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Recent working papers

Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change (2012)
Liudas Giraitis, George Kapetanios, Simon Price
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Erik Hjalmarsson

Erik Hjalmarsson
Professor

Room number: W408
Tel: +44 20 7882 8831
Fax: +44 20 8983 3580
Email: e.hjalmarsson@qmul.ac.uk
Office hours: By appointment only (not teaching this semester)
Download CV:
application/pdf iconerik-hjalmarsson-cv.pdf


Research keywords: Empirical Asset Pricing and Portfolio Choice, Empirical Market Microstructure, Volatility Modeling and Estimation, Financial Econometrics, Time Series Econometrics


Selected publications

  • “New Methods for Inference in Long-Horizon Regressions”, Journal of Financial and Quantitative Analysis, Forthcoming.
  • Testing for CointegrationUsing the Johansen Methodology when Variables are Near Integrated: Size Distortions and Partial Remedies” (with Pär Österholm), Empirical Economics, Vol. 39, No. 1, August 2010, pp. 51-76.
  • “Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Markets” (with Benjamin Chiquoine, Alain Chaboud, and Mico Loretan). Journal of Empirical Finance, Vol. 17, No. 2, March 2010, pp. 212-240.
  • “Predicting Global Stock Returns”, Journal of Financial and Quantitative Analysis, Vol. 45, No. 1, February 2010, pp. 49-80.
  • “Jackknifing Stock Return Predictions” (with Benjamin Chiquoine), Journal of Empirical Finance, Vol. 16, No. 5, December 2009, pp. 793-803.
  • “What Drives Volatility Persistence in the Foreign Exchange Market?” (with David Berger and Alain Chaboud), Journal of Financial Economics, Vol. 94, No. 2, November 2009, pp. 192-213.
  • “Efficiency in Housing Markets: Which Home-Buyers Know How to Discount?” (with Randi Hjalmarsson), Journal of Banking and Finance, Vol. 33, No. 11, November 2009, pp. 2150-2163.
  • “Testing the expectations hypothesis when interest rates are near integrated” (with Meredith Beechey and Pär Österholm), Journal of Banking and Finance, Vol. 33, No. 5, May 2009, pp. 934-943.
  • “Interpreting long-horizon estimates in predictive regressions”, Finance Research Letters, Vol. 5, No. 2, June 2008, pp. 104-117.
  • “The Stambaugh bias in panel predictive regressions”, Finance Research Letters, Vol. 5, No. 1, March 2008, pp. 47-58.
  • “Fully modified estimation with nearly integrated regressors”, Finance Research Letters, Vol. 4, No. 2, June 2007, pp. 92-94.