Jonas Andersson

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:

Nationality:

Teaching languages:

Swedish, English

Teaching areas:

Research:

Publications:

• 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Research reports, conference papers and unpublished manuscripts:

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

• The historical relation between banking, insurance and economic growth in Sweden: 1830 to 1998. Discussion Paper 2005:26. Department of Economics, 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.

• 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: