295.

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2023When is the order-to-trade ratio fee effective?. (2023). Thomas, Susan ; Panchapagesan, Venkatesh ; Aggarwal, Nidhi. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000532.

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2021Liquidity and short-run predictability: Evidence from international stock markets. (2021). Newaz, Mohammad Khaleq ; Park, Jin Suk. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000715.

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2023Judgment day: Algorithmic trading around the Swiss franc cap removal. (2023). Breedon, Francis ; Vause, Nicholas ; Ranaldo, Angelo ; Chen, Louisa. In: Journal of International Economics. RePEc:eee:inecon:v:140:y:2023:i:c:s0022199622001453.

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2021The quest for multidimensional financial immunity to the COVID-19 pandemic: Evidence from international stock markets. (2021). Demir, Ender ; Aharon, David Y ; Tzouvanas, Panagiotis ; Kizys, Renatas ; Zaremba, Adam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:71:y:2021:i:c:s1042443121000032.

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2021Information shares and market quality before and during the European sovereign debt crisis. (2021). Papavassiliou, Vassilios ; Kinateder, Harald. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:72:y:2021:i:c:s1042443121000536.

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2021Commonality in intraday liquidity and multilateral trading facilities: Evidence from Chi-X Europe. (2021). Song, Shiyun ; Klein, Olga. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000688.

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2021Intraday volatility smile: Effects of fragmentation and high frequency trading on price efficiency. (2021). GILLET, Roland ; Veryzhenko, Iryna ; Ligot, Stephanie. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001499.

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2022Informativeness of trades around macroeconomic announcements in the foreign exchange market. (2022). Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000245.

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2021Algorithmic trading and firm value. (2021). Zhang, Jun ; Wang, Qin Emma ; Johnson, Shane A ; Hatch, Brian C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000480.

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2022Loaded for bear: Bitcoin private wallets, exchange reserves and prices. (2022). Baur, Dirk G ; Hoang, Lai T. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:144:y:2022:i:c:s0378426622002023.

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2023COVID-19 and market structure dynamics. (2023). Woods, Donovan ; Cox, Justin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426621003137.

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2021Asymmetric information risk in FX markets. (2021). Ranaldo, Angelo ; Somogyi, Fabricius. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:391-411.

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2021Network structure and pricing in the FX market. (2021). Levich, Richard M ; Hasbrouck, Joel. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:705-729.

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2021The impact of arbitrage on market liquidity. (2021). Roesch, Dominik ; Rosch, Dominik. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:1:p:195-213.

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2021Global factor premiums. (2021). Swinkels, Laurens ; van Vliet, Pim ; Baltussen, Guido. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1128-1154.

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2022Biases in long-horizon predictive regressions. (2022). Richardson, Matthew ; Israel, Ronen ; Boudoukh, Jacob. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:3:p:937-969.

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2021A Fortune from misfortune: Evidence from hog firms’ stock price responses to China’s African Swine Fever outbreaks. (2021). Chen, Chen-Ti ; Zhang, Wendong ; Xiong, Tao. In: Food Policy. RePEc:eee:jfpoli:v:105:y:2021:i:c:s0306919221001287.

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2022Assessing evidence for inattention to the costs of homeownership. (2022). Bengali, Leila. In: Journal of Housing Economics. RePEc:eee:jhouse:v:58:y:2022:i:pb:s105113772200033x.

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2022What uncertainty does to euro area sovereign bond markets: Flight to safety and flight to quality. (2022). Sousa, Ricardo ; Costantini, Mauro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002254.

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2022Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x.

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2021Unemployment invariance hypothesis and structural breaks in Poland. (2021). Gałecka-Burdziak, Ewa ; Congregado, Emilio ; Pater, Robert ; Golpe, Antonio A ; Gaecka-Burdziak, Ewa. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000037.

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2021A fresh look at the risk-return tradeoff. (2021). Lo, Hsin-Yu ; Chen, Yi-Chi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000536.

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2022Foreign exchange markets: Price response and spread impact. (2022). Guhr, Thomas ; Henao-Londono, Juan C. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008591.

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2021Does infrastructure stimulate total factor productivity? A dynamic heterogeneous panel analysis for Indian manufacturing industries. (2021). Sharma, Chandan ; Khanna, Rupika. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:59-73.

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2021Short-term stock price reversals after extreme downward price movements. (2021). Utz, Sebastian ; Rif, Alexandru. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:81:y:2021:i:c:p:123-133.

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2022High-frequency trading, stock volatility, and intraday crashes. (2022). Hellara, Slaheddine ; ben Ammar, Imen. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:84:y:2022:i:c:p:337-344.

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2023Is there a diminishing willingness to pay for consumption amenities as a result of the Covid-19 pandemic?. (2023). van Vuuren, Aico. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:98:y:2023:i:c:s0166046222000965.

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2021Conditional volatility persistence and volatility spillovers in the foreign exchange market. (2021). Su, Fei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:55:y:2021:i:c:s0275531920301094.

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2022Artificial intelligence and machine learning in finance: A bibliometric review. (2022). Hammami, Helmi ; el Ammari, Anis ; Alshater, Muneer M ; Ahmed, Shamima. In: Research in International Business and Finance. RePEc:eee:riibaf:v:61:y:2022:i:c:s0275531922000344.

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2022Market versus limit orders of speculative high-frequency traders and price discovery. (2022). Kwon, Kyung Yoon ; Kang, Jangkoo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:63:y:2022:i:c:s0275531922001805.

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2022Transformed Regression-based Long-Horizon Predictability Tests. (2021). Rodrigues, Paulo ; Demetrescu, Matei ; Taylor, Am Robert ; A M Robert Taylor, ; Mm, Paulo. In: Essex Finance Centre Working Papers. RePEc:esy:uefcwp:30620.

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2022Do Import Tariff Adjustments Bolster Domestic Production? Analysis of the South African-Brazilian Poultry Market Case. (2022). Muchopa, Chiedza L ; Nkgadima, Kgothatso. In: Economies. RePEc:gam:jecomi:v:10:y:2022:i:12:p:318-:d:1000969.

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2021Predicting returns and dividend growth - the role of non-Gaussian innovations. (2021). Nguyen, Hoang ; Mazur, Stepan ; Kiss, Tamas. In: Working Papers. RePEc:hhs:oruesi:2021_010.

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2021The joint cross section of stocks and options. (2021). Subrahmanyam, Avanidhar ; Muravyev, Dmitriy ; Kurov, Alexander ; Chordia, Tarun. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:3:p:1758-1778.

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2022Experimenting with Financial Professionals. (2022). Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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2021A New Test for Multiple Predictive Regression. (2021). Guo, Junjie ; Xu, Ke-Li. In: CAEPR Working Papers. RePEc:inu:caeprp:2022001.

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2022Revisiting The Determinants Of Sovereign Bond Yield Volatility.. (2022). Piscarreta, Carlos Alberto. In: Working Papers REM. RePEc:ise:remwps:wp02412022.

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2021Risk-adjusted Returns from Statistical Arbitrage Opportunities in Indian Stock Futures Market. (2021). Aggarwal, Navdeep. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:28:y:2021:i:1:d:10.1007_s10690-020-09317-1.

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2021Research on the Effects of Institutional Liquidation Strategies on the Market Based on Multi-agent Model. (2021). Li, Han Dong ; Zhou, Xuan ; Shi, YU ; Luo, Qixuan. In: Computational Economics. RePEc:kap:compec:v:58:y:2021:i:4:d:10.1007_s10614-020-09987-z.

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2022Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy. (2022). Yang, Xiao Guang ; Du, Helen S ; Zhang, Shu. In: Computational Economics. RePEc:kap:compec:v:60:y:2022:i:3:d:10.1007_s10614-021-10169-8.

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2023Forecasting inflation with excess liquidity and excess depreciation: the case of Angola. (2023). de Freitas, Miguel Lebre. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:56:y:2023:i:1:d:10.1007_s10644-022-09427-y.

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2021Information flow and price discovery dynamics. (2021). Xu, Kuan ; Meng, Qingbin ; Wu, Lei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00896-8.

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2021A Panel Regression Approach to Holdings-Based Fund Performance Measures. (2021). Wang, Junbo L ; Ferson, Wayne. In: Review of Asset Pricing Studies. RePEc:oup:rasset:v:11:y:2021:i:4:p:695-734..

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2021Forecasting sector stock market returns. (2021). McMillan, David G. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:4:d:10.1057_s41260-021-00220-6.

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2022Cointegration Analysis of Financial Market Indices During Financial Shocks. Focus on Global Financial Crisis and COVID-19 ?andemic Crisis. (2022). Pedisic, Roko. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:9:y:2022:i:2:p:59-78.

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2022Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow. (2022). Rashid, Abdul ; Jabeen, Munazza. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:14:y:2022:i:2:p:222-245.

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2022Representative Bias and Pairs Trade: Evidence From S&P 500 and Russell 2000 Indexes. (2022). Lee, Yen-Sheng. In: SAGE Open. RePEc:sae:sagope:v:12:y:2022:i:3:p:21582440221120361.

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2021The European gas market: new evidences. (2021). Decclesia, Rita Laura ; Jotanovic, Vera. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03714-5.

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2021Temporal mixture ensemble models for probabilistic forecasting of intraday cryptocurrency volume. (2021). Antulov-Fantulin, Nino ; Lillo, Fabrizio ; Guo, Tian. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-021-00344-9.

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2021Current Account Imbalances, Real Exchange Rates, and Nominal Exchange Rate Variability. (2017). Velic, Adnan. In: Trinity Economics Papers. RePEc:tcd:tcduee:tep1417.

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2021Machine Learning and Factor-Based Portfolio Optimization. (2021). Cotter, John ; Conlon, Thomas ; Kynigakis, Iason. In: Working Papers. RePEc:ucd:wpaper:202111.

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2021Foreign R&D spillovers to the USA and strategic reactions. (2021). Ziesemer, Thomas. In: MERIT Working Papers. RePEc:unm:unumer:2021015.

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2021The term structure of sovereign credit default swap and the cross?section of exchange rate predictability. (2021). Zeng, Ming ; Calice, Giovanni. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:445-458.

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2021Dynamic risk attributes in Malaysia stock markets: Behavioural finance insights. (2021). Ahmad, Zamri ; Tuyon, Jasman. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:4:p:5793-5814.

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2021Cointegration, information transmission, and the lead?lag effect between industry portfolios and the stock market. (2021). Wied, Dominik ; Taamouti, Abderrahim ; Penalva, Jose ; Troster, Victor. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:7:p:1291-1309.

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More than 100 citations found, this list is not complete...

Works by Erik Hjalmarsson:

YearTitleTypeCited
2008Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets In: BIS Working Papers.
[Full Text][Citation analysis]		paper17
2010Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets.(2010) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 17		article
2007Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets.(2007) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 17		paper
2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market In: Journal of Finance.
[Full Text][Citation analysis]		article180
2009Rise of the machines: algorithmic trading in the foreign exchange market.(2009) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 180		paper
2015Interactions among high-frequency traders In: Bank of England working papers.
[Full Text][Citation analysis]		paper13
2017Interactions among High-Frequency Traders.(2017) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		article
2016Interactions among High-Frequency Traders.(2016) In: Working Papers in Economics.
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This paper has another version. Agregated cites: 13		paper
2010Predicting Global Stock Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article126
2008Predicting global stock returns.(2008) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 126		paper
2011New Methods for Inference in Long-Horizon Regressions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article20
2019Stock Price Co-Movement and the Foundations of Pairs Trading In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
2019A micro-data analysis of households’ expectations of mortgage rates In: Economics Letters.
[Full Text][Citation analysis]		article1
2021Anchoring in surveys of household expectations In: Economics Letters.
[Full Text][Citation analysis]		article0
2009Jackknifing stock return predictions In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article8
2008Jackknifing stock return predictions.(2008) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		paper
2018Maximal predictability under long-term mean reversion In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2007Fully modified estimation with nearly integrated regressors In: Finance Research Letters.
[Full Text][Citation analysis]		article4
2006Fully modified estimation with nearly integrated regressors.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2008The Stambaugh bias in panel predictive regressions In: Finance Research Letters.
[Full Text][Citation analysis]		article15
2007The Stambaugh bias in panel predictive regressions.(2007) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2008Interpreting long-horizon estimates in predictive regressions In: Finance Research Letters.
[Full Text][Citation analysis]		article1
2008Interpreting long-horizon estimates in predictive regressions.(2008) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2012Some curious power properties of long-horizon tests In: Finance Research Letters.
[Full Text][Citation analysis]		article2
2021The evolution of price discovery in an electronic market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article4
2020The Evolution of Price Discovery in an Electronic Market.(2020) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2009Efficiency in housing markets: Which home buyers know how to discount? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article12
2009Testing the expectations hypothesis when interest rates are near integrated In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article21
2008Testing the expectations hypothesis when interest rates are near integrated.(2008) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		paper
2012Characteristic-based mean-variance portfolio choice In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
2009Characteristic-based mean-variance portfolio choice.(2009) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2009What drives volatility persistence in the foreign exchange market? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article55
2006What drives volatility persistence in the foreign exchange market?.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 55		paper
2020Heterogeneity in households’ expectations of housing prices – evidence from micro data In: Journal of Housing Economics.
[Full Text][Citation analysis]		article0
2019Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2019Heterogeneity in Households’ Expectations of Housing Prices – Evidence from Micro Data.(2019) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2005Estimation of average local-to-unity roots in heterogenous panels In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper1
2006Inference in Long-Horizon Regressions In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper1
2006Should we expect significant out-of-sample results when predicting stock returns? In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper7
2006Predictive regressions with panel data In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper4
2005Predictive regressions with panel data.(2005) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2006Efficiency in Housing Markets: Do Home Buyers Know how to Discount? In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper2
2006EFFICIENCY IN HOUSING MARKETS: DO HOME BUYERS KNOW HOW TO DISCOUNT?.(2006) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2007A residual-based cointegration test for near unit root variables In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper1
2007Testing for cointegration using the Johansen methodology when variables are near-integrated In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper82
2007Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated.(2007) In: IMF Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82		paper
2010Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies.(2010) In: Empirical Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 82		article
2009Diversification across characteristics In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper0
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper2
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2000Nord Pool: A Power Market Without Market Power In: Working Papers in Economics.
[Full Text][Citation analysis]		paper24
2003Does the Black-Scholes formula work for electricity markets? A nonparametric approach In: Working Papers in Economics.
[Full Text][Citation analysis]		paper4
2005Volatility of the Stochastic Discount Factor, and the Distinction between Risk-Neutral and Objective Probability Measures In: Working Papers in Economics.
[Full Text][Citation analysis]		paper1
2005On the Predictability of Global Stock Returns In: Working Papers in Economics.
[Full Text][Citation analysis]		paper5
2019Compound Returns In: Working Papers in Economics.
[Full Text][Citation analysis]		paper0
2019Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the Dog In: Working Papers in Economics.
[Full Text][Citation analysis]		paper0
2017Households’ Mortgage-Rate Expectations: More Realistic than at First Glance? In: Working Papers.
[Full Text][Citation analysis]		paper1
2022Inflation Illiteracy – A Micro-Data Analysis In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Dividend Growth Does Not Help Predict Returns Compared To Likelihood-Based Tests: An Anatomy of the Dog In: Critical Finance Review.
[Full Text][Citation analysis]		article1
2022Long?run predictability tests are even worse than you thought In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article0

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