Erik Hjalmarsson : Citation Profile

Göteborgs Universitet

13

H index

14

i10 index

829

Citations

RESEARCH PRODUCTION:

23

Articles

37

Papers

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 37
   Journals where Erik Hjalmarsson has often published
   Relations with other researchers
   Recent citing documents: 110.    Total self citations: 19 (2.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phj8
   Updated: 2026-05-16    RAS profile: 2023-01-24    
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Relations with other researchers

Works with:

Österholm, Pär (3)

Prokopczuk, Marcel (2)

Renault, Thomas (2)

Holzmeister, Felix (2)

Bjønnes, Geir (2)

Brownlees, Christian (2)

Söderlind, Paul (2)

van Kervel, Vincent (2)

Walther, Thomas (2)

Korajczyk, Robert (2)

Kearney, Fearghal (2)

Colliard, Jean-Edouard (2)

Heath, Davidson (2)

Bohorquez Correa, Santiago (2)

Liew, Chee (2)

Xia, Shuo (2)

Hautsch, Nikolaus (2)

Bouri, Elie (2)

Zhou, Chen (2)

Zhang, S. Sarah (2)

Rakowski, David (2)

FERROUHI, EL MEHDI (2)

Roy, Saurabh (2)

Frijns, Bart (2)

Lopez-Lira, Alejandro (2)

Rinne, Kalle (2)

Scaillet, Olivier (2)

Park, Andreas (2)

Mihet, Roxana (2)

Pastor, Lubos (2)

Horenstein, Alex (2)

Shachar, Or (2)

Patton, Andrew (2)

Füllbrunn, Sascha (2)

Ait-Sahalia, Yacine (2)

Tonks, Ian (2)

Sojli, Elvira (2)

Palan, Stefan (2)

Vilkov, Grigory (2)

Menkveld, Albert (2)

Ranaldo, Angelo (2)

Degryse, Hans (2)

Jurkatis, Simon (2)

Wong, Wing-Keung (2)

Ødegaard, Bernt (2)

Alexeev, Vitali (2)

Frömmel, Michael (2)

Taylor, Nick (2)

Huang, Wenqian (2)

He, Xuezhong (Tony) (2)

Pelizzon, Loriana (2)

Adrian, Tobias (2)

Verousis, Thanos (2)

Abudy, Menachem (2)

Chernov, Mikhail (2)

Schwarz, Marco (2)

Hurlin, Christophe (2)

Voigt, Stefan (2)

Theissen, Erik (2)

Bos, Charles (2)

Harris, Jeffrey (2)

Roy, Saurabh (2)

Deev, Oleg (2)

Deku, Solomon (2)

Stefanova, Denitsa (2)

Wolff, Christian (2)

Wilhelmsson, Anders (2)

LINTON, OLIVER (2)

Dimpfl, Thomas (2)

Talavera, Oleksandr (2)

Johannesson, Magnus (2)

Davies, Ryan (2)

Xiu, Dacheng (2)

Schenk-Hoppé, Klaus (2)

Smales, Lee (2)

CAPELLE-BLANCARD, Gunther (2)

Caporin, Massimiliano (2)

Gehrig, Thomas (2)

Ferrara, Gerardo (2)

Reitz, Stefan (2)

Putnins, Talis (2)

Nielsson, Ulf (2)

Jalkh, Naji (2)

Lof, Matthijs (2)

Lajaunie, Quentin (2)

Gerritsen, Dirk (2)

Gorbenko, Arseny (2)

Foucault, Thierry (2)

Pasquariello, Paolo (2)

Kassner, Bernhard (2)

Patel, Vinay (2)

Moinas, Sophie (2)

Schuerhoff, Norman (2)

Dreber, Anna (2)

Sarno, Lucio (2)

Vogel, Sebastian (2)

Dumitrescu, Ariadna (2)

Regis, Luca (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)

Ranaldo, Angelo (9)

Rime, Dagfinn (9)

Narayan, Paresh (9)

Sarno, Lucio (8)

Maynard, Alex (7)

Ozdemir, Zeynel (7)

tansel, aysıt (7)

Pastor, Lubos (6)

Huber, Christoph (6)

Cites to:

Campbell, John (101)

Phillips, Peter (58)

Shiller, Robert (37)

Yogo, Motohiro (29)

Stambaugh, Robert (22)

Moon, Hyungsik (19)

Elliott, Graham (18)

Calvet, Laurent (16)

Stock, James (11)

Andersen, Torben (11)

Bollerslev, Tim (11)

Main data

Where Erik Hjalmarsson has published?

Journals with more than one article published# docs
Finance Research Letters4
Journal of Financial and Quantitative Analysis4
Journal of Banking & Finance4
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 (2025 and 2024)

YearTitle of citing document
2025he Power That Rusts the Gears: How Corruption Affects Russia’s Growth. (2025). Tosunolu, Mahir ; Polat, Brahim Halil. In: Journal of Finance Letters (Maliye ve Finans Yazıları). RePEc:acc:malfin:v:40:y:2025:i:124:p:122-146.

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2025Stochastic modelling of food insecurity risk in Africa: Use of Vine Copulas and cointegration approaches. (2025). Pede, Valerien O ; Okou, Cyrille Guei ; Jeremy, Ronald ; Amar, Amine. In: 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO. RePEc:ags:aaea25:360696.

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2026Nickell Bias in Panel Local Projection: Financial Crises Are Worse Than You Think. (2023). Sheng, Liugang ; Mei, Ziwei ; Shi, Zhentao. In: Papers. RePEc:arx:papers:2302.13455.

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2024Inference in Predictive Quantile Regressions. (2024). Maynard, Alex ; Kuriyama, Nina ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:2306.00296.

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2024Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions. (2024). Shi, Zhentao ; Mei, Ziwei ; Liao, Chengwang. In: Papers. RePEc:arx:papers:2410.09825.

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2025High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads. (2025). Li, Guanlin ; Chen, Xiyan ; Liu, Yingzheng. In: Papers. RePEc:arx:papers:2501.03171.

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2025Assessing Consistency and Reproducibility in the Outputs of Large Language Models: Evidence Across Diverse Finance and Accounting Tasks. (2025). Wang, Victor Xiaoqi. In: Papers. RePEc:arx:papers:2503.16974.

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2025Robust Tests for Factor-Augmented Regressions with an Application to the novel EA-MD Dataset. (2025). Stauskas, Ovidijus ; Morico, Alessandro. In: Papers. RePEc:arx:papers:2504.08455.

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2026Artificial Intelligence and Systemic Risk: A Unified Model of Performative Prediction, Algorithmic Herding, and Cognitive Dependency in Financial Markets. (2026). Chen, Xupeng ; Meng, Shuchen. In: Papers. RePEc:arx:papers:2604.03272.

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2024Through stormy seas: how fragile is liquidity across asset classes and time?. (2024). Aquilina, Matteo ; Aliyev, Nihad ; Rzayev, Khaladdin ; Zhu, Sonya. In: BIS Working Papers. RePEc:bis:biswps:1229.

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2025The speed premium: high-frequency trading and the cost of capital. (2025). Aquilina, Matteo ; Rzayev, Khaladdin ; Ibikunle, Gbenga ; Wang, Xuesi. In: BIS Working Papers. RePEc:bis:biswps:1290.

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2026How Do Corporate Factors Affect Price Discovery Process Between Equity and Credit Markets?. (2026). Cummins, Mark ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Accounting and Finance. RePEc:bla:acctfi:v:66:y:2026:i:1:p:551-574.

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2024Evolution of Chinese futures markets from a high frequency perspective. (2024). Tao, Xuan ; Drapeau, Samuel ; Wang, Tao ; Li, Zhengqiang. In: Economics and Politics. RePEc:bla:ecopol:v:36:y:2024:i:3:p:1416-1449.

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2025Great expectations: the role of experiences in Irish house price expectations formation. (2025). Zekaite, Zivile ; McIndoe-Calder, Tara ; Boyd, Laura. In: Research Technical Papers. RePEc:cbi:wpaper:7/rt/25.

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2025The Perks and Perils of Machine Learning in Business and Economic Research. (2025). Hornuf, Lars ; Dudda, Tom L. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11721.

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2025The Sources of Researcher Variation in Economics. (2025). Williams, Kevin ; Ward, Zachary ; Trombetta, Martin ; Tastan, Huseyin ; Szczygielski, Krzysztof ; Spantig, Lisa ; Smith, Brock ; Salamanca, Nicolas ; Samudra, Aparna ; Sariyev, Orkhan ; Samahita, Margaret ; Roy, Jayjit ; Ricks, Michael ; Reuter, Anna ; Reimão, Maira ; Rayamajhee, Veeshan ; Pugatch, Todd ; Putman, Daniel ; Pörtner, Claus ; Porcher, Simon ; Petroulakis, Filippos ; Paudel, Jayash ; Meinzen-Dick, Laura ; Marino Fages, Diego ; Marcus, Jan ; Long, Dede ; LaFave, Daniel ; Klotzbücher, Valentin ; Kim, Sie Won ; Jakobsson, Niklas ; Huntington-Klein, Nick ; Hernæs, Øystein ; Henningsen, Arne ; Henderson, Daniel ; Harris, Mark ; Girardi, Daniele ; Gay, Victor ; Gauriot, Romain ; Gallegos, Sebastian ; Gamino, Aaron ; Gazeaud, Jules ; Fumarco, Luca ; Fitzpatrick, Anne ; Feld, Jan ; Duquette, Nicolas ; de Gendre, Alexandra ; Deer, Lachlan ; Crawfurd, Lee ; Collins, Matthew ; Buisson, Florent ; Brehm, Margaret ; Brun, Martín ; Bloem, Jeffrey ; Bhattacharya, Shreya ; Bhai, Moiz ; Bech-Wysocka, Katarzyna ; Bennett, Christopher ; Berniell, Inés ; Avdeev, Stanislav ; Andresen, Martin ; Angenendt, David ; Antón, José Ignacio ; Akbulut-Yuksel, Mevlude ; Herns, Ystein ; Rodriguez, Abel ; Sievertsen, Hans Henrik ; Agasa, Lameck Ondieki ; Westheide, Christian ; Aslim, Erkmen Giray ; Tagat, Anirudh ; Feyman, Yevgeniy ; Weinberg, Stephen E ; Gilpin, Gregory ; Peukert, Christian ; Merkus, Erik ; Kaire, Jos ; Ligey, Maxime ; Jain, Anil ; Prakash, Manab ; Karney, Daniel ; Falken, Grace ; Weber, Ellerie ; Antn, Jos-Ignacio ; Adamkovic, Matus ; Berha, Andu ; Chen, Weiwei ; Reimao, Maira ; Woahid, S M ; Ozer, Gorkem Turgut ; Weissmller, Kristina S ; Baker, Bradley ; Naumann, Elias ; Adema, Joop ; Fradkin, Andrey ; Ropovik, Ivan ; Venkatesan, Madhavi ; Wagner, Gary A ; Miller, Klaus M ; Cerutti, Nicola ; Heller, Blake H ; Volkov, Eden ; Cullinan, John ; Camp, Andrew M ; Pitknen, Visa ; Mogge, Lukas ; Goldhaber, Dan ; Bansal, Avijit ; Segel, Joel E ; Hill, Andrew ; Ahmad, Imtiaz ; Sorensen, Lucy ; Dorsey-Palmateer, Reid ; Herman, Clment ; bech -Wysocka, Katarzyna ; Fiala, Nathan ; Nmadu, Job ; Bacher-Hicks, Andrew ; Bandara, Imesh Nuwan ; Najam, Rafiuddin ; Prtner, Claus C ; Kameshwara, Kalyan Kumar ; Zahid, Muhammad Umer ; Lang, David ; Huysmans, Martijn ; Pua, Andrew Adrian ; Sanogo, Vassiki ; McCarthy, Ian M ; Zanoli, Raffaele ; Kronenberg, Christoph ; Gayaker, Savas ; Riosavila, Fernando ; Henry, Junita ; Vernet, Antoine ; Bartram, David ; Wang, Yue ; Bjoerkheim, Markus ; Arenas, Andreu ; Klotzbcher, Valentin ; Tatan, Hseyin ; Burli, Pralhad H ; Imtiaz, Saad M ; Holzmeister, Felix ; Galrraga, Julio ; Smet, Mike ; Clement, Jeffrey ; Waters, Tom ; Schaak, Henning ; Farquharson, Christine ; Lee, Ryan ; French, Evaewero ; Roeckert, Julian. In: HEC Research Papers Series. RePEc:ebg:heccah:1551.

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2024Towards fluid role identity of management accountants: A case study of a Finnish bank. (2024). Auvinen, Tommi ; Scapens, Robert W ; Sajasalo, Pasi ; Jarvenpaa, Marko ; Rautiainen, Antti. In: The British Accounting Review. RePEc:eee:bracre:v:56:y:2024:i:4:s0890838924000556.

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2024Competition among high-frequency traders and market quality. (2024). Breckenfelder, Johannes. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:166:y:2024:i:c:s0165188924001143.

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2025Robust algorithmic trading in a generalized lattice market. (2025). Hsieh, Chung-Han ; Wang, Xin-Yu. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:174:y:2025:i:c:s0165188925000491.

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2025Time-varying risk aversion and international stock returns. (2025). Hansen, Erwin ; Guidolin, Massimo ; Cabrera, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001967.

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2024Impact of macroprudential policies on house price expectations- evidence from survey data. (2024). Sengupta, Reshmi ; Rooj, Debasis ; Banerjee, Anurag. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000958.

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2024Robust inference of panel data models with interactive fixed effects under long memory: A frequency domain approach. (2024). Su, Liangjun ; Phillips, Peter ; Ke, Shuyao. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:2:s0304407624001076.

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2024Inference in predictive quantile regressions. (2024). Maynard, Alex ; Shimotsu, Katsumi ; Kuriyama, Nina. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002203.

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2025The role of diagnostic ability in markets for expert services. (2025). Schwarz, Marco ; Liu, Fang ; Waibel, Christian ; Rasch, Alexander. In: European Economic Review. RePEc:eee:eecrev:v:180:y:2025:i:c:s001429212500176x.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:686-700.

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2025Message traffic and short-term illiquidity in high-speed markets. (2025). Pascual, Roberto ; Yage, Jos ; Nawn, Samarpan ; Massot, Magdalena ; Abad, David. In: Emerging Markets Review. RePEc:eee:ememar:v:65:y:2025:i:c:s1566014124001468.

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2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

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2024A portfolio-level, sum-of-the-parts approach to return predictability. (2024). Katselas, Dean ; Xu, Hongyi ; Drienko, JO. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000604.

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2025Option-implied idiosyncratic skewness and expected returns: Mind the long run. (2025). Zhou, Mingtao ; Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:83:y:2025:i:c:s0927539825000647.

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2024Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition. (2024). Lopez, Raquel ; Sevillano, Maria Caridad ; Jareo, Francisco ; Esparcia, Carlos. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324001063.

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2024Macroeconomic shocks and volatility spillovers between stock, bond, gold and crude oil markets. (2024). Xu, Yongdeng ; Lu, Wenna ; Heravi, Saeed ; Guan, BO. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004584.

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2025Trade, renewable energy, and market power in power markets. (2025). Straume, Odd Rune ; Brekke, Kurt ; Srgard, Lars. In: Energy Economics. RePEc:eee:eneeco:v:151:y:2025:i:c:s0140988325005900.

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2024Non-standard errors in the cryptocurrency world. (2024). Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000383.

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2024The impact of the Russia–Ukraine war on volatility spillovers. (2024). Lin, Yongjia ; Wang, Yizhi ; Sio-Chong, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001261.

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2024Machine learning and the cross-section of cryptocurrency returns. (2024). Shahzad, Syed Jawad Hussain ; Będowska-Sójka, Barbara ; Hussain, Syed Jawad ; Cakici, Nusret ; Bdowska-Sojka, Barbara ; Zaremba, Adam. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001765.

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2024What drives stock returns across countries? Insights from machine learning models. (2024). Zaremba, Adam ; Cakici, Nusret. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005015.

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2025Predicting FX market movements using GAN with limit order event data. (2025). Iima, Hitoshi ; Peng, Kexin ; Kitamura, Yoshihiro. In: Finance Research Letters. RePEc:eee:finlet:v:72:y:2025:i:c:s1544612324015563.

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2025Bitcoin-to-gold ratio and stock market returns. (2025). Demir, Ender ; Bouri, Elie. In: Finance Research Letters. RePEc:eee:finlet:v:81:y:2025:i:c:s1544612325007159.

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2024Algorithmic trading and market efficiency around the introduction of the NYSE Hybrid Market. (2024). Yuferova, Darya. In: Journal of Financial Markets. RePEc:eee:finmar:v:69:y:2024:i:c:s1386418124000272.

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2025Auction-based tests of inventory control and private information in a centralized interdealer FX market. (2025). Villamizar-Villegas, mauricio ; Bonaldi, Jean. In: Journal of Financial Markets. RePEc:eee:finmar:v:74:y:2025:i:c:s1386418125000217.

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2025Do designated market makers provide liquidity during downward extreme price movements?. (2025). Bellia, Mario ; Ren, Roberto ; Pelizzon, Loriana ; Christensen, Kim ; Kolokolov, Aleksey. In: Journal of Financial Markets. RePEc:eee:finmar:v:76:y:2025:i:c:s138641812500028x.

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2025Toward open science in marketing research. (2025). Mizik, Natalie ; Sarstedt, Marko ; Datta, Hannes ; Adler, Susanne J ; Deer, Lachlan. In: International Journal of Research in Marketing. RePEc:eee:ijrema:v:42:y:2025:i:1:p:212-233.

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2025Exchange rate regime changes and market efficiency: An event study. (2025). Portela, Jose ; Martin-Bujack, Karin ; Corzo, Teresa ; Rodrguez-Gallego, Alejandro. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:100:y:2025:i:c:s1042443125000228.

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2025Cross-market overnight time-series momentum. (2025). Chen, Xiaoyue ; Singh, Tarlok ; Li, Jinze ; Xu, Dezhong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:105:y:2025:i:c:s1042443125001295.

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2024Changes in shares outstanding and country stock returns around the world. (2024). Umar, Zaghum ; Chiah, Mardy ; Long, Huaigang ; Zaremba, Adam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001518.

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2024Trade fragmentation and volatility-of-volatility networks. (2024). JAWADI, Fredj ; BASTIDON, Cécile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762.

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2025Predicting the equity premium around the globe: Comprehensive evidence from a large sample. (2025). Tharann, Bjrn ; Simen, Chardin Wese ; Hollstein, Fabian ; Prokopczuk, Marcel. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:208-228.

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2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

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2025Factor momentum versus price momentum: Insights from international markets. (2025). Fieberg, Christian ; Metko, Daniel ; Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002462.

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2025A factor model for the cross-section of country equity risk premia. (2025). Fieberg, Christian ; Cakici, Nusret ; Zaremba, Adam ; Liedtke, Gerrit. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002875.

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2025Fear propagation and return dynamics. (2025). Wang, Kai ; Sun, Yulong ; Zhou, Zhiping. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:173:y:2025:i:c:s0378426625000305.

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2025Demographic trends, the rent-to-price ratio, and housing market returns. (2025). Wang, Yuansheng ; Yang, Haoxi ; Chen, Zhizhen ; Feng, Yun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:176:y:2025:i:c:s0378426625000573.

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2025Private Equity Fund Performance: A Time-Series Approach. (2025). Wermers, Russ ; Spilker, Harold D ; Krasotkina, Olga ; Fragkiskos, Apollon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:177:y:2025:i:c:s0378426625000901.

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2025The cross section of stock returns in an artificial stock market. (2025). van Cappelle, Tjeerd ; Pokidin, Dmytro. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:239:y:2025:i:c:s0167268125003774.

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2024High-frequency trading in the stock market and the costs of options market making. (2024). Sagade, Satchit ; Nimalendran, Mahendrarajah ; Rzayev, Khaladdin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:159:y:2024:i:c:s0304405x24001235.

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2024Efficient estimation of bid–ask spreads from open, high, low, and close prices. (2024). Kroencke, Tim A ; Guidotti, Emanuele ; Ardia, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001399.

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2025Constrained liquidity provision in currency markets. (2025). Schrimpf, Andreas ; Ranaldo, Angelo ; Somogyi, Fabricius ; Huang, Wenqian. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000364.

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2025Differential access to dark markets and execution outcomes. (2025). Comerton-Forde, Carole ; Brugler, James. In: Journal of Financial Economics. RePEc:eee:jfinec:v:171:y:2025:i:c:s0304405x25000947.

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2024Autopsy of a futures market failure: Japan’s Dojima rice futures in the early 21st century. (2024). Yamamoto, Shuhei ; Janzen, Joseph P ; Serra, Teresa. In: Food Policy. RePEc:eee:jfpoli:v:128:y:2024:i:c:s0306919224001283.

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2025Predicting commodity returns: Time series vs. cross sectional prediction models. (2025). Angelidis, Timotheos ; Sakkas, Athanasios ; Tessaromatis, Nikolaos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:38:y:2025:i:c:s2405851325000194.

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2024Mineral policy and sustainable development goals: Volatility forecasting in the Global Souths minerals market. (2024). Rao, Amar ; Sala, Dariusz ; Parihar, Jaya Singh ; Kharbanda, Aeshna ; Dev, Dhairya. In: Resources Policy. RePEc:eee:jrpoli:v:98:y:2024:i:c:s0301420724007049.

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2024Is there a time-series momentum effect in the Asian crude oil futures market?. (2024). Li, Yuqi ; He, Xiaoxiao ; Zhong, Hao. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002245.

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2025Perceived problems, causes, and solutions of finance research reproducibility and replicability: A pre-registered report. (2025). Brosnan, Mark ; Ali, Searat ; Chai, Daniel ; Hasso, Tim. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x24003160.

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2025An investigation into the causes of stock market return deviations from real earnings yields. (2025). Alsalman, Zeina ; Souropanis, Ioannis ; Murphy, Austin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s105905602500379x.

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2025Enhancement of audit quality and optimization of risk management: Dual engines for corporate value growth analysis. (2025). Liang, Shuguang ; Wang, Pengmian. In: International Review of Economics & Finance. RePEc:eee:reveco:v:103:y:2025:i:c:s1059056025005027.

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2024The optimal strategies of competitive high-frequency traders and effects on market liquidity. (2024). Doukas, John A ; Ge, Hengshun ; Yang, Haijun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:653-679.

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2024Financial technology research: Past and future trajectories. (2024). Yang, Yuanqi ; Kou, Mingting ; Chen, Kaihua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:162-181.

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2024Technology and automation in financial trading: A bibliometric review. (2024). Cumming, Douglas ; Care, Rosella. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002642.

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2025Methodological ESG uncertainty in portfolio sorts. (2025). Henriquez-Salman, Ricardo. In: Research in International Business and Finance. RePEc:eee:riibaf:v:80:y:2025:i:c:s0275531925003885.

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2024High-frequency trading in the stock market and the costs of options market making. (2024). Sagade, Satchit ; Nimalendran, Mahendrarajah ; Rzayev, Khaladdin. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:124228.

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2025Market Liquidity in Treasury Futures Market During March 2020. (2025). Vega, Clara ; Tuzun, Tugkan ; Mixon, Scott ; Gousgounis, Eleni. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-38.

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2025Optimal Portfolio Choice in a General Equilibrium Model with Portfolio Frictions and Short-Selling Constraint. (2025). Tièche, Simon ; Cossin, Didier ; Tiche, Simon. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:12:p:1988-:d:1680340.

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2024Reproducibility in Management Science. (2024). Ozkes, Ali ; Merkle, Christoph ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Fiar, Milo ; Katok, Elena. In: Post-Print. RePEc:hal:journl:hal-04370984.

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2024Unexpected opportunities in misspecified predictive regressions. (2024). Deguest, Romain ; Coqueret, Guillaume. In: Post-Print. RePEc:hal:journl:hal-04595355.

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2024Investigation of Swedish krona exchange rate volatility by APARCH-Support Vector Regression. (2024). Li, Yushu ; Kim Karlsson, Hyunjoo. In: Working Papers in Economics and Statistics. RePEc:hhs:vxesta:2024_010.

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2025Mispricing and Algorithm Trading. (2025). Zhang, Xiaoquan. In: Information Systems Research. RePEc:inm:orisre:v:36:y:2025:i:1:p:21-40.

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2024Tick Size, Competition for Liquidity Provision, and Price Discovery: Evidence from the U.S. Treasury Market. (2024). Fleming, Michael ; Nguyen, Giang ; Ruela, Francisco. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:1:p:332-354.

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2025Stock-Bond Return Dynamics and the Expected Country Stock Returns. (2025). Pyun, Sungjune. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:12:p:10603-10623.

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2025What Makes HFTs Tick? Tick Size Changes and Information Advantage in a Market with Fast and Slow Traders. (2025). Zikes, Filip ; Vega, Clara ; Dao, Avery ; Chaboud, Alain P. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:1:p:553-583.

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2025Performance Attribution for Portfolio Constraints. (2025). Zhang, Ruixun ; Lo, Andrew W. In: Management Science. RePEc:inm:ormnsc:v:71:y:2025:i:9:p:7537-7559.

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2024Experimenting with Financial Professionals. (2024). Marini, Matteo M. ; Huber, Christoph ; Konig-Kersting, Christian. In: Working Papers. RePEc:inn:wpaper:2022-07.

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2025The Sources of Researcher Variation in Economics. (2025). Huntington-Klein, Nick ; Gallegos, Sebastian ; Portner, Claus C. In: IZA Discussion Papers. RePEc:iza:izadps:dp17744.

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2024The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins. (2024). Kiran, Seluk ; Soylu, Pinar Kaya ; Baci, Mahmut. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:5:d:10.1007_s10614-023-10532-x.

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2025Prediction and Allocation of Stocks, Bonds, and REITs in the US Market. (2025). Silva, Nuno ; Monteiro, Ana Sofia ; Sebastiao, Helder. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10589-2.

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2025Extending the demand system approach to asset pricing. (2025). Gehrig, Thomas ; Westerkamp, Arne ; Sgner, Leopold. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:1:d:10.1007_s11408-024-00463-4.

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2025Front Running 2.0: An Ethical Evaluation of Selected Strategies of High-frequency Traders from a Non-utilitarian Perspective. (2025). Blachnio-Parzych, Anna. In: Journal of Business Ethics. RePEc:kap:jbuset:v:202:y:2025:i:3:d:10.1007_s10551-025-06008-7.

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2024Price Exuberance and Contagion across Housing Markets: Evidence from US Metropolitan Areas. (2024). Escobari, Diego ; Shahedur, MD ; Damianov, Damian S. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:1:d:10.1007_s11146-022-09925-w.

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2024Current Account Imbalances, Real Exchange Rates, and Nominal Exchange Rate Variability. (2024). Velic, Adnan. In: Open Economies Review. RePEc:kap:openec:v:35:y:2024:i:3:d:10.1007_s11079-022-09673-7.

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2024Do Anomalies Really Predict Market Returns? New Data and New Evidence. (2024). Cakici, Nusret ; Metko, Daniel ; Fieberg, Christian ; Zaremba, Adam. In: Review of Finance. RePEc:oup:revfin:v:28:y:2024:i:1:p:1-44..

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2025The insights from the crowd: Drawing inferences from many approaches to key empirical questions in international business. (2025). Nuruzzaman, N ; Li, Yuanyuan ; Delios, Andrew ; Carneiro, Jorge ; Qiao, Wei ; Deng, Shu ; Chakravarty, Dwarka ; Zhou, Nan ; Wang, Yong ; Velez-Calle, Andres ; Yu, Jing ; Liu, Wei ; Yadav, Sandeep ; Huang, Dongdong ; Bahl, Mona ; Matsumoto, Yoichi ; Tumasjan, Andranik ; Yan, Jiaju ; Chen, Weihong ; Sivakumar, Sandeep ; Dikova, Desislava ; Zhang, Megan ; Kubek, Ale ; Kim, Hyun Gon ; Vincent, Racheal Louis ; Varshney, Mayank ; Gada, Viswa Prasad ; Tinits, Priit ; Tolstoy, Daniel ; Stallkamp, Maximilian ; Zhao, Yang ; Bathula, Hanoku ; Panicker, Vidya Sukumara ; Parboteeah, Praveen K ; Wagner, Chris ; Basu, Madhurima ; Ljubownikow, Grigorij ; Dau, Luis Alfonso ; Batsakis, Georgios ; Wu, Tao ; Soon, Pei-Shan ; Niu, Chao ; Wen, Liang ; Fan, Xiaomin ; Ahsan, Faisal M ; Bai, Tao ; Manocha, Parul ; Mumi, Atthaphon ; Shi, Lei ; Sethuram, Shyamala ; Sinani, Evis ; MacHek, Ondej ; Lien, Yung-Chih ; Shen, AO ; Uhlmann, Eric. In: Journal of International Business Studies. RePEc:pal:jintbs:v:56:y:2025:i:9:d:10.1057_s41267-025-00808-9.

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2025Analyzing robust dividend payout policy with dynamic panel regression: Application of speed of adjustment to half-life. (2025). Jangphanish, Kittisak ; Tongkong, Supa ; Boonyanet, Wachira. In: PLOS ONE. RePEc:plo:pone00:0316478.

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2025Unemployment invariance hypothesis and labor supply: a test for 31 American countries. (2025). Martín-Román, Ángel ; Martn-Romn, Ngel L ; Mariduea-Larrea, Ngel. In: MPRA Paper. RePEc:pra:mprapa:125831.

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2024High price impact trades identication and its implication for volatility and price efficiency. (2024). Dionne, Georges ; Zhou, Xiaozhou. In: Working Papers. RePEc:ris:crcrmw:2024_003.

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2024The Value of Political Connections of Developers in Residential Land Leasing: Case of Chengdu, China. (2024). Liu, Xuan ; Zheng, Wenfeng ; Kong, Minghui ; Yin, Lirong ; Zhu, Chunwu. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241245226.

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2025The Unemployment Invariance Hypothesis in West Virginia: A Tale of Two Indicators. (2025). Neill, Clinton L ; Stewart, Shamar L ; Beverly, Josh. In: Empirical Economics. RePEc:spr:empeco:v:69:y:2025:i:3:d:10.1007_s00181-025-02770-9.

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2024Optimal portfolio selection with volatility information for a high frequency rebalancing algorithm. (2024). Soylu, Pinar Kaya ; Baci, Mahmut. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00590-3.

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2025Baidu News and the return volatility of Chinese commodity futures: evidence for the sequential information arrival hypothesis. (2025). Xiong, Xiong ; Ma, Junjun ; Zhang, Yuzhao ; Zhao, Ruwei. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00753-4.

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2026Investigation of Swedish Krona exchange rate volatility using APARCH-Support Vector Regression. (2026). Kim Karlsson, Hyunjoo ; Li, Yushu. In: Financial Innovation. RePEc:spr:fininn:v:12:y:2026:i:1:d:10.1186_s40854-026-00910-3.

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2024Modelling Financial Development in the Private Sector, FDI, and Sustainable Economic Growth in sub-Saharan Africa: ARDL Bound Test-FMOLS, DOLS Robust Analysis. (2024). Olorogun, Lukman A. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:15:y:2024:i:2:d:10.1007_s13132-023-01224-w.

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2025Generative-Discriminative Machine Learning Models for High-Frequency Financial Regime Classification. (2025). Peters, Gareth W ; Koukorinis, Andreas ; Germano, Guido. In: Methodology and Computing in Applied Probability. RePEc:spr:metcap:v:27:y:2025:i:2:d:10.1007_s11009-025-10148-8.

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2024Artificial intelligence in Finance: a comprehensive review through bibliometric and content analysis. (2024). Cucculelli, Marco ; Goga, Xhoana ; Bahoo, Salman ; Mondolo, Jasmine. In: SN Business & Economics. RePEc:spr:snbeco:v:4:y:2024:i:2:d:10.1007_s43546-023-00618-x.

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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]		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]		article229
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: 229		paper
2015Interactions among high-frequency traders In: Bank of England working papers.
[Full Text][Citation analysis]		paper22
2017Interactions among High-Frequency Traders.(2017) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2016Interactions among High-Frequency Traders.(2016) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2010Predicting Global Stock Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article159
2008Predicting global stock returns.(2008) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 159		paper
2011New Methods for Inference in Long-Horizon Regressions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article31
2019Stock Price Co-Movement and the Foundations of Pairs Trading In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article4
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]		article1
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]		article7
2006Fully modified estimation with nearly integrated regressors.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2008The Stambaugh bias in panel predictive regressions In: Finance Research Letters.
[Full Text][Citation analysis]		article17
2007The Stambaugh bias in panel predictive regressions.(2007) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		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]		article3
2021The evolution of price discovery in an electronic market In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article10
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: 10		paper
2009Efficiency in housing markets: Which home buyers know how to discount? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article14
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]		article18
2009Characteristic-based mean-variance portfolio choice.(2009) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2009What drives volatility persistence in the foreign exchange market? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article64
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: 64		paper
2020Heterogeneity in households’ expectations of housing prices – evidence from micro data In: Journal of Housing Economics.
[Full Text][Citation analysis]		article3
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: 3		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: 3		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]		paper106
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: 106		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: 106		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]		paper5
2000Nord Pool: A Power Market Without Market Power In: Working Papers in Economics.
[Full Text][Citation analysis]		paper26
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
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper28
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]		article2
2022Long‐run predictability tests are even worse than you thought In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article2

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