Tom Engsted : Citation Profile

Are you Tom Engsted?

Aarhus Universitet

19

H index

32

i10 index

1077

Citations

RESEARCH PRODUCTION:

43

Articles

38

Papers

RESEARCH ACTIVITY:

   25 years (1993 - 2018). See details.
   Cites by year: 43
   Journals where Tom Engsted has often published
   Relations with other researchers
   Recent citing documents: 91.    Total self citations: 35 (3.15 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pen44
   Updated: 2023-05-27    RAS profile: 2021-01-28    
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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:

Shahbaz, Muhammad (15)

Mallucci, Enrico (15)

Cenedese, Gino (15)

Hyde, Stuart (13)

Kim, Jae (13)

Nitschka, Thomas (12)

Kyophilavong, Phouphet (11)

Nielsen, Bent (9)

Rambaccussing, Dooruj (9)

Tiwari, Aviral (9)

Lansing, Kevin (9)

Cites to:

Campbell, John (112)

Shiller, Robert (71)

Cochrane, John (25)

Hansen, Lars (22)

Johansen, Soren (19)

Pedersen, Thomas (17)

West, Kenneth (16)

Bekaert, Geert (15)

Mankiw, N. Gregory (13)

Ang, Andrew (13)

Hodrick, Robert (11)

Main data

Where Tom Engsted has published?

Journals with more than one article published# docs
Journal of International Money and Finance4
Economics Letters3
Journal of Macroeconomics3
Journal of Empirical Finance3
Journal of Banking & Finance2
Journal of International Financial Markets, Institutions and Money2
Journal of Economic Surveys2
International Journal of Finance & Economics2
Journal of Applied Econometrics2

Recent works citing Tom Engsted (2022 and 2021)

YearTitle of citing document
2021Long and short memory in dynamic term structure models. (2021). Huseynov, Salman. In: CREATES Research Papers. RePEc:aah:create:2021-15.

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2022.

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2022Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916.

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2021Fully Modified Least Squares Cointegrating Parameter Estimation in Multicointegrated Systems. (2021). , Peter ; PEter, ; Kheifets, Igor L. In: Papers. RePEc:arx:papers:2108.03486.

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2022Testing for explosive bubbles: a review. (2022). Skrobotov, Anton. In: Papers. RePEc:arx:papers:2207.08249.

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2021Debt-Secular Economic Changes and Bond Yields. (2021). Fontaine, Jean-Sebastien ; Feunou, Bruno. In: Staff Working Papers. RePEc:bca:bocawp:21-14.

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2021Web 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.

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2021Choosing 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.

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2022Stock 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.

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2022On 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.

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2022Testing 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.

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2021.

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2022Small 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.

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2022Cooling 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.

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2021On Multicointegration. (2021). PEter, ; Kheifets, Igor. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2306.

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2021Long-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.

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2022Estimating 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.

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2021Análisis 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.

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2021Testing 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.

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2021U.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.

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2022Forecasting 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.

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2022Long- 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.

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2021A 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.

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2022Residual-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.

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2023Fully 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.

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2022A 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.

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2021Unintended 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.

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2022Testing 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.

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2022Stock 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.

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2022The 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.

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2021Does 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.

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2021Are 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.

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2021How 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.

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2021Oil 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.

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2021Re-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.

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2021Stock Return Predictability: Evidence Across US Industries. (2021). Thuy, Quynh Thi. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320302646.

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2022Predicting 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.

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2022A 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.

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2021Bond 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.

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2022Return decomposition over the business cycle. (2022). Cenesizoglu, Tolga. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:143:y:2022:i:c:s0378426622001881.

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2022Inflation 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.

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2021Frequency 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.

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2021Are 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.

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2021Housing 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.

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2021The 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.

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2021Does 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.

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2021Quantitative 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.

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2021The 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.

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2021The 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.

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2021A 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.

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2021Time-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.

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2021International 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.

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2022The 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.

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2021Does 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.

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2021Renewable 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.

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2022.

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2021Application 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.

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2021Spillovers 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.

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2021Volatility 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.

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2021Testing 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.

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2021House 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.

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2022House Price Bubble Detection in Ukraine. (2022). Shmygel, Alona. In: IHEID Working Papers. RePEc:gii:giihei:heidwp22-2022.

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2022Stock Return Predictability: Evaluation based on interval forecasts. (2022). Darne, Olivier ; Kim, Jae ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-03656310.

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2021Predicting 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.

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2022Sovereign 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.

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2021High-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.

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2021The 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.

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2021Modelización 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.

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2021Bubbling 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.

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2021Corralling Expectations: The Role of Institutions in (Hyper)Inflation. (2021). Szybisz, Martin Andres ; Hartwell, Christopher A. In: MPRA Paper. RePEc:pra:mprapa:105612.

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2021What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?. (2021). Rano, Shehu Usman. In: MPRA Paper. RePEc:pra:mprapa:110382.

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2021Are 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.

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2023Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models. (2023). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:555.

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2021Assessing 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.

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2021Comparing 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.

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2021Turkish 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.

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2021Bubble 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.

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2021Habits die hard: implications for bond and stock markets internationally. (2021). Nitschka, Thomas ; Satkurunathan, Shajivan. In: Working Papers. RePEc:snb:snbwpa:2021-08.

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2021Heterogeneity 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.

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2022Revisiting 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.

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2021The 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.

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2022Modifications 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.

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2021Small 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.

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2021Housing Yields. (2021). Colonnello, Stefano ; Xiong, Qizhou ; Marf, Roberto . In: Working Papers. RePEc:ven:wpaper:2021:21.

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2023Testing for explosive bubbles: a review. (2023). Anton, Skrobotov. In: Dependence Modeling. RePEc:vrs:demode:v:11:y:2023:i:1:p:26:n:1.

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2022Early 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.

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2021Do 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.

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2022On 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.

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2022Relationship 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.

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2021The FOMC risk shift. (2021). Schmeling, Maik ; Kroencke, Tim-Alexander ; Schrimpf, Andreas. In: SAFE Working Paper Series. RePEc:zbw:safewp:302.

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2021.

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Works by Tom Engsted:

YearTitleTypeCited
2002Long-run forecasting in multicointegrated systems In: Economics Working Papers.
[Full Text][Citation analysis]		paper11
2003Long-Run Forecasting in Multicointegrated Systems.(2003) In: Discussion Papers of DIW Berlin.
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This paper has another version. Agregated cites: 11		paper
2002Long-Run Forecasting in Multicointegrated Systems.(2002) In: Finance Working Papers.
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This paper has another version. Agregated cites: 11		paper
2004Long-run forecasting in multicointegrated systems.(2004) In: Journal of Forecasting.
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This paper has another version. Agregated cites: 11		article
2018Frekvensbaserede versus bayesianske metoder i empirisk økonomi In: Economics Working Papers.
[Full Text][Citation analysis]		paper0
2007Habit Formation, Surplus Consumption and Return Predictability: International Evidence In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2010Habit formation, surplus consumption and return predictability: International evidence.(2010) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 13		article
2008An 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]		paper3
2010An 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
2008Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper12
2012Return 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
2009Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak In: CREATES Research Papers.
[Full Text][Citation analysis]		paper19
2009The dividend-price ratio does predict dividend growth: International evidence In: CREATES Research Papers.
[Full Text][Citation analysis]		paper29
2010The 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
2010Pitfalls in VAR based return decompositions: A clarification In: CREATES Research Papers.
[Full Text][Citation analysis]		paper63
2012Pitfalls 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
2010Testing for rational bubbles in a co-explosive vector autoregression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper29
2010Testing 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
2012Testing for rational bubbles in a coexplosive vector autoregression.(2012) In: Econometrics Journal.
[Citation analysis]
This paper has another version. Agregated cites: 29		article
2010The log-linear return approximation, bubbles, and predictability In: CREATES Research Papers.
[Full Text][Citation analysis]		paper31
2012The 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
2011Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2011Bias-correction in vector autoregressive models: A simulation study In: CREATES Research Papers.
[Full Text][Citation analysis]		paper12
2014Bias-Correction in Vector Autoregressive Models: A Simulation Study.(2014) In: Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
2012Predicting 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]		paper21
2015Predicting 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
2013Housing market volatility in the OECD area: Evidence from VAR based return decompositions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2014Housing 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
2013Bond return predictability in expansions and recessions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2014Fama on bubbles In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2016FAMA ON BUBBLES.(2016) In: Journal of Economic Surveys.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		article
2015Explosive bubbles in house prices? Evidence from the OECD countries In: CREATES Research Papers.
[Full Text][Citation analysis]		paper63
2016Explosive 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
2016The predictive power of dividend yields for future infl?ation: Money illusion or rational causes? In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2016Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2018Disappearing money illusion In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
1993The Term Structure of Interest Rates in Denmark 1982-89: Testing the Rational Expectations/Constant Liquidity Premium Theory. In: Bulletin of Economic Research.
[Citation analysis]		article2
2004The Comovement of US and UK Stock Markets In: European Financial Management.
[Full Text][Citation analysis]		article30
2002The 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
2002Measures of Fit for Rational Expectations Models In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article6
1999Multicointegration in Stock?Flow Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article2
1996Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2015Cross-sectional consumption-based asset pricing: A reappraisal In: Economics Letters.
[Full Text][Citation analysis]		article0
1996The monetary model of the exchange rate under hyperinflation: New encouraging evidence In: Economics Letters.
[Full Text][Citation analysis]		article11
1997Testing for multicointegration In: Economics Letters.
[Full Text][Citation analysis]		article39
2001The Danish stock and bond markets: comovement, return predictability and variance decomposition In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article29
1993Short- and long-run elasticities in energy demand : A cointegration approach In: Energy Economics.
[Full Text][Citation analysis]		article95
2001A revival of the autoregressive distributed lag model in estimating energy demand relationships In: Energy.
[Full Text][Citation analysis]		article115
1999A 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
2007The comovement of US and German bond markets In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article20
2006Explosive bubbles in the cointegrated VAR model In: Finance Research Letters.
[Full Text][Citation analysis]		article24
2002The relation between asset returns and inflation at short and long horizons In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article31
2000The 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
1996The predictive power of the money market term structure In: International Journal of Forecasting.
[Full Text][Citation analysis]		article18
1994Cointegration and the US term structure In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article105
1996GMM 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]		article23
2003Misspecification versus bubbles in hyperinflation data: comment In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article2
2002Misspecification versus bubbles in hyperinflation data: Comment..(2002) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1998Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article12
2002Measuring noise in the Permanent Income Hypothesis In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article2
2000Measuring Noise in the Permanent Income Hypothesis.(2000) In: Finance Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
1997Money demand, adjustment costs, and forward-looking behavior In: Journal of Policy Modeling.
[Full Text][Citation analysis]		article6
2005A 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]		article3
2003A 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
1997Grangers Representation Theorem and Multicointegration In: Economics Working Papers.
[Citation analysis]		paper8
1997Dynamic 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]		paper7
2000Evaluating 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]		paper2
2001A New Test for Speculative Bubbles Based on Return Variance Decompositions. In: Finance Working Papers.
[Full Text][Citation analysis]		paper1
2003Aktiemarkedet In: Finance Working Papers.
[Citation analysis]		paper0
2003An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002 In: Finance Working Papers.
[Full Text][Citation analysis]		paper0
2003Denmark - A chapter on the Danish Bond Market In: Finance Working Papers.
[Full Text][Citation analysis]		paper1
2004Speculative bubbles in stock prices? Tests based on the price-dividend ratio. In: Finance Working Papers.
[Full Text][Citation analysis]		paper0
1998Evaluating the Consumption-Capital Asset Pricing Model Using Hansen-Jagannathan Bounds: Evidence from the UK. In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article7
1999Estimating the LQAC Model with I(2) Variables. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article11
1994The Linear Quadratic Adjustment Cost Model and the Demand for Labour. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article16
1993Cointegration and Cagans Model of Hyperinflation under Rational Expectations. In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article30
2000Regime shifts in the Danish term structure of interest rates In: Empirical Economics.
[Full Text][Citation analysis]		article14
1998Do farmland prices reflect rationally expected future rents? In: Applied Economics Letters.
[Full Text][Citation analysis]		article12
1997Common 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]		article10
2009Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak In: Journal of Economic Methodology.
[Full Text][Citation analysis]		article19
1995Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article34

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