Till startsida
Sitemap
To content Read more about how we use cookies on gu.se

Erik Hjalmarsson

Professor

Erik Hjalmarsson
Professor
erik.hjalmarsson@economics.gu.se
+46 31 786 1346

Room number: D-512
Postal Address: Box 640, 40530 Göteborg
Visiting Address: Vasagatan 1 , 41124 Göteborg


Department of Economics (More Information)
Box 640
405 30 Göteborg
www.economics.handels.gu.se
nek@handels.gu.se
Visiting Address: Vasagatan 1 , 411 24 Göteborg

About Erik Hjalmarsson

Professor Hjalmarsson’s main areas of interest are empirical finance and financial econometrics. His current research focuses on empirical market microstructure, studying the effects of computerized trading in the foreign exchange market. He has also worked extensively on stock return predictability, with a particular focus on new econometric methods and empirical analysis of international data. Prior to joining the University of Gothenburg, Hjalmarsson held a position as Professor of Finance at Queen Mary University of London. He has also worked for the Federal Reserve Board in Washington, DC, and at a major London-based hedge fund. 

Hjalmarsson’s research has been published in leading finance journals, including Journal of Finance, Journal of Financial Economics, and Journal of Financial and Quantitative Analysis. He received his PhD from Yale University.

More information can be found on his personal webpage.

 

Research areas

  • Empirical Asset Pricing
  • Empirical Market Microstructure
  • Financial Econometrics

Selected publications

Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market
Chaboud, A. P., Chiquoine, B., Hjalmarsson, Erik, Vega, Clara
Journal of Finance, 69:5, s. 2045-2084, 2014

New Methods for Inference in Long-Horizon Regressions
Hjalmarsson, Erik
Journal of financial and quantitative analysis, 46:3, s. 815-839, 2011

Showing 11 - 20 of 23

2011

New Methods for Inference in Long-Horizon Regressions
Erik Hjalmarsson
Journal of financial and quantitative analysis, Journal article 2011
Journal article

Portfolio Diversification Across Characteristics
Erik Hjalmarsson
Journal of Investing, Journal article 2011
Journal article

2010

Frequency of Observation and the Estimation of Integrated Volatility in Deep and Liquid Markets
Erik Hjalmarsson, Alain Chaboud, Benjamin Chiquoine, Mico Loretan
Journal of Empirical Finance, Journal article 2010
Journal article

2008

The Stambaugh bias in panel predictive regressions
Erik Hjalmarsson
Finance Research Letters, Journal article 2008
Journal article

Interpreting long-horizon estimates in predictive regressions
Erik Hjalmarsson
Finance Research Letters, Journal article 2008
Journal article

2007

Fully modified estimation with nearly integrated regressors
Erik Hjalmarsson
Finance Research Letters, Journal article 2007
Journal article

2006

2005

Showing 11 - 20 of 23

Page Manager: Marie Andersson|Last update: 9/1/2016
Share:

The University of Gothenburg uses cookies to provide you with the best possible user experience. By continuing on this website, you approve of our use of cookies.  What are cookies?