Details about Carsten Tanggaard

Access statistics for papers by Carsten Tanggaard.

Last updated 2011-02-05. Update your information in the RePEc Author Service.

Short-id: pta77

Working Papers

2010

1. Pitfalls in VAR based return decompositions: A clarification
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (1)
2. The log-linear return approximation, bubbles, and predictability
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (2)

Journal Articles

2009

1. Paying for Market Quality
   Journal of Financial and Quantitative Analysis, 2009, 44, (06), 1427-1457 View citations (11)

2008

2. Dispersed Trading and the Prevention of Market Failure: the Case of the Copenhagen Stock Exchange
   European Financial Management, 2008, 14, (2), 243-267 View citations (5)

2007

3. The comovement of US and German bond markets
   International Review of Financial Analysis, 2007, 16, (2), 172-182 View citations (5)

2005

4. 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 View citations (1)

2004

5. The Comovement of US and UK Stock Markets
   European Financial Management, 2004, 10, (4), 593-607 View citations (7)

2002

6. 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 (8)

2001

7. The Danish stock and bond markets: comovement, return predictability and variance decomposition
   Journal of Empirical Finance, 2001, 8, (3), 243-271 View citations (14)
8. Yield curve estimation by kernel smoothing methods
   Journal of Econometrics, 2001, 105, (1), 185-223 View citations (7)

1997

9. Nonparametric Smoothing of Yield Curves
   Review of Quantitative Finance and Accounting, 1997, 9, (3), 251-67 View citations (9)

1995

10. 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 (13)

1994

11. Cointegration and the US term structure
    Journal of Banking & Finance, 1994, 18, (1), 167-181 View citations (58)