Tom Engsted : Citation Profile


Are you Tom Engsted?

Aarhus Universitet

17

H index

32

i10 index

949

Citations

RESEARCH PRODUCTION:

42

Articles

38

Papers

RESEARCH ACTIVITY:

   25 years (1993 - 2018). See details.
   Cites by year: 37
   Journals where Tom Engsted has often published
   Relations with other researchers
   Recent citing documents: 68.    Total self citations: 32 (3.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pen44
   Updated: 2021-10-16    RAS profile: 2021-01-28    
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Relations with other researchers


Works with:

Pedersen, Thomas (2)

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 (21)

Cenedese, Gino (15)

Mallucci, Enrico (15)

Kim, Jae (13)

Hyde, Stuart (12)

Nitschka, Thomas (10)

Rambaccussing, Dooruj (9)

Nielsen, Bent (9)

Chang, Chia-Lin (8)

McAleer, Michael (8)

Shahbaz, Muhammad (8)

Cites to:

Campbell, John (93)

Shiller, Robert (56)

Johansen, Soren (18)

Hansen, Lars (18)

Pedersen, Thomas (17)

Cochrane, John (16)

West, Kenneth (13)

Hodrick, Robert (11)

Mankiw, N. Gregory (11)

Bekaert, Geert (11)

French, Kenneth (11)

Main data


Where Tom Engsted has published?


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

Recent works citing Tom Engsted (2021 and 2020)


YearTitle of citing document
2021Predicting 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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2020Public Debt and Economic Growth in Nigeria: Investigating the Optimal Threshold Level. (2020). Nzeh, Innocent Chile. In: Asian Development Policy Review. RePEc:asi:adprev:2020:p:112-127.

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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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2020SynCity: Using open data to create a synthetic city of hourly building energy estimates by integrating data-driven and physics-based methods. (2020). Jain, Rishee K ; Miller, Clayton ; Martin, Amory ; Roth, Jonathan. In: Applied Energy. RePEc:eee:appene:v:280:y:2020:i:c:s0306261920314306.

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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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2020Cross market predictions for commodity prices. (2020). Zhang, Yongmin ; Ding, Shusheng. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:455-462.

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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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2020What do movements in financial traders’ net long positions reveal about aggregate stock returns?. (2020). Dunbar, Kwamie ; Jiang, Jing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303474.

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2020Spatial dynamic models with intertemporal optimization: Specification and estimation. (2020). Lee, Lung-Fei ; Jeong, Hanbat. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:1:p:82-104.

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2020Stationary bubble equilibria in rational expectation models. (2020). Monfort, Alain ; Jasiak, J ; Gourieroux, C. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:714-735.

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2020Testing for explosive bubbles in the presence of autocorrelated innovations. (2020). Montes, Erik Christian ; Pedersen, Thomas Quistgaard . In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:207-225.

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2020Cash-flow or return predictability at long horizons? The case of earnings yield. (2020). Xu, Danielle ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:59:y:2020:i:c:p:172-192.

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2020The impact of minimum OTTV legislation on building energy consumption. (2020). Zhang, Lin ; Ridley, Ian ; Sheng, Weili. In: Energy Policy. RePEc:eee:enepol:v:136:y:2020:i:c:s0301421519306627.

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2020Chinese renewable energy industries’ boom and recession: Evidence from bubble detection procedure. (2020). Su, Chi-Wei ; Wang, Kai-Hua ; Moldovan, Nicoleta-Claudia ; Lobon, Oana-Ramona. In: Energy Policy. RePEc:eee:enepol:v:138:y:2020:i:c:s0301421519307852.

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2020Quantile partial adjustment model with application to predicting energy demand in China. (2020). Cheng, Fenfen ; Zhou, Kaile ; Yang, Shanlin. In: Energy. RePEc:eee:energy:v:191:y:2020:i:c:s0360544219322145.

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2020Non-linear nexus between CO2 emissions and economic growth: A comparison of OECD and B&R countries. (2020). TAGHIZADEH-HESARY, Farhad ; Mensah, Isaac Adjei ; Kofi, Joshua Clifford ; Samuel, Clottey Attuquaye ; Sun, Huaping. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s036054422031745x.

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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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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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2020Long-term real dynamic investment planning. (2020). Vodika, Peter ; Nielsen, Jens Perch ; Hiabu, Munir ; Gerrard, Russell. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:90-103.

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2020Tracking fiscal discipline. Looking for a PIIGS on the wing. (2020). Neto, David. In: International Economics. RePEc:eee:inteco:v:163:y:2020:i:c:p:147-154.

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2020Time-varying inflation risk and stock returns. (2020). Duarte, Fernando ; Szymanowska, Marta ; De Roon, Frans ; Boons, Martijn. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:444-470.

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2020Why do discount rates vary?. (2020). Santosh, Shrihari ; Kozak, Serhiy. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:3:p:740-751.

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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). Wang, Liyao ; Li, Jiangyuan ; Huang, Dashan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:1:p:83-101.

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2020Explosive dynamics in house prices? An exploration of financial market spillovers in housing markets around the world. (2020). Martínez García, Enrique ; Grossman, Valerie ; Martinez-Garcia, Enrique. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:101:y:2020:i:c:s0261560618305813.

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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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2020Money demand and seignorage maximization before the end of the Zimbabwean dollar. (2020). NDHLELA, THANDINKOSI ; Miller, Stephen Matteo. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:63:y:2020:i:c:s0164070419300539.

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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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2020Correlation analysis and systemic risk measurement of regional, financial and global stock indices. (2020). Stanley, Eugene H ; Qiao, Zhilin ; Han, Qian ; Chen, Lin. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119315158.

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2020European equity markets: Who is the truly representative investor?. (2020). Alonso, Ana Belen ; Suarez, Javier Rojo ; Pozo, Ricardo Ferrero. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:325-346.

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2020Quantile causality between banking stock and real estate securities returns in the US. (2020). Tiwari, Aviral ; Albulescu, Claudiu ; Roubaud, D ; Bouri, E. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:78:y:2020:i:c:p:251-260.

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2020Upscaling of spatial energy planning, phases, methods, and techniques: A systematic review through meta-analysis. (2020). Tassinari, P ; Torreggiani, D ; Barbaresi, A ; Gholami, M. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:132:y:2020:i:c:s1364032120303270.

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2020Biofuels policy in Colombia: A reconfiguration to the sugar and palm sectors?. (2020). Vasco Correa, Carlos ; Palacio-Ciro, Santiago ; Vasco-Correa, Carlos Andres. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:134:y:2020:i:c:s1364032120306043.

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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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2020The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach. (2020). Iglesias, Jesus ; Golpe, Antonio A ; Vides, Jose Carlos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:124-137.

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2020The impact of quantitative easing and carry trade on the real estate market in Hong Kong. (2020). Li, Kui-Wai ; Tsukuda, Yoshihiko ; Shimada, Junji ; Miyakoshi, Tatsuyoshi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:958-976.

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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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2020Agricultural Land Price Convergence: Evidence from Polish Provinces. (2020). Gumieniak, Agata ; Tomal, Mateusz. In: Agriculture. RePEc:gam:jagris:v:10:y:2020:i:5:p:183-:d:361302.

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2020A Comparison of Various Bottom-Up Urban Energy Simulation Methods Using a Case Study in Hangzhou, China. (2020). Shi, Xing ; Zhang, Xinkai ; Wei, Shen ; Yang, Junyan ; Zhu, Sijie ; Wang, Chao ; Li, Yanxia. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:18:p:4781-:d:413116.

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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: Journal of Risk and Financial Management. 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). Ouedraogo, Ernest ; Rherrad, Imad ; Akakpo, Koffi ; Bago, Jean-Louis. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:7:p:287-:d:580531.

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2021House Price Forecasting from Investment Perspectives. (2021). Ouysse, Rachida ; Rabhi, Fethi ; Herath, Shanaka ; Ge, Xin Janet ; Mangioni, Vince ; Shi, Song . In: Land. RePEc:gam:jlands:v:10:y:2021:i:10:p:1009-:d:643593.

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2020Energy Retrofit in European Building Portfolios: A Review of Five Key Aspects. (2020). Scarpa, Massimiliano ; Gabrielli, Laura ; Ruggeri, Aurora Greta. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:18:p:7465-:d:411846.

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2020Energy Efficiency and GHG Emissions Mapping of Buildings for Decision-Making Processes against Climate Change at the Local Level. (2020). Reig-Fabado, Antonio ; Lerma-Arce, Victoria ; Lemus-Zuiga, Lenin-Guillermo ; Coll-Aliaga, Eloina ; Oliver-Villanueva, Jose-Vicente ; Lorenzo-Saez, Edgar. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:7:p:2982-:d:342995.

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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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2021High-Frequency Volatility Forecasting of US Housing Markets. (2021). Wohar, Mark ; Segnon, Mawuli ; Gupta, Rangan ; Lesame, Keagile. 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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2020The rental sector and the housing block in STREAM. (2020). Debono, Nathaniel ; Micallef, Brian. In: CBM Working Papers. RePEc:mlt:wpaper:0320.

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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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2020Volatility Spillover and International Contagion of Housing Bubbles. (2020). Ouedraogo, Ernest ; Rherrad, Imad ; Akakpo, Koffi ; Bago, Jean-Louis. In: MPRA Paper. RePEc:pra:mprapa:100098.

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2020A Residual-based Test For Multicointegration In Models With Structural Breaks And Threshold Adjustment To Steady State. (2020). Cassim, Lucius. In: MPRA Paper. RePEc:pra:mprapa:101453.

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2020Does Export product diversification help to reduce energy demand: Exploring the contextual evidences from the newly industrialized countries. (2020). Sinha, Avik ; Shahzad, Umer ; Umer, Shahzad ; Zeeshan, Fareed ; Buhari, Dogan. In: MPRA Paper. RePEc:pra:mprapa:103718.

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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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2020Investigating in the J-curve phenomenon in Tunisia- ARDL bound test approach. (2020). Seraj, Mehdi ; Mari, Muhammad ; Shubaita, Elham. In: Journal of Economics and Behavioral Studies. RePEc:rnd:arjebs:v:12:y:2020:i:5:p:23-32.

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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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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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2020Stock market evidence on the international transmission channels of US monetary policy surprises. (2020). Nitschka, Thomas ; Maurer, Tim D. In: Working Papers. RePEc:snb:snbwpa:2020-10.

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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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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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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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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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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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2018Frekvensbaserede versus bayesianske metoder i empirisk økonomi In: Economics Working Papers.
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2007Habit Formation, Surplus Consumption and Return Predictability: International Evidence In: CREATES Research Papers.
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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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This paper has another version. Agregated cites: 3
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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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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.
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This paper has another version. Agregated cites: 15
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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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