Details about Tom Engsted

Access statistics for papers by Tom Engsted.

Last updated 2009-10-15. Update your information in the RePEc Author Service.

Short-id: pen44

Working Papers

2009

1. Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak
   CREATES Research Papers, School of Economics and Management, University of Aarhus
2. The dividend-price ratio does predict dividend growth: International evidence
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2008

3. An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns
   CREATES Research Papers, School of Economics and Management, University of Aarhus
4. Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations

2007

5. Habit Formation, Surplus Consumption and Return Predictability: International Evidence
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2004

6. Speculative bubbles in stock prices? Tests based on the price-dividend ratio
   Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies

2003

7. A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability
   Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
   See also Journal Article in Research in International Business and Finance (2005)
8. Aktiemarkedet
   Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
9. An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002
   Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
10. Denmark - A chapter on the Danish Bond Market
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations
11. Long-Run Forecasting in Multicointegrated Systems
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research
    Also in Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2002) View citations
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations
    See also Journal Article in Journal of Forecasting (2004)

2002

12. Misspecification versus bubbles in hyperinflation data: Comment
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
    See also Journal Article in Journal of International Money and Finance (2003)
13. The comovement of US and UK stock markets
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations
    See also Journal Article in European Financial Management (2004)

2001

14. A New Test for Speculative Bubbles Based on Return Variance Decompositions
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies

2000

15. Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations
16. Measuring Noise in the Permanent Income Hypothesis
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
    See also Journal Article in Journal of Macroeconomics (2002)
17. The Relation Between Asset Returns and Inflation at Short and Long Horizons
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2002)

1999

18. A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships
    Working Papers, Aarhus School of Business - Department of Economics View citations

1997

19. Dynamic Modelling of Energy Demand: A Guided Tour Through the Jungle of Unit Roots and Cointegration
    Working Papers, Aarhus School of Business - Department of Economics View citations
20. Granger's Representation Theorem and Multicointegration
    Economics Working Papers, European University Institute View citations

1996

21. Estimating the LQAC model with I(2) Variables
    Economics Working Papers, School of Economics and Management, University of Aarhus
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1995)
    See also Journal Article in Journal of Applied Econometrics (1999)

1993

22. Money Demand, Expectations and the Foreward Looking Model: A Comment
    Economics Working Papers, School of Economics and Management, University of Aarhus

Undated

23. Multicointegration in Stock-Flow Models
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1999)
24. Testing for Multicointegration
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations
    See also Journal Article in Economics Letters (1997)

Journal Articles

2007

1. The comovement of US and German bond markets
   International Review of Financial Analysis, 2007, 16, (2), 172-182 View citations

2006

2. Explosive bubbles in the cointegrated VAR model
   Finance Research Letters, 2006, 3, (2), 154-162 View citations

2005

3. A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability
   Research in International Business and Finance, 2005, 19, (1), 53-70
   See also Working Paper (2003)

2004

4. Long-run forecasting in multicointegrated systems
   Journal of Forecasting, 2004, 23, (5), 315-335 View citations
   See also Working Paper (2003)
5. The Comovement of US and UK Stock Markets
   European Financial Management, 2004, 10, (4), 593-607
   See also Working Paper (2002)

2003

6. Misspecification versus bubbles in hyperinflation data: comment
   Journal of International Money and Finance, 2003, 22, (4), 441-451 View citations
   See also Working Paper (2002)

2002

7. Measures of Fit for Rational Expectations Models
   Journal of Economic Surveys, 2002, 16, (3), 301-55 View citations
8. Measuring noise in the Permanent Income Hypothesis
   Journal of Macroeconomics, 2002, 24, (3), 353-370
   See also Working Paper (2000)
9. The relation between asset returns and inflation at short and long horizons
   Journal of International Financial Markets, Institutions and Money, 2002, 12, (2), 101-118 View citations
   See also Working Paper (2000)

2001

10. The Danish stock and bond markets: comovement, return predictability and variance decomposition
    Journal of Empirical Finance, 2001, 8, (3), 243-271 View citations

2000

11. Regime shifts in the Danish term structure of interest rates
    Empirical Economics, 2000, 25, (1), 1-13 View citations

1999

12. Estimating the LQAC Model with I(2) Variables
    Journal of Applied Econometrics, 1999, 14, (2), 155-70 View citations
    See also Working Paper (1996)
13. Multicointegration in Stock-Flow Models
    Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 237-54 View citations
    See also Working Paper

1998

14. Do Farmland Prices Reflect Rationally Expected Future Rents?
    Applied Economics Letters, 1998, 5, (2), 75-79 View citations
15. Evaluating the Consumption-Capital Asset Pricing Model Using Hansen-Jagannathan Bounds: Evidence from the UK
    International Journal of Finance & Economics, 1998, 3, (4), 291-302 View citations
16. Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks
    Journal of Macroeconomics, 1998, 20, (3), 533-552 View citations

1997

17. Common Stochastic Trends in International Stock Prices and Dividends: An Example of Testing Overidentifying Restrictions on Multiple Cointegration Vectors
    Applied Financial Economics, 1997, 7, (6), 659-65 View citations
18. Money demand, adjustment costs, and forward-looking behavior
    Journal of Policy Modeling, 1997, 19, (2), 153-173 View citations
19. Testing for multicointegration
    Economics Letters, 1997, 56, (3), 259-266 View citations
    See also Working Paper

1996

20. GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets
    Journal of International Money and Finance, 1996, 15, (4), 497-521 View citations
21. Non-stationarity and Tax Effects in the Long-Term Fisher Hypothesis
    Applied Economics, 1996, 28, (7), 883-87
22. The monetary model of the exchange rate under hyperinflation: New encouraging evidence
    Economics Letters, 1996, 51, (1), 37-44 View citations
23. The predictive power of the money market term structure
    International Journal of Forecasting, 1996, 12, (2), 289-295 View citations

1995

24. Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis
    The Review of Economics and Statistics, 1995, 77, (1), 42-54 View citations
25. The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure
    Scandinavian Journal of Economics, 1995, 97, (1), 145-59 View citations

1994

26. A Cointegration Analysis of Danish Zero-Coupon Bond Yields
    Applied Financial Economics, 1994, 4, (4), 265-78 View citations
27. Cointegration and the US term structure
    Journal of Banking & Finance, 1994, 18, (1), 167-181 View citations
28. The Classic European Hyperinflations Revisited: Testing the Cagan Model Using a Cointegrated VAR Approach
    Economica, 1994, 61, (243), 331-43 View citations
29. The Linear Quadratic Adjustment Cost Model and the Demand for Labour
    Journal of Applied Econometrics, 1994, 9, (S), S145-59 View citations

1993

30. Cointegration and Cagan's Model of Hyperinflation under Rational Expectations
    Journal of Money, Credit and Banking, 1993, 25, (3), 350-60 View citations
31. Short- and long-run elasticities in energy demand: A cointegration approach
    Energy Economics, 1993, 15, (1), 9-16 View citations
32. Testing for Rational Inflationary Bubbles: The Case of Argentina, Brazil and Israel
    Applied Economics, 1993, 25, (5), 667-74
33. The Term Structure of Interest Rates in Denmark 1982-89: Testing the Rational Expectations/Constant Liquidity Premium Theory
    Bulletin of Economic Research, 1993, 45, (1), 19-37

1991

34. A Note on the Rationality of Survey Inflation Expectations in the United Kingdom
    Applied Economics, 1991, 23, (7), 1269-75 View citations