19
H index
36
i10 index
1198
Citations
Tom Engsted : Citation Profile
Aarhus Universitet | RESEARCH PRODUCTION: 51 Articles 40 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1993 - 2024). 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:
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Main data
Where Tom Engsted has published?
| Working Papers Series with more than one paper published | # docs |
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| SocArXiv / Center for Open Science | 2 |
Recent works citing Tom Engsted (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Forecasting Entrepreneurial and Employability Opportunities in the UAE: A Government Finance Analysis. (2024). Hacine, Elhachemi Abdelkader ; Ahmed, Gamal Sayed ; Kwilinski, Aleksy. In: Virtual Economics. RePEc:aid:journl:v:7:y:2024:i:4:p:92-121. Full description at Econpapers || Download paper |
| 2024 | Investment incentives of rent controls and gentrification: Evidence from German micro data. (2024). Dinger, Valeriya ; Baye, Vera. In: Real Estate Economics. RePEc:bla:reesec:v:52:y:2024:i:3:p:843-884. Full description at Econpapers || Download paper |
| 2024 | Time-Varying Income and Price Elasticities of Oil Demand in OECD Countries. (2024). Aatk, Abdurrahman Nazif ; Helmi, Mohamad Husam ; Akdeniz, Cokun ; Ball, Esra ; Bucak, Aala. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-06-30. Full description at Econpapers || Download paper |
| 2024 | Investigation and optimization of PEMFC-CHP systems based on Chinese residential thermal and electrical consumption data. (2024). Ning, Wenjing ; Yuan, YI ; Lyu, Xingbao ; Tao, Wen-Quan ; Chen, LI. In: Applied Energy. RePEc:eee:appene:v:356:y:2024:i:c:s0306261923017014. Full description at Econpapers || Download paper |
| 2024 | Proportional warm-glow theory and asset pricing. (2024). Smith, William ; Dreyer, Johannes Kabderian. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635023000734. Full description at Econpapers || Download paper |
| 2024 | High-dimensional IV cointegration estimation and inference. (2024). Phillips, Peter ; Kheifets, Igor L. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s030440762300338x. Full description at Econpapers || Download paper |
| 2024 | Predictive ability tests with possibly overlapping models. (2024). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000629. Full description at Econpapers || Download paper |
| 2024 | The asymmetric effects of monetary policy on stock price bubbles. (2024). Labondance, Fabien ; Hubert, Paul ; Blot, Christophe. In: European Economic Review. RePEc:eee:eecrev:v:168:y:2024:i:c:s0014292124001533. Full description at Econpapers || Download paper |
| 2024 | Carbon dioxide and asset pricing: Evidence from international stock markets. (2024). Lu, Andrea ; Liu, Jinyu ; Chen, Zhuo ; Tao, Libin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001287. Full description at Econpapers || Download paper |
| 2024 | House price bubbles under the COVID-19 pandemic. (2024). Pedersen, Thomas Q ; Moller, Stig V ; Hansen, Jacob H ; Schutte, Christian M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001299. Full description at Econpapers || Download paper |
| 2024 | Testing rational expectations in a cointegrated VAR with structural change. (2024). Marçal, Emerson ; Maral, Emerson Fernandes. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003673. Full description at Econpapers || Download paper |
| 2024 | Discount rates and cash flows: A local projection approach. (2024). Lof, Matthijs ; Nyberg, Henri. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000475. Full description at Econpapers || Download paper |
| 2024 | Prices and returns: Role of inflation. (2024). Sun, Yulong. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:147:y:2024:i:c:s0261560624001360. Full description at Econpapers || Download paper |
| 2024 | Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; Rahman, Md Lutfur ; Lucey, Brian ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697. Full description at Econpapers || Download paper |
| 2025 | The Influence of Economic Institutions in the Debt-Growth Nexus: Evidence from Nigeria. (2025). Iyoboyi, Martins ; Badiru, Abdullahi. In: Open Economies Review. RePEc:kap:openec:v:36:y:2025:i:1:d:10.1007_s11079-024-09749-6. Full description at Econpapers || Download paper |
| 2025 | Forecasting stock returns with sum-of-the-parts methodology: international evidence. (2025). Noman, Abdullah ; Naka, Atsuyuki ; Athari, Mahtab. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:1:d:10.1057_s41260-024-00380-1. Full description at Econpapers || Download paper |
| 2025 | Short‐run and long‐run determinants of exchange rate fluctuations: A tale of the Dollar and the Naira. (2025). Evans, Olaniyi. In: MPRA Paper. RePEc:pra:mprapa:124158. Full description at Econpapers || Download paper |
| 2025 | What are Asset Price Bubbles? A Survey on Definitions of Financial Bubbles. (2025). Baumann, Michael Heinrich ; Janischewski, Anja. In: Chemnitz Economic Papers. RePEc:tch:wpaper:cep065. Full description at Econpapers || Download paper |
Works by Tom Engsted:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2002 | Long-run forecasting in multicointegrated systems In: Economics Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2003 | Long-Run Forecasting in Multicointegrated Systems.(2003) In: Discussion Papers of DIW Berlin. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2002 | Long-Run Forecasting in Multicointegrated Systems.(2002) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
| 2004 | Long-run forecasting in multicointegrated systems.(2004) In: Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
| 2018 | Frekvensbaserede versus bayesianske metoder i empirisk økonomi In: Economics Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Habit Formation, Surplus Consumption and Return Predictability: International Evidence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 13 |
| 2010 | Habit formation, surplus consumption and return predictability: International evidence.(2010) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | article | |
| 2008 | An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns.(2010) In: International Journal of Finance & Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2008 | Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
| 2012 | Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model.(2012) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2009 | Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 19 |
| 2009 | The dividend-price ratio does predict dividend growth: International evidence In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 33 |
| 2010 | The dividend-price ratio does predict dividend growth: International evidence.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | article | |
| 2010 | Pitfalls in VAR based return decompositions: A clarification In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 69 |
| 2012 | Pitfalls in VAR based return decompositions: A clarification.(2012) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 69 | article | |
| 2010 | Testing for rational bubbles in a co-explosive vector autoregression In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 31 |
| 2010 | Testing for rational bubbles in a co-explosive vector autoregression.(2010) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 2012 | Testing for rational bubbles in a coexplosive vector autoregression.(2012) In: Econometrics Journal. [Citation analysis] This paper has nother version. Agregated cites: 31 | article | |
| 2010 | The log-linear return approximation, bubbles, and predictability In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 33 |
| 2012 | The Log-Linear Return Approximation, Bubbles, and Predictability.(2012) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | article | |
| 2011 | Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2011 | Bias-correction in vector autoregressive models: A simulation study In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 12 |
| 2014 | Bias-Correction in Vector Autoregressive Models: A Simulation Study.(2014) In: Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
| 2012 | Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 29 |
| 2015 | Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries.(2015) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 29 | article | |
| 2013 | Housing market volatility in the OECD area: Evidence from VAR based return decompositions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2014 | Housing market volatility in the OECD area: Evidence from VAR based return decompositions.(2014) In: Journal of Macroeconomics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2013 | Bond return predictability in expansions and recessions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Fama on bubbles In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2016 | FAMA ON BUBBLES.(2016) In: Journal of Economic Surveys. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
| 2015 | Explosive bubbles in house prices? Evidence from the OECD countries In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 72 |
| 2016 | Explosive bubbles in house prices? Evidence from the OECD countries.(2016) In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 72 | article | |
| 2016 | The predictive power of dividend yields for future infl?ation: Money illusion or rational causes? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2018 | Disappearing money illusion In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 1993 | The Term Structure of Interest Rates in Denmark 1982-89: Testing the Rational Expectations/Constant Liquidity Premium Theory. In: Bulletin of Economic Research. [Citation analysis] | article | 1 |
| 1994 | The Classic European Hyperinflations Revisited: Testing the Cagan Model Using a Cointegrated VAR Approach. In: Economica. [Full Text][Citation analysis] | article | 15 |
| 2004 | The Comovement of US and UK Stock Markets In: European Financial Management. [Full Text][Citation analysis] | article | 32 |
| 2002 | The comovement of US and UK stock markets..(2002) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 32 | paper | |
| 2002 | Measures of Fit for Rational Expectations Models In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 7 |
| 2002 | Measures of Fit for Rational Expectations Models. In: Journal of Economic Surveys. [Full Text][Citation analysis] | article | 15 |
| 1999 | Multicointegration in Stock‐Flow Models In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 1999 | Multicointegration in Stock-Flow Models. In: Oxford Bulletin of Economics and Statistics. [Full Text][Citation analysis] | article | 18 |
| 1995 | The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure. In: Scandinavian Journal of Economics. [Citation analysis] | article | 15 |
| 1996 | Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Cross-sectional consumption-based asset pricing: A reappraisal In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 1996 | The monetary model of the exchange rate under hyperinflation: New encouraging evidence In: Economics Letters. [Full Text][Citation analysis] | article | 13 |
| 1997 | Testing for multicointegration In: Economics Letters. [Full Text][Citation analysis] | article | 40 |
| 2001 | The Danish stock and bond markets: comovement, return predictability and variance decomposition In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 30 |
| 1993 | Short- and long-run elasticities in energy demand : A cointegration approach In: Energy Economics. [Full Text][Citation analysis] | article | 96 |
| 2001 | A revival of the autoregressive distributed lag model in estimating energy demand relationships In: Energy. [Full Text][Citation analysis] | article | 131 |
| 1999 | A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships..(1999) In: Aarhus School of Business - Department of Economics. [Citation analysis] This paper has nother version. Agregated cites: 131 | paper | |
| 2007 | The comovement of US and German bond markets In: International Review of Financial Analysis. [Full Text][Citation analysis] | article | 21 |
| 2006 | Explosive bubbles in the cointegrated VAR model In: Finance Research Letters. [Full Text][Citation analysis] | article | 24 |
| 2002 | The relation between asset returns and inflation at short and long horizons In: Journal of International Financial Markets, Institutions and Money. [Full Text][Citation analysis] | article | 31 |
| 2000 | The Relation Between Asset Returns and Inflation at Short and Long Horizons..(2000) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 31 | paper | |
| 1996 | The predictive power of the money market term structure In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 17 |
| 1994 | Cointegration and the US term structure In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 105 |
| 1996 | GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 24 |
| 2003 | Misspecification versus bubbles in hyperinflation data: comment In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 2 |
| 2002 | Misspecification versus bubbles in hyperinflation data: Comment..(2002) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 1998 | Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 12 |
| 2002 | Measuring noise in the Permanent Income Hypothesis In: Journal of Macroeconomics. [Full Text][Citation analysis] | article | 1 |
| 2000 | Measuring Noise in the Permanent Income Hypothesis.(2000) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 1997 | Money demand, adjustment costs, and forward-looking behavior In: Journal of Policy Modeling. [Full Text][Citation analysis] | article | 5 |
| 2005 | A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 3 |
| 2003 | A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability.(2003) In: Finance Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2024 | What Is the False Discovery Rate in Empirical Research? In: Econ Journal Watch. [Full Text][Citation analysis] | article | 0 |
| 1997 | Grangers Representation Theorem and Multicointegration In: Economics Working Papers. [Citation analysis] | paper | 8 |
| 1997 | Dynamic Modelling of Energy Demand : A Guided Tour Through the Jungle of Unit Roots and Cointegration. In: Aarhus School of Business - Department of Economics. [Citation analysis] | paper | 8 |
| 2000 | Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach. In: Finance Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2001 | A New Test for Speculative Bubbles Based on Return Variance Decompositions. In: Finance Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Aktiemarkedet In: Finance Working Papers. [Citation analysis] | paper | 0 |
| 2003 | An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002 In: Finance Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2003 | Denmark - A chapter on the Danish Bond Market In: Finance Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2004 | Speculative bubbles in stock prices? Tests based on the price-dividend ratio. In: Finance Working Papers. [Full Text][Citation analysis] | paper | 0 |
| In: . [Full Text][Citation analysis] | article | 0 | |
| In: . [Full Text][Citation analysis] | article | 0 | |
| 1998 | Evaluating the Consumption-Capital Asset Pricing Model Using Hansen-Jagannathan Bounds: Evidence from the UK. In: International Journal of Finance & Economics. [Full Text][Citation analysis] | article | 6 |
| 1999 | Estimating the LQAC Model with I(2) Variables. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 10 |
| 1994 | The Linear Quadratic Adjustment Cost Model and the Demand for Labour. In: Journal of Applied Econometrics. [Full Text][Citation analysis] | article | 15 |
| 1993 | Cointegration and Cagans Model of Hyperinflation under Rational Expectations. In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 29 |
| 2023 | Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective In: SocArXiv. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective In: SocArXiv. [Full Text][Citation analysis] | paper | 0 |
| 2021 | The Yield Spread and Bond Return Predictability in Expansions and Recessions In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 9 |
| 2000 | Regime shifts in the Danish term structure of interest rates In: Empirical Economics. [Full Text][Citation analysis] | article | 13 |
| 1998 | Do farmland prices reflect rationally expected future rents? In: Applied Economics Letters. [Full Text][Citation analysis] | article | 11 |
| 1997 | Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors In: Applied Financial Economics. [Full Text][Citation analysis] | article | 10 |
| 2009 | Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak In: Journal of Economic Methodology. [Full Text][Citation analysis] | article | 19 |
| 1995 | Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis. In: The Review of Economics and Statistics. [Full Text][Citation analysis] | article | 34 |
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