Tom Engsted

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Affiliations

• Aarhus Universitet / Institut for Økonomi / Center for Research in Econometric Analysis of Time Series (CREATES)
  • EDIRC entry
  • location:

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 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
• 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 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