Erik Hjalmarsson : Citation Profile

Are you Erik Hjalmarsson?

Göteborgs Universitet

12

H index

12

i10 index

661

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: 75.    Total self citations: 19 (2.79 %)

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   Permalink: http://citec.repec.org/phj8
   Updated: 2023-11-04    RAS profile: 2023-01-24    
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Relations with other researchers

Works with:

Österholm, Pär (6)

Colliard, Jean-Edouard (2)

Nielsson, Ulf (2)

Putnins, Talis (2)

Vilkov, Grigory (2)

He, Xuezhong (Tony) (2)

Hautsch, Nikolaus (2)

FERROUHI, EL MEHDI (2)

Foucault, Thierry (2)

Bos, Charles (2)

Renault, Thomas (2)

Xiu, Dacheng (2)

PASCUAL, ROBERTO (2)

Brownlees, Christian (2)

Hurlin, Christophe (2)

Caporin, Massimiliano (2)

Ferrara, Gerardo (2)

van Kervel, Vincent (2)

Pastor, Lubos (2)

Wolff, Christian (2)

Reitz, Stefan (2)

Deev, Oleg (2)

Sarno, Lucio (2)

Dimpfl, Thomas (2)

Holzmeister, Felix (2)

Ranaldo, Angelo (2)

Lajaunie, Quentin (2)

Lof, Matthijs (2)

Liew, Chee (2)

Sojli, Elvira (2)

Verousis, Thanos (2)

Park, Andreas (2)

Taylor, Nick (2)

Pelizzon, Loriana (2)

Rinne, Kalle (2)

Rakowski, David (2)

Xia, Shuo (2)

Jurkatis, Simon (2)

Zhou, Chen (2)

Palan, Stefan (2)

LINTON, OLIVER (2)

Frijns, Bart (2)

Dumitrescu, Ariadna (2)

Kassner, Bernhard (2)

Tonks, Ian (2)

Mihet, Roxana (2)

Chernov, Mikhail (2)

Kiss, Tamas (2)

Menkveld, Albert (2)

Bouri, Elie (2)

Scaillet, Olivier (2)

Ait-Sahalia, Yacine (2)

Schuerhoff, Norman (2)

Adrian, Tobias (2)

Regis, Luca (2)

Patel, Vinay (2)

Dreber, Anna (2)

Walther, Thomas (2)

Harris, Jeffrey (2)

Moinas, Sophie (2)

Bohorquez Correa, Santiago (2)

Theissen, Erik (2)

Ødegaard, Bernt (2)

Horenstein, Alex (2)

Smales, Lee (2)

Patton, Andrew (2)

Wong, Wing-Keung (2)

Heath, Davidson (2)

Gorbenko, Arseny (2)

Prokopczuk, Marcel (2)

Gerritsen, Dirk (2)

Lopez-Lira, Alejandro (2)

Abudy, Menachem (2)

Wilhelmsson, Anders (2)

Kearney, Fearghal (2)

Schwarz, Marco (2)

Chow, Nikolai Sheung-Chi (2)

Roy, Saurabh (2)

Frömmel, Michael (2)

Stefanova, Denitsa (2)

Korajczyk, Robert (2)

Davies, Ryan (2)

CAPELLE-BLANCARD, Gunther (2)

Jalkh, Naji (2)

Alexeev, Vitali (2)

Deku, Solomon (2)

Talavera, Oleksandr (2)

Pasquariello, Paolo (2)

Vogel, Sebastian (2)

Johannesson, Magnus (2)

Gehrig, Thomas (2)

Schenk-Hoppé, Klaus (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)

Narayan, Paresh (9)

Rime, Dagfinn (9)

Sarno, Lucio (8)

tansel, aysıt (7)

Ozdemir, Zeynel (7)

Stambaugh, Robert (6)

Pastor, Lubos (6)

Ranaldo, Angelo (6)

Nitschka, Thomas (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)

Andersen, Torben (11)

Stock, James (11)

Main data

Where Erik Hjalmarsson has published?

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

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

Recent works citing Erik Hjalmarsson (2023 and 2022)

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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2022Exploring the Forms of the Economic Effects of Renewable Energy Consumption: Evidence from China. (2022). Huang, Panpan ; He, Yugang. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:13:p:8212-:d:856334.

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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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2022Supervised portfolios. (2022). Raffinot, Thomas ; Coqueret, Guillaume ; Chevalier, Guillaume. In: Post-Print. RePEc:hal:journl:hal-04144588.

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2022Information Salience and Mispricing in Housing. (2022). Karapetyan, Artashes ; Agarwal, Sumit. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:12:p:9082-9106.

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

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2022Investor Base Dynamics and Sovereign Bond Yield Volatility. (2022). Piscarreta, Carlos Alberto. In: Working Papers REM. RePEc:ise:remwps:wp02342022.

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

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

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

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

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

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

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2022Short- and long-run growth effects of fiscal policy in Bangladesh. (2022). Hossain, Muhammad Shahadat ; Rahman, Sultan Hafeez. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:9:d:10.1007_s43546-022-00326-y.

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2022High?frequency data and stock–bond investing. (2022). Lai, Yusheng. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:8:p:1623-1638.

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2022Algorithmic trading and market quality: Evidence from the Taiwan index futures market. (2022). Chou, Robin K ; Chang, Yakai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1837-1855.

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2022Connectivity costs and price efficiency: An event study. (2022). Webb, Robert I ; Mollica, Vito ; Kovacevic, Ognjen ; Frino, Alex. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:2:p:296-309.

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2022A trend factor in commodity futures markets: Any economic gains from using information over investment horizons?. (2022). Kong, Lingfei ; Han, Yufeng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:803-822.

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2022A note on the use of syndicated loan data. (2022). Tonzer, Lena ; Noth, Felix ; Muller, Isabella. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

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2022High-frequency trading during flash crashes: Walk of fame or hall of shame?. (2020). Reno, Roberto ; Pelizzon, Loriana ; Kolokolov, Aleksey ; Christensen, Kim ; Bellia, Mario. In: SAFE Working Paper Series. RePEc:zbw:safewp:270.

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2022.

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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]		paper18
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 another version. Agregated cites: 18		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 another version. Agregated cites: 18		paper
2014Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market In: Journal of Finance.
[Full Text][Citation analysis]		article186
2009Rise of the machines: algorithmic trading in the foreign exchange market.(2009) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 186		paper
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