Details about Carsten Tanggaard

This author is deceased (2024-11-15).

Access statistics for papers by Carsten Tanggaard.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: pta77

Working Papers

2010

1. 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)
2. 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)

2007

3. Local Linear Density Estimation for Filtered Survival Data, with Bias Correction
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2000

4. Yield Curve Estimation by Kernel Smoothing Methods
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2000)
   See also Journal Article Yield curve estimation by kernel smoothing methods, Journal of Econometrics, Elsevier (2001) View citations (23) (2001)

1998

5. Estimating yield curves by Kernel smoothing methods
   SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes View citations (1)

Journal Articles

2014

1. Asymmetric Information, Self-selection, and Pricing of Insurance Contracts: The Simple No-Claims Case
   Journal of Risk & Insurance, 2014, 81, (4), 757-780

2012

2. 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)
3. 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)

2009

4. Paying for Market Quality
   Journal of Financial and Quantitative Analysis, 2009, 44, (6), 1427-1457 View citations (35)

2008

5. Dispersed Trading and the Prevention of Market Failure: the Case of the Copenhagen Stock Exchange
   European Financial Management, 2008, 14, (2), 243-267 View citations (7)

2007

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

2005

7. 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)

2004

8. The Comovement of US and UK Stock Markets
   European Financial Management, 2004, 10, (4), 593-607 View citations (35)

2002

9. 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)

2001

10. Boundary and Bias Correction in Kernel Hazard Estimation
    Scandinavian Journal of Statistics, 2001, 28, (4), 675-698 View citations (24)
11. The Danish stock and bond markets: comovement, return predictability and variance decomposition
    Journal of Empirical Finance, 2001, 8, (3), 243-271 View citations (36)
12. Yield curve estimation by kernel smoothing methods
    Journal of Econometrics, 2001, 105, (1), 185-223 View citations (23)
    See also Working Paper Yield Curve Estimation by Kernel Smoothing Methods, STICERD - Econometrics Paper Series (2000) (2000)

1997

13. Nonparametric Smoothing of Yield Curves
    Review of Quantitative Finance and Accounting, 1997, 9, (3), 251-67 View citations (15)

1994

14. Cointegration and the US term structure
    Journal of Banking & Finance, 1994, 18, (1), 167-181 View citations (107)