Birger Nilsson

Lund University - Department of Economics

P.O. Box 7082

S-220 07 Lund

Sweden

SCHOLARLY PAPERS

7

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Scholarly Papers (7)

1.

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

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 445 (117,093)
Citation 7

Abstract:

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intertemporal hedging, dynamic portfolio selection, regime switching

2.

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 418 (125,970)
Citation 2

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

3.

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 385 (138,283)

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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 346 (155,521)
Citation 3

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

5.

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 139 (366,736)

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

6.

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 136 (372,963)

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

7.

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

Number of pages: 47 Posted: 06 Apr 2016 Last Revised: 23 Oct 2017
Energy Quant Solutions Sweden, Örebro University, Knut Wicksell Centre for Financial Studies, Lund University and Lund University - Department of Economics
Downloads 80 (538,529)
Citation 1

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