Photo of Niklas Ahlgren

Niklas Ahlgren

PhD

  • P.O. Box 479

    00101 Helsinki

    Finland

  • 76 Citations
  • 5 h-Index
19962019

Research output per year

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Personal profile

Curriculum

Dr. Niklas Ahlgren is Associate Professor in Statistics at the Hanken School of Economics. His research areas are econometrics, financial econometrics, the bootstrap and spatial econometrics. He has published in Computational Statistics, Computational Statistics and Data Analysis, Econometrics and Statistics, Empirical Economics, Journal of Financial Econometrics, Journal of Time Series Analysis and Spatial Economic Analysis, among other journals. Currently he is working on the power of bootstrap tests of cointegration with strong persistence in volatility and testing factor models in event studies.

Research and teaching information

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

Research areas

Econometrics, Financial Econometrics, the Bootstrap and Spatial Econometrics

Additional Education Information

PhD in Statistics and Econometrics (2003), Hanken School of Economics; LicSc in Economics (1998), Hanken School of Economics; MSc in Economics (1993), Hanken School of Economics.

 

Education information

Doctor of Science (Economics and Business Administration), Business Economics, Hanken School of Economics, Finland, 2003

Keywords

  • 112 Statistics and probability
  • 511 Economics
  • Econometrics and Financial Econometrics, Time Series, the Bootstrap, Spatial Econometrics

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Research Output

Tests for Abnormal Returns in the Presence of Event-Induced Cross-Sectional Correlation

Ahlgren, N. & Antell, J., 20.01.2017, In : Journal of Financial Econometrics. 15, 2, p. 286-301 16 p.

Research output: Contribution to journalArticleScientificpeer-review

  • Combined Lagrange Multiplier Test for ARCH in Vector Autoregressive Models

    Catani, P. & Ahlgren, N., 16.11.2016, In : Econometrics and Statistics. 1, 1, p. 62-84 23 p., 4.

    Research output: Contribution to journalArticleScientificpeer-review

    Open Access
  • 1 Citation (Scopus)

    Wild Bootstrap Tests for Autocorrelation in Vector Autoregressive Models

    Ahlgren, N. & Catani, P., 2017, In : Statistical Papers. 58, 4, p. 1189-1216 28 p., 11.

    Research output: Contribution to journalArticleScientificpeer-review

    Open Access
    File
  • 2 Citations (Scopus)

    Practical Proposals for Specifying k-Nearest Neighbours Weights Matrices

    Gerkman, L. & Ahlgren, N., 30.08.2014, In : Spatial Economic Analysis. 9, 3, p. 260-283 24 p., 2.

    Research output: Contribution to journalArticleScientificpeer-review

  • 7 Citations (Scopus)

    The Power of Bootstrap Tests of Cointegration Rank

    Ahlgren, N. & Antell, J., 11.06.2013, In : Computational Statistics. 28, 6, p. 2719-2748 30 p.

    Research output: Contribution to journalArticleScientificpeer-review

  • 1 Citation (Scopus)

    Prizes

    Rector's Prize for Teaching

    Niklas Ahlgren (Recipient), 12.2016

    Prize: Prizes and awards

  • Activities

    The 10th International Conference on Computational and Financial Econometrics (CFE 2016)

    Niklas Ahlgren (Speaker: Chair)
    09.12.201611.12.2016

    Activity: Participating in or organising an eventOrganisation of / participation in conferences, workshops, courses, seminars

    69th European Meeting of the Econometric Society (ESEM)

    Niklas Ahlgren (Speaker: Presenter)
    22.08.201626.08.2016

    Activity: Participating in or organising an eventOrganisation of / participation in conferences, workshops, courses, seminars

    60th World Statistics Congress of the International Statistical Institute

    Niklas Ahlgren (Speaker: Presenter)
    26.07.201531.07.2015

    Activity: Participating in or organising an eventOrganisation of / participation in conferences, workshops, courses, seminars

    Faculty Opponent

    Niklas Ahlgren (Opponent at public defence of doctoral thesis)
    26.05.2014

    Activity: ExaminationOfficial participation in PhD thesis supervision, defence and examination

    Risks (Journal)

    Niklas Ahlgren (Reviewer)
    15.11.201925.11.2019

    Activity: Publication peer-review and editorial workScientific journal