Nationalekonomiska institutionen
Department of Economics
School of Economics and Management
Lund University

Research interests: Empirical Asset Pricing, Portfolio Selection, Liquidity, Forecasting, Time-Series Econometrics.

 

Published papers:

New York mark-ups on petroleum products
(with Szymon Wlazlowski, Jane Binner, Monica
Giulietti and Nathan Joseph)
Forthcoming in The Manchester School, 2010.
View abstract

Inflation Forecasting, Relative Price Variability and Skewness
(with Jane Binner, Thomas Elger and Barry Jones)
Published in Applied Economics Letters, 2010, vol. 17, 593-596.
View abstract

Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK
(with Björn Hagströmer, Richard Anderson, Jane Binner and Thomas Elger)
Published in The Manchester School, 2008, vol. 76, 134-156.
View abstract

Predictable non-linearities in U.S. inflation
(with Jane Binner, Thomas Elger and Jonathan Tepper)
Published in Economics Letters, 2006, vol. 93, 223-228.
View abstract

Forecasting with Monetary Aggregates: Recent Evidence for the United States
(with Thomas Elger and Barry Jones)

Published in Journal of Economics and Business, 2006, vol. 58, 428-446. View abstract

Tools for Non-linear Time Series Forecasting:
An Empirical Comparison of Regime Switching Autoregressive Models and Recurrent Neural Networks

(with Jane Binner, Thomas Elger and Jonathan Tepper)

Published in Advances in Econometrics, 2004, vol. 19, 71-92. View abstract

Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon
(with Andreas Graflund)

Published in European Financial Management, 2003, vol. 9, 179-200. View abstract

Financial Liberalization and the Changing Characteristics of Nordic Stock Returns
First essay, Ph. D. Thesis, Lund Economic Studies 99, Lund University, 2002.
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International Asset Pricing and the Benefits from International Diversification
Second essay, Ph. D. Thesis, Lund Economic Studies 99, Lund University, 2002. View abstract

International Asset Pricing and the Reward to Macroeconomic Risk
Third essay, Ph. D. Thesis, Lund Economic Studies 99, Lund University, 2002. View abstract

 

Work in progress:

Predictable Dynamics in Market, Size and Value Betas
(with Björn Hansson)

Presented at Financial Management Association European Meeting (FMA), 2008.
View abstract

Evaluating Systematic Liquidity Estimators
(previous title: Dynamics in Systematic Liquidity
)
(with Richard Anderson, Jane Binner and Björn Hagströmer)
Presented at Portuguese Finance Network (PFN), 2010, och Financial Management Association Annual Meeting (FMA), 2010.
View abstract