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Details about Thomas Quistgaard Pedersen

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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)
Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Thomas Quistgaard Pedersen.

Last updated 2017-04-27. Update your information in the RePEc Author Service.

Short-id: ppe342


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Working Papers

2017

  1. Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)

2016

  1. A New Index of Housing Sentiment
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
  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)

2013

  1. 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)

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. Predictable return distributions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Journal of Forecasting (2015)
  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. 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. Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  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)

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 (28)
    See also Working Paper (2015)

2015

  1. Predictable Return Distributions
    Journal of Forecasting, 2015, 34, (2), 114-132 Downloads View citations (10)
    See also Working Paper (2010)
  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 (7)
    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 (7)
    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 (43)
    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. The Log-Linear Return Approximation, Bubbles, and Predictability
    Journal of Financial and Quantitative Analysis, 2012, 47, (3), 643-665 Downloads View citations (37)
    See also Working Paper (2010)

2010

  1. The dividend-price ratio does predict dividend growth: International evidence
    Journal of Empirical Finance, 2010, 17, (4), 585-605 Downloads View citations (31)
    See also Working Paper (2009)
 
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