Niklas Ahlgren is an Associate Professor in the Department of Finance and Statistics. His main research areas are econometrics, time series analysis and bootstrap methods in econometrics. He has published in Applied Financial Economics, Computational Statistics and Data Analysis, Empirical Economics, Journal of Time Series Analysis and Quarterly Review of Economics and Finance.

Link to CV

Econometrics, Financial Econometrics, Time Series Analysis, Statistical Inference, Probability, Multivariate Data Analysis and Mathematics for Economists.

Autumn Term 2012

Advanced Econometrics

Financial Econometrics (joint with Dr J. Antell).

Spring Term 2012

Time Series Analysis

Supervision

I have supervised one PhD thesis (Linda Gerkman, topic: Spatial Econometrics, 2010), one Master's thesis and two Bachelor's theses. Currently I am supervising one PhD thesis (Paul Catani, topic: Conditionally heteroscedastic time series and the Wild Bootstrap).

Econometrics and Financial Econometrics, Time Series, the Bootstrap, Spatial Econometrics.

Thesis

Ahlgren, N. (2002), Inference on Cointegration in Vector Autoregressive Models, Publications of the Swedish School of Economics, 110.

Journal Articles

1. Ahlgren, N. and Antell, J. (2002), Testing for Cointegration between International Stock Prices, Applied Financial Economics, 12, 851-861.

2. Ahlgren, N. (2003), Småsampelegenskaperna för några test av kointegration i vektorautoregressiva modeller (Small Sample Properties of some Tests for Cointegration in Vector Autoregressive Models, in Swedish), Journal of the Economic Society of Finland, 56, 91-98.

3. Ahlgren, N. and Nyblom, J. (2008), Tests against Stationary and Explosive Alternatives in Vector Autoregressive Models, Journal of Time Series Analysis, 29, 421-443.

4. Ahlgren, N. and Antell J. (2008), Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series, Computational Statistics & Data Analysis,  52, 4754-4767.

5. Ahlgren, N., Sjö, B. and Zhang, J. (2009), Panel Cointegration of Chinese A and B Shares, Applied Financial Economics, 19, 1859-1871.

6. Ahlgren, N. and Antell, J. (2010), Stock Market Linkages and Financial Contagion: A Cobreaking Analysis, Quarterly Review of Economics and Finance, 50, 157-166.

7. Ahlgren, N. and Juselius, M. (2011), Tests for Cointegration Rank and the Initial Condition, Empirical Economics, forthcoming.

8. Catani, P. and Ahlgren, N. (2011), Arbetslösheten, enhetsrothypotesen och initialvärdet (The Unemployment Rate, the Unit Root Hypothesis and the Initial Condition, in Swedish), Journal of the Economic Society of Finland, 64, 57-64.

Submitted Articles

1. Ahlgren, N. and Antell, J. (2009), The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series, submitted to Computational Statistics.

2. Gerkman, L. and Ahlgren, N. (2011), Practical Proposals for Specifying k-Nearest Neighbours Weights Matrices, submitted to International Regional Science Review.

Working Papers

1. Ahlgren, N. and Antell, J. (2009), The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series, Hanken School of Economics, Working Paper, No 541.

2. Gerkman, L. and Ahlgren, N. (2011), Practical Proposals for Specifying k-Nearest Neighbours Weights Matrices, Hanken School of Economics, Working Paper, No 555.

Recent Manuscripts

1. Ahlgren, N. and Gerkman, L. (2010), Inference in Unilateral Spatial Econometric Models, 19 p.

2. Ahlgren, N. and Antell, J. (2012), Tests for Abnormal Returns under Weak Cross Sectional Dependence, 35 p.

3. Ahlgren, N. and Catani, P. (2012), Wild Bootstrap Tests for Autocorrelation in Vector Autoregressive Models, 35 p.