19
H index
32
i10 index
1077
Citations
Aarhus Universitet | 19 H index 32 i10 index 1077 Citations RESEARCH PRODUCTION: 43 Articles 38 Papers RESEARCH ACTIVITY:
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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: | Cites to: |
Year | Title of citing document |
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2021 | Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2022 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper |
2021 | Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems. (2021). , Peter ; PEter, ; Kheifets, Igor L. In: Papers. RePEc:arx:papers:2108.03486. Full description at Econpapers || Download paper |
2022 | Testing for explosive bubbles: a review. (2022). Skrobotov, Anton. In: Papers. RePEc:arx:papers:2207.08249. Full description at Econpapers || Download paper |
2021 | Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14. Full description at Econpapers || Download paper |
2021 | Web Scraping Housing Prices in Real-time: the Covid-19 Crisis in the UK. (2021). Meunier, Baptiste ; Pouget, Sylvain ; Bricongne, Jean-Charles. In: Working papers. RePEc:bfr:banfra:827. Full description at Econpapers || Download paper |
2021 | Choosing the Level of Significance: A Decision?theoretic Approach. (2021). Kim, Jae ; Choi, IN. In: Abacus. RePEc:bla:abacus:v:57:y:2021:i:1:p:27-71. Full description at Econpapers || Download paper |
2022 | Stock return predictability: Evaluation based on interval forecasts. (2022). Kim, Jae H ; Darne, Olivier ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:74:y:2022:i:2:p:363-385. Full description at Econpapers || Download paper |
2022 | On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196. Full description at Econpapers || Download paper |
2022 | Testing for Co?explosive Behaviour in Financial Time Series. (2022). Leybourne, Stephen J ; Harvey, David I ; Evripidou, Andria C ; Sollis, Robert. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:3:p:624-650. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
2022 | Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2022). Canepa, Alessandra ; Alessandra, Canepa. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:14:y:2022:i:1:p:51-85:n:1. Full description at Econpapers || Download paper |
2022 | Cooling the Mortgage Loan Market: The Effect of Recommended Borrower-Based Limits on New Mortgage Lending. (2022). Melecký, Martin ; Pfeifer, Lukas ; Szabo, Milan ; Hodula, Martin. In: Working Papers. RePEc:cnb:wpaper:2022/3. Full description at Econpapers || Download paper |
2021 | On Multicointegration. (2021). PEter, ; Kheifets, Igor. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2306. Full description at Econpapers || Download paper |
2021 | Long-run Impact of Globalization, Agriculture, Industrialization and Electricity Consumption on the Environmental Quality of Bangladesh. (2021). Shah, Nadir ; Nazia, Tanzina ; Arman, Md Raied ; Anjum, Mobasshir ; Daizy, Afia Fahmida. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-06-51. Full description at Econpapers || Download paper |
2022 | Estimating Elasticities for the Residential Demand of Electricity in Brazil Using Cointegration Models. (2022). Zanini, Alexandre ; de Mattos, Rogerio Silva ; de Souza, Daniel Morais. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2022-02-35. Full description at Econpapers || Download paper |
2021 | Análisis de la sostenibilidad del sector exterior en la OCDE con técnicas de multicointegración. (2021). Camarero, Mariam ; Tamarit, Cecilio ; Carrion, Josep Lluis. In: Working Papers. RePEc:eec:wpaper:2112. Full description at Econpapers || Download paper |
2021 | Testing for rational bubbles in Australian housing market from a long-term perspective. (2021). Prats, Maria A ; Esteve, Vicente. In: Working Papers. RePEc:eec:wpaper:2113. Full description at Econpapers || Download paper |
2021 | U.S. stock prices and the dot.com-bubble: Can dividend policy rescue the efficient market hypothesis?. (2021). Wegener, Christoph ; Vigne, Samuel A ; Klein, Tony ; Basse, Tobias. In: Journal of Corporate Finance. RePEc:eee:corfin:v:67:y:2021:i:c:s0929119921000122. Full description at Econpapers || Download paper |
2022 | Forecasting crash risk in U.S. bank returns—The role of credit booms. (2022). Mansur, Iqbal ; Mihai, Marius M. In: Journal of Corporate Finance. RePEc:eee:corfin:v:76:y:2022:i:c:s092911992200116x. Full description at Econpapers || Download paper |
2022 | Long- and short-term price behaviors in presale housing markets in Taiwan. (2022). Tsai, I-Chun ; I-Chun Tsai, ; Lin, Che-Chun ; Wang, Wen-Kai. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:74:y:2022:i:c:p:350-364. Full description at Econpapers || Download paper |
2021 | A Time-Varying Hedonic Approach to quantifying the effects of loss aversion on house prices. (2021). Greenaway-McGrevy, Ryan ; Sorensen, Kade. In: Economic Modelling. RePEc:eee:ecmode:v:99:y:2021:i:c:s0264999321000742. Full description at Econpapers || Download paper |
2022 | Residual-augmented IVX predictive regression. (2022). Rodrigues, Paulo ; Demetrescu, Matei. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:429-460. 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 |
2022 | A re-examination of housing bubbles: Evidence from European countries. (2022). Lin, Che-Chun ; Tsai, I-Chun ; I-Chun Tsai, . In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:2:s0939362522000334. Full description at Econpapers || Download paper |
2021 | Unintended investor sentiment on bank financial products: Evidence from China. (2021). Wang, Shengnan ; Jin, Chenglu ; Wu, Ling ; Chen, Rongda. In: Emerging Markets Review. RePEc:eee:ememar:v:49:y:2021:i:c:s1566014120303435. Full description at Econpapers || Download paper |
2022 | Testing predictability of stock returns under possible bubbles. (2022). Yang, Zihui ; Long, Wei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:68:y:2022:i:c:p:246-260. Full description at Econpapers || Download paper |
2022 | Stock price movements: Evidence from global equity markets. (2022). Doan, Bao ; Lan, Chunhua. In: Journal of Empirical Finance. RePEc:eee:empfin:v:69:y:2022:i:c:p:123-143. Full description at Econpapers || Download paper |
2022 | The influence of electricity prices on saving electricity in production: Automated multivariate time-series analyses for 99 Danish trades and industries. (2022). Moller, Niels Framroze ; Bjerregaard, Casper. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988321003327. Full description at Econpapers || Download paper |
2021 | Does Export product diversification help to reduce energy demand: Exploring the contextual evidences from the newly industrialized countries. (2021). Sinha, Avik ; Shahzad, Umer ; Fareed, Zeeshan ; Doan, Buhari. In: Energy. RePEc:eee:energy:v:214:y:2021:i:c:s0360544220319885. Full description at Econpapers || Download paper |
2021 | Are long-run income and price elasticities of oil demand time-varying? New evidence from BRICS countries. (2021). Balcilar, Mehmet ; Balli, Esra ; Atik, Abdurrahman Nazif ; Abu, Mohammed I. In: Energy. RePEc:eee:energy:v:229:y:2021:i:c:s0360544221009580. Full description at Econpapers || Download paper |
2021 | How price-responsive is residential retail electricity demand in the US?. (2021). Cox, Kevin ; Woo, Chi-Keung ; Li, Raymond. In: Energy. RePEc:eee:energy:v:232:y:2021:i:c:s0360544221011695. Full description at Econpapers || Download paper |
2021 | Oil for Pakistan: What are the main factors affecting the oil import?. (2021). Lin, Boqiang ; Raza, Muhammad Yousaf. In: Energy. RePEc:eee:energy:v:237:y:2021:i:c:s0360544221017837. Full description at Econpapers || Download paper |
2021 | Re-examination of international bond market dependence: Evidence from a pair copula approach. (2021). Tiwari, Aviral ; Gil-Alana, Luis ; Addo, Emmanuel ; Aikins, Emmanuel Joel. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000211. Full description at Econpapers || Download paper |
2021 | Stock Return Predictability: Evidence Across US Industries. (2021). Thuy, Quynh Thi. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320302646. Full description at Econpapers || Download paper |
2022 | Predicting returns and dividend growth — The role of non-Gaussian innovations. (2022). Nguyen, Hoang ; Mazur, Stepan ; Kiss, Tamas. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003445. Full description at Econpapers || Download paper |
2022 | A reconsideration of the failure of uncovered interest parity for the U.S. dollar. (2022). Xiang, Nan ; Wang, Mengqi ; Kazakova, Katya ; Engel, Charles. In: Journal of International Economics. RePEc:eee:inecon:v:136:y:2022:i:c:s0022199622000344. Full description at Econpapers || Download paper |
2021 | Bond return predictability: Evidence from 25 OECD countries. (2021). Sharma, Susan Sunila ; Narayan, Paresh Kumar ; Devpura, Neluka. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121000202. Full description at Econpapers || Download paper |
2022 | Return decomposition over the business cycle. (2022). Cenesizoglu, Tolga. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:143:y:2022:i:c:s0378426622001881. Full description at Econpapers || Download paper |
2022 | Inflation expectations: Australian consumer survey data versus the bond market. (2022). Wegener, Christoph ; Basse, Tobias. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:203:y:2022:i:c:p:416-430. Full description at Econpapers || Download paper |
2021 | Frequency dependent risk. (2021). Varneskov, Rasmus T ; Neuhierl, Andreas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675. Full description at Econpapers || Download paper |
2021 | Are disagreements agreeable? Evidence from information aggregation. (2021). Li, Jiangyuan ; Huang, Dashan ; Wang, Liyao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:1:p:83-101. Full description at Econpapers || Download paper |
2021 | Housing and household consumption: An investigation of the wealth and collateral effects. (2021). Suari-Andreu, Eduard. In: Journal of Housing Economics. RePEc:eee:jhouse:v:54:y:2021:i:c:s105113772100036x. Full description at Econpapers || Download paper |
2021 | The interaction of actual and fundamental house prices: A general model with an application to Sweden. (2021). Sorensen, Peter Birch ; Bergman, Michael U. In: Journal of Housing Economics. RePEc:eee:jhouse:v:54:y:2021:i:c:s1051137721000425. Full description at Econpapers || Download paper |
2021 | Does cash-flow news play a better role than discount-rate news? Evidence from global regional stock markets. (2021). Ko, Kwangsoo ; Ohk, Kiyool ; Wu, Ming. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302230. Full description at Econpapers || Download paper |
2021 | Quantitative easing and exuberance in stock markets: Evidence from the euro area. (2021). Hudepohl, Thomas ; de Vette, Nander ; van Lamoen, Ryan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:118:y:2021:i:c:s0261560621001224. Full description at Econpapers || Download paper |
2021 | The impact of the term spread in US monetary policy from 1870 to 2013. (2021). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: Journal of Policy Modeling. RePEc:eee:jpolmo:v:43:y:2021:i:1:p:230-251. Full description at Econpapers || Download paper |
2021 | The FOMC Risk Shift. (2021). Schrimpf, Andreas ; Schmeling, Maik ; Kroencke, Tim A. In: Journal of Monetary Economics. RePEc:eee:moneco:v:120:y:2021:i:c:p:21-39. Full description at Econpapers || Download paper |
2021 | A new model for ex-post quantification of the effects of local actions for climate change mitigation. (2021). Leal, V ; Azevedo, I. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:143:y:2021:i:c:s1364032121001842. Full description at Econpapers || Download paper |
2021 | Time-varying comovement of stock and treasury bond markets in Europe: A quantile regression approach. (2021). Lee, Hyunchul. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:1-20. Full description at Econpapers || Download paper |
2021 | International monetary policy spillovers: Linkages between U.S. and South American yield curves. (2021). Meurer, Roberto ; Cavaca, Igor Bastos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:737-754. Full description at Econpapers || Download paper |
2022 | The first real estate bubble? Land prices and rents in medieval England c. 1300–1500. (2022). Killick, Helen ; Brooks, Chris ; Bell, Adrian R. In: Research in International Business and Finance. RePEc:eee:riibaf:v:62:y:2022:i:c:s0275531922000885. Full description at Econpapers || Download paper |
2021 | Does UK social housing affect housing prices and economic growth? An application of the ARDL model. (2021). Liu, C ; Chorley, F. In: Economic Issues Journal Articles. RePEc:eis:articl:121chorley. Full description at Econpapers || Download paper |
2021 | Renewable energy, international trade, carbon dioxide emissions, and economic growth in Nigeria. (2021). , Ewert ; Oyebanji, Ibitoye J. In: ECONOMICS AND POLICY OF ENERGY AND THE ENVIRONMENT. RePEc:fan:efeefe:v:html10.3280/efe2021-002008. Full description at Econpapers || Download paper |
2022 | . Full description at Econpapers || Download paper |
2021 | Application of Artificial Neural Networks in the Urban Building Energy Modelling of Polish Residential Building Stock. (2021). Gawin, Dariusz ; Zygmunt, Marcin. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:24:p:8285-:d:698262. Full description at Econpapers || Download paper |
2021 | Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic. (2021). Shi, Kai. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:112-:d:512945. Full description at Econpapers || Download paper |
2021 | Volatility Spillover and International Contagion of Housing Bubbles. (2021). Bago, Jean-Louis ; Akakpo, Koffi ; Ouedraogo, Ernest ; Rherrad, Imad. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:287-:d:580531. Full description at Econpapers || Download paper |
2021 | Testing Housing Markets for Episodes of Exuberance: Evidence from Different Polish Cities. (2021). Metelski, Dominik ; Sobieraj, Janusz. In: JRFM. RePEc:gam:jjrfmx:v:14:y:2021:i:9:p:412-:d:627347. Full description at Econpapers || Download paper |
2021 | House Price Forecasting from Investment Perspectives. (2021). Ouysse, Rachida ; Mangioni, Vince ; Shi, Song ; Rabhi, Fethi ; Herath, Shanaka ; Ge, Xin Janet. In: Land. RePEc:gam:jlands:v:10:y:2021:i:10:p:1009-:d:643593. Full description at Econpapers || Download paper |
2022 | House Price Bubble Detection in Ukraine. (2022). Shmygel, Alona. In: IHEID Working Papers. RePEc:gii:giihei:heidwp22-2022. Full description at Econpapers || Download paper |
2022 | Stock Return Predictability: Evaluation based on interval forecasts. (2022). Darne, Olivier ; Kim, Jae ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-03656310. Full description at Econpapers || Download paper |
2021 | Predicting returns and dividend growth - the role of non-Gaussian innovations. (2021). Nguyen, Hoang ; Mazur, Stepan ; Kiss, Tamas. In: Working Papers. RePEc:hhs:oruesi:2021_010. Full description at Econpapers || Download paper |
2022 | Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period. (2022). Rout, Sanjay Kumar ; Mallick, Hrushikesh. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:29:y:2022:i:4:d:10.1007_s10690-022-09371-x. Full description at Econpapers || Download paper |
2021 | High-Frequency Volatility Forecasting of US Housing Markets. (2021). Wohar, Mark ; GUPTA, RANGAN ; Lesame, Keagile ; Segnon, Mawuli. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:62:y:2021:i:2:d:10.1007_s11146-020-09745-w. Full description at Econpapers || Download paper |
2021 | The application of proxy methods for estimating the cost of equity for unlisted companies: evidence from listed firms. (2021). Cayon, Edgardo ; Sandoval, Juan S ; Sadeghi, Mehdi ; Sarmiento, Julio. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:57:y:2021:i:3:d:10.1007_s11156-021-00968-3. Full description at Econpapers || Download paper |
2021 | Modelización de la demanda de energía eléctrica: más allá de la normalidad || Electrical energy demand modeling: beyond normality. (2021). Villada-Medina, Hernan D ; Cortes, Lina M ; Trespalacios, Alfredo ; Rendon, Juan F. In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration. RePEc:pab:rmcpee:v:32:y:2021:i:1:p:83-98. Full description at Econpapers || Download paper |
2021 | Bubbling Away: Forecasting Real Estate Prices, Rents, and Bubbles in a Transition Economy. (2021). Cheng, Enoch ; Becker, Charles ; An, Galina. In: Comparative Economic Studies. RePEc:pal:compes:v:63:y:2021:i:2:d:10.1057_s41294-020-00138-9. Full description at Econpapers || Download paper |
2021 | Corralling Expectations: The Role of Institutions in (Hyper)Inflation. (2021). Szybisz, Martin Andres ; Hartwell, Christopher A. In: MPRA Paper. RePEc:pra:mprapa:105612. Full description at Econpapers || Download paper |
2021 | What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?. (2021). Rano, Shehu Usman. In: MPRA Paper. RePEc:pra:mprapa:110382. Full description at Econpapers || Download paper |
2021 | Are Real Estate Prices Evolving into an Asset Price Bubble?. (2021). Kloppenburg, Wolfgang. In: ACTA VSFS. RePEc:prf:journl:v:15:y:2021:i:1:p:36-48. 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 |
2021 | Assessing Dynamism of Crude Oil Demand in Middle-Income Countries of South Asia: A Panel Data Investigation. (2021). Kumar, Suresh D ; Kautish, Pradeep ; Sharma, Rajesh. In: Global Business Review. RePEc:sae:globus:v:22:y:2021:i:1:p:169-183. Full description at Econpapers || Download paper |
2021 | Comparing the Relationship Between Nominal and Real Effective Exchange Rates During the Last Two Devaluations in Algeria. (2021). Shahbaz, Muhammad ; Bilal, Boubellouta. In: Global Business Review. RePEc:sae:globus:v:22:y:2021:i:6:p:1421-1440. Full description at Econpapers || Download paper |
2021 | Turkish Housing Market Dynamics: An Estimated DSGE Model. (2021). Avrendi, Mehmet ; Yaldaram, Mustafa Ozan. In: Margin: The Journal of Applied Economic Research. RePEc:sae:mareco:v:15:y:2021:i:2:p:238-267. Full description at Econpapers || Download paper |
2021 | Bubble Detection in Housing Market: Evidence From a Developing Country. (2021). Jawaid, Syed Tehseen ; Khalil, Samina ; Ahmed, Rafiq. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:2:p:21582440211006690. Full description at Econpapers || Download paper |
2021 | Habits die hard: implications for bond and stock markets internationally. (2021). Nitschka, Thomas ; Satkurunathan, Shajivan. In: Working Papers. RePEc:snb:snbwpa:2021-08. Full description at Econpapers || Download paper |
2021 | Heterogeneity of fiscal adjustments in EU economies in the pre- and post-crisis periods: common correlated effects approach. (2021). Pucar, Emilija Beker ; Glavaki, Olgica. In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:1:d:10.1007_s40822-020-00164-z. Full description at Econpapers || Download paper |
2022 | Revisiting the electricity consumption-led growth hypothesis: is the rule defied in France?. (2022). Usman, Ojonugwa ; Aliyu, Isah Buhari ; Rafindadi, Abdulkadir Abdulrashid. In: Journal of Economic Structures. RePEc:spr:jecstr:v:11:y:2022:i:1:d:10.1186_s40008-022-00290-8. Full description at Econpapers || Download paper |
2021 | The price–rent ratio inequality in Scottish Cities: fluctuations in discount rates and expected rent growth. (2021). Rambaccussing, Dooruj. In: SN Business & Economics. RePEc:spr:snbeco:v:1:y:2021:i:9:d:10.1007_s43546-021-00116-y. Full description at Econpapers || Download paper |
2022 | Modifications on Book-Valued Ratios. (2022). Georgiou, Catherine. In: International Journal of Business and Economic Sciences Applied Research (IJBESAR). RePEc:tei:journl:v:15:y:2022:i:3:p:24-37. Full description at Econpapers || Download paper |
2021 | Small Sample Adjustment for Hypotheses Testing on Cointegrating Vectors. (2021). Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202108. Full description at Econpapers || Download paper |
2021 | Housing Yields. (2021). Colonnello, Stefano ; Xiong, Qizhou ; Marf, Roberto . In: Working Papers. RePEc:ven:wpaper:2021:21. 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 |
2022 | Early Real Estate Indicators during the COVID-19 Crisis. (2022). Miriam, Steurer ; Norbert, Pfeifer. In: Journal of Official Statistics. RePEc:vrs:offsta:v:38:y:2022:i:1:p:319-351:n:9. Full description at Econpapers || Download paper |
2021 | Do the Shanghai–Hong Kong & Shenzhen–Hong Kong Stock Connect programs enhance co?movement between the Mainland Chinese, Hong Kong, and U.S. stock markets?. (2021). Chen, Qian ; Li, Shuangqi. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2871-2890. Full description at Econpapers || Download paper |
2022 | On the transmission mechanism of Asia?Pacific yield curve characteristics. (2022). GUPTA, RANGAN ; Gabauer, David ; Subramaniam, Sowmya. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:473-488. Full description at Econpapers || Download paper |
2022 | Relationship between stock returns and inflation: New evidence from the US using wavelet and causality methods. (2022). Tiwari, Aviral ; Roubaud, David ; Awodumi, Olabanji B ; Adewuyi, Adeolu O. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4515-4540. Full description at Econpapers || Download paper |
2021 | The FOMC risk shift. (2021). Schmeling, Maik ; Kroencke, Tim-Alexander ; Schrimpf, Andreas. In: SAFE Working Paper Series. RePEc:zbw:safewp:302. Full description at Econpapers || Download paper |
2021 | . Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 another version. Agregated cites: 11 | paper | |
2002 | Long-Run Forecasting in Multicointegrated Systems.(2002) In: Finance Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
2004 | Long-run forecasting in multicointegrated systems.(2004) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has another 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 another 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 another 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 another 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 | 29 |
2010 | The dividend-price ratio does predict dividend growth: International evidence.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
2010 | Pitfalls in VAR based return decompositions: A clarification In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 63 |
2012 | Pitfalls in VAR based return decompositions: A clarification.(2012) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 63 | article | |
2010 | Testing for rational bubbles in a co-explosive vector autoregression In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 29 |
2010 | Testing for rational bubbles in a co-explosive vector autoregression.(2010) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2012 | Testing for rational bubbles in a coexplosive vector autoregression.(2012) In: Econometrics Journal. [Citation analysis] This paper has another version. Agregated cites: 29 | 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 another 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 another 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 | 21 |
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 another version. Agregated cites: 21 | 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 another 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 another 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 | 63 |
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 another version. Agregated cites: 63 | 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 | 30 |
2002 | The comovement of US and UK stock markets..(2002) In: Finance Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 30 | 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 | 11 |
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 | 29 |
1993 | Short- and long-run elasticities in energy demand : A cointegration approach In: Energy Economics. [Full Text][Citation analysis] | article | 95 |
2001 | A revival of the autoregressive distributed lag model in estimating energy demand relationships In: Energy. [Full Text][Citation analysis] | article | 115 |
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 another version. Agregated cites: 115 | 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 another 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 another 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 | 12 |
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 another 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 another version. Agregated cites: 3 | paper | |
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 | 7 |
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 |
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 |
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 | 34 |
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