Erik Hjalmarsson

University of Gothenburg - Centre for Finance

Box 640

Gothenburg, 403 50

Sweden

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 5,227

SSRN RANKINGS

Top 5,227

in Total Papers Downloads

8,166

SSRN CITATIONS
Rank 8,516

SSRN RANKINGS

Top 8,516

in Total Papers Citations

53

CROSSREF CITATIONS

65

Scholarly Papers (23)

1.

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market

Journal of Finance, 69, pp. 2045-2084., FRB International Finance Discussion Paper No. 980
Number of pages: 42 Posted: 06 Nov 2009 Last Revised: 18 Mar 2015
Alain Chaboud, Ben Chiquoine, Erik Hjalmarsson and Clara Vega
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Board of Governors of the Federal Reserve System
Downloads 3,949 (2,357)
Citation 72

Abstract:

Loading...

algorithmic trading, volatility, liquidity provision, private information

2.

Predicting Global Stock Returns

Board of Governors of the Federal Reserve System, International Finance Discussion Paper No. 933
Number of pages: 56 Posted: 10 Jul 2008
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 682 (37,932)
Citation 10

Abstract:

Loading...

Cross-sectional dependence, Panel data, Pooled regression, Predictive regression, Stock return predictability

3.

Stock Price Co-Movement and the Foundations of Pairs Trading

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 55 Posted: 10 Feb 2018
Adam Farago and Erik Hjalmarsson
University of Gothenburg - Centre for Finance and University of Gothenburg - Centre for Finance
Downloads 580 (47,028)

Abstract:

Loading...

Pairs trading, Stock price co-movement, Cointegration

4.

Diversification Across Characteristics

FRB International Finance Discussion Paper No. 986
Number of pages: 15 Posted: 11 Mar 2010
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 574 (47,707)

Abstract:

Loading...

Diversification, portfolio choice, stock characteristics

5.

What Drives Volatility Persistence in the Foreign Exchange Market?

FRB International Finance Discussion Paper No. 862
Number of pages: 56 Posted: 07 Jun 2006
U.S. Board of Governors of the Federal Reserve System - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and EBS Group Limited
Downloads 230 (135,989)
Citation 9

Abstract:

Loading...

Volatility persistence, news sensitivity, exchange rates, long memory

6.

Compound Returns

Number of pages: 81 Posted: 15 Jun 2019 Last Revised: 01 Oct 2019
Adam Farago and Erik Hjalmarsson
University of Gothenburg - Centre for Finance and University of Gothenburg - Centre for Finance
Downloads 212 (147,003)

Abstract:

Loading...

Compound returns, Diversification, Long-run returns, Skewness

7.

Should We Expect Significant Out-of-Sample Results When Predicting Stock Returns?

FRB International Finance Discussion Paper No. 855
Number of pages: 15 Posted: 04 Apr 2006
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 205 (151,803)
Citation 7

Abstract:

Loading...

Stock return predictability, Out-of-sample tests

8.

Testing for Cointegration Using the Johansen Methodology When Variables are Near-Integrated

IMF Working Paper No. 07/141, FRB International Finance Discussion Paper No. 915
Number of pages: 22 Posted: 23 Aug 2007
Erik Hjalmarsson and Pär Österholm
University of Gothenburg - Centre for Finance and International Monetary Fund (IMF)
Downloads 203 (153,184)

Abstract:

Loading...

Working Paper, Financial integration, Economic models

9.

Predictive Regressions with Panel Data

FRB International Finance Discussion Paper No. 869
Number of pages: 44 Posted: 05 Dec 2006
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 179 (171,858)

Abstract:

Loading...

Cross-sectional dependence, Panel data, Pooled regression, Predictive regression, Stock return predictability.

10.

Jackknifing Stock Return Predictions

FRB International Finance Discussion Paper No. 932
Number of pages: 31 Posted: 27 Jun 2008
Ben Chiquoine and Erik Hjalmarsson
Federal Reserve Board - Division of International Finance and University of Gothenburg - Centre for Finance
Downloads 169 (180,758)
Citation 1

Abstract:

Loading...

Bias correction, Jackknifing, Predictive regression, Stock return predictability

11.

Interactions Among High-Frequency Traders

Bank of England Working Paper No. 523
Number of pages: 49 Posted: 27 Feb 2015
Evangelos Benos, James Brugler, Erik Hjalmarsson and Filip Zikes
Bank of England, University of Melbourne - Department of Finance, University of Gothenburg - Centre for Finance and Bank of England
Downloads 153 (196,662)
Citation 5

Abstract:

Loading...

High-frequency trading, correlated trading strategies, price discovery

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

FRB International Finance Discussion Paper No. 905
Number of pages: 54 Posted: 06 Nov 2007
Alain Chaboud, Ben Chiquoine, Erik Hjalmarsson and Mico Loretan
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Swiss National Bank
Downloads 92 (288,346)
Citation 1

Abstract:

Loading...

Realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Financial Markets

BIS Working Paper No. 249
Number of pages: 49 Posted: 16 Apr 2008
Alain Chaboud, Ben Chiquoine, Erik Hjalmarsson and Mico Loretan
Federal Reserve Board - Division of International Finance, Federal Reserve Board - Division of International Finance, University of Gothenburg - Centre for Finance and Swiss National Bank
Downloads 53 (393,156)
Citation 2

Abstract:

Loading...

realized volatility, sampling frequency, market microstructure, bond markets, foreign exchange markets, liquidity

13.

Characteristic-Based Mean-Variance Portfolio Choice

FRB International Finance Discussion Paper No. 981
Number of pages: 30 Posted: 06 Nov 2009
Erik Hjalmarsson and Peter B. Manchev
University of Gothenburg - Centre for Finance and International Monetary Fund (IMF)
Downloads 134 (219,079)
Citation 5

Abstract:

Loading...

mean-variance analysis, momentum strategies, portfolio choice, stock characteristics, value strategies

14.

New Methods for Inference in Long-Run Predictive Regressions

FRB International Finance Discussion Paper No. 853
Number of pages: 44 Posted: 04 Apr 2006
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 129 (225,679)
Citation 8

Abstract:

Loading...

Predictive regressions, long-horizon regressions, stock return predictability

15.

The Stambaugh Bias in Panel Predictive Regressions

FRB International Finance Discussion Paper No. 914
Number of pages: 23 Posted: 30 Jan 2008
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 123 (234,012)
Citation 1

Abstract:

Loading...

Panel data, pooled regression, predictive regression, stock return predictability

16.

A Residual-Based Cointegration Test for Near Unit Root Variables

FRB International Finance Discussion Paper No. 907
Number of pages: 36 Posted: 09 Dec 2007
Erik Hjalmarsson and Pär Österholm
University of Gothenburg - Centre for Finance and Uppsala University - Department of Economics
Downloads 120 (238,298)
Citation 6

Abstract:

Loading...

Bonferroni test, cointegration, near unit roots

17.

Maximal Predictability Under Long-Term Mean Reversion

Number of pages: 36 Posted: 30 Nov 2017 Last Revised: 13 Dec 2017
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 82 (307,480)

Abstract:

Loading...

Return Predictability, Variance Ratios

18.

Fully Modified Estimation with Nearly Integrated Regressors

FRB International Finance Discussion Paper No. 854
Number of pages: 12 Posted: 04 Apr 2006
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 62 (358,824)
Citation 1

Abstract:

Loading...

Fully modified estimation, Near-unit-roots, Predictive regressions

19.

Efficiency in Housing Markets: Do Home Buyers Know How to Discount?

FRB International Finance Discussion Paper No. 879
Number of pages: 47 Posted: 22 Jan 2007
Erik Hjalmarsson and Randi Hjalmarsson
University of Gothenburg - Centre for Finance and University of Maryland - School of Public Policy
Downloads 59 (367,803)
Citation 2

Abstract:

Loading...

Housing markets, Market efficiency, Cooperative housing

20.

Interpreting Long-Horizon Estimates in Predictive Regressions

FRB International Finance Discussion Paper No. 928
Number of pages: 23 Posted: 23 Apr 2008
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 58 (370,866)

Abstract:

Loading...

Predictive regressions, long-horizon regressions, stock return predictability

21.

Testing the Expectations Hypothesis When Interest Rates are Near Integrated

FRB International Finance Discussion Paper No. 953
Number of pages: 38 Posted: 17 Nov 2008
Meredith J. Beechey, Erik Hjalmarsson and Pär Österholm
Monetary Policy Division, Sveriges Riksbank, University of Gothenburg - Centre for Finance and Uppsala University - Department of Economics
Downloads 51 (393,626)
Citation 1

Abstract:

Loading...

Bonferroni tests, cointegration, expectations hypothesis, near integration, term premium

22.

Estimation of Average Local-to-Unity Roots in Heterogenous Panels

FRB International Finance Discussion Paper No. 852
Number of pages: 33 Posted: 04 Apr 2006
Erik Hjalmarsson
University of Gothenburg - Centre for Finance
Downloads 47 (407,430)
Citation 1

Abstract:

Loading...

Local-to-unity, panel data, pooled regression, median estimation, bias correction

23.

Testing Return Predictability with the Dividend-Growth Equation: An Anatomy of the Dog

Number of pages: 26 Posted: 19 Jun 2019 Last Revised: 28 Jun 2019
Erik Hjalmarsson and Tamás Kiss
University of Gothenburg - Centre for Finance and affiliation not provided to SSRN
Downloads 20 (533,460)
Citation 1

Abstract:

Loading...

Predictive regressions, Present-value relationship, Stock-return predictability