Andersson, Jonas

E-mail:

Jonas.Andersson@nhh.no

Telephone:

+47 55 95 96 81

Fax:

+47 55 95 96 47

Title:

Associate Professor, Fil. Dr., Uppsala University 1999

Date of birth:

26.12.71

Nationality:

Swedish

Teaching languages:

Swedish, English

Teaching areas:

Statistics

Research:

Time series analysis, financial econometrics 

Publications:

• The Z-Poisson distribution with application to the modeling of soccer score probabilities, forthcoming in Statistical Modelling (with Jostein Lillestøl).

• Multivariate modelling and prediction of hourly one-day ahead prices at Nordpool, chapter in Energy, Natural Resource and Environmental Economics, editors Endre Bjørndal, Mette Bjørndal and Mikael Rönnqvist, Springer (forthcoming - with Jostein Lillestøl).

• Modelling and forecasting electricity consumption by functional data analysis, Journal of Energy Markets 3(1), 2010, 3-15 (with Jostein Lillestøl).

• Treating missing values in INAR(1) models. An application to syndromic surveillance data, Journal of Time Series Analysis 31(1), 2010, 12-19 (with Dimitris Karlis).

• Modeling Freight Markets for Coal, Maritime Economics and Logistics 11(3), 2009, 289-301(with Kurt Jörnsten, Siri Pettersen Strandenes, and Jan Ubøe).

• The historical relation between commercial banking, insurance, and economic growth in Sweden between 1830 and 1998: an exploratory analysis, Accounting Business & Financial History 19(1), 2009, 21-38 (with Mike Adams, Magnus Lindmark og Lars-Fredrik Andersson).

• Searching for the DGP when forecasting - Is it always meaningful for small samples?, Economics Bulletin 3(28), 2006, 1-9.

• Testing for Granger causality in the presence of measurement errors, Economics Bulletin 3(47), 2005, 1-13.

• An improvement of the GPH estimator. Economics Letters 77, 2002, 137-146.

• Volatility modeling in the presence of measurement errors. Journal of Risk 3, 2001, 53-67 (with A. Ågren).

• On the Normal Inverse Gaussian Stochastic Volatility model. Journal of Business and Economic Statistics 19, 2001, 44-54.

• Random ranking of hospitals is unsound. Chance 11, 1998, 34-37, 39 (with K. Carling and S. Mattson).

In Swedish:

• Dödlighet efter hjärtinfarkt har minskat i nästan alla landsting under 1990-talet. Läkartidningen 100:37, 2003, 2838-2844 (with M. Köster, K. Carling and M. Rosén).

• Att rangordna med säkerhet: Ny statistisk metodik visar vägen. Läkartidningen 97:3, 2000, 185-186 (with K. Carling and S. Mattson).

Research reports, conference papers and unpublished manuscripts:

• Some aspects of random utility, extreme value theory and multinomial logit models. Discussion Paper 2010:1. Department of Finance and Management Science, Norwegian School of Economics and Business Administration (with Jan Ubøe).

• A simple improvement of the IV estimator for the classical errors-in-variables problem. Discussion Paper 2009:10. Department of Finance and Management Science, Norwegian School of Economics and Business Administration (with Jarle Møen).

• A regression surprise resolved. Discussion Paper 2008:16. Department of Finance and Management Science, Norwegian School of Economics and Business Administration.

• Structural breaks in point processes: With an application to reporting delays for trades on the New York stock exchange. Discussion Paper 2007:28. Department of Finance and Management Science, Norwegian School of Economics and Business Administration.

• On the estimation of correlations for irregularly spaced time series. Discussion Paper 2007:19. Department of Finance and Management Science, Norwegian School of Economics and Business Administration.

• Exploratory analysis of intra-daily stock returns: A semi Markov chain approach. Research Report 2004:4. Department of Information Science, Division of Statistics, Uppsala University (with Anders Christoffersson).

• Classification of stationary time series by functional data analysis. Presented at 54th Session - International Statistical Institute, Berlin 2003.

• Modeling the distribution of financial returns by functional data analysis. Research Report 2002:4. Department of Information Science, Division of Statistics, Uppsala University (with P. Newbold).

• Causes of rejections of Lombard's test for a constant mean period. Research Report 2001:10. Department of Information Science, Division of Statistics, Uppsala University (with A. Ågren).

• Characteristic function estimation of nonlinear structural equation models. Research Report 2000:4, Department of Information Science, Division of Statistics, Uppsala University (with P. Blom and A. Christoffersson).

• Tests of the AR(2) unit roots and cointegration with the GPH statistic. Research Report 2000:1. Department of Information Science, Division of Statistics, Uppsala University (with J. Lyhagen).

• A long memory panel unit root test: PPP revisited. Working Paper Series in Economics and Finance 303, 1999, Stockholm School of Economics (with J. Lyhagen).

• A note on the power of the GPH test for cointegration. Research Report 97-7, 1997, Department of Statistics, Uppsala University (with J. Lyhagen).

PhD thesis:

• Essays on financial time series models: Stochastic volatility and long memory. PhD. Thesis, Department of Information Science, Division of Statistics, Uppsala University, 1999.

Visiting Scholar:

• Institut für Matematische Stochastik, Albert-Ludvig Universität Freiburg, August 2002 - June 2003.

• School of Economics, University of Nottingham, January 2002 - March 2002.

• School of Economics, University of Nottingham, September 1998 - March 1999.

Involvements:

• Referee for Journal of Business & Economic Statistics, Journal of Empirical Finance, Scandinavian Journal of Statistics, Econometrics Journal, International Journal of Forecasting, Empirical Economics, Computational Statistics and Data Analysis, Review of Finance, Journal of the American Statistical Association, New Mathematics and Natural Computation, Quality Technology and Quantitative Management, Journal of Risk and Insurance, Portuguese Economic Journal, Journal of Time Series Analysis and Journal of Energy Markets.