19
H index
32
i10 index
1114
Citations
Tom Engsted : Citation Profile
Aarhus Universitet | RESEARCH PRODUCTION: 47 Articles 39 Papers RESEARCH ACTIVITY:
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31 years (1993 - 2024). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Tom Engsted. | Is cited by:
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Main data
Where Tom Engsted has published?
Recent works citing Tom Engsted (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Time-Varying Vector Error-Correction Models: Estimation and Inference. (2023). GAO, Jiti ; Yan, Yayi ; Peng, Bin. In: Papers. RePEc:arx:papers:2305.17829. Full description at Econpapers || Download paper |
| 2023 | Short-Term Stock Price Forecasting using exogenous variables and Machine Learning Algorithms. (2023). Hains, Gaetan ; Lim, Yew-Wei ; Dutra, Gustavo ; Sachin, Niha ; Sagre, Emilio ; Whang, Steven ; Wong, Albert ; Zhang, Frank ; Khmelevsky, Youry. In: Papers. RePEc:arx:papers:2309.00618. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937. Full description at Econpapers || Download paper |
| 2023 | The liquidity state-dependence of monetary policy transmission. (2023). Wijnandts, Jean-Charles ; Pinter, Gabor ; Guimaraes, Rodrigo. In: Bank of England working papers. RePEc:boe:boeewp:1045. Full description at Econpapers || Download paper |
| 2023 | Fully modified least squares cointegrating parameter estimation in multicointegrated systems. (2023). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:300-319. Full description at Econpapers || Download paper |
| 2023 | Housing prices and macroprudential policies: Evidence from microdata. (2023). Singh, Bhupal. In: Economic Systems. RePEc:eee:ecosys:v:47:y:2023:i:1:s093936252200070x. Full description at Econpapers || Download paper |
| 2023 | Assignats or death: The politics and dynamics of hyperinflation in revolutionary France. (2023). Ingber, Joshua S ; Rouanet, Louis ; Cutsinger, Bryan P. In: European Economic Review. RePEc:eee:eecrev:v:157:y:2023:i:c:s0014292123001393. Full description at Econpapers || Download paper |
| 2023 | Inflation and west African sectoral stock price indices: An asymmetric kernel method analysis. (2023). Banto, Jean Michel ; Some, Sobom Matthieu ; Aurelien, Libaud Rudy. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001042. Full description at Econpapers || Download paper |
| 2023 | Industry regulation and the comovement of stock returns. (2023). Whitby, Ryan J ; Griffith, Todd G ; Blau, Benjamin M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:206-219. Full description at Econpapers || Download paper |
| 2023 | Can the global financial cycle explain the episodes of exuberance in international housing markets?. (2023). Liu, Qingya ; Wang, Xichen. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005438. Full description at Econpapers || Download paper |
| 2023 | Options market ambiguity and its information content. (2023). Han, YU ; Chen, Qiang. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000799. Full description at Econpapers || Download paper |
| 2023 | Web-scraping housing prices in real-time: The Covid-19 crisis in the UK. (2023). Meunier, Baptiste ; bricongne, jean-charles ; Pouget, Sylvain. In: Journal of Housing Economics. RePEc:eee:jhouse:v:59:y:2023:i:pb:s105113772200078x. Full description at Econpapers || Download paper |
| 2023 | Cooling the mortgage loan market: The effect of borrower-based limits on new mortgage lending. (2023). Melecký, Martin ; Hodula, Martin ; Szabo, Milan ; Pfeifer, Luka. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:132:y:2023:i:c:s0261560623000098. Full description at Econpapers || Download paper |
| 2023 | Stock market evidence on the international transmission channels of US monetary policy surprises. (2023). Nitschka, Thomas ; Maurer, Tim D. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000670. Full description at Econpapers || Download paper |
| 2023 | Long-run and short-run impact of the U.S. economy on stock, bond and housing markets: An evaluation of U.S. and six major economies. (2023). Yunus, Nafeesa. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:211-232. Full description at Econpapers || Download paper |
| 2023 | Financial market spillovers and macroeconomic shocks: Evidence from China. (2023). Guo, Kun ; Wu, Jie ; Liu, Yue ; Feng, Haoyuan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000879. Full description at Econpapers || Download paper |
| 2023 | Border disputes, conflicts, war, and financial markets research: A systematic review. (2023). Pandey, Dharen ; Kumar, Satish ; Lucey, Brian M. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000983. Full description at Econpapers || Download paper |
| 2023 | Development and Verification of a Regional Residential Electricity Consumption Estimation Method. (2023). Pandyaswargo, Andante Hadi ; Guo, Yanghui ; Onoda, Hiroshi ; Matsumoto, Koki. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:23:p:7738-:d:1286468. Full description at Econpapers || Download paper |
| 2023 | Global Disaster Risk Matters. (2023). Zhu, Xiaoneng ; Zhang, Qunzi ; Yao, Jiaquan ; Chen, Jian. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:1:p:576-597. Full description at Econpapers || Download paper |
| 2023 | Constructing a house price misalignment indicator: revisited and revamped. (2023). Lenarčič, Črt ; Lenari, RT ; Damjanovi, Milan. In: MPRA Paper. RePEc:pra:mprapa:118489. Full description at Econpapers || Download paper |
| 2023 | Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555. Full description at Econpapers || Download paper |
| 2023 | Non-linear structures, chaos, and bubbles in U.S. regional housing markets. (2023). Bui, Thuy ; Emekter, Riza ; Jirasakuldech, Benjamas. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:1:d:10.1007_s12197-022-09598-4. Full description at Econpapers || Download paper |
| 2023 | Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1. Full description at Econpapers || Download paper |
Works by Tom Engsted:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2002 | Long-run forecasting in multicointegrated systems In: Economics Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2003 | Long-Run Forecasting in Multicointegrated Systems.(2003) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2002 | Long-Run Forecasting in Multicointegrated Systems.(2002) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2004 | Long-run forecasting in multicointegrated systems.(2004) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2018 | Frekvensbaserede versus bayesianske metoder i empirisk økonomi In: Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Habit Formation, Surplus Consumption and Return Predictability: International Evidence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
| 2010 | Habit formation, surplus consumption and return predictability: International evidence.(2010) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2008 | An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns.(2010) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2008 | Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
| 2012 | Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model.(2012) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2009 | Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 2009 | The dividend-price ratio does predict dividend growth: International evidence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
| 2010 | The dividend-price ratio does predict dividend growth: International evidence.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
| 2010 | Pitfalls in VAR based return decompositions: A clarification In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 66 |
| 2012 | Pitfalls in VAR based return decompositions: A clarification.(2012) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | article | |
| 2010 | Testing for rational bubbles in a co-explosive vector autoregression In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 30 |
| 2010 | Testing for rational bubbles in a co-explosive vector autoregression.(2010) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | paper | |
| 2012 | Testing for rational bubbles in a coexplosive vector autoregression.(2012) In: Econometrics Journal. [Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
| 2010 | The log-linear return approximation, bubbles, and predictability In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 31 |
| 2012 | The Log-Linear Return Approximation, Bubbles, and Predictability.(2012) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
| 2011 | Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2011 | Bias-correction in vector autoregressive models: A simulation study In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
| 2014 | Bias-Correction in Vector Autoregressive Models: A Simulation Study.(2014) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2012 | Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 26 |
| 2015 | Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries.(2015) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
| 2013 | Housing market volatility in the OECD area: Evidence from VAR based return decompositions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2014 | Housing market volatility in the OECD area: Evidence from VAR based return decompositions.(2014) In: Journal of Macroeconomics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2013 | Bond return predictability in expansions and recessions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Fama on bubbles In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2016 | FAMA ON BUBBLES.(2016) In: Journal of Economic Surveys. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2015 | Explosive bubbles in house prices? Evidence from the OECD countries In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 70 |
| 2016 | Explosive bubbles in house prices? Evidence from the OECD countries.(2016) In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 70 | article | |
| 2016 | The predictive power of dividend yields for future infl?ation: Money illusion or rational causes? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2018 | Disappearing money illusion In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 1993 | The Term Structure of Interest Rates in Denmark 1982-89: Testing the Rational Expectations/Constant Liquidity Premium Theory. In: Bulletin of Economic Research. [Citation analysis] | article | 2 |
| 2004 | The Comovement of US and UK Stock Markets In: European Financial Management. [Full Text][Citation analysis] | article | 32 |
| 2002 | The comovement of US and UK stock markets..(2002) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2002 | Measures of Fit for Rational Expectations Models In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 6 |
| 1999 | Multicointegration in Stock?Flow Models In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 1996 | Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Cross-sectional consumption-based asset pricing: A reappraisal In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 1996 | The monetary model of the exchange rate under hyperinflation: New encouraging evidence In: Economics Letters. [Full Text][Citation analysis] | article | 14 |
| 1997 | Testing for multicointegration In: Economics Letters. [Full Text][Citation analysis] | article | 39 |
| 2001 | The Danish stock and bond markets: comovement, return predictability and variance decomposition In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 31 |
| 1993 | Short- and long-run elasticities in energy demand : A cointegration approach In: Energy Economics. [Full Text][Citation analysis] | article | 96 |
| 2001 | A revival of the autoregressive distributed lag model in estimating energy demand relationships In: Energy. [Full Text][Citation analysis] | article | 119 |
| 1999 | A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships..(1999) In: Aarhus School of Business - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 119 | paper | |
| 2007 | The comovement of US and German bond markets In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 20 |
| 2006 | Explosive bubbles in the cointegrated VAR model In: Finance Research Letters. [Full Text][Citation analysis] | article | 24 |
| 2002 | The relation between asset returns and inflation at short and long horizons In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 31 |
| 2000 | The Relation Between Asset Returns and Inflation at Short and Long Horizons..(2000) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 1996 | The predictive power of the money market term structure In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 18 |
| 1994 | Cointegration and the US term structure In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 105 |
| 1996 | GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 23 |
| 2003 | Misspecification versus bubbles in hyperinflation data: comment In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
| 2002 | Misspecification versus bubbles in hyperinflation data: Comment..(2002) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 1998 | Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 13 |
| 2002 | Measuring noise in the Permanent Income Hypothesis In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 2 |
| 2000 | Measuring Noise in the Permanent Income Hypothesis.(2000) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 1997 | Money demand, adjustment costs, and forward-looking behavior In: Journal of Policy Modeling. [Full Text][Citation analysis] | article | 6 |
| 2005 | A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 3 |
| 2003 | A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability.(2003) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2024 | What Is the False Discovery Rate in Empirical Research? In: Econ Journal Watch. [Full Text][Citation analysis] | article | 0 |
| 1997 | Grangers Representation Theorem and Multicointegration In: Economics Working Papers. [Citation analysis] | paper | 8 |
| 1997 | Dynamic Modelling of Energy Demand : A Guided Tour Through the Jungle of Unit Roots and Cointegration. In: Aarhus School of Business - Department of Economics. [Citation analysis] | paper | 8 |
| 2000 | Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach. In: Finance Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2001 | A New Test for Speculative Bubbles Based on Return Variance Decompositions. In: Finance Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Aktiemarkedet In: Finance Working Papers. [Citation analysis] | paper | 0 |
| 2003 | An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002 In: Finance Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Denmark - A chapter on the Danish Bond Market In: Finance Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Speculative bubbles in stock prices? Tests based on the price-dividend ratio. In: Finance Working Papers. [Full Text][Citation analysis] | paper | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 1998 | Evaluating the Consumption-Capital Asset Pricing Model Using Hansen-Jagannathan Bounds: Evidence from the UK. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 7 |
| 1999 | Estimating the LQAC Model with I(2) Variables. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 11 |
| 1994 | The Linear Quadratic Adjustment Cost Model and the Demand for Labour. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 16 |
| 1993 | Cointegration and Cagans Model of Hyperinflation under Rational Expectations. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 30 |
| 2023 | Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective In: SocArXiv. [Full Text][Citation analysis] | paper | 0 |
| 2021 | The Yield Spread and Bond Return Predictability in Expansions and Recessions In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 5 |
| 2000 | Regime shifts in the Danish term structure of interest rates In: Empirical Economics. [Full Text][Citation analysis] | article | 14 |
| 1998 | Do farmland prices reflect rationally expected future rents? In: Applied Economics Letters. [Full Text][Citation analysis] | article | 12 |
| 1997 | Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors In: Applied Financial Economics. [Full Text][Citation analysis] | article | 10 |
| 2009 | Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak In: Journal of Economic Methodology. [Full Text][Citation analysis] | article | 19 |
| 1995 | Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 35 |
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