Erik Hjalmarsson : Citation Profile

Göteborgs Universitet

13

H index

13

i10 index

757

Citations

RESEARCH PRODUCTION:

23

Articles

37

Papers

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 34
   Journals where Erik Hjalmarsson has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 19 (2.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phj8
   Updated: 2025-04-12    RAS profile: 2023-01-24    
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Relations with other researchers

Works with:

Österholm, Pär (3)

Hautsch, Nikolaus (2)

Nielsson, Ulf (2)

Patton, Andrew (2)

Sarno, Lucio (2)

Foucault, Thierry (2)

Xiu, Dacheng (2)

Bohorquez Correa, Santiago (2)

Moinas, Sophie (2)

LINTON, OLIVER (2)

Tonks, Ian (2)

Ødegaard, Bernt (2)

Hurlin, Christophe (2)

Ranaldo, Angelo (2)

Brownlees, Christian (2)

Zhang, S. Sarah (2)

PASCUAL, ROBERTO (2)

Menkveld, Albert (2)

Scaillet, Olivier (2)

Colliard, Jean-Edouard (2)

Kassner, Bernhard (2)

Harris, Jeffrey (2)

Walther, Thomas (2)

Wolff, Christian (2)

Rakowski, David (2)

Xia, Shuo (2)

FERROUHI, EL MEHDI (2)

Pelizzon, Loriana (2)

Johannesson, Magnus (2)

Wong, Wing-Keung (2)

Wilhelmsson, Anders (2)

Huang, Wenqian (2)

He, Xuezhong (Tony) (2)

Prokopczuk, Marcel (2)

Reitz, Stefan (2)

van Kervel, Vincent (2)

Abudy, Menachem (2)

Dreber, Anna (2)

Gorbenko, Arseny (2)

Pastor, Lubos (2)

Roy, Saurabh (2)

Theissen, Erik (2)

Söderlind, Paul (2)

Horenstein, Alex (2)

Vilkov, Grigory (2)

Bos, Charles (2)

Shachar, Or (2)

Zhou, Chen (2)

Bjønnes, Geir (2)

Gehrig, Thomas (2)

Schenk-Hoppé, Klaus (2)

Liew, Chee (2)

Schuerhoff, Norman (2)

Ait-Sahalia, Yacine (2)

Palan, Stefan (2)

Stefanova, Denitsa (2)

Heath, Davidson (2)

Frijns, Bart (2)

Davies, Ryan (2)

Adrian, Tobias (2)

Voigt, Stefan (2)

Regis, Luca (2)

Holzmeister, Felix (2)

Kearney, Fearghal (2)

Gerritsen, Dirk (2)

Park, Andreas (2)

Vogel, Sebastian (2)

Degryse, Hans (2)

Jurkatis, Simon (2)

Smales, Lee (2)

Alexeev, Vitali (2)

Bouri, Elie (2)

Patel, Vinay (2)

Schwarz, Marco (2)

Verousis, Thanos (2)

Renault, Thomas (2)

Sojli, Elvira (2)

Taylor, Nick (2)

Deku, Solomon (2)

Frömmel, Michael (2)

Mihet, Roxana (2)

Dimpfl, Thomas (2)

Roy, Saurabh (2)

CAPELLE-BLANCARD, Gunther (2)

Putnins, Talis (2)

Jalkh, Naji (2)

Ferrara, Gerardo (2)

Deev, Oleg (2)

Dumitrescu, Ariadna (2)

Lof, Matthijs (2)

Caporin, Massimiliano (2)

Rinne, Kalle (2)

Lopez-Lira, Alejandro (2)

Korajczyk, Robert (2)

Pasquariello, Paolo (2)

Chernov, Mikhail (2)

Talavera, Oleksandr (2)

Füllbrunn, Sascha (2)

Lajaunie, Quentin (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 (8)

Sarno, Lucio (8)

tansel, aysıt (7)

Ozdemir, Zeynel (7)

Nitschka, Thomas (6)

Verona, Fabio (6)

Ziesemer, Thomas (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

Production by document typepaperarticle200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120220510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120220255075Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received20012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202420250255075100Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120220100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 13Most cited documents1234567891011121314150100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201310201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503202504051015h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Erik Hjalmarsson has published?

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

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

Recent works citing Erik Hjalmarsson (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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

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

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

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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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2024Connectedness between oil price shocks and US sector returns: Evidence from TVP-VAR and wavelet decomposition. (2024). Esparcia, Carlos ; Lopez, Raquel ; Jareo, Francisco ; Sevillano, Maria Caridad. 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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2024Non-standard errors in the cryptocurrency world. (2024). Zaremba, Adam ; Poddig, Thorsten ; Gunther, Steffen ; Fieberg, Christian. 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). Wang, Yizhi ; Lin, Yongjia ; Sio-Chong, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001261.

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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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2024Changes in shares outstanding and country stock returns around the world. (2024). Zaremba, Adam ; Chiah, Mardy ; Long, Huaigang ; Umar, Zaghum. 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, Cecile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762.

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

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

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

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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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2024Experimenting with Financial Professionals. (2022). 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). Gallegos, Sebastian ; Huntington-Klein, Nick ; 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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2024Do Anomalies Really Predict Market Returns? New Data and New Evidence. (2024). Zaremba, Adam ; Metko, Daniel ; Fieberg, Christian ; Cakici, Nusret. In: Review of Finance. RePEc:oup:revfin:v:28:y:2024:i:1:p:1-44..

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

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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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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.

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2024.

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2025.

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2024A 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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Works by Erik Hjalmarsson:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		article213
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: 213		paper
2015Interactions among high-frequency traders In: Bank of England working papers.
[Full Text][Citation analysis]		paper19
2017Interactions among High-Frequency Traders.(2017) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2016Interactions among High-Frequency Traders.(2016) In: Working Papers in Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2010Predicting Global Stock Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article146
2008Predicting global stock returns.(2008) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 146		paper
2011New Methods for Inference in Long-Horizon Regressions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article27
2019Stock Price Co-Movement and the Foundations of Pairs Trading In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article3
2019A micro-data analysis of households’ expectations of mortgage rates In: Economics Letters.
[Full Text][Citation analysis]		article1
2021Anchoring in surveys of household expectations In: Economics Letters.
[Full Text][Citation analysis]		article0
2009Jackknifing stock return predictions In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article8
2008Jackknifing stock return predictions.(2008) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2018Maximal predictability under long-term mean reversion In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2007Fully modified estimation with nearly integrated regressors In: Finance Research Letters.
[Full Text][Citation analysis]		article6
2006Fully modified estimation with nearly integrated regressors.(2006) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		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]		article7
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: 7		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]		article16
2009Characteristic-based mean-variance portfolio choice.(2009) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2009What drives volatility persistence in the foreign exchange market? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article59
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: 59		paper
2020Heterogeneity in households’ expectations of housing prices – evidence from micro data In: Journal of Housing Economics.
[Full Text][Citation analysis]		article2
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: 2		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: 2		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]		paper101
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: 101		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: 101		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

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