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Details about Carsten Tanggaard

E-mail:
Homepage:http://www.tanggaard.com
Phone:+45 89 42 15 68
Postal address:Carsten Tanggaard, University of Aarhus, CREATES, Bartholins Allé 10, DK-8000 Aarhus C, Denmark.
Workplace:Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Carsten Tanggaard.

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

Short-id: pta77


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Working Papers

2010

  1. Pitfalls in VAR based return decompositions: A clarification
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (9)
  2. The log-linear return approximation, bubbles, and predictability
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)

Journal Articles

2009

  1. Paying for Market Quality
    Journal of Financial and Quantitative Analysis, 2009, 44, (06), 1427-1457 Downloads View citations (18)

2008

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

2007

  1. The comovement of US and German bond markets
    International Review of Financial Analysis, 2007, 16, (2), 172-182 Downloads View citations (13)

2005

  1. 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 Downloads View citations (2)

2004

  1. The Comovement of US and UK Stock Markets
    European Financial Management, 2004, 10, (4), 593-607 Downloads View citations (23)

2002

  1. 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 Downloads View citations (18)

2001

  1. The Danish stock and bond markets: comovement, return predictability and variance decomposition
    Journal of Empirical Finance, 2001, 8, (3), 243-271 Downloads View citations (25)
  2. Yield curve estimation by kernel smoothing methods
    Journal of Econometrics, 2001, 105, (1), 185-223 Downloads View citations (13)

1997

  1. Nonparametric Smoothing of Yield Curves
    Review of Quantitative Finance and Accounting, 1997, 9, (3), 251-67 Downloads View citations (8)

1995

  1. 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 (16)

1994

  1. Cointegration and the US term structure
    Journal of Banking & Finance, 1994, 18, (1), 167-181 Downloads View citations (96)
 
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