Birger Nilsson

Lund University - Department of Economics

P.O. Box 7082

S-220 07 Lund

Sweden

SCHOLARLY PAPERS

10

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CITATIONS
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Top 33,235

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6

Scholarly Papers (10)

1.

Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon

EFMA 2002 London Meetings
Number of pages: 26 Posted: 28 May 2002
Andreas Graflund and Birger Nilsson
Lund University - Department of Economics and Lund University - Department of Economics
Downloads 367 (63,692)
Citation 5

Abstract:

intertemporal hedging, dynamic portfolio selection, regime switching

2.

Forecasting Volatility States and Active Portfolio Strategies

Number of pages: 21 Posted: 21 Mar 2002
Mattias Persson and Birger Nilsson
Sveriges Riksbank and Lund University - Department of Economics
Downloads 348 (70,339)

Abstract:

3.

Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK

FRB of St. Louis Working Paper No. 2007-016D
Number of pages: 32 Posted: 13 Apr 2007
Stockholm University - Stockholm Business School, Federal Reserve Bank of St. Louis - Research Division, University of Birmingham - Department of Accounting and Finance, Lund University and Lund University - Department of Economics
Downloads 229 (74,985)

Abstract:

Portfolio choice, Utility maximization, Full-Scale Optimization, S-shaped utility, bilinear utility

4.

The Components of the Illiquidity Premium: An Empirical Analysis of U.S. Stocks 1927-2010

Journal of Banking and Finance, Forthcoming
Number of pages: 51 Posted: 22 Aug 2011 Last Revised: 14 Feb 2013
Björn Hagströmer, Bjorn Hansson and Birger Nilsson
Stockholm University - Stockholm Business School, Lund University - Department of Economics and Lund University - Department of Economics
Downloads 199 (110,068)

Abstract:

illiquidity level premium, illiquidity risk premium, conditional LCAPM, effective tick

5.

Dynamics in Systematic Liquidity

FRB of St. Louis Working Paper No. 2009-025A
Number of pages: 36 Posted: 27 May 2009
Stockholm University - Stockholm Business School, Federal Reserve Bank of St. Louis - Research Division, University of Birmingham - Department of Accounting and Finance and Lund University - Department of Economics
Downloads 97 (217,011)

Abstract:

systematic liquidity, market liquidity, commonality, dynamic principal component analysis, robust PCA

6.

Does Commonality in Illiquidity Command a Risk Premium?

Number of pages: 36 Posted: 23 Jun 2013 Last Revised: 04 Jan 2017
Federal Reserve Bank of St. Louis - Research Division, University of Birmingham - Department of Accounting and Finance, Stockholm University - Stockholm Business School and Lund University - Department of Economics
Downloads 40 (279,394)

Abstract:

commonality, commonality risk premium, asset illiquidity, systematic illiquidity, liquidity, effective tick

7.

New York Mark‐Ups on Petroleum Products

The Manchester School, Vol. 80, Issue 2, pp. 145-171, 2012
Number of pages: 27 Posted: 22 Feb 2012
Aston University - Aston Business School, Lund University - Department of Economics, University of Birmingham - Department of Accounting and Finance, Aston University - Economics and Strategy Group and affiliation not provided to SSRN
Downloads 3 (536,977)
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Abstract:

8.

Meanvariance Versus Full-Scale Optimization: Broad Evidence for the UK

Manchester School, Vol. 76, No. S1, pp. 134-156, September 2008
Number of pages: 23 Posted: 18 Aug 2008
Stockholm University - Stockholm Business School, Federal Reserve Bank of St. Louis - Research Division, University of Birmingham - Department of Accounting and Finance, Lund University and Lund University - Department of Economics
Downloads 2 (544,165)
Citation 1
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Abstract:

9.

Foreign Institutional Investment, Ownership, and Liquidity: Real and Informational Frictions

Financial Review, Vol. 52, Issue 1, pp. 101-144, 2017
Number of pages: 44 Posted: 15 Jan 2017
Mingfa Ding, Birger Nilsson and Sandy Suardi
Lund University - Department of Economics, Lund University - Department of Economics and University of Wollongong
Downloads 0 (568,467)
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Abstract:

liquidity, foreign institutional investor, QFII, real friction, informational friction

10.

Cross-Commodity News Transmission and Volatility Spillovers in the German Energy Markets

Number of pages: 51 Posted: 06 Apr 2016 Last Revised: 31 May 2017
Lund University - Department of Economics, Statistics Sweden, Knut Wicksell Centre for Financial Studies, Lund University and Lund University - Department of Economics
Downloads 0 (378,985)

Abstract:

Energy Forward Markets, Time-Varying Volatility Spillovers, Volatility Impulse Response Function, Skew-Student Asymmetric BEKK