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Details about Tom Engsted

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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 Tom Engsted.

Last updated 2018-12-08. Update your information in the RePEc Author Service.

Short-id: pen44


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Working Papers

2018

  1. Disappearing money illusion
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  2. Frekvensbaserede versus bayesianske metoder i empirisk økonomi
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads

2016

  1. Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
  2. The predictive power of dividend yields for future infl?ation: Money illusion or rational causes?
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2015

  1. Explosive bubbles in house prices? Evidence from the OECD countries
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2016)

2014

  1. Fama on bubbles
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Economic Surveys (2016)

2013

  1. Bond return predictability in expansions and recessions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
  2. Housing market volatility in the OECD area: Evidence from VAR based return decompositions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Journal of Macroeconomics (2014)

2012

  1. Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
    See also Journal Article in Journal of International Money and Finance (2015)

2011

  1. Bias-correction in vector autoregressive models: A simulation study
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article in Econometrics (2014)
  2. Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2010

  1. Pitfalls in VAR based return decompositions: A clarification
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (10)
    See also Journal Article in Journal of Banking & Finance (2012)
  2. Testing for rational bubbles in a co-explosive vector autoregression
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads

    See also Journal Article in Econometrics Journal (2012)
  3. The log-linear return approximation, bubbles, and predictability
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2012)

2009

  1. Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (11)
  2. The dividend-price ratio does predict dividend growth: International evidence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Journal of Empirical Finance (2010)

2008

  1. An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in International Journal of Finance & Economics (2010)
  2. Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)
    See also Journal Article in Journal of Empirical Finance (2012)

2007

  1. Habit Formation, Surplus Consumption and Return Predictability: International Evidence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Journal of International Money and Finance (2010)

2004

  1. 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 Downloads

2003

  1. 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 Downloads
    See also Journal Article in Research in International Business and Finance (2005)
  2. Aktiemarkedet
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
  3. 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 Downloads
  4. Denmark - A chapter on the Danish Bond Market
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (1)
  5. Long-Run Forecasting in Multicointegrated Systems
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research Downloads View citations (4)
    Also in Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2002) Downloads View citations (1)

    See also Journal Article in Journal of Forecasting (2004)

2002

  1. Misspecification versus bubbles in hyperinflation data: Comment
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads
    See also Journal Article in Journal of International Money and Finance (2003)
  2. The comovement of US and UK stock markets
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads View citations (3)
    See also Journal Article in European Financial Management (2004)

2001

  1. 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 Downloads View citations (1)

2000

  1. 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 Downloads View citations (3)
  2. Measuring Noise in the Permanent Income Hypothesis
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies Downloads
    See also Journal Article in Journal of Macroeconomics (2002)
  3. 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 Downloads View citations (1)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2002)

1999

  1. A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships
    Working Papers, Aarhus School of Business - Department of Economics View citations (15)
    See also Journal Article in Energy (2001)

1997

  1. 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 (7)
  2. Granger's Representation Theorem and Multicointegration
    Economics Working Papers, European University Institute View citations (6)

1996

  1. Multicointegration and present value relations
    DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística Downloads

Journal Articles

2016

  1. Explosive bubbles in house prices? Evidence from the OECD countries
    Journal of International Financial Markets, Institutions and Money, 2016, 40, (C), 14-25 Downloads View citations (18)
    See also Working Paper (2015)
  2. FAMA ON BUBBLES
    Journal of Economic Surveys, 2016, 30, (2), 370-376 Downloads
    See also Working Paper (2014)

2015

  1. Cross-sectional consumption-based asset pricing: A reappraisal
    Economics Letters, 2015, 132, (C), 101-104 Downloads
  2. Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries
    Journal of International Money and Finance, 2015, 53, (C), 257-275 Downloads View citations (5)
    See also Working Paper (2012)

2014

  1. Bias-Correction in Vector Autoregressive Models: A Simulation Study
    Econometrics, 2014, 2, (1), 1-27 Downloads View citations (5)
    See also Working Paper (2011)
  2. Housing market volatility in the OECD area: Evidence from VAR based return decompositions
    Journal of Macroeconomics, 2014, 42, (C), 91-103 Downloads View citations (6)
    See also Working Paper (2013)

2012

  1. Pitfalls in VAR based return decompositions: A clarification
    Journal of Banking & Finance, 2012, 36, (5), 1255-1265 Downloads View citations (38)
    See also Working Paper (2010)
  2. Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
    Journal of Empirical Finance, 2012, 19, (2), 241-253 Downloads View citations (8)
    See also Working Paper (2008)
  3. Testing for rational bubbles in a coexplosive vector autoregression
    Econometrics Journal, 2012, 15, (2), 226-254 View citations (16)
    See also Working Paper (2010)
  4. The Log-Linear Return Approximation, Bubbles, and Predictability
    Journal of Financial and Quantitative Analysis, 2012, 47, (03), 643-665 Downloads View citations (36)
    See also Working Paper (2010)

2010

  1. An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns
    International Journal of Finance & Economics, 2010, 15, (3), 213-227 Downloads View citations (2)
    See also Working Paper (2008)
  2. Habit formation, surplus consumption and return predictability: International evidence
    Journal of International Money and Finance, 2010, 29, (7), 1237-1255 Downloads View citations (8)
    See also Working Paper (2007)
  3. The dividend-price ratio does predict dividend growth: International evidence
    Journal of Empirical Finance, 2010, 17, (4), 585-605 Downloads View citations (29)
    See also Working Paper (2009)

2009

  1. Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak
    Journal of Economic Methodology, 2009, 16, (4), 393-408 Downloads View citations (11)

2007

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

2006

  1. Explosive bubbles in the cointegrated VAR model
    Finance Research Letters, 2006, 3, (2), 154-162 Downloads View citations (24)

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 (3)
    See also Working Paper (2003)

2004

  1. Long-run forecasting in multicointegrated systems
    Journal of Forecasting, 2004, 23, (5), 315-335 Downloads View citations (4)
    See also Working Paper (2003)
  2. The Comovement of US and UK Stock Markets
    European Financial Management, 2004, 10, (4), 593-607 Downloads View citations (28)
    See also Working Paper (2002)

2003

  1. Misspecification versus bubbles in hyperinflation data: comment
    Journal of International Money and Finance, 2003, 22, (4), 441-451 Downloads View citations (2)
    See also Working Paper (2002)

2002

  1. Measures of Fit for Rational Expectations Models
    Journal of Economic Surveys, 2002, 16, (3), 301-55 Downloads View citations (19)
  2. Measuring noise in the Permanent Income Hypothesis
    Journal of Macroeconomics, 2002, 24, (3), 353-370 Downloads View citations (1)
    See also Working Paper (2000)
  3. 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 (24)
    See also Working Paper (2000)

2001

  1. A revival of the autoregressive distributed lag model in estimating energy demand relationships
    Energy, 2001, 26, (1), 45-55 Downloads View citations (68)
    See also Working Paper (1999)
  2. The Danish stock and bond markets: comovement, return predictability and variance decomposition
    Journal of Empirical Finance, 2001, 8, (3), 243-271 Downloads View citations (29)

2000

  1. Regime shifts in the Danish term structure of interest rates
    Empirical Economics, 2000, 25, (1), 1-13 Downloads View citations (15)

1999

  1. Estimating the LQAC Model with I(2) Variables
    Journal of Applied Econometrics, 1999, 14, (2), 155-70 Downloads View citations (12)
  2. Multicointegration in Stock-Flow Models
    Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 237-54 Downloads View citations (22)

1998

  1. Do farmland prices reflect rationally expected future rents?
    Applied Economics Letters, 1998, 5, (2), 75-79 Downloads View citations (9)
  2. 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 Downloads View citations (6)
  3. Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks
    Journal of Macroeconomics, 1998, 20, (3), 533-552 Downloads View citations (12)

1997

  1. 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), 659-665 Downloads View citations (9)
  2. Money demand, adjustment costs, and forward-looking behavior
    Journal of Policy Modeling, 1997, 19, (2), 153-173 Downloads View citations (5)
  3. Testing for multicointegration
    Economics Letters, 1997, 56, (3), 259-266 Downloads View citations (33)

1996

  1. 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 Downloads View citations (29)
  2. The monetary model of the exchange rate under hyperinflation: New encouraging evidence
    Economics Letters, 1996, 51, (1), 37-44 Downloads View citations (11)
  3. The predictive power of the money market term structure
    International Journal of Forecasting, 1996, 12, (2), 289-295 Downloads View citations (19)

1995

  1. Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis
    The Review of Economics and Statistics, 1995, 77, (1), 42-54 Downloads View citations (32)

1994

  1. Cointegration and the US term structure
    Journal of Banking & Finance, 1994, 18, (1), 167-181 Downloads View citations (101)
  2. The Linear Quadratic Adjustment Cost Model and the Demand for Labour
    Journal of Applied Econometrics, 1994, 9, (S), S145-59 Downloads View citations (14)

1993

  1. Cointegration and Cagan's Model of Hyperinflation under Rational Expectations
    Journal of Money, Credit and Banking, 1993, 25, (3), 350-60 Downloads View citations (31)
  2. Short- and long-run elasticities in energy demand: A cointegration approach
    Energy Economics, 1993, 15, (1), 9-16 Downloads View citations (87)
  3. 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 View citations (2)
 
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