Erik Hjalmarsson : Citation Profile

Göteborgs Universitet

13

H index

13

i10 index

791

Citations

RESEARCH PRODUCTION:

23

Articles

37

Papers

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 35
   Journals where Erik Hjalmarsson has often published
   Relations with other researchers
   Recent citing documents: 80.    Total self citations: 19 (2.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phj8
   Updated: 2025-12-20    RAS profile: 2023-01-24    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Österholm, Pär (3)

Kassner, Bernhard (2)

Smales, Lee (2)

Zhou, Chen (2)

Xia, Shuo (2)

Horenstein, Alex (2)

Shachar, Or (2)

Kearney, Fearghal (2)

Nielsson, Ulf (2)

Stefanova, Denitsa (2)

Talavera, Oleksandr (2)

LINTON, OLIVER (2)

Roy, Saurabh (2)

Pasquariello, Paolo (2)

FERROUHI, EL MEHDI (2)

Holzmeister, Felix (2)

Zhang, S. Sarah (2)

Vilkov, Grigory (2)

Dreber, Anna (2)

Schuerhoff, Norman (2)

Colliard, Jean-Edouard (2)

CAPELLE-BLANCARD, Gunther (2)

Regis, Luca (2)

Frömmel, Michael (2)

Hautsch, Nikolaus (2)

Bohorquez Correa, Santiago (2)

Scaillet, Olivier (2)

Pastor, Lubos (2)

Korajczyk, Robert (2)

Voigt, Stefan (2)

Vogel, Sebastian (2)

Lopez-Lira, Alejandro (2)

Park, Andreas (2)

He, Xuezhong (Tony) (2)

Verousis, Thanos (2)

Jalkh, Naji (2)

Deku, Solomon (2)

Wolff, Christian (2)

Gorbenko, Arseny (2)

Rinne, Kalle (2)

Brownlees, Christian (2)

Moinas, Sophie (2)

Roy, Saurabh (2)

Walther, Thomas (2)

Tonks, Ian (2)

Chernov, Mikhail (2)

Wong, Wing-Keung (2)

Füllbrunn, Sascha (2)

Johannesson, Magnus (2)

Reitz, Stefan (2)

Harris, Jeffrey (2)

Gerritsen, Dirk (2)

Deev, Oleg (2)

Bjønnes, Geir (2)

Bouri, Elie (2)

Palan, Stefan (2)

Dimpfl, Thomas (2)

Schwarz, Marco (2)

Patel, Vinay (2)

Patton, Andrew (2)

Schenk-Hoppé, Klaus (2)

Sojli, Elvira (2)

van Kervel, Vincent (2)

Alexeev, Vitali (2)

Hurlin, Christophe (2)

Ranaldo, Angelo (2)

Ferrara, Gerardo (2)

Jurkatis, Simon (2)

Sarno, Lucio (2)

Pelizzon, Loriana (2)

Prokopczuk, Marcel (2)

Dumitrescu, Ariadna (2)

Putnins, Talis (2)

Ødegaard, Bernt (2)

Gehrig, Thomas (2)

Theissen, Erik (2)

Söderlind, Paul (2)

Rakowski, David (2)

Menkveld, Albert (2)

Ait-Sahalia, Yacine (2)

Adrian, Tobias (2)

Lajaunie, Quentin (2)

Xiu, Dacheng (2)

Renault, Thomas (2)

Frijns, Bart (2)

Caporin, Massimiliano (2)

Huang, Wenqian (2)

Lof, Matthijs (2)

Mihet, Roxana (2)

Bos, Charles (2)

Foucault, Thierry (2)

Heath, Davidson (2)

Taylor, Nick (2)

Davies, Ryan (2)

Liew, Chee (2)

Abudy, Menachem (2)

Degryse, Hans (2)

Wilhelmsson, Anders (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)

Ranaldo, Angelo (9)

Sarno, Lucio (8)

Ozdemir, Zeynel (7)

Maynard, Alex (7)

tansel, aysıt (7)

Huber, Christoph (6)

Pastor, Lubos (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)

Andersen, Torben (11)

Stock, James (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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Nickell 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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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..

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Mission-oriented R&D and growth of Japan 1988–2016: a comparison with private and public R&D. (2024). Ziesemer, Thomas. In: Economics of Innovation and New Technology. RePEc:taf:ecinnt:v:33:y:2024:i:2:p:218-247.

Full description at Econpapers || Download paper

2025Does Pair Trading Still Work During Extreme Events? A Comprehensive Empirical Evidence from Chinese Stock Market. (2025). Sun, Yufei. In: Working Papers. RePEc:war:wpaper:2025-23.

Full description at Econpapers || Download paper

2025The Memory in Return Volatility: An Analysis of Mutual Fund Returns. (2025). Duan, Kun ; Yao, Kai ; Chevapatrakul, Thanaset ; Huang, Rong. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:2930-2945.

Full description at Econpapers || Download paper

2025A choice-based approach to the measurement of inflation expectations. (2025). Goldfayn-Frank, Olga ; Kieren, Pascal ; Trautmann, Stefan T. In: Discussion Papers. RePEc:zbw:bubdps:328248.

Full description at Econpapers || Download paper

2024Heterogeneity in Effect Size Estimates: Empirical Evidence and Practical Implications. (2024). Johannesson, Magnus ; Holzmeister, Felix ; Dreber, Anna ; Böhm, Robert ; Bohm, Robert ; Kirchler, Michael ; Huber, Jurgen. In: I4R Discussion Paper Series. RePEc:zbw:i4rdps:102.

Full description at Econpapers || Download paper

2025The Sources of Researcher Variation in Economics. (2025). Williams, Kevin ; Ward, Zachary ; Tagat, Anirudh ; Szczygielski, Krzysztof ; Spantig, Lisa ; Salamanca, Nicolas ; Samahita, Margaret ; Roy, Jayjit ; Reuter, Anna ; Reimão, Maira ; Rayamajhee, Veeshan ; Pugatch, Todd ; Putman, Daniel ; Pörtner, Claus ; Porcher, Simon ; McCarthy, Ian ; Marcus, Jan ; Long, Dede ; LaFave, Daniel ; Klotzbücher, Valentin ; Kim, Sie Won ; Huntington-Klein, Nick ; Holzmeister, Felix ; Henningsen, Arne ; Henderson, Daniel ; Gay, Victor ; Gallegos, Sebastian ; Gamino, Aaron ; Fumarco, Luca ; Fitzpatrick, Anne ; Feld, Jan ; de Gendre, Alexandra ; Crawfurd, Lee ; Buisson, Florent ; Brehm, Margaret ; Bhai, Moiz ; Bech-Wysocka, Katarzyna ; Berniell, Inés ; Avdeev, Stanislav ; Angenendt, David ; Antón, José Ignacio ; Akbulut-Yuksel, Mevlude ; Deer, Lachlan ; Najam, Rafiuddin ; Wang, Yue ; Prtner, Claus C ; Ropovik, Ivan ; Baker, Bradley J ; Fradkin, Andrey ; Andresen, Martin Eckhoff ; Pitknen, Visa ; Smith, Brock ; Cullinan, John ; Ozer, Gorkem Turgut ; Hill, Andrew J ; Waters, Tom ; Adamkovic, Matus ; Gazeaud, Jules ; Mogge, Lukas ; Bandara, Imesh Nuwan ; Kronenberg, Christoph ; Naumann, Elias ; Sorensen, Lucy C ; Petroulakis, Filippos ; Herns, Ystein ; Weber, Ellerie ; Acharya, Yubraj ; Gayaker, Savas ; Merkus, Erik ; Bansal, Avijit ; Fiala, Nathan ; Klotzbcher, Valentin ; Miller, Klaus M ; Brun, Martn ; Paudel, Jayash ; Herman, Clment ; Weinberg, Stephen E ; Collins, Matthew ; Ahmad, Imtiaz ; Meinzen-Dick, Laura ; Bartram, David ; Feyman, Yevgeniy ; Huysmans, Martijn ; Burli, Pralhad ; Peukert, Christian ; Henry, Junita ; Weissmller, Kristina S ; Clement, Jeffrey ; Adema, Joop ; Gauriot, Romain ; Samudra, Aparna ; Karney, Daniel H ; Camp, Andrew M ; Prakash, Manab ; Westheide, Christian ; Reimao, Maira Emy ; Chen, Weiwei ; Mari, Gabriele ; Sanogo, Vassiki ; Bennett, Christopher Troy ; Farquharson, Christine ; Kameshwara, Kalyan Kumar ; Berha, Andu ; Tastan, Huseyin ; Cerutti, Nicola ; Heller, Blake H ; Arenas, Andreu ; Galrraga, Julio ; Sariyev, Orkhan ; Falken, Grace ; Kaire, Jos ; Agasa, Lameck Ondieki ; Trombetta, Martin ; Harris, Mark N ; Ricks, Michael David ; Antn, Jos-Ignacio ; Schaak, Henning ; Bhattacharya, Shreya ; Fages, Diego Marino ; Jakobsson, Niklas ; Venkatesan, Madhavi ; Goldhaber, Dan ; Rios-Avila, Fernando ; Aslim, Erkmen Giray ; Ligey, Maxime ; Segel, Joel E ; Duquette, Nicolas J ; Jain, Anil K ; Vernet, Antoine ; Girardi, Daniele ; Zahid, Muhammad Umer ; Rodriguez, Abel ; Lee, Ryan ; Wagner, Gary A ; Sievertsen, Hans Henrik ; Bjoerkheim, Markus ; Dorsey-Palmateer, Reid ; Nmadu, Job Nda ; Imtiaz, Saad M ; Volkov, Eden ; Woahid, S M ; Gilpin, Gregory ; Zanoli, Raffaele ; Roeckert, Julian ; Bacher-Hicks, Andrew ; French, Evaewero ; Lang, David ; Smet, Mike ; Bloem, Jeffrey R. In: I4R Discussion Paper Series. RePEc:zbw:i4rdps:209.

Full description at Econpapers || Download paper

2024A note on the use of syndicated loan data. (2024). Tonzer, Lena ; Muller, Isabella ; Noth, Felix. In: IWH Discussion Papers. RePEc:zbw:iwhdps:172022.

Full description at Econpapers || Download paper

2024Algorithmic Trading, Price Efficiency and Welfare: An Experimental Approach. (2024). Siemroth, Christoph ; Desantis, Mark ; Corgnet, Brice. In: VfS Annual Conference 2024 (Berlin): Upcoming Labor Market Challenges. RePEc:zbw:vfsc24:302411.

Full description at Econpapers || Download paper

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]		article219
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: 219		paper
2015Interactions among high-frequency traders In: Bank of England working papers.
[Full Text][Citation analysis]		paper21
2017Interactions among High-Frequency Traders.(2017) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		article
2016Interactions among High-Frequency Traders.(2016) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2010Predicting Global Stock Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article158
2008Predicting global stock returns.(2008) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 158		paper
2011New Methods for Inference in Long-Horizon Regressions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article28
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]		article16
2007The Stambaugh bias in panel predictive regressions.(2007) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		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]		article8
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: 8		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]		article17
2009Characteristic-based mean-variance portfolio choice.(2009) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2009What drives volatility persistence in the foreign exchange market? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article62
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: 62		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]		paper105
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: 105		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: 105		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]		paper25
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]		paper14
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]		article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team