Thomas Quistgaard Pedersen : Citation Profile


Are you Thomas Quistgaard Pedersen?

Aarhus Universitet (50% share)
Aarhus Universitet (50% share)

7

H index

5

i10 index

163

Citations

RESEARCH PRODUCTION:

9

Articles

13

Papers

RESEARCH ACTIVITY:

   9 years (2008 - 2017). See details.
   Cites by year: 18
   Journals where Thomas Quistgaard Pedersen has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 12 (6.86 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe342
   Updated: 2019-10-06    RAS profile: 2017-04-27    
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Relations with other researchers


Works with:

Engsted, Tom (7)

Authors registered in RePEc who have co-authored more than one work in the last five years with Thomas Quistgaard Pedersen.

Is cited by:

Cenedese, Gino (10)

Mallucci, Enrico (10)

Pavlidis, Efthymios (5)

Nitschka, Thomas (5)

GUPTA, RANGAN (5)

Martínez García, Enrique (4)

Kruse, Robinson (4)

Peel, David (4)

Lansing, Kevin (4)

Paya, Ivan (4)

Wohar, Mark (4)

Cites to:

Campbell, John (47)

Engsted, Tom (24)

Shiller, Robert (15)

Sinai, Todd (12)

Mayer, Christopher (12)

Cochrane, John (10)

Viceira, Luis (7)

French, Kenneth (6)

Polk, Christopher (5)

Bekaert, Geert (5)

Tanggaard, Carsten (5)

Main data


Where Thomas Quistgaard Pedersen has published?


Journals with more than one article published# docs
Journal of Empirical Finance2

Recent works citing Thomas Quistgaard Pedersen (2018 and 2017)


YearTitle of citing document
2017The Walking Debt Crisis. (2017). Wegener, Christoph ; Kruse, Robinson ; Basse, Tobias. In: CREATES Research Papers. RePEc:aah:create:2017-06.

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

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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2019Non-Stationary Dividend-Price Ratios. (2019). Neokosmidis, Ioannis ; Polimenis, Vassilis . In: Papers. RePEc:arx:papers:1902.06053.

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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei G. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1887.

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2018Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence. (2018). Guidolin, Massimo ; Orlov, Alexei. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1890.

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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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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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2018Bias-corrected estimation for speculative bubbles in stock prices. (2018). Kruse, Robinson ; Wegener, Christoph ; Kaufmann, Hendrik. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:354-364.

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2018The predictive power of the yield spread for future economic expansions: Evidence from a new approach. (2018). Wohar, Mark ; Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:181-195.

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2017A tale of fat tails. (2017). Dave, Chetan ; Malik, Samreen. 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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2017Does mispricing, liquidity or third-party certification contribute to IPO downside risk?. (2017). Reber, Beat . In: International Review of Financial Analysis. RePEc:eee:finana:v:51:y:2017:i:c:p:25-53.

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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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2019Testing the predictive ability of house price bubbles for macroeconomic performance: A meta-analytic approach. (2019). Floro, Danvee. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:164-181.

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2019Are cash-flow betas really bad? Evidence from the Greater Chinese stock markets. (2019). Ohk, Ki Yool ; Wu, Ming ; Ko, Kwangsoo. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:58-68.

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2017On the short-term predictability of stock returns: A quantile boosting approach. (2017). Pierdzioch, Christian ; Demirer, Riza ; Zhang, Huacheng . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:35-41.

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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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2018Control-ownership disparity and stock market Predictability: Evidence from Korean chaebols. (2018). Joe, Denis Yongmin ; Park, Cheolbeom ; Oh, Frederick Dongchuhl. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:6-11.

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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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2018Can bubble theory foresee banking crises?. (2018). Virtanen, Timo ; Taipalus, Katja ; Viren, Matti ; Tolo, Eero. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:66-81.

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2019Conditional tail risk measures for the skewed generalised hyperbolic family. (2019). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:98-114.

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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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2019The walking debt crisis. (2019). Basse, Tobias ; Kruse, Robinson ; Wegener, Christoph. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:157:y:2019:i:c:p:382-402.

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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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2018A new government bond volatility index predictor for the U.S. equity premium. (2018). Pan, Zheyao ; Chan, Kam Fong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:50:y:2018:i:c:p:200-215.

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2018Decomposing the predictive power of local and global financial valuation ratios. (2018). Lawrenz, Jochen ; Zorn, Josef. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:70:y:2018:i:c:p:137-149.

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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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2019Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index. (2019). Gebka, Bartosz ; Wohar, Mark E. In: International Review of Economics & Finance. RePEc:eee:reveco:v:60:y:2019:i:c:p:1-25.

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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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2018An Intertemporal CAPM with stochastic volatility. (2018). Turley, Robert ; Polk, Christopher ; Giglio, Stefano ; Campbell, John Y. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69634.

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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 Institute Working Papers. RePEc:fip:feddgw:325.

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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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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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2018How do Housing Prices and Business Cycles Interact in Spain? An Empirical Analysis/¿Cómo interactúan los precios de la vivienda y el ciclo económico en España? Un análisis empírico. (2018). Sala-Rios, Merce ; Torres-Sole, Teresa ; Farre-Perdiguer, Mariona. In: Estudios de Economía Aplicada. RePEc:lrk:eeaart:36_3_12.

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2019Financial Bubbles : New Evidence from South Africa’s Stock Market. (2019). Dembele, Alou ; Ouedraogo, Ernest ; Souratie, Wamadini M ; Bago, Jean-Louis. In: MPRA Paper. RePEc:pra:mprapa:95685.

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2018Predicting Aggregate and State-Level US House Price Volatility: The Role of Sentiment. (2018). GUPTA, RANGAN ; Nyakabawo, Wendy ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201866.

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2018Time-Varying Impact of Uncertainty Shocks on the US Housing Market. (2018). GUPTA, RANGAN ; Nyakabawo, Wendy ; Christou, Christina. In: Working Papers. RePEc:pre:wpaper:201870.

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2018Can Monetary Policy Lean against Housing Bubbles?. (2018). GUPTA, RANGAN ; Caraiani, Petre ; Calin, Adrian Cantemir ; André, Christophe ; Andre, Christophe. In: Working Papers. RePEc:pre:wpaper:201877.

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2019Effects of Conventional and Unconventional Monetary Policy Shocks on Housing Prices in the United States: The Role of Sentiment. (2019). Marfatia, Hardik A ; Marco, Chi Keung ; Gupta, Rangan ; Caraiani, Petre. In: Working Papers. RePEc:pre:wpaper:201953.

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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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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 return predictability: the role of inflation and threshold dynamics. (2017). McMillan, David G. In: International Review of Applied Economics. RePEc:taf:irapec:v:31:y:2017:i:3:p:357-375.

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2017Residential housing bubbles in Hong Kong: identification and explanation based on GSADF test and dynamic probit model. (2017). Huang, Juan ; Shen, Geoffrey Qiping . In: Journal of Property Research. RePEc:taf:jpropr:v:34:y:2017:i:2:p:108-128.

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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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2019Quantile information share. (2019). Lien, Donald ; Wang, Zijun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:38-55.

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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 Thomas Quistgaard Pedersen:


YearTitleTypeCited
2008Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model In: CREATES Research Papers.
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paper8
2012Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model.(2012) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 8
article
2008Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution In: CREATES Research Papers.
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paper0
2009The dividend-price ratio does predict dividend growth: International evidence In: CREATES Research Papers.
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paper24
2010The dividend-price ratio does predict dividend growth: International evidence.(2010) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 24
article
2010Pitfalls in VAR based return decompositions: A clarification In: CREATES Research Papers.
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paper45
2012Pitfalls in VAR based return decompositions: A clarification.(2012) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 45
article
2010The log-linear return approximation, bubbles, and predictability In: CREATES Research Papers.
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paper30
2012The Log-Linear Return Approximation, Bubbles, and Predictability.(2012) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 30
article
2010Predictable return distributions In: CREATES Research Papers.
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paper11
2015Predictable Return Distributions.(2015) In: Journal of Forecasting.
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This paper has another version. Agregated cites: 11
article
2011Bias-correction in vector autoregressive models: A simulation study In: CREATES Research Papers.
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paper7
2014Bias-Correction in Vector Autoregressive Models: A Simulation Study.(2014) In: Econometrics.
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This paper has another version. Agregated cites: 7
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.
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paper3
2013Housing market volatility in the OECD area: Evidence from VAR based return decompositions In: CREATES Research Papers.
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paper3
2014Housing market volatility in the OECD area: Evidence from VAR based return decompositions.(2014) In: Journal of Macroeconomics.
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This paper has another version. Agregated cites: 3
article
2015Explosive bubbles in house prices? Evidence from the OECD countries In: CREATES Research Papers.
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paper22
2016Explosive bubbles in house prices? Evidence from the OECD countries.(2016) In: Journal of International Financial Markets, Institutions and Money.
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This paper has another version. Agregated cites: 22
article
2016The predictive power of dividend yields for future infl?ation: Money illusion or rational causes? In: CREATES Research Papers.
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paper0
2016A New Index of Housing Sentiment In: CREATES Research Papers.
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paper5
2017Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations In: CREATES Research Papers.
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paper1
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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article4

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