Erik Hjalmarsson : Citation Profile

Are you Erik Hjalmarsson?

Göteborgs Universitet

12

H index

12

i10 index

678

Citations

RESEARCH PRODUCTION:

23

Articles

37

Papers

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 30
   Journals where Erik Hjalmarsson has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 19 (2.73 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phj8
   Updated: 2024-01-16    RAS profile: 2023-01-24    
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Relations with other researchers

Works with:

Österholm, Pär (6)

Hautsch, Nikolaus (2)

Dumitrescu, Ariadna (2)

FERROUHI, EL MEHDI (2)

Nielsson, Ulf (2)

Jalkh, Naji (2)

Hurlin, Christophe (2)

Foucault, Thierry (2)

Vilkov, Grigory (2)

Rakowski, David (2)

He, Xuezhong (Tony) (2)

Pelizzon, Loriana (2)

Putnins, Talis (2)

Regis, Luca (2)

Frömmel, Michael (2)

Jurkatis, Simon (2)

Holzmeister, Felix (2)

Gerritsen, Dirk (2)

Brownlees, Christian (2)

Wolff, Christian (2)

Zhou, Chen (2)

Scaillet, Olivier (2)

Stefanova, Denitsa (2)

Xia, Shuo (2)

Caporin, Massimiliano (2)

Ferrara, Gerardo (2)

Vogel, Sebastian (2)

Menkveld, Albert (2)

Harris, Jeffrey (2)

Frijns, Bart (2)

Abudy, Menachem (2)

Talavera, Oleksandr (2)

Chernov, Mikhail (2)

Liew, Chee (2)

Heath, Davidson (2)

Söderlind, Paul (2)

Kiss, Tamas (2)

Mihet, Roxana (2)

Palan, Stefan (2)

Lopez-Lira, Alejandro (2)

Bohorquez Correa, Santiago (2)

Theissen, Erik (2)

Walther, Thomas (2)

van Kervel, Vincent (2)

Deev, Oleg (2)

Park, Andreas (2)

Wilhelmsson, Anders (2)

Kassner, Bernhard (2)

Ait-Sahalia, Yacine (2)

Korajczyk, Robert (2)

Sojli, Elvira (2)

Schenk-Hoppé, Klaus (2)

Füllbrunn, Sascha (2)

Deku, Solomon (2)

Ødegaard, Bernt (2)

PASCUAL, ROBERTO (2)

Davies, Ryan (2)

Wong, Wing-Keung (2)

Schuerhoff, Norman (2)

Prokopczuk, Marcel (2)

Patel, Vinay (2)

Gehrig, Thomas (2)

Lajaunie, Quentin (2)

Smales, Lee (2)

Roy, Saurabh (2)

LINTON, OLIVER (2)

Patton, Andrew (2)

CAPELLE-BLANCARD, Gunther (2)

Horenstein, Alex (2)

Schwarz, Marco (2)

Bos, Charles (2)

Taylor, Nick (2)

Renault, Thomas (2)

Kearney, Fearghal (2)

Bouri, Elie (2)

Xiu, Dacheng (2)

Dreber, Anna (2)

Colliard, Jean-Edouard (2)

Chow, Nikolai Sheung-Chi (2)

Gorbenko, Arseny (2)

Verousis, Thanos (2)

Tonks, Ian (2)

Ranaldo, Angelo (2)

Lof, Matthijs (2)

Johannesson, Magnus (2)

Moinas, Sophie (2)

Adrian, Tobias (2)

Pastor, Lubos (2)

Pasquariello, Paolo (2)

Rinne, Kalle (2)

Reitz, Stefan (2)

Dimpfl, Thomas (2)

Sarno, Lucio (2)

Alexeev, Vitali (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 (14)

Westerlund, Joakim (12)

Rime, Dagfinn (9)

Narayan, Paresh (9)

Sarno, Lucio (8)

Ozdemir, Zeynel (7)

tansel, aysıt (7)

King, Michael (6)

Ranaldo, Angelo (6)

Verona, Fabio (6)

Stambaugh, Robert (6)

Cites to:

Campbell, John (96)

Phillips, Peter (57)

Shiller, Robert (37)

Yogo, Motohiro (29)

Stambaugh, Robert (21)

Moon, Hyungsik (19)

Elliott, Graham (18)

Calvet, Laurent (16)

Bollerslev, Tim (11)

Stock, James (11)

Andersen, Torben (11)

Main data

Where Erik Hjalmarsson has published?

Journals with more than one article published# docs
Journal of Financial and Quantitative Analysis4
Journal of Banking & Finance4
Finance Research Letters4
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 / Örebro University, School of Business3

Recent works citing Erik Hjalmarsson (2024 and 2023)

YearTitle of citing document
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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2023Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2023Optimal Estimation Methodologies for Panel Data Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.03471.

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2023Harnessing Deep Q-Learning for Enhanced Statistical Arbitrage in High-Frequency Trading: A Comprehensive Exploration. (2023). Sarkar, Soumyadip. In: Papers. RePEc:arx:papers:2311.10718.

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2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023Do algorithmic traders exploit volatility?. (2023). Marathe, Rahul R ; Prasanna, Krishna P ; Arumugam, Devika. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001009.

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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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2023Factor-based portfolio optimization. (2023). Cho, Wonho ; Auh, Jun Kyung. In: Economics Letters. RePEc:eee:ecolet:v:228:y:2023:i:c:s0165176523001623.

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2023US cross-listing and domestic high-frequency trading: Evidence from Canadian stocks. (2023). Pascual, Roberto ; Indriawan, Ivan ; Frijns, Bart ; Dodd, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:301-320.

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2023Cross-sectional uncertainty and expected stock returns. (2023). Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:321-340.

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2023The time-varying effects of liquidity and market efficiency of the European Union carbon market: Evidence from the TVP-SVAR-SV approach. (2023). Ren, Xiaohang ; Zhang, Rui ; Zhong, Meirui. In: Energy Economics. RePEc:eee:eneeco:v:123:y:2023:i:c:s0140988323002062.

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2023Short- and long-run determinants of the price behavior of US clean energy stocks: A dynamic ARDL simulations approach. (2023). , Mohamed. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002694.

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2023Dynamic prognostic interaction between social development and energy consumption optimization: Evidence from european union member countries. (2023). Kharl, Sanwal Hussain ; Sheraz, Muhammad ; Baz, Khan ; Xu, Deyi ; Butt, Khalid Manzoor ; Abbas, Khizar. In: Energy. RePEc:eee:energy:v:278:y:2023:i:c:s0360544223011854.

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2023Applications of high-frequency data in finance: A bibliometric literature review. (2023). Ahmad, Nisar ; Ahmed, Sheraz ; Hussain, Syed Mujahid. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s105752192300306x.

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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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2023Aggregate insider trading in the S&P 500 and the predictability of international equity premia. (2023). Miebs, Felix ; Launhardt, Patrick ; Hable, Patrick ; Guettler, Andre. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000995.

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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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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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2023Realized higher-order moments spillovers across cryptocurrencies. (2023). Apergis, Nicholas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000318.

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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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2023Misery on Main Street, victory on Wall Street: Economic discomfort and the cross-section of global stock returns. (2023). Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:149:y:2023:i:c:s0378426623000043.

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2023Do stock exchanges specialize? Evidence from the New Jersey transaction tax proposal. (2023). Sokolov, Konstantin ; Irtisam, Rasheek. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001474.

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2023The effect of quantity and quality of information in strategy tournaments. (2023). Tuinstra, Jan ; Sonnemans, Joep ; Gietl, Daniel ; Linde, Jona. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:211:y:2023:i:c:p:305-323.

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2023Price comovement and market segmentation of Chinese A- and H-shares: Evidence from a panel latent-factor model. (2023). Tse, Yiu-Kuen ; Huang, Wenxin ; Dong, Yingjie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:131:y:2023:i:c:s0261560622001978.

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2023Price discovery and triangular arbitrage in currency markets. (2023). Chen, Yu-Lun ; Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001134.

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2023The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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2023Trader positions and aggregate portfolio demand. (2023). Tuzun, Tugkan ; Roberts, John S ; Onur, Esen. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000482.

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2023Cointegration between high base metals prices and backwardation: Getting ready for the metals super-cycle. (2023). Labeaga, Jose ; Martin-Garcia, Rodrigo ; Galan-Gutierrez, Juan Antonio. In: Resources Policy. RePEc:eee:jrpoli:v:81:y:2023:i:c:s0301420723001216.

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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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2023Cryptocurrency return predictability: What is the role of the environment?. (2023). Mefteh-Wali, Salma ; Lahiani, Amine ; Clark, Ephraim. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:189:y:2023:i:c:s0040162523000355.

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2023.

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2023Unveiling the Influence of Artificial Intelligence and Machine Learning on Financial Markets: A Comprehensive Analysis of AI Applications in Trading, Risk Management, and Financial Operations. (2023). Hammoud, Jamil ; el Hajj, Mohammad. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:10:p:434-:d:1253685.

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2023Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach. (2023). Siemroth, Christoph ; Corgnet, Brice ; Desantis, Mark. In: Working Papers. RePEc:gat:wpaper:2313.

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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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2023Whose trades contribute more to price discovery? Evidence from the Taiwan stock exchange. (2023). Hung, Pi-Hsia ; Lien, Donald. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01150-7.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv.

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2023An Analysis of the Importance of Terms of Trade in South Africa Using Impulse Response Function. (2023). , Temitope. In: Global Business Review. RePEc:sae:globus:v:24:y:2023:i:2:p:243-257.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527.

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2023.

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2023.

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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.
[Full Text][Citation analysis]		paper19
2010Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets.(2010) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2007Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets.(2007) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market In: Journal of Finance.
[Full Text][Citation analysis]		article191
2009Rise of the machines: algorithmic trading in the foreign exchange market.(2009) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 191		paper
2015Interactions among high-frequency traders In: Bank of England working papers.
[Full Text][Citation analysis]		paper16
2017Interactions among High-Frequency Traders.(2017) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2016Interactions among High-Frequency Traders.(2016) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2010Predicting Global Stock Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article133
2008Predicting global stock returns.(2008) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 133		paper
2011New Methods for Inference in Long-Horizon Regressions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article21
2019Stock Price Co-Movement and the Foundations of Pairs Trading In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article3
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 nother 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]		article5
2006Fully modified estimation with nearly integrated regressors.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		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 nother 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 nother 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]		article6
2020The Evolution of Price Discovery in an Electronic Market.(2020) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2009Efficiency in housing markets: Which home buyers know how to discount? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
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 nother version. Agregated cites: 21		paper
2012Characteristic-based mean-variance portfolio choice In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
2009Characteristic-based mean-variance portfolio choice.(2009) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2009What drives volatility persistence in the foreign exchange market? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article57
2006What drives volatility persistence in the foreign exchange market?.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 57		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 nother 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 nother 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]		paper5
2005Predictive regressions with panel data.(2005) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		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 nother 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]		paper94
2007Testing for Cointegration Using the Johansen Methodology when Variables are Near-Integrated.(2007) In: IMF Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 94		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 nother version. Agregated cites: 94		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]		paper4
2021Non-Standard Errors.(2021) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		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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