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WORK IN PROGRESS
·
Local, Regional and World Market Shocks in Asian
Equity Markets, with M. Nossman, under revision for resubmission to the Financial
Review.
·
Predicting
Stock Price Volatility by Semantic Content in Media, with Sverker Sikström
(Department of Psychology, Lund University).
·
Importance of
the Macroeconomic Variables for Volatility Prediction: A GARCH-Midas Approach,
with Ai Jun Hou and Farrukh Javed (Department of Statistics, Lund
University).
·
Analyzing
Channels of Volatility Spillover among Financial Markets, with Spatial
Econometrics, with Wolfgang Hess and Lu Liu.
JOURNAL ARTICLES
·
A Conditional Asset Pricing Model with the Optimal
Orthogonal Portfolio, Journal of Banking and Finance, 35, 2011, 1027–1040.
·
Risk Contagion among International Stock Markets,
with M. Nossman, Journal of International Money and Finance, 30,
2011, 22–38.
·
An Event Study of Price Movements Following
Realized Jumps, with Mia Holmfeldt and Marcus Larson, Quantitative
Finance 11, 933-946.
·
Book-to-Market and Size Effect: Compensations for
risks or outcomes of market inefficiencies, with B. Hansson, European
Journal of Finance 16, 2010, 119-136.
·
An Analysis of Momentum and Contrarian Profits
Using an Optimal Orthogonal Portfolio Approach, with B. Hansson, Applied
Financial Economics Letters 16, 2009, 625-628.
·
An Empirical Analysis of Factors Driving the Swap
Spread, with S. Karlsson, Journal of Fixed Income 18, 2008, 41-56.
·
Evaluating a Nonlinear Asset Pricing Model on
International Data, with S. Karlsson, International Review of Financial
Analysis 17, 2008, 604–621.
·
Jump Spillover in
International Equity Markets, with C. Bengtsson, Journal of Financial
Econometrics 4, 2006, 167-203.
·
Home Bias in European Countries within a Bayesian
Framework, with B. Hansson, Journal of International Financial Markets,
Institutions & Money 16, 2006, 397-410.
·
Evaluating the Importance of Missing Risk Factors
Using the Optimal Orthogonal Portfolio Approach, with B. Hansson, Journal
of Empirical Finance 12, 2005, 556-575.
·
A Critical Investigation of the Explanatory Role
of Factor Mimicking Portfolios in Equilibrium Pricing, with B. Hansson, Applied
Financial Economics 15, 2005, 835‑847.
·
Estimation of Common Components of European Equity
Indices: A Latent Factor Approach, with B. Hansson, Finance letters
3, 2005, 87-90.
·
Are Highly Leveraged Firms More Sensitive to an
Economic Downturn? European Journal of Finance 9, 2003,
219-241.
·
The Explanatory Role of Factor Portfolios for Industries
Exposed to Foreign Competition: Evidence from the Swedish Market, with B.
Hansson, Journal of International Financial Markets, Institutions &
Money 13, 2003, 325-353.
·
Equity Risk Factors for a Small Open Economy: A
Risk Management Perspective, with B. Hansson, Multinational Finance
Journal 5, 2001, 225-257.
·
Cross Sectional Analysis of Stock Returns with
Time-varying Beta, with B. Hansson, European Financial Management 6,
2000, 213-233.
WORKING PAPERS
·
A Comparative Analysis of Ability of Mimicking
Portfolios in Representing the Background Factors, Working Papers No
2004:10, Department of Economics, Lund University.
·
Cross Sectional Analysis of the Swedish Stock
Market, with B. Hansson, Working Papers No 2002:19, Department of Economics,
Lund University.
·
Investment Strategies Using Orthogonal Portfolios,
with B. Hansson, 2002.
ARTICLES IN THE THESIS
·
Inter-Industry Differences in Capital Structure,
Ph.D. Thesis, Lund Economic Studies 64, Lund University, 1997.
·
An Empirical Study of Determinants of Capital
Structure with LISREL, Ph.D. Thesis, Lund Economic Studies 64, Lund
University, 1997.
·
Economic Recession and Firms Financing Decision a
Panel Data Analysis, Ph.D. Thesis, Lund Economic Studies 64, Lund
University, 1997.
·
Are Highly Leveraged Firms More Sensitive to an
Economic Downturn? Ph.D. Thesis, Lund Economic Studies 64, Lund
University, 1997.
BOOKS
·
Räntebärande instrument: värdering och riskhantering,
with L. Nordén, Studentlitteratur AB, 2007.
·
Essays on Capital Structure, Ph.D. Thesis, Lund
Economic Studies 64, Lund University, 1997.
OTHER PUBLICATIONS
·
Asgharian, H., Dorkhan,
M., Tripathy, D., Malm, G., Tuomi,
T., and L. Groop, 2008, Independent measures of
insulin secretion and insulin
sensitivity during the same test; the Glucagon-insulin tolerance test
(GITT), Journal of Internal Medicine 264, 2008, 62-71.
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