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Hjalmarsson, Erik's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
4,564 |
Total
Citations
80 |
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1.
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Vega, Clara
Board of Governors of the Federal Reserve System Chiquoine, Ben
Federal Reserve Board - Division of International Finance
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06 Nov 09
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Last Revised:
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21 Feb 13
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1,919
(3,033)
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39
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algorithmic trading, volatility, liquidity provision, private information
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2.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance
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596
(20,143)
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12
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Cross-sectional dependence, Panel data, Pooled regression, Predictive regression, Stock return predictability
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3.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance
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441
(30,066)
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Diversification, portfolio choice, stock characteristics
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4.
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Berger, David W.
U.S. Board of Governors of the Federal Reserve System - Division of International Finance Chaboud, Alain
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Howorka, Edward
EBS Group Limited
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207
(72,257)
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8
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Volatility persistence, news sensitivity, exchange rates, long memory
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5.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance
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181
(82,379)
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5
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Stock return predictability, Out-of-sample tests
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6.
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Chiquoine, Ben
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance
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149
(98,568)
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Bias correction, Jackknifing, Predictive regression, Stock return predictability
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7.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Österholm, Pär
International Monetary Fund (IMF)
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149
(98,568)
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4
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Working Paper, Financial integration, Economic models
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8.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance
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138
(105,287)
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1
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Cross-sectional dependence, Panel data, Pooled regression, Predictive regression, Stock return predictability.
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9.
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Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets
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Show Abstracts |
Hide Abstracts |
Versions (2)
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hide multiple versions |
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Chiquoine, Ben
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Loretan, Mico
IMF Institute, International Monetary Fund
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Posted:
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06 Nov 07
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Last Revised:
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23 Apr 08
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123
(115,769)
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4
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Chiquoine, Ben
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Loretan, Mico
IMF Institute, International Monetary Fund
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41
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4
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realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity
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Chaboud, Alain
Federal Reserve Board - Division of International Finance Chiquoine, Ben
Federal Reserve Board - Division of International Finance Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Loretan, Mico
IMF Institute, International Monetary Fund
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82
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4
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Realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity
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10.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Manchev, Peter B.
International Monetary Fund (IMF)
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112
(124,621)
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mean-variance analysis, momentum strategies, portfolio choice, stock characteristics, value strategies
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11.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance
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111
(125,475)
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3
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Predictive regressions, long-horizon regressions, stock return predictability
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12.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance
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100
(135,253)
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Panel data, pooled regression, predictive regression, stock return predictability
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13.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Österholm, Pär
Uppsala University - Department of Economics
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95
(140,031)
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1
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Bonferroni test, cointegration, near unit roots
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14.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance
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56
(190,220)
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1
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Fully modified estimation, Near-unit-roots, Predictive regressions
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15.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance
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51
(198,748)
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Predictive regressions, long-horizon regressions, stock return predictability
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16.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Hjalmarsson, Randi
University of Maryland - School of Public Policy
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48
(204,216)
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2
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Housing markets, Market efficiency, Cooperative housing
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17.
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Beechey, Meredith J.
Monetary Policy Division, Sveriges Riksbank Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance Österholm, Pär
Uppsala University - Department of Economics
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47
(206,083)
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Bonferroni tests, cointegration, expectations hypothesis, near integration, term premium
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18.
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Hjalmarsson, Erik
Queen Mary - University of London, School of Economics and Finance
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41
(217,855)
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Local-to-unity, panel data, pooled regression, median estimation, bias correction
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