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Nationalekonomiska
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Research interests: Empirical Asset Pricing, Portfolio
Selection, Liquidity, Forecasting, Financial Econometrics.
Published papers:
The components of the illiquidity premium: An empirical analysis of US
stocks 1927-2010
(with Björn Hagströmer and Björn Hansson)
Forthcoming
in Journal of Banking and Finance,
2013.
New York mark-ups on petroleum products
(with Szymon Wlazlowski,
Jane Binner, Monica Giulietti
and Nathan Joseph)
Published in The
Manchester School, 2012, vol. 80, 145-171.
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.
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.
Predictable non-linearities
in U.S. inflation
(with Jane Binner, Thomas Elger and Jonathan Tepper)
Published in Economics Letters,
2006, vol. 93, 223-228.
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.
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.
Dynamic Portfolio Selection: The Relevance of
Switching Regimes and Investment Horizon
(with Andreas Graflund)
Published in European
Financial Management, 2003, vol. 9, 179-200.
Financial Liberalization and the Changing
Characteristics of Nordic Stock Returns
First essay, Ph. D. Thesis, Lund Economic Studies 99, Lund University, 2002.
International Asset Pricing and the Benefits from
International Diversification
Second essay, Ph. D. Thesis, Lund
Economic Studies 99, Lund University, 2002.
International Asset Pricing and the Reward to
Macroeconomic Risk
Third essay, Ph. D. Thesis, Lund
Economic Studies 99, Lund University, 2002.
Current work:
Does commonality in illiquidity matter to investors?
(with Richard Anderson, Jane Binner and Björn
Hagströmer)
Evaluating Systematic Liquidity Estimators
(previous title:
Dynamics in Systematic Liquidity)
(with Richard Anderson, Jane Binner and Björn Hagströmer)
Working Paper 2009-025A, Federal Reserve Bank of St. Louis.