Tom Engsted
Names
Identifer
Contact
Affiliations
-
Aarhus Universitet
/ Institut for Økonomi
/ Center for Research in Econometric Analysis of Time Series (CREATES)
Research profile
author of:
- Long-run forecasting in multicointegrated systems (RePEc:aah:aarhec:2002-15)
by Boris Siliverstovs & Tom Engsted & Niels Haldrup - Frekvensbaserede versus bayesianske metoder i empirisk økonomi (RePEc:aah:aarhec:2018-07)
by Tom Engsted - Habit Formation, Surplus Consumption and Return Predictability: International Evidence (RePEc:aah:create:2007-31)
by Tom Engsted & Stuart Hyde & Stig V. Møller - An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns (RePEc:aah:create:2008-12)
by Tom Engsted & Stig V. Møller - Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model (RePEc:aah:create:2008-27)
by Tom Engsted & Thomas Q. Pedersen - Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak (RePEc:aah:create:2009-17)
by Tom Engsted - The dividend-price ratio does predict dividend growth: International evidence (RePEc:aah:create:2009-36)
by Tom Engsted & Thomas Q. Pedersen - Pitfalls in VAR based return decompositions: A clarification (RePEc:aah:create:2010-09)
by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard - Testing for rational bubbles in a co-explosive vector autoregression (RePEc:aah:create:2010-25)
by Tom Engsted & Bent Nielsen - The log-linear return approximation, bubbles, and predictability (RePEc:aah:create:2010-37)
by Tom Engsted & Thomas Q. Pedersen & Carsten Tanggaard - Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises (RePEc:aah:create:2011-07)
by Tom Engsted & Stig V. Møller - Bias-correction in vector autoregressive models: A simulation study (RePEc:aah:create:2011-18)
by Tom Engsted & Thomas Q. Pedersen - Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries (RePEc:aah:create:2012-58)
by Tom Engsted & Thomas Q. Pedersen - Housing market volatility in the OECD area: Evidence from VAR based return decompositions (RePEc:aah:create:2013-04)
by Tom Engsted & Thomas Q. Pedersen - Bond return predictability in expansions and recessions (RePEc:aah:create:2013-13)
by Tom Engsted & Stig V. Møller & Magnus Sander - Fama on bubbles (RePEc:aah:create:2014-28)
by Tom Engsted - Explosive bubbles in house prices? Evidence from the OECD countries (RePEc:aah:create:2015-01)
by Tom Engsted & Simon J. Hviid & Thomas Q. Pedersen - The predictive power of dividend yields for future infl?ation: Money illusion or rational causes? (RePEc:aah:create:2016-11)
by Tom Engsted & Thomas Q. Pedersen - Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia (RePEc:aah:create:2016-26)
by Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander - Disappearing money illusion (RePEc:aah:create:2018-24)
by Tom Engsted & Thomas Q. Pedersen - The Term Structure of Interest Rates in Denmark 1982-89: Testing the Rational Expectations/Constant Liquidity Premium Theory (RePEc:bla:buecrs:v:45:y:1993:i:1:p:19-37)
by Engsted, Tom - The Classic European Hyperinflations Revisited: Testing the Cagan Model Using a Cointegrated VAR Approach (RePEc:bla:econom:v:61:y:1994:i:243:p:331-43)
by Engsted, Tom - The Comovement of US and UK Stock Markets (RePEc:bla:eufman:v:10:y:2004:i:4:p:593-607)
by Tom Engsted & Carsten Tanggaard - Measures of Fit for Rational Expectations Models (RePEc:bla:jecsur:v:16:y:2002:i:3:p:301-355)
by Tom Engsted - Measures of Fit for Rational Expectations Models (RePEc:bla:jecsur:v:16:y:2002:i:3:p:301-55)
by Engsted, Tom - Fama On Bubbles (RePEc:bla:jecsur:v:30:y:2016:i:2:p:370-376)
by Tom Engsted - Multicointegration in Stock‐Flow Models (RePEc:bla:obuest:v:61:y:1999:i:2:p:237-254)
by Tom Engsted & Niels Haldrup - Multicointegration in Stock-Flow Models (RePEc:bla:obuest:v:61:y:1999:i:2:p:237-54)
by Engsted, Tom & Haldrup, Niels - The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure (RePEc:bla:scandj:v:97:y:1995:i:1:p:145-59)
by Engsted, Tom & Tanggaard, Carsten - Multicointegration and present value relations (RePEc:cte:wsrepe:4540)
by Engsted, Tom & Gonzalo, Jesús & Haldrup, Niels - The Log-Linear Return Approximation, Bubbles, and Predictability (RePEc:cup:jfinqa:v:47:y:2012:i:03:p:643-665_00)
by Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten - Long-Run Forecasting in Multicointegrated Systems (RePEc:diw:diwwpp:dp381)
by Boriss Siliverstovs & Tom Engsted & Niels Haldrup - Cross-sectional consumption-based asset pricing: A reappraisal (RePEc:eee:ecolet:v:132:y:2015:i:c:p:101-104)
by Engsted, Tom & Møller, Stig V. - The monetary model of the exchange rate under hyperinflation: New encouraging evidence (RePEc:eee:ecolet:v:51:y:1996:i:1:p:37-44)
by Engsted, Tom - Testing for multicointegration (RePEc:eee:ecolet:v:56:y:1997:i:3:p:259-266)
by Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels - The dividend-price ratio does predict dividend growth: International evidence (RePEc:eee:empfin:v:17:y:2010:i:4:p:585-605)
by Engsted, Tom & Pedersen, Thomas Q. - Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model (RePEc:eee:empfin:v:19:y:2012:i:2:p:241-253)
by Engsted, Tom & Pedersen, Thomas Q. - The Danish stock and bond markets: comovement, return predictability and variance decomposition (RePEc:eee:empfin:v:8:y:2001:i:3:p:243-271)
by Engsted, Tom & Tanggaard, Carsten - Short- and long-run elasticities in energy demand : A cointegration approach (RePEc:eee:eneeco:v:15:y:1993:i:1:p:9-16)
by Bentzen, Jan & Engsted, Tom - A revival of the autoregressive distributed lag model in estimating energy demand relationships (RePEc:eee:energy:v:26:y:2001:i:1:p:45-55)
by Bentzen, Jan & Engsted, Tom - The comovement of US and German bond markets (RePEc:eee:finana:v:16:y:2007:i:2:p:172-182)
by Engsted, Tom & Tanggaard, Carsten - Explosive bubbles in the cointegrated VAR model (RePEc:eee:finlet:v:3:y:2006:i:2:p:154-162)
by Engsted, Tom - The relation between asset returns and inflation at short and long horizons (RePEc:eee:intfin:v:12:y:2002:i:2:p:101-118)
by Engsted, Tom & Tanggaard, Carsten - Explosive bubbles in house prices? Evidence from the OECD countries (RePEc:eee:intfin:v:40:y:2016:i:c:p:14-25)
by Engsted, Tom & Hviid, Simon J. & Pedersen, Thomas Q. - The predictive power of the money market term structure (RePEc:eee:intfor:v:12:y:1996:i:2:p:289-295)
by Engsted, Tom - Cointegration and the US term structure (RePEc:eee:jbfina:v:18:y:1994:i:1:p:167-181)
by Engsted, Tom & Tanggaard, Carsten - Pitfalls in VAR based return decompositions: A clarification (RePEc:eee:jbfina:v:36:y:2012:i:5:p:1255-1265)
by Engsted, Tom & Pedersen, Thomas Q. & Tanggaard, Carsten - GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets (RePEc:eee:jimfin:v:15:y:1996:i:4:p:497-521)
by Lund, Jesper & Engsted, Tom - Misspecification versus bubbles in hyperinflation data: comment (RePEc:eee:jimfin:v:22:y:2003:i:4:p:441-451)
by Engsted, Tom - Habit formation, surplus consumption and return predictability: International evidence (RePEc:eee:jimfin:v:29:y:2010:i:7:p:1237-1255)
by Engsted, Tom & Hyde, Stuart & Møller, Stig V. - Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries (RePEc:eee:jimfin:v:53:y:2015:i:c:p:257-275)
by Engsted, Tom & Pedersen, Thomas Q. - Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks (RePEc:eee:jmacro:v:20:y:1998:i:3:p:533-552)
by Engsted, Tom - Measuring noise in the Permanent Income Hypothesis (RePEc:eee:jmacro:v:24:y:2002:i:3:p:353-370)
by Engsted, Tom - Housing market volatility in the OECD area: Evidence from VAR based return decompositions (RePEc:eee:jmacro:v:42:y:2014:i:c:p:91-103)
by Engsted, Tom & Pedersen, Thomas Q. - Money demand, adjustment costs, and forward-looking behavior (RePEc:eee:jpolmo:v:19:y:1997:i:2:p:153-173)
by Engsted, Tom & Haldrup, Niels - A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability (RePEc:eee:riibaf:v:19:y:2005:i:1:p:53-70)
by Belter, Klaus & Engsted, Tom & Tanggaard, Carsten - What Is the False Discovery Rate in Empirical Research? (RePEc:ejw:journl:v:21:y:2024:i:1:p:92-112)
by Tom Engsted - Granger's Representation Theorem and Multicointegration (RePEc:eui:euiwps:eco97/15)
by Engsted, T. & Johansen, S. - Dynamic Modelling of Energy Demand : A Guided Tour Through the Jungle of Unit Roots and Cointegration (RePEc:fth:aascbu:97-6)
by Engsted, T & Bentzen, J - A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships (RePEc:fth:aascbu:99-7)
by Bentzen, J. & Engsted, T. - Bias-Correction in Vector Autoregressive Models: A Simulation Study (RePEc:gam:jecnmx:v:2:y:2014:i:1:p:45-71:d:34027)
by Tom Engsted & Thomas Q. Pedersen - Measuring Noise in the Permanent Income Hypothesis (RePEc:hhb:aarfin:2000_008)
by Engsted, Tom - The Relation Between Asset Returns and Inflation at Short and Long Horizons (RePEc:hhb:aarfin:2000_009)
by Engsted, Tom & Tanggaard, Carsten - Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach (RePEc:hhb:aarfin:2000_010)
by Engsted, Tom & Mammen, Enno & Tanggaard, Carsten - A New Test for Speculative Bubbles Based on Return Variance Decompositions (RePEc:hhb:aarfin:2001_009)
by Engsted, Tom & Tanggaard, Carsten - The comovement of US and UK stock markets (RePEc:hhb:aarfin:2002_001)
by Engsted, Tom & Tanggaard, Carsten - Misspecification versus bubbles in hyperinflation data: Comment (RePEc:hhb:aarfin:2002_002)
by Engsted, Tom - Aktiemarkedet (RePEc:hhb:aarfin:2002_008)
by Engsted, Tom - Long-Run Forecasting in Multicointegrated Systems (RePEc:hhb:aarfin:2002_014)
by Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels - A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability (RePEc:hhb:aarfin:2003_001)
by Belter, Klaus & Engsted, Tom & Tanggaard, Carsten - An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002 (RePEc:hhb:aarfin:2003_002)
by Christiansen, Charlotte & Engsted, Tom & Jakobsen, Svend & Tanggaard, Carsten - Denmark - A chapter on the Danish Bond Market (RePEc:hhb:aarfin:2003_003)
by Christiansen, Charlotte & Engsted, Tom & Jakobsen, Svend & Tanggaard, Carsten - Speculative bubbles in stock prices? Tests based on the price-dividend ratio (RePEc:hhb:aarfin:2004_001)
by Engsted, Tom & Tanggaard, Carsten - »Afkast og risiko ved aktieinvesteringer på kort og langt sigt« (RePEc:hhs:jdaecn:0270)
by Engsted, Tom - Replik til Nielsen og Risager (RePEc:hhs:jdaecn:0272)
by Engsted, Tom - An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns (RePEc:ijf:ijfiec:v:15:y:2010:i:3:p:213-227)
by Tom Engsted & Stig V. Møller - Evaluating the Consumption-Capital Asset Pricing Model Using Hansen-Jagannathan Bounds: Evidence from the UK (RePEc:ijf:ijfiec:v:3:y:1998:i:4:p:291-302)
by Engsted, Tom - Estimating the LQAC Model with I(2) Variables (RePEc:jae:japmet:v:14:y:1999:i:2:p:155-70)
by Engsted, Tom & Haldrup, Niels - The Linear Quadratic Adjustment Cost Model and the Demand for Labour (RePEc:jae:japmet:v:9:y:1994:i:s:p:s145-59)
by Engsted, Tom & Haldrup, Niels - Long-run forecasting in multicointegrated systems (RePEc:jof:jforec:v:23:y:2004:i:5:p:315-335)
by Tom Engsted & Niels Haldrup & Boriss Siliverstovs - Cointegration and Cagan's Model of Hyperinflation under Rational Expectations (RePEc:mcb:jmoncb:v:25:y:1993:i:3:p:350-60)
by Engsted, Tom - Testing for rational bubbles in a co-explosive vector autoregression (RePEc:nuf:econwp:1006)
by Tom Engsted & Bent Nielsen - Non-Experimental Data, Hypothesis Testing, and the Likelihood Principle: A Social Science Perspective (RePEc:osf:socarx:nztk8)
by Engsted, Tom & Schneider, Jesper W. - The Yield Spread and Bond Return Predictability in Expansions and Recessions (RePEc:oup:rfinst:v:34:y:2021:i:6:p:2773-2812.)
by Martin M Andreasen & Tom Engsted & Stig V Møller & Magnus Sander & Stijn Van Nieuwerburgh - Regime shifts in the Danish term structure of interest rates (RePEc:spr:empeco:v:25:y:2000:i:1:p:1-13)
by Tom Engsted & Ken Nyholm - Do farmland prices reflect rationally expected future rents? (RePEc:taf:apeclt:v:5:y:1998:i:2:p:75-79)
by Tom Engsted - Unknown item RePEc:taf:apfiec:v:7:y:1997:i:6:p:659-665 (article)
- Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak (RePEc:taf:jecmet:v:16:y:2009:i:4:p:393-408)
by Tom Engsted - Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis (RePEc:tpr:restat:v:77:y:1995:i:1:p:42-54)
by Engsted, Tom - Testing for rational bubbles in a coexplosive vector autoregression (RePEc:wly:emjrnl:v:15:y:2012:i:2:p:226-254)
by Tom Engsted & Bent Nielsen