Details about Tom Engsted

Access statistics for papers by Tom Engsted.

Last updated 2023-06-07. Update your information in the RePEc Author Service.

Short-id: pen44

Working Papers

2023

1. Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective
   SocArXiv, Center for Open Science

2018

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

2016

4. Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
5. 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

2015

6. Explosive bubbles in house prices? Evidence from the OECD countries
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
   See also Journal Article Explosive bubbles in house prices? Evidence from the OECD countries, Journal of International Financial Markets, Institutions and Money, Elsevier (2016) View citations (66) (2016)

2014

7. Fama on bubbles
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article FAMA ON BUBBLES, Journal of Economic Surveys, Wiley Blackwell (2016) View citations (6) (2016)

2013

8. Bond return predictability in expansions and recessions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
9. Housing market volatility in the OECD area: Evidence from VAR based return decompositions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
   See also Journal Article Housing market volatility in the OECD area: Evidence from VAR based return decompositions, Journal of Macroeconomics, Elsevier (2014) View citations (9) (2014)

2012

10. 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 View citations (7)
    See also Journal Article 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, Elsevier (2015) View citations (25) (2015)

2011

11. Bias-correction in vector autoregressive models: A simulation study
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    See also Journal Article Bias-Correction in Vector Autoregressive Models: A Simulation Study, Econometrics, MDPI (2014) View citations (11) (2014)
12. 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 View citations (3)

2010

13. Pitfalls in VAR based return decompositions: A clarification
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (10)
    See also Journal Article Pitfalls in VAR based return decompositions: A clarification, Journal of Banking & Finance, Elsevier (2012) View citations (62) (2012)
14. Testing for rational bubbles in a co-explosive vector autoregression
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010)
    See also Journal Article Testing for rational bubbles in a coexplosive vector autoregression, Econometrics Journal, Royal Economic Society (2012) View citations (34) (2012)
15. The log-linear return approximation, bubbles, and predictability
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
    See also Journal Article The Log-Linear Return Approximation, Bubbles, and Predictability, Journal of Financial and Quantitative Analysis, Cambridge University Press (2012) View citations (42) (2012)

2009

16. Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (20)
17. The dividend-price ratio does predict dividend growth: International evidence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article The dividend-price ratio does predict dividend growth: International evidence, Journal of Empirical Finance, Elsevier (2010) View citations (39) (2010)

2008

18. 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 View citations (1)
    See also Journal Article 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, John Wiley & Sons, Ltd. (2010) View citations (3) (2010)
19. Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model, Journal of Empirical Finance, Elsevier (2012) View citations (10) (2012)

2007

20. Habit Formation, Surplus Consumption and Return Predictability: International Evidence
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article Habit formation, surplus consumption and return predictability: International evidence, Journal of International Money and Finance, Elsevier (2010) View citations (12) (2010)

2004

21. 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

22. 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 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, Elsevier (2005) View citations (3) (2005)
23. Aktiemarkedet
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies
24. 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
25. Denmark - A chapter on the Danish Bond Market
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (1)
26. Long-Run Forecasting in Multicointegrated Systems
    Discussion Papers of DIW Berlin, DIW Berlin, German Institute for Economic Research View citations (5)
    Also in Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies (2002) View citations (2)
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
    See also Journal Article Long-run forecasting in multicointegrated systems, Journal of Forecasting, John Wiley & Sons, Ltd. (2004) View citations (8) (2004)

2002

27. 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 Misspecification versus bubbles in hyperinflation data: comment, Journal of International Money and Finance, Elsevier (2003) View citations (2) (2003)
28. The comovement of US and UK stock markets
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (3)
    See also Journal Article The Comovement of US and UK Stock Markets, European Financial Management, European Financial Management Association (2004) View citations (35) (2004)

2001

29. 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 View citations (1)

2000

30. 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 (4)
31. Measuring Noise in the Permanent Income Hypothesis
    Finance Working Papers, University of Aarhus, Aarhus School of Business, Department of Business Studies View citations (1)
    See also Journal Article Measuring noise in the Permanent Income Hypothesis, Journal of Macroeconomics, Elsevier (2002) View citations (1) (2002)
32. 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
    See also Journal Article The relation between asset returns and inflation at short and long horizons, Journal of International Financial Markets, Institutions and Money, Elsevier (2002) View citations (31) (2002)

1999

33. A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships
    Working Papers, Aarhus School of Business - Department of Economics View citations (16)
    See also Journal Article A revival of the autoregressive distributed lag model in estimating energy demand relationships, Energy, Elsevier (2001) View citations (125) (2001)

1997

34. 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 (8)
35. Granger's Representation Theorem and Multicointegration
    Economics Working Papers, European University Institute View citations (9)

1996

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

Journal Articles

2024

1. What Is the False Discovery Rate in Empirical Research?
   Econ Journal Watch, 2024, 21, (1), 92–112

2021

2. The Yield Spread and Bond Return Predictability in Expansions and Recessions
   The Review of Financial Studies, 2021, 34, (6), 2773-2812 View citations (9)

2016

3. Explosive bubbles in house prices? Evidence from the OECD countries
   Journal of International Financial Markets, Institutions and Money, 2016, 40, (C), 14-25 View citations (66)
   See also Working Paper Explosive bubbles in house prices? Evidence from the OECD countries, CREATES Research Papers (2015) View citations (8) (2015)
4. FAMA ON BUBBLES
   Journal of Economic Surveys, 2016, 30, (2), 370-376 View citations (6)
   See also Working Paper Fama on bubbles, CREATES Research Papers (2014) (2014)

2015

5. Cross-sectional consumption-based asset pricing: A reappraisal
   Economics Letters, 2015, 132, (C), 101-104
6. 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 View citations (25)
   See also Working Paper Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries, CREATES Research Papers (2012) View citations (7) (2012)

2014

7. Bias-Correction in Vector Autoregressive Models: A Simulation Study
   Econometrics, 2014, 2, (1), 1-27 View citations (11)
   See also Working Paper Bias-correction in vector autoregressive models: A simulation study, CREATES Research Papers (2011) View citations (4) (2011)
8. Housing market volatility in the OECD area: Evidence from VAR based return decompositions
   Journal of Macroeconomics, 2014, 42, (C), 91-103 View citations (9)
   See also Working Paper Housing market volatility in the OECD area: Evidence from VAR based return decompositions, CREATES Research Papers (2013) View citations (1) (2013)

2012

9. Pitfalls in VAR based return decompositions: A clarification
   Journal of Banking & Finance, 2012, 36, (5), 1255-1265 View citations (62)
   See also Working Paper Pitfalls in VAR based return decompositions: A clarification, CREATES Research Papers (2010) View citations (10) (2010)
10. Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
    Journal of Empirical Finance, 2012, 19, (2), 241-253 View citations (10)
    See also Working Paper Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model, CREATES Research Papers (2008) View citations (3) (2008)
11. Testing for rational bubbles in a coexplosive vector autoregression
    Econometrics Journal, 2012, 15, (2), 226-254 View citations (34)
    See also Working Paper Testing for rational bubbles in a co-explosive vector autoregression, Economics Papers (2010) (2010)
12. The Log-Linear Return Approximation, Bubbles, and Predictability
    Journal of Financial and Quantitative Analysis, 2012, 47, (3), 643-665 View citations (42)
    See also Working Paper The log-linear return approximation, bubbles, and predictability, CREATES Research Papers (2010) View citations (5) (2010)

2010

13. 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 View citations (3)
    See also Working Paper An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns, CREATES Research Papers (2008) View citations (1) (2008)
14. Habit formation, surplus consumption and return predictability: International evidence
    Journal of International Money and Finance, 2010, 29, (7), 1237-1255 View citations (12)
    See also Working Paper Habit Formation, Surplus Consumption and Return Predictability: International Evidence, CREATES Research Papers (2007) View citations (3) (2007)
15. The dividend-price ratio does predict dividend growth: International evidence
    Journal of Empirical Finance, 2010, 17, (4), 585-605 View citations (39)
    See also Working Paper The dividend-price ratio does predict dividend growth: International evidence, CREATES Research Papers (2009) View citations (1) (2009)

2009

16. Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak
    Journal of Economic Methodology, 2009, 16, (4), 393-408 View citations (19)

2007

17. The comovement of US and German bond markets
    International Review of Financial Analysis, 2007, 16, (2), 172-182 View citations (22)

2006

18. Explosive bubbles in the cointegrated VAR model
    Finance Research Letters, 2006, 3, (2), 154-162 View citations (27)

2005

19. 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 (3)
    See also Working Paper A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability, Finance Working Papers (2003) (2003)

2004

20. Long-run forecasting in multicointegrated systems
    Journal of Forecasting, 2004, 23, (5), 315-335 View citations (8)
    See also Working Paper Long-Run Forecasting in Multicointegrated Systems, Discussion Papers of DIW Berlin (2003) View citations (5) (2003)
21. The Comovement of US and UK Stock Markets
    European Financial Management, 2004, 10, (4), 593-607 View citations (35)
    See also Working Paper The comovement of US and UK stock markets, Finance Working Papers (2002) View citations (3) (2002)

2003

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

2002

23. Measures of Fit for Rational Expectations Models
    Journal of Economic Surveys, 2002, 16, (3), 301-355 View citations (14)
24. Measuring noise in the Permanent Income Hypothesis
    Journal of Macroeconomics, 2002, 24, (3), 353-370 View citations (1)
    See also Working Paper Measuring Noise in the Permanent Income Hypothesis, Finance Working Papers (2000) View citations (1) (2000)
25. 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 (31)
    See also Working Paper The Relation Between Asset Returns and Inflation at Short and Long Horizons, Finance Working Papers (2000) (2000)

2001

26. A revival of the autoregressive distributed lag model in estimating energy demand relationships
    Energy, 2001, 26, (1), 45-55 View citations (125)
    See also Working Paper A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships, Working Papers (1999) View citations (16) (1999)
27. Afkast og risiko ved aktieinvesteringer på kort og langt sigt
    Nationaløkonomisk tidsskrift, 2001, 2001, (1), 316-319
28. Replik til Nielsen og Risager
    Nationaløkonomisk tidsskrift, 2001, 2001, (1), 321-322
29. The Danish stock and bond markets: comovement, return predictability and variance decomposition
    Journal of Empirical Finance, 2001, 8, (3), 243-271 View citations (36)

2000

30. Regime shifts in the Danish term structure of interest rates
    Empirical Economics, 2000, 25, (1), 1-13 View citations (14)

1999

31. Estimating the LQAC Model with I(2) Variables
    Journal of Applied Econometrics, 1999, 14, (2), 155-70 View citations (13)
32. Multicointegration in Stock‐Flow Models
    Oxford Bulletin of Economics and Statistics, 1999, 61, (2), 237-254 View citations (3)

1998

33. Do farmland prices reflect rationally expected future rents?
    Applied Economics Letters, 1998, 5, (2), 75-79 View citations (12)
34. 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 (7)
35. Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks
    Journal of Macroeconomics, 1998, 20, (3), 533-552 View citations (16)

1997

36. 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 View citations (10)
37. Money demand, adjustment costs, and forward-looking behavior
    Journal of Policy Modeling, 1997, 19, (2), 153-173 View citations (6)
38. Testing for multicointegration
    Economics Letters, 1997, 56, (3), 259-266 View citations (44)

1996

39. 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 (33)
40. The monetary model of the exchange rate under hyperinflation: New encouraging evidence
    Economics Letters, 1996, 51, (1), 37-44 View citations (16)
41. The predictive power of the money market term structure
    International Journal of Forecasting, 1996, 12, (2), 289-295 View citations (19)

1995

42. 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 (38)

1994

43. Cointegration and the US term structure
    Journal of Banking & Finance, 1994, 18, (1), 167-181 View citations (107)
44. The Linear Quadratic Adjustment Cost Model and the Demand for Labour
    Journal of Applied Econometrics, 1994, 9, (S), S145-59 View citations (18)

1993

45. Cointegration and Cagan's Model of Hyperinflation under Rational Expectations
    Journal of Money, Credit and Banking, 1993, 25, (3), 350-60 View citations (32)
46. Short- and long-run elasticities in energy demand: A cointegration approach
    Energy Economics, 1993, 15, (1), 9-16 View citations (97)
47. 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)