Tom Engsted : Citation Profile


Are you Tom Engsted?

Aarhus Universitet

16

H index

26

i10 index

786

Citations

RESEARCH PRODUCTION:

45

Articles

36

Papers

RESEARCH ACTIVITY:

   23 years (1993 - 2016). See details.
   Cites by year: 34
   Journals where Tom Engsted has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 37 (4.5 %)

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   Permalink: http://citec.repec.org/pen44
   Updated: 2018-10-13    RAS profile: 2016-12-11    
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Relations with other researchers


Works with:

Pedersen, Thomas (7)

Authors registered in RePEc who have co-authored more than one work in the last five years with Tom Engsted.

Is cited by:

Guillén, Osmani (22)

Cenedese, Gino (15)

Issler, João (12)

Hyde, Stuart (12)

Mallucci, Enrico (12)

Nielsen, Bent (9)

Kim, Jae (9)

Chang, Chia-Lin (8)

McAleer, Michael (8)

Kontonikas, Alexandros (8)

Lee, Chien-Chiang (8)

Cites to:

Campbell, John (106)

Shiller, Robert (69)

Hansen, Lars (24)

Johansen, Soren (20)

Pedersen, Thomas (18)

Cochrane, John (16)

Tanggaard, Carsten (15)

West, Kenneth (14)

Taylor, Mark (14)

Hodrick, Robert (12)

Mayer, Christopher (12)

Main data


Where Tom Engsted has published?


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

Recent works citing Tom Engsted (2018 and 2017)


YearTitle of citing document
2018Disappearing money illusion. (2018). Engsted, Tom ; Pedersen, Thomas Q. In: CREATES Research Papers. RePEc:aah:create:2018-24.

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20172016 WAEA Winning Student Submission: The Effect of Saskatchewans Ownership Restrictions on Farmland Values. (2017). Micheels, Eric ; Gabruch, Mandy L. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:252758.

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2017Growing the Growth of the Ghanaian Economy: Is the Function of the Countrys Financial Development of Any Significance?. (2017). RAFINDADI, ABDULKADIR ; Aliyu, Almustapha A. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:206-221.

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2017Forecasting the equity risk premium with frequency-decomposed predictors. (2017). Verona, Fabio ; Faria, Gonçalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2017_001.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6482.

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2017Testing the Fisher Hypothesis in the G-7 Countries Using I(d) Techniques. (2017). Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1667.

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2017Quantitative easing and exuberance in government bond markets: Evidence from the ECBs expanded asset purchase program. (2017). Dröes, Martijn ; Droes, Martijn ; Mattheussens, Simona ; van Lamoen, Ryan . In: DNB Working Papers. RePEc:dnb:dnbwpp:548.

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2017The Impact of Macroeconomic, Oil Prices and Socio-economic Factors on Exchange Rate in Pakistan: An Auto Regressive Distributed Lag Approach. (2017). Ramakrishnan, Suresh ; Anuar, Melati Ahmad ; Butt, Shamaila . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-62.

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2017Climate Changes in Africa: Does Economic Growth Matter? A Semi-parametric Approach. (2017). Awad, Atif ; Warsame, Mohammed Hersi . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-01-01.

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2017The behavior of money demand in the Chinese hyperinflation. (2017). Zhao, Liuyan. In: China Economic Review. RePEc:eee:chieco:v:42:y:2017:i:c:p:145-154.

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2017A tale of fat tails. (2017). Malik, Samreen ; Dave, Chetan. In: European Economic Review. RePEc:eee:eecrev:v:100:y:2017:i:c:p:293-317.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2018Market timing over the business cycle. (2018). Sander, Magnus . In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:130-145.

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2017Energy demand, substitution and environmental taxation: An econometric analysis of eight subsectors of the Danish economy. (2017). Møller, Niels ; Moller, Niels Framroze. In: Energy Economics. RePEc:eee:eneeco:v:61:y:2017:i:c:p:97-109.

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2017Habit formation and exhaustible resource risk-pricing. (2017). Nguimkeu, Pierre ; Kakeu, Johnson. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:1-12.

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2018The price and income elasticity of Chinas natural gas demand: A multi-sectoral perspective. (2018). Zhang, YI ; Fan, Ying ; Ji, Qiang. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:332-341.

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2018The welfare effects of energy price changes due to energy market reform in Mexico. (2018). Moshiri, Saeed ; Martinez, Miguel Alfonso. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:663-672.

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2017Modeling urban building energy use: A review of modeling approaches and procedures. (2017). Li, Wenliang ; Zhang, Xuesong ; Chen, Gang ; Wang, YU ; Eom, Jiyong ; Cetin, Kristen ; Zhou, Yuyu. In: Energy. RePEc:eee:energy:v:141:y:2017:i:c:p:2445-2457.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2017Do cointegrated commodities bubble together? the case of hog, corn, and soybean. (2017). Bagnarosa, Guillaume ; Dowling, Michael ; Alexakis, Christos. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:96-102.

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2018Technical analysis and stock return predictability: An aligned approach. (2018). Lin, QI. In: Journal of Financial Markets. RePEc:eee:finmar:v:38:y:2018:i:c:p:103-123.

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2017Aggregate earnings and stock market returns: The good, the bad, and the state-dependent. (2017). Zolotoy, Leon ; Lyon, John D ; Frederickson, James R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:157-175.

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2017Dividends, earnings, and predictability. (2017). Moller, Stig V ; Sander, Magnus . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:153-163.

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2018An intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:207-233.

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2017International house price cycles, monetary policy and credit. (2017). Bauer, Gregory. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:88-114.

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2018The impact of ECB monetary policy surprises on the German stock market. (2018). Fausch, Jurg ; Sigonius, Markus. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:55:y:2018:i:c:p:46-63.

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2018Oil consumption, economic growth, and oil futures: The impact of long-run oil supply uncertainty on asset prices. (2018). Ready, Robert C. In: Journal of Monetary Economics. RePEc:eee:moneco:v:94:y:2018:i:c:p:1-26.

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2018Estimation of Environmental Kuznets Curve for CO2 emission: Role of renewable energy generation in India. (2018). Sinha, Avik ; Shahbaz, Muhammad. In: Renewable Energy. RePEc:eee:renene:v:119:y:2018:i:c:p:703-711.

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2017A note on the electricity-growth nexus in Lao PDR. (2017). Shahbaz, Muhammad ; Kyophilavong, Phouphet ; Oh, Jeong-Soo ; Kim, Byoungki. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:77:y:2017:i:c:p:1251-1260.

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2018The validation of Granger causality through formulation and use of finance-growth-energy indexes. (2018). Hayat, Farah ; Khan, Abid Ali ; Saeed, Muhammad Daniel. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p2:p:1859-1867.

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2017Asymmetric adjustment and smooth breaks in dividend yields: Evidence from international stock markets. (2017). Chen, Shyh-Wei ; Xie, Zixiong . In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:339-354.

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2018Dividend growth and equity premium predictability. (2018). Zhu, Min ; Wang, You-Gan ; Du, KE ; Chen, Rui. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:125-137.

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2017Discount rate or cash flow contagion? Evidence from the recent financial crises. (2017). Jiang, Junhua . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:315-326.

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2017Multicointegração e sustentabilidade da política fiscal no Brasil com regime de quebras estruturais (1997-2015). (2017). Triches, Divanildo ; Sleimann, Luis Antonio. In: Revista Brasileira de Economia - RBE. RePEc:fgv:epgrbe:v:71:y:2017:i:3:a:66468.

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2018Detecting Periods of Exuberance: A Look at the Role of Aggregation with an Application to House Prices. (2018). Pavlidis, Efthymios ; Martínez García, Enrique ; Grossman, Valerie ; Martinez-Garcia, Enrique. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:325.

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2018Global Financial Cycles and Risk Premiums. (2018). Schularick, Moritz ; Jorda, Oscar ; Ward, Felix ; Taylor, Alan M. In: Working Paper Series. RePEc:fip:fedfwp:2018-05.

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2018Regressive Welfare Effects of Housing Bubbles. (2018). Phan, Toan ; Graczyk, Andrew. In: Working Paper. RePEc:fip:fedrwp:18-10.

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2017Modeling of Electricity Demand for Azerbaijan: Time-Varying Coefficient Cointegration Approach. (2017). Hasanov, Fakhri ; Bollino, Carlo Andrea ; Mahmudlu, Ceyhun ; Mikayilov, Jeyhun I. In: Energies. RePEc:gam:jeners:v:10:y:2017:i:11:p:1918-:d:119727.

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2018Housing Market Bubbles and Mortgage Contract Design: Implications for Mortgage Lenders and Households. (2018). Poitras, Geoffrey ; Zanotti, Giovanna . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:3:p:42-:d:158481.

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2017Determinants of Housing Prices and Bubble Detection: Evidence from Seven Advanced Economies. (2017). Vogiazas, Sofoklis ; Alexiou, Constantinos. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:45:y:2017:i:1:d:10.1007_s11293-017-9531-0.

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2017What Drives Housing Markets: Fundamentals or Bubbles?. (2017). Liu, Renhe ; Chen, YI ; Lv, Jiaqi ; Hui, Eddie Chi-Man . In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:55:y:2017:i:4:d:10.1007_s11146-016-9565-0.

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2018When Bubble Meets Bubble: Contagion in OECD Countries. (2018). Pinchao-Rosero, Andres ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Gamboa-Arbelaez, Juliana. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:4:d:10.1007_s11146-017-9605-4.

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2017Exuberance in the U.K. Regional Housing Markets. (2017). Peel, David ; Pavlidis, Efthymios ; Paya, Ivan ; Yusupova, Alisa Yevgenyevna . In: Working Papers. RePEc:lan:wpaper:168117137.

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2017How bubbly is the New Zealand dollar?. (2017). Steenkamp, Daan. In: Reserve Bank of New Zealand Discussion Paper Series. RePEc:nzb:nzbdps:2017/3.

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2017ROLE OF SOCIAL PROTECTION IN POVERTY REDUCTION IN PAKISTAN: A Quantitative Approach. (2017). Ul, Ahmed Raza ; Nishat, Mohammad . In: Pakistan Journal of Applied Economics. RePEc:pje:journl:article27sumiv.

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2017Estimation of Environmental Kuznets Curve for CO2 Emission: Role of Renewable Energy Generation in India. (2017). Sinha, Avik ; Shahbaz, Muhammad. In: MPRA Paper. RePEc:pra:mprapa:83335.

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2017Demand for Military Spending: The case of the MENA Region. (2017). Douch, Mohamed ; Solomon, Binyam . In: MPRA Paper. RePEc:pra:mprapa:88689.

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2017Modelling Short-run Money Demand for the US. (2017). Scheiblecker, Marcus. In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:4:y:2017:i:5:p:9-20.

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2017Demand for electricity and weather conditions: Nonparametric analysis. (2017). Popova, Evgeniya ; Ozhegov, Evgeniy. In: Applied Econometrics. RePEc:ris:apltrx:0317.

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2018Forecasting Chinese Business Cycle Using Long-term Interest Rate Comovements. (2018). Lee, Kiryoung ; Jo, Chanik. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2018:i:2:p:118-134.

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2017Predicting returns on asset markets of a small, open economy and the influence of global risks. (2017). Nitschka, Thomas ; Haab, David. In: Working Papers. RePEc:snb:snbwpa:2017-14.

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2018The impact of monetary policy on local housing markets: Do regulations matter?. (2018). Sun, Xiaojin ; Tsang, Kwok Ping. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1255-0.

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2018On the Dynamics of Inflation-Stock Returns in India. (2018). Bhandari, Avishek ; Bandi, Kamaiah . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:16:y:2018:i:1:d:10.1007_s40953-017-0075-6.

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2017How Predictable? Rent Growth and Returns in Sydney and Melbourne Housing Markets. (2017). Stapledon, Nigel ; Otto, Glenn. In: Discussion Papers. RePEc:swe:wpaper:2017-01.

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2017Stock prices, inflation and inflation uncertainty in the U.S.: testing the long-run relationship considering Dow Jones sector indexes. (2017). Albulescu, Claudiu ; Goyeau, Daniel ; Aubin, Christian. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:18:p:1794-1807.

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2017Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECBs Expanded Assets Purchase Program. (2017). Droes, Martijn ; Mattheussens, Simona ; van Lamoen, Ryan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170080.

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2018Empirical studies on the cross-section of corporate bond and stock markets. (2018). van Zundert, Jeroen . In: Other publications TiSEM. RePEc:tiu:tiutis:338205fc-a031-4e06-a636-966b7596ad1c.

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2018Does trade openness spur economic growth in Botswana? An empirical investigation. (2018). Malefane, Malefa R ; Odhiambo, Nicholas M. In: Working Papers. RePEc:uza:wpaper:23777.

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2018Trade openness and economic growth: empirical evidence from Lesotho. (2018). Malefane, Malefa R ; Odhiambo, Nicholas M. In: Working Papers. RePEc:uza:wpaper:23787.

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2018A multicointegration model of global climate change. (2018). Stern, David ; Csereklyei, Zsuzsanna ; Bruns, Stephan B. In: Center for European, Governance and Economic Development Research Discussion Papers. RePEc:zbw:cegedp:336.

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2017Balanced bootstrap joint confidence bands for structural impulse response functions. (2017). Wolf, Michael ; Bruder, Stefan. In: ECON - Working Papers. RePEc:zur:econwp:246.

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Works by Tom Engsted:


YearTitleTypeCited
2002Long-run forecasting in multicointegrated systems In: Economics Working Papers.
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2003Long-Run Forecasting in Multicointegrated Systems.(2003) In: Discussion Papers of DIW Berlin.
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2002Long-Run Forecasting in Multicointegrated Systems.(2002) In: Finance Working Papers.
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2004Long-run forecasting in multicointegrated systems.(2004) In: Journal of Forecasting.
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2007Habit Formation, Surplus Consumption and Return Predictability: International Evidence In: CREATES Research Papers.
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paper7
2010Habit formation, surplus consumption and return predictability: International evidence.(2010) In: Journal of International Money and Finance.
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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.
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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.
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2008Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model In: CREATES Research Papers.
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2012Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model.(2012) In: Journal of Empirical Finance.
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2009Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak In: CREATES Research Papers.
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2009The dividend-price ratio does predict dividend growth: International evidence In: CREATES Research Papers.
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2010The dividend-price ratio does predict dividend growth: International evidence.(2010) In: Journal of Empirical Finance.
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2010Pitfalls in VAR based return decompositions: A clarification In: CREATES Research Papers.
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2012Pitfalls in VAR based return decompositions: A clarification.(2012) In: Journal of Banking & Finance.
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2010Testing for rational bubbles in a co-explosive vector autoregression In: CREATES Research Papers.
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2010Testing for rational bubbles in a co-explosive vector autoregression.(2010) In: Economics Papers.
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2012Testing for rational bubbles in a coexplosive vector autoregression.(2012) In: Econometrics Journal.
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2010The log-linear return approximation, bubbles, and predictability In: CREATES Research Papers.
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2012The Log-Linear Return Approximation, Bubbles, and Predictability.(2012) In: Journal of Financial and Quantitative Analysis.
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2011Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises In: CREATES Research Papers.
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2011Bias-correction in vector autoregressive models: A simulation study In: CREATES Research Papers.
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2014Bias-Correction in Vector Autoregressive Models: A Simulation Study.(2014) In: Econometrics.
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2012Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries In: CREATES Research Papers.
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2013Housing market volatility in the OECD area: Evidence from VAR based return decompositions In: CREATES Research Papers.
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2014Housing market volatility in the OECD area: Evidence from VAR based return decompositions.(2014) In: Journal of Macroeconomics.
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2013Bond return predictability in expansions and recessions In: CREATES Research Papers.
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2014Fama on bubbles In: CREATES Research Papers.
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2016FAMA ON BUBBLES.(2016) In: Journal of Economic Surveys.
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2015Explosive bubbles in house prices? Evidence from the OECD countries In: CREATES Research Papers.
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2016Explosive bubbles in house prices? Evidence from the OECD countries.(2016) In: Journal of International Financial Markets, Institutions and Money.
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2016The predictive power of dividend yields for future infl?ation: Money illusion or rational causes? In: CREATES Research Papers.
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2016Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia In: CREATES Research Papers.
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1993The Term Structure of Interest Rates in Denmark 1982-89: Testing the Rational Expectations/Constant Liquidity Premium Theory. In: Bulletin of Economic Research.
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1994The Classic European Hyperinflations Revisited: Testing the Cagan Model Using a Cointegrated VAR Approach. In: Economica.
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2004The Comovement of US and UK Stock Markets In: European Financial Management.
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2002The comovement of US and UK stock markets..(2002) In: Finance Working Papers.
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2002 Measures of Fit for Rational Expectations Models. In: Journal of Economic Surveys.
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1999 Multicointegration in Stock-Flow Models. In: Oxford Bulletin of Economics and Statistics.
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1995 The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure. In: Scandinavian Journal of Economics.
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1996Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
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2015Cross-sectional consumption-based asset pricing: A reappraisal In: Economics Letters.
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1996The monetary model of the exchange rate under hyperinflation: New encouraging evidence In: Economics Letters.
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1997Testing for multicointegration In: Economics Letters.
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2001The Danish stock and bond markets: comovement, return predictability and variance decomposition In: Journal of Empirical Finance.
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1993Short- and long-run elasticities in energy demand : A cointegration approach In: Energy Economics.
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2001A revival of the autoregressive distributed lag model in estimating energy demand relationships In: Energy.
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1999A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships..(1999) In: Aarhus School of Business - Department of Economics.
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2007The comovement of US and German bond markets In: International Review of Financial Analysis.
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2006Explosive bubbles in the cointegrated VAR model In: Finance Research Letters.
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2002The relation between asset returns and inflation at short and long horizons In: Journal of International Financial Markets, Institutions and Money.
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2000The Relation Between Asset Returns and Inflation at Short and Long Horizons..(2000) In: Finance Working Papers.
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1996The predictive power of the money market term structure In: International Journal of Forecasting.
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1994Cointegration and the US term structure In: Journal of Banking & Finance.
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article96
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.
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2003Misspecification versus bubbles in hyperinflation data: comment In: Journal of International Money and Finance.
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2002Misspecification versus bubbles in hyperinflation data: Comment..(2002) In: Finance Working Papers.
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2015Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries In: Journal of International Money and Finance.
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1998Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks In: Journal of Macroeconomics.
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2003A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability.(2003) In: Finance Working Papers.
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1997Dynamic Modelling of Energy Demand : A Guided Tour Through the Jungle of Unit Roots and Cointegration. In: Aarhus School of Business - Department of Economics.
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