Tom Engsted : Citation Profile

Aarhus Universitet

19

H index

37

i10 index

1233

Citations

RESEARCH PRODUCTION:

52

Articles

40

Papers

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 39
   Journals where Tom Engsted has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 40 (3.14 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pen44
   Updated: 2026-01-17    RAS profile: 2025-04-28    
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Relations with other researchers

Works with:

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

Is cited by:

Mallucci, Enrico (15)

Shahbaz, Muhammad (15)

Cenedese, Gino (15)

Hyde, Stuart (15)

Mallucci, Enrico (15)

Issler, João (13)

Kim, Jae (13)

Nitschka, Thomas (13)

Rambaccussing, Dooruj (12)

Guillén, Osmani (12)

Kyophilavong, Phouphet (11)

Cites to:

Campbell, John (127)

Shiller, Robert (83)

Hansen, Lars (31)

Cochrane, John (26)

Johansen, Soren (23)

Bekaert, Geert (17)

West, Kenneth (17)

Pedersen, Thomas (17)

Taylor, Mark (15)

Haldrup, Niels (14)

Hodrick, Robert (13)

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 Economic Surveys3
Journal of Macroeconomics3
Economics Letters3
Oxford Bulletin of Economics and Statistics2
Journal of International Financial Markets, Institutions and Money2
International Journal of Finance & Economics2
Nationalkonomisk tidsskrift2
Journal of Banking & Finance2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
SocArXiv / Center for Open Science2

Recent works citing Tom Engsted (2025 and 2024)

YearTitle of citing document
2024Forecasting 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.

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2024Robust Bond Risk Premia Predictability Test in the Quantiles. (2024). Fan, Qingliang ; Li, Xinjue ; Liao, Xiaosai. In: Papers. RePEc:arx:papers:2410.03557.

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2024Investment 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.

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2024Housing Yields. (2024). Colonnello, Stefano ; Marf, Roberto ; Xiong, Qizhou. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:716.

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2024Extracting stock-market bubbles from dividend futures. (2024). Wilfling, Bernd ; Branger, Nicole ; Trede, Mark. In: CQE Working Papers. RePEc:cqe:wpaper:10724.

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2025Testing for bubbles in the Brazilian commercial real estate market. (2025). Maldonado, Wilfredo ; Mira, Enrico C. In: Economics Bulletin. RePEc:ebl:ecbull:eb-25-00017.

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2024Time-Varying Income and Price Elasticities of Oil Demand in OECD Countries. (2024). Ball, Esra ; Bucak, Aala ; Aatk, Abdurrahman Nazif ; Helmi, Mohamad Husam ; Akdeniz, Cokun. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2024-06-30.

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2024Investigation and optimization of PEMFC-CHP systems based on Chinese residential thermal and electrical consumption data. (2024). Yuan, YI ; Lyu, Xingbao ; Ning, Wenjing ; Tao, Wen-Quan ; Chen, LI. In: Applied Energy. RePEc:eee:appene:v:356:y:2024:i:c:s0306261923017014.

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2024Proportional 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.

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2025Financial regulatory policy uncertainty: An informative predictor for financial industry stock returns. (2025). Zhao, Xinyi ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pb:s1062940824002468.

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2025Exploring co-explosive dynamics: Bitcoin price, attractiveness, and sentiment variables. (2025). Maral, Emerson Fernandes ; de Prince, Diogo ; Valls, Pedro L. In: Economics Letters. RePEc:eee:ecolet:v:246:y:2025:i:c:s0165176524005561.

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2024High-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.

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2024Predictive ability tests with possibly overlapping models. (2024). Corradi, Valentina ; Fosten, Jack ; Gutknecht, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:241:y:2024:i:1:s0304407624000629.

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2025Bond risk premiums at the zero lower bound. (2025). Meldrum, Andrew ; Jrgensen, Kasper ; Andreasen, Martin M. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002902.

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2024The 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.

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2024Carbon dioxide and asset pricing: Evidence from international stock markets. (2024). Chen, Zhuo ; Tao, Libin ; Liu, Jinyu ; Lu, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:75:y:2024:i:c:s0927539823001287.

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2024House 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.

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2024Time-varying variance decomposition of macro-finance term structure models. (2024). Hansen, Anne Lundgaard. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000975.

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2025Heterogeneous housing bubbles and monetary policy. (2025). Duan, Kun ; Zhang, Liya ; Chen, Shuyun ; Urquhart, Andrew. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925001668.

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2024Testing 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.

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2025Return predictability, dividend growth, and the persistence of the price–dividend ratio. (2025). Rambaccussing, Dooruj ; Madeira, Joao ; Golinski, Adam ; Goliski, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:92-110.

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2024Discount 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.

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2025Subjective expectations and house prices. (2025). Eriksen, Jonas N ; Bro, Jeppe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:172:y:2025:i:c:s0378426624002917.

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2025Demographic trends, the rent-to-price ratio, and housing market returns. (2025). Wang, Yuansheng ; Yang, Haoxi ; Chen, Zhizhen ; Feng, Yun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:176:y:2025:i:c:s0378426625000573.

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2024Prices 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.

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2024Quantile coherency across bonds, commodities, currencies, and equities. (2024). Stenvall, David ; lucey, brian ; Rahman, Md Lutfur ; Uddin, Gazi Salah. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000697.

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2025An investigation into the causes of stock market return deviations from real earnings yields. (2025). Souropanis, Ioannis ; Murphy, Austin ; Alsalman, Zeina. In: International Review of Economics & Finance. RePEc:eee:reveco:v:102:y:2025:i:c:s105905602500379x.

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2024Sequential learning and economic benefits from dynamic term structure models. (2024). Dubiel-Teleszynski, Tomasz ; Karouzakis, Nikolaos ; Kalogeropoulos, Konstantinos. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:123659.

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2025Exploring Macroeconomic Determinants of Housing Bubbles: New Evidence from Dynamic Panel Probit Models. (2025). Chiang, Shu-Hen ; Chen, Chien-Fu. In: Atlantic Economic Journal. RePEc:kap:atlecj:v:53:y:2025:i:1:d:10.1007_s11293-025-09820-8.

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2025The influence of short-term subjective expectations on stock price movements. (2025). Schmidt, Johannes. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:39:y:2025:i:3:d:10.1007_s11408-025-00469-6.

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2025The 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.

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2025Global decarbonization corresponding with unseasonal land cover change. (2025). Liu, Zhu ; Wang, Lixing ; He, Kehan. In: Nature Communications. RePEc:nat:natcom:v:16:y:2025:i:1:d:10.1038_s41467-025-63144-4.

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2025Reexamining an old story: uncovering the hidden small sample bias in AR(1) models. (2025). Lafit, Ginette ; Ceulemans, Eva ; Ariens, Sigert ; Dou, Zhiwei. In: OSF Preprints. RePEc:osf:osfxxx:esfpy_v1.

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2025Forecasting 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.

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2025Short‐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.

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2024Analyzing the Impact of Inflation on the UK Stock Market: A Focus on the FTSE 100 Index. (2024). Ma, Nana. In: MPRA Paper. RePEc:pra:mprapa:125301.

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2024Economic Growth and Financial Intermediation Nexus in Pakistan: An ARDL Analysis. (2024). Akhtar, Zahid Mehmood ; Mubarak, Fauzia ; Gul, Faid. In: Bulletin of Business and Economics (BBE). RePEc:rfh:bbejor:v:13:y:2024:i:1:p:542-551.

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2024Exogeneous shocks, risk, and market convergence of real alternative and financial assets: evidence from nonlinear dynamics. (2024). Fur, Eric ; Faye, Benot ; Prat, Stphanie. In: Annals of Operations Research. RePEc:spr:annopr:v:334:y:2024:i:1:d:10.1007_s10479-021-04510-5.

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2025Optimal asset allocation and nonlinear return predictability from the dividend-price ratio. (2025). Timmermann, Allan ; Pedersen, Thomas Quistgaard ; Sarkar, Anindo ; Ghezzi, Fabrizio. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06332-7.

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2025Equilibrium asset pricing with short rate risk. (2025). Sbuelz, Alessandro. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:48:y:2025:i:1:d:10.1007_s10203-024-00442-4.

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2025What 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.

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2025El Clasico of Housing: Bubbles in Madrid and Barcelona€™s Real Estate Markets. (2025). Sosvilla-Rivero, Simon ; Gómez-Puig, Marta ; Gaomez-Puig, Marta ; Fernaandez-Paerez, Adrian. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:2503.

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2025Decoding climate change dynamics in Malaysia: Analysing energy, economic growth, foreign direct investment, and oil prices interplay. (2025). Masud, Muhammad Mehedi ; Bi, Kejia ; Akhtar, Rulia ; Hanifa, Abu ; Zhao, Yan ; al Mamun, Abdullah. In: Natural Resources Forum. RePEc:wly:natres:v:49:y:2025:i:2:p:960-985.

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Works by Tom Engsted:

YearTitleTypeCited
2002Long-run forecasting in multicointegrated systems In: Economics Working Papers.
[Full Text][Citation analysis]		paper11
2003Long-Run Forecasting in Multicointegrated Systems.(2003) In: Discussion Papers of DIW Berlin.
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2002Long-Run Forecasting in Multicointegrated Systems.(2002) In: Finance Working Papers.
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This paper has nother version. Agregated cites: 11		paper
2004Long-run forecasting in multicointegrated systems.(2004) In: Journal of Forecasting.
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This paper has nother version. Agregated cites: 11		article
2018Frekvensbaserede versus bayesianske metoder i empirisk økonomi In: Economics Working Papers.
[Full Text][Citation analysis]		paper0
2007Habit Formation, Surplus Consumption and Return Predictability: International Evidence In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2010Habit formation, surplus consumption and return predictability: International evidence.(2010) In: Journal of International Money and Finance.
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This paper has nother version. Agregated cites: 13		article
2008An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2010An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns.(2010) In: International Journal of Finance & Economics.
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This paper has nother version. Agregated cites: 3		article
2008Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper12
2012Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model.(2012) In: Journal of Empirical Finance.
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2009Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak In: CREATES Research Papers.
[Full Text][Citation analysis]		paper19
2009The dividend-price ratio does predict dividend growth: International evidence In: CREATES Research Papers.
[Full Text][Citation analysis]		paper35
2010The dividend-price ratio does predict dividend growth: International evidence.(2010) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 35		article
2010Pitfalls in VAR based return decompositions: A clarification In: CREATES Research Papers.
[Full Text][Citation analysis]		paper72
2012Pitfalls in VAR based return decompositions: A clarification.(2012) In: Journal of Banking & Finance.
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This paper has nother version. Agregated cites: 72		article
2010Testing for rational bubbles in a co-explosive vector autoregression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper32
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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This paper has nother version. Agregated cites: 32		article
2010The log-linear return approximation, bubbles, and predictability In: CREATES Research Papers.
[Full Text][Citation analysis]		paper36
2012The Log-Linear Return Approximation, Bubbles, and Predictability.(2012) In: Journal of Financial and Quantitative Analysis.
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This paper has nother version. Agregated cites: 36		article
2011Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2011Bias-correction in vector autoregressive models: A simulation study In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2014Bias-Correction in Vector Autoregressive Models: A Simulation Study.(2014) In: Econometrics.
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This paper has nother version. Agregated cites: 13		article
2012Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries In: CREATES Research Papers.
[Full Text][Citation analysis]		paper34
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 nother version. Agregated cites: 34		article
2013Housing market volatility in the OECD area: Evidence from VAR based return decompositions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
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 nother version. Agregated cites: 7		article
2013Bond return predictability in expansions and recessions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2014Fama on bubbles In: CREATES Research Papers.
[Full Text][Citation analysis]		paper6
2016FAMA ON BUBBLES.(2016) In: Journal of Economic Surveys.
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This paper has nother version. Agregated cites: 6		article
2015Explosive bubbles in house prices? Evidence from the OECD countries In: CREATES Research Papers.
[Full Text][Citation analysis]		paper76
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 nother version. Agregated cites: 76		article
2016The predictive power of dividend yields for future infl?ation: Money illusion or rational causes? In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2016Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2018Disappearing money illusion In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
1993The Term Structure of Interest Rates in Denmark 1982-89: Testing the Rational Expectations/Constant Liquidity Premium Theory. In: Bulletin of Economic Research.
[Citation analysis]		article1
1994The Classic European Hyperinflations Revisited: Testing the Cagan Model Using a Cointegrated VAR Approach. In: Economica.
[Full Text][Citation analysis]		article15
2004The Comovement of US and UK Stock Markets In: European Financial Management.
[Full Text][Citation analysis]		article32
2002The comovement of US and UK stock markets..(2002) In: Finance Working Papers.
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2002Measures of Fit for Rational Expectations Models In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article7
2002 Measures of Fit for Rational Expectations Models. In: Journal of Economic Surveys.
[Full Text][Citation analysis]		article15
1999Multicointegration in Stock‐Flow Models In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article3
1999 Multicointegration in Stock-Flow Models. In: Oxford Bulletin of Economics and Statistics.
[Full Text][Citation analysis]		article18
1995 The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure. In: Scandinavian Journal of Economics.
[Citation analysis]		article16
1996Multicointegration and present value relations In: DES - Working Papers. Statistics and Econometrics. WS.
[Full Text][Citation analysis]		paper0
2015Cross-sectional consumption-based asset pricing: A reappraisal In: Economics Letters.
[Full Text][Citation analysis]		article0
1996The monetary model of the exchange rate under hyperinflation: New encouraging evidence In: Economics Letters.
[Full Text][Citation analysis]		article13
1997Testing for multicointegration In: Economics Letters.
[Full Text][Citation analysis]		article40
2001The Danish stock and bond markets: comovement, return predictability and variance decomposition In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article30
1993Short- and long-run elasticities in energy demand : A cointegration approach In: Energy Economics.
[Full Text][Citation analysis]		article96
2001A revival of the autoregressive distributed lag model in estimating energy demand relationships In: Energy.
[Full Text][Citation analysis]		article134
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.
[Full Text][Citation analysis]		article21
2006Explosive bubbles in the cointegrated VAR model In: Finance Research Letters.
[Full Text][Citation analysis]		article25
2002The relation between asset returns and inflation at short and long horizons In: Journal of International Financial Markets, Institutions and Money.
[Full Text][Citation analysis]		article35
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.
[Full Text][Citation analysis]		article17
1994Cointegration and the US term structure In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article105
1996GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article26
2003Misspecification versus bubbles in hyperinflation data: comment In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article2
2002Misspecification versus bubbles in hyperinflation data: Comment..(2002) In: Finance Working Papers.
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1998Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article13
2002Measuring noise in the Permanent Income Hypothesis In: Journal of Macroeconomics.
[Full Text][Citation analysis]		article1
2000Measuring Noise in the Permanent Income Hypothesis.(2000) In: Finance Working Papers.
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1997Money demand, adjustment costs, and forward-looking behavior In: Journal of Policy Modeling.
[Full Text][Citation analysis]		article5
2005A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability In: Research in International Business and Finance.
[Full Text][Citation analysis]		article3
2003A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability.(2003) In: Finance Working Papers.
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2024What Is the False Discovery Rate in Empirical Research? In: Econ Journal Watch.
[Full Text][Citation analysis]		article0
1997Grangers Representation Theorem and Multicointegration In: Economics Working Papers.
[Citation analysis]		paper8
1997Dynamic Modelling of Energy Demand : A Guided Tour Through the Jungle of Unit Roots and Cointegration. In: Aarhus School of Business - Department of Economics.
[Citation analysis]		paper8
2000Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach. In: Finance Working Papers.
[Full Text][Citation analysis]		paper1
2001A New Test for Speculative Bubbles Based on Return Variance Decompositions. In: Finance Working Papers.
[Full Text][Citation analysis]		paper1
2003Aktiemarkedet In: Finance Working Papers.
[Citation analysis]		paper0
2003An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002 In: Finance Working Papers.
[Full Text][Citation analysis]		paper0
2003Denmark - A chapter on the Danish Bond Market In: Finance Working Papers.
[Full Text][Citation analysis]		paper1
2004Speculative bubbles in stock prices? Tests based on the price-dividend ratio. In: Finance Working Papers.
[Full Text][Citation analysis]		paper0
2001»Afkast og risiko ved aktieinvesteringer på kort og langt sigt« In: Nationaløkonomisk tidsskrift.
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2001Replik til Nielsen og Risager In: Nationaløkonomisk tidsskrift.
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1998Evaluating the Consumption-Capital Asset Pricing Model Using Hansen-Jagannathan Bounds: Evidence from the UK. In: International Journal of Finance & Economics.
[Full Text][Citation analysis]		article6
1999Estimating the LQAC Model with I(2) Variables. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article10
1994The Linear Quadratic Adjustment Cost Model and the Demand for Labour. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article15
1993Cointegration and Cagans Model of Hyperinflation under Rational Expectations. In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article29
2024Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective In: Foundations and Trends(R) in Econometrics.
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2023Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective.(2023) In: SocArXiv.
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2023Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective In: SocArXiv.
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2021The Yield Spread and Bond Return Predictability in Expansions and Recessions In: The Review of Financial Studies.
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1998Do farmland prices reflect rationally expected future rents? In: Applied Economics Letters.
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1997Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors In: Applied Financial Economics.
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2009Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak In: Journal of Economic Methodology.
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1995Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis. In: The Review of Economics and Statistics.
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