Erik Hjalmarsson : Citation Profile


Are you Erik Hjalmarsson?

Queen Mary University of London (50% share)
Göteborgs Universitet (50% share)

10

H index

10

i10 index

342

Citations

RESEARCH PRODUCTION:

12

Articles

27

Papers

RESEARCH ACTIVITY:

   12 years (2000 - 2012). See details.
   Cites by year: 28
   Journals where Erik Hjalmarsson has often published
   Relations with other researchers
   Recent citing documents: 86.    Total self citations: 11 (3.12 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phj8
   Updated: 2020-08-09    RAS profile: 2013-10-09    
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Relations with other researchers


Works with:

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

Is cited by:

Westerlund, Joakim (12)

Österholm, Pär (10)

Rime, Dagfinn (9)

Sarno, Lucio (8)

Narayan, Paresh (7)

tansel, aysıt (7)

Ozdemir, Zeynel (7)

Pastor, Lubos (6)

King, Michael (6)

Stambaugh, Robert (6)

Verona, Fabio (6)

Cites to:

Campbell, John (53)

Phillips, Peter (53)

Yogo, Motohiro (27)

Elliott, Graham (21)

Moon, Hyungsik (20)

Shiller, Robert (16)

Stambaugh, Robert (14)

Bollerslev, Tim (13)

Andersen, Torben (12)

Stock, James (11)

Diebold, Francis (11)

Main data


Where Erik Hjalmarsson has published?


Journals with more than one article published# docs
Finance Research Letters4
Journal of Empirical Finance2
Journal of Financial and Quantitative Analysis2
Journal of Banking & Finance2

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
IMF Working Papers / International Monetary Fund2

Recent works citing Erik Hjalmarsson (2020 and 2019)


YearTitle of citing document
2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02.

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2019An Analysis of Factors Influencing Rice Export in Egypt Based on Vector Autoregressive Model. (2019). Sayed, Hanan Mahmoud. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2019:p:876-887.

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2020Locally trimmed least squares: conventional inference in possibly nonstationary models. (2020). Wang, Qiying ; Kasparis, Ioannis ; Hu, Zhishui. In: Papers. RePEc:arx:papers:2006.12595.

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2020Consumption, asset wealth, equity premium, term spread, and flight to quality. (2020). Sousa, Ricardo ; Costantini, Mauro. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:778-807.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2020A Dynamic Network of Arbitrage Characteristics. (2020). Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2060.

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2019Predictibilidad del mercado accionario colombiano. (2019). Lopez, Jose Ignacio. In: Revista Lecturas de Economía. RePEc:col:000174:017449.

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2017A multi-factor predictive model for oil-US stock nexus with persistence, endogeneity and conditional heteroscedasticity effects. (2017). Salisu, Afees ; Oloko, Tirimisiyu ; Swaray, Raymond. In: Working Papers. RePEc:cui:wpaper:0024.

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2018Testing the predictability of commodity prices in stock returns: A new perspective. (2018). Isah, Kazeem ; Raheem, Ibrahim D. In: Working Papers. RePEc:cui:wpaper:0061.

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2017Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons. (2017). Chevillon, Guillaume. In: ESSEC Working Papers. RePEc:ebg:essewp:dr-17010.

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2019Predicting firm level stock returns: Implications for asset pricing and economic links. (2019). McMillan, David G. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:4:p:333-351.

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2019International implied volatility risk indexes and Saudi stock return-volatility predictabilities. (2019). Azibi, Jamel ; Tissaoui, Kais . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:65-84.

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2020Threshold effect of scale and skill in active mutual fund management. (2020). CHONG, Terence Tai Leung ; Sio, Chan-Ip ; Lee, Na Young. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305618.

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2017Tests of equal accuracy for nested models with estimated factors. (2017). McCracken, Michael ; Goncalves, Silvia ; Perron, Benoit ; Gonalves, Silvia. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:2:p:231-252.

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2017Can investor sentiment be a momentum time-series predictor? Evidence from China. (2017). Li, Youwei ; Han, Xing . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:212-239.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2017Determinants of price discovery in the VIX futures market. (2017). Chen, Yu-Lun ; Tsai, Wei-Che. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:59-73.

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2018Momentum of return predictability. (2018). Wang, Yudong ; Diao, Xundi ; Ma, Feng ; Liu, LI. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:141-156.

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2018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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2018Maximal predictability under long-term mean reversion. (2018). Hjalmarsson, Erik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:269-282.

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2018World output gap and global stock returns. (2018). Atanasov, Victoria . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:181-197.

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2020The long-run reversal in the long run: Insights from two centuries of international equity returns. (2020). Zaremba, Adam ; Raza, Muhammad Wajid ; Kizys, Renatas. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:177-199.

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2019Panel evidence on the ability of oil returns to predict stock returns in the G7 area. (2019). Sharma, Susan Sunila ; Westerlund, Joakim. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:3-12.

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2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2019Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2019). Skintzi, Vasiliki D. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:20-28.

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2019The finite sample power of long-horizon predictive tests in models with financial bubbles. (2019). Ren, Dongmeng ; Maynard, Alex. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:418-430.

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2019Global and regional stock market integration in Asia: A panel convergence approach. (2019). Caporale, Guglielmo Maria ; Chen, Lei ; You, Kefei. In: International Review of Financial Analysis. RePEc:eee:finana:v:65:y:2019:i:c:s1057521918306665.

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2018Global cash flow sensitivities. (2018). Doring, Simon ; Meier, Iwan ; Janzen, Malte ; Drobetz, Wolfgang. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:16-22.

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2018Intraday patterns in foreign exchange returns and realized volatility. (2018). Zhang, Hao. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:99-104.

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2020The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

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2018Is stock return predictability time-varying?. (2018). Devpura, Neluka ; Sharma, Susan Sunila ; Narayan, Paresh Kumar. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:152-172.

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2017Simple measures of market efficiency: A study in foreign exchange markets. (2017). Kitamura, Yoshihiro. In: Japan and the World Economy. RePEc:eee:japwor:v:41:y:2017:i:c:p:1-16.

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2017Dividends, earnings, and predictability. (2017). Moller, Stig V ; Sander, Magnus . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:153-163.

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2019Competition, scale and hedge fund performance: Evidence from merger arbitrage. (2019). Jetley, Gaurav ; Rzakhanov, Zaur . In: Journal of Economics and Business. RePEc:eee:jebusi:v:105:y:2019:i:c:s0148619518301280.

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2019How news and its context drive risk and returns around the world. (2019). Mamaysky, Harry ; Calomiris, Charles W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:299-336.

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2020Time series momentum: Is it there?. (2020). Zhou, Guofu ; Wang, Liyao ; Li, Jiangyuan ; Huang, Dashan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:3:p:774-794.

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2019The world predictive power of U.S. equity market skewness risk. (2019). Jiang, Fuwei ; Chen, Jian ; Yao, Jiaquan ; Xue, Shuyu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:96:y:2019:i:c:p:210-227.

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2019Testing the predictability of commodity prices in stock returns of G7 countries: Evidence from a new approach. (2019). Salisu, Afees ; Raheem, Ibrahim D ; Isah, Kazeem O. In: Resources Policy. RePEc:eee:jrpoli:v:64:y:2019:i:c:s030142071930399x.

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2017Timing liquidity in the foreign exchange market: Did hedge funds do it?. (2017). Luo, JI ; Li, Baibing ; Tee, Kai-Hong . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:40:y:2017:i:c:p:47-62.

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2017Examining return predictability of industry style portfolios with prior return relative to a benchmark. (2017). Noman, Abdullah ; Zirek, Duygu ; Naka, Atsuyuki . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:193-203.

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2017Diversification of risk exposure through country mutual funds under alternative investment opportunities. (2017). Naka, Atsuyuki ; Noman, Abdullah . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:215-227.

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2018Decomposing the predictive power of local and global financial valuation ratios. (2018). Lawrenz, Jochen ; Zorn, Josef. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:137-149.

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2017Stock return predictability in emerging markets: Does the choice of predictors and models matter across countries?. (2017). Ftiti, Zied ; Hadhri, Sinda. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:39-60.

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2019Stock return predictability: Using the cyclical component of the price ratio. (2019). McMillan, David G. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:228-242.

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2017The heterogeneous impact of monetary levers on the indicators of lending and economic activity. (2017). Deysan, I. In: Economy and Forecasting. RePEc:eip:journl:y:2017:i:2:p:129-152.

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2018Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, H ; Ilomaki, J ; Chang, C-L., . In: Econometric Institute Research Papers. RePEc:ems:eureir:111556.

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2020Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. (2020). van der Wel, M. In: ERIM Inaugural Address Series Research in Management. RePEc:ems:euriar:124748.

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2020.

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2019The Cross Section of Country Equity Returns: A Review of Empirical Literature. (2019). Zaremba, Adam. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:4:p:165-:d:281162.

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2018Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:105-:d:171554.

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2017International Stock Return Predictability: Evidence from New Statistical Tests. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01626101.

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2017The Memory of Stock Return Volatility: Asset Pricing Implications. (2017). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-613.

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2019On the Limit Theory of Mixed to Unity VARs: Panel Setting With Weakly Dependent Errors. (2019). Stauskas, Ovidijus. In: Working Papers. RePEc:hhs:lunewp:2019_002.

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2017Households’ Mortgage-Rate Expectations: More Realistic than at First Glance?. (2017). Österholm, Pär ; Osterholm, Par ; Hjalmarsson, Erik. In: Working Papers. RePEc:hhs:oruesi:2017_009.

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2019The Relation between Municipal and Government Bond Yields in an Era of Unconventional Monetary Policy. (2019). Österholm, Pär ; Osterholm, Par ; Nordstrom, Martin ; Knezevic, David. In: Working Papers. RePEc:hhs:oruesi:2019_006.

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2019Market Participants’ Forecasts of Financial Variables – Can Survey Data Outperform the Random Walk?. (2019). Österholm, Pär ; Osterholm, Par ; Kladivko, Kamil. In: Working Papers. RePEc:hhs:oruesi:2019_010.

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2018Lead-Lag Relationships in International Stock Markets Revisited: Are They Exploitable?. (2018). Gruener, Andreas ; Finke, Christian . In: International Journal of Financial Research. RePEc:jfr:ijfr11:v:9:y:2018:i:1:p:8-30.

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2018A New Test In A Predictive Regression with Structural Breaks. (2018). Chang, Seong Yeon ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201811.

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2019Possibilistic Moment Models for Multi-period Portfolio Selection with Fuzzy Returns. (2019). Liu, Yong-Jun ; Zhang, Wei-Guo. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:4:d:10.1007_s10614-018-9833-6.

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2018Financial crises, price discovery, and information transmission: a high-frequency perspective. (2018). Füss, Roland ; Zhao, LU ; Stein, Michael ; Mager, Ferdinand ; Fuss, Roland ; ROLAND FSS, . In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:32:y:2018:i:4:d:10.1007_s11408-018-0318-3.

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2018Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling. (2018). Hansen, Anne Lundgaard. In: Discussion Papers. RePEc:kud:kuiedp:1812.

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2019Colombia’s stock market predictability. (2019). Lopez-Gaviria, Jose Ignacio. In: Lecturas de Economía. RePEc:lde:journl:y:2019:i:91:p:117-150.

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2018Behavioural Asset Pricing Determinants in a Factor and Style Investing Framework. (2018). Ahmad, Zamri ; Tuyon, Jasman. In: Capital Markets Review. RePEc:mfa:journl:v:26:y:2018:i:2:p:32-52.

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2017How Can We Increase Shareholder Wealth? An Empirical Validation from European Countries. (2017). Hatem, Ben Said . In: Business and Economic Research. RePEc:mth:ber888:v:7:y:2017:i:1:p:323-335.

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2017FX Market Metrics: New Findings Based on CLS Bank Settlement Data. (2017). Levich, Richard M ; Hasbrouck, Joel . In: NBER Working Papers. RePEc:nbr:nberwo:23206.

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2017Negative Bubbles: What Happens After a Crash. (2017). Goetzmann, William ; Kim, Dasol. In: NBER Working Papers. RePEc:nbr:nberwo:23830.

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2018How News and Its Context Drive Risk and Returns Around the World. (2018). Calomiris, Charles ; Mamaysky, Harry. In: NBER Working Papers. RePEc:nbr:nberwo:24430.

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2020Biases in Long-Horizon Predictive Regressions. (2020). Richardson, Matthew P ; Israel, Ronen ; Boudoukh, Jacob . In: NBER Working Papers. RePEc:nbr:nberwo:27410.

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2018Risk and return of a trend-chasing application in financial markets: an empirical test. (2018). Ilomaki, Jukka. In: Risk Management. RePEc:pal:risman:v:20:y:2018:i:3:d:10.1057_s41283-018-0036-1.

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2017Forecasting stock market returns by summing the frequency-decomposed parts. (2017). Verona, Fabio ; Faria, Gonalo. In: CEF.UP Working Papers. RePEc:por:cetedp:1702.

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2019Oil price volatility forecasts: What do investors need to know?. (2019). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:94445.

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2019Fluctuations de prix des matières premières et économie congolaise : manne d’espoir ou de malédiction ?. (2019). Pinshi, Christian P ; Ntungila, Floribert. In: MPRA Paper. RePEc:pra:mprapa:95409.

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2020Economic Integration in Southeast Asia: The Case of the ASEAN Power Grid. (2020). Shi, Xunpeng ; Yao, Lixia. In: Journal of Economic Integration. RePEc:ris:integr:0794.

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2017Predicting returns on asset markets of a small, open economy and the influence of global risks. (2017). Nitschka, Thomas ; Haab, David. In: Working Papers. RePEc:snb:snbwpa:2017-14.

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2020Sustainability of European fiscal balances: Just a statistical artifact?. (2020). Rengel, Malte. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1567-8.

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2020A marked point process model for intraday financial returns: modeling extreme risk. (2020). Herrera, Rodrigo ; Clements, Adam. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:4:d:10.1007_s00181-018-1600-y.

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2018Long Run Returns Predictability and Volatility with Moving Averages. (2018). McAleer, Michael ; Chang, Chia-Lin ; Laurila, Hannu ; Ilomaki, Jukka. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1825.

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2019Japans productivity and GDP growth: The role of GBAORD, public and foreign R&D. (2019). Ziesemer, Thomas. In: MERIT Working Papers. RePEc:unm:unumer:2019029.

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2019The impact of mission-oriented R&D on domestic and foreign private and public R&D, total factor productivity and GDP. (2019). Ziesemer, Thomas. In: MERIT Working Papers. RePEc:unm:unumer:2019047.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2020On the directional predictability of equity premium using machine learning techniques. (2020). Iworiso, Jonathan ; Vrontos, Spyridon. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:3:p:449-469.

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Works by Erik Hjalmarsson:


YearTitleTypeCited
2008Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets In: BIS Working Papers.
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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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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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2010Predicting Global Stock Returns In: Journal of Financial and Quantitative Analysis.
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2008Predicting global stock returns.(2008) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 94
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2011New Methods for Inference in Long-Horizon Regressions In: Journal of Financial and Quantitative Analysis.
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2009Jackknifing stock return predictions In: Journal of Empirical Finance.
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2008Jackknifing stock return predictions.(2008) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 8
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2007Fully modified estimation with nearly integrated regressors In: Finance Research Letters.
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2006Fully modified estimation with nearly integrated regressors.(2006) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 4
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2008The Stambaugh bias in panel predictive regressions In: Finance Research Letters.
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2007The Stambaugh bias in panel predictive regressions.(2007) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 10
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2008Interpreting long-horizon estimates in predictive regressions In: Finance Research Letters.
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2008Interpreting long-horizon estimates in predictive regressions.(2008) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 2
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2012Some curious power properties of long-horizon tests In: Finance Research Letters.
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2009Testing the expectations hypothesis when interest rates are near integrated In: Journal of Banking & Finance.
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2008Testing the expectations hypothesis when interest rates are near integrated.(2008) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 18
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2012Characteristic-based mean-variance portfolio choice In: Journal of Banking & Finance.
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2009Characteristic-based mean-variance portfolio choice.(2009) In: International Finance Discussion Papers.
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2009What drives volatility persistence in the foreign exchange market? In: Journal of Financial Economics.
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2006What drives volatility persistence in the foreign exchange market?.(2006) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 44
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2020The Evolution of Price Discovery in an Electronic Market In: Finance and Economics Discussion Series.
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2005Estimation of average local-to-unity roots in heterogenous panels In: International Finance Discussion Papers.
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2006Inference in Long-Horizon Regressions In: International Finance Discussion Papers.
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