Details about Thomas Quistgaard Pedersen

Access statistics for papers by Thomas Quistgaard Pedersen.

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

Short-id: ppe342

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 View citations (5)

2016

2. A New Index of Housing Sentiment
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (10)
3. 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

4. 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)

2013

5. 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

6. 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 (23) (2015)

2011

7. 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)

2010

8. 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)
9. Predictable return distributions
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
   See also Journal Article Predictable Return Distributions, Journal of Forecasting, John Wiley & Sons, Ltd. (2015) View citations (20) (2015)
10. 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

11. 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 (38) (2010)

2008

12. Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
13. 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)

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 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)

2015

2. Predictable Return Distributions
   Journal of Forecasting, 2015, 34, (2), 114-132 View citations (20)
   See also Working Paper Predictable return distributions, CREATES Research Papers (2010) View citations (2) (2010)
3. 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 (23)
   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

4. 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)
5. 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

6. 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)
7. 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)
8. 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

9. The dividend-price ratio does predict dividend growth: International evidence
   Journal of Empirical Finance, 2010, 17, (4), 585-605 View citations (38)
   See also Working Paper The dividend-price ratio does predict dividend growth: International evidence, CREATES Research Papers (2009) View citations (1) (2009)