Access Statistics for Tom Engsted

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability 0 0 0 160 4 4 8 788
A New Test for Speculative Bubbles Based on Return Variance Decompositions 0 0 3 250 1 1 8 786
A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships 0 0 0 6 3 7 18 4,620
Aktiemarkedet 0 0 0 0 2 2 5 288
An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002 0 0 2 306 0 0 8 666
An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns 0 0 0 67 1 1 5 247
Bias-correction in vector autoregressive models: A simulation study 0 0 0 88 2 2 8 129
Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia 0 0 0 25 2 4 15 68
Bond return predictability in expansions and recessions 1 2 3 126 4 7 20 195
Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises 0 0 0 44 1 3 8 175
Denmark - A chapter on the Danish Bond Market 0 0 1 252 2 3 6 670
Disappearing money illusion 0 0 2 8 13 13 28 108
Dynamic Modelling of Energy Demand: A Guided Tour Through the Jungle of Unit Roots and Cointegration 0 0 0 0 0 1 9 1,731
Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach 1 1 6 278 4 7 34 965
Explosive bubbles in house prices? Evidence from the OECD countries 0 1 5 46 0 4 20 140
Fama on bubbles 0 2 4 60 1 4 13 179
Frekvensbaserede versus bayesianske metoder i empirisk økonomi 0 0 2 5 0 0 12 27
Granger's Representation Theorem and Multicointegration 0 0 0 2 0 2 8 845
Habit Formation, Surplus Consumption and Return Predictability: International Evidence 0 0 0 49 1 2 6 225
Housing market volatility in the OECD area: Evidence from VAR based return decompositions 0 1 2 68 1 2 7 127
Long-Run Forecasting in Multicointegrated Systems 0 0 0 103 1 2 8 263
Long-Run Forecasting in Multicointegrated Systems 0 0 0 128 2 2 9 522
Long-run forecasting in multicointegrated systems 0 0 0 127 1 2 5 371
Measuring Noise in the Permanent Income Hypothesis 0 0 0 102 2 2 5 501
Misspecification versus bubbles in hyperinflation data: Comment 0 0 0 78 1 2 5 429
Multicointegration and present value relations 0 0 0 1 1 1 8 21
Pitfalls in VAR based return decompositions: A clarification 0 0 0 93 1 1 6 225
Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries 0 1 3 81 2 6 15 146
Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model 0 0 2 55 0 1 8 144
Speculative bubbles in stock prices? Tests based on the price-dividend ratio 1 1 5 457 2 2 13 906
Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak 0 1 2 466 33 64 142 3,923
Testing for rational bubbles in a co-explosive vector autoregression 0 0 1 74 1 2 9 139
Testing for rational bubbles in a co-explosive vector autoregression 0 0 2 49 0 3 17 117
The Relation Between Asset Returns and Inflation at Short and Long Horizons 0 0 1 361 2 3 12 978
The comovement of US and UK stock markets 0 0 1 327 1 1 9 772
The dividend-price ratio does predict dividend growth: International evidence 0 0 1 97 1 1 6 405
The log-linear return approximation, bubbles, and predictability 0 0 1 132 0 1 4 321
The predictive power of dividend yields for future infl?ation: Money illusion or rational causes? 0 0 1 18 0 0 5 50
Total Working Papers 3 10 50 4,589 93 165 532 23,212


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability 0 0 0 38 0 0 8 194
A revival of the autoregressive distributed lag model in estimating energy demand relationships 1 6 12 46 5 14 37 144
An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish Stock and bond returns 0 0 1 67 2 5 12 255
Bias-Correction in Vector Autoregressive Models: A Simulation Study 1 1 3 24 3 5 20 97
Cointegration and Cagan's Model of Hyperinflation under Rational Expectations 0 0 0 395 1 1 6 1,387
Cointegration and the US term structure 0 1 2 171 0 1 11 324
Common stochastic trends in international stock prices and dividends: an example of testing overidentifying restrictions on multiple cointegration vectors 0 0 0 45 0 0 6 185
Cross-sectional consumption-based asset pricing: A reappraisal 0 0 1 7 0 0 6 28
Do farmland prices reflect rationally expected future rents? 0 0 0 57 0 0 5 176
Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis 0 0 2 321 0 0 6 1,464
Estimating the LQAC Model with I(2) Variables 0 0 0 45 1 1 6 204
Evaluating the Consumption-Capital Asset Pricing Model Using Hansen-Jagannathan Bounds: Evidence from the UK 0 0 1 217 0 0 5 841
Explosive bubbles in house prices? Evidence from the OECD countries 1 3 8 27 2 5 31 123
Explosive bubbles in the cointegrated VAR model 0 0 6 152 0 1 10 340
FAMA ON BUBBLES 0 1 2 9 0 2 10 41
GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets 1 2 3 94 1 2 5 207
Habit formation, surplus consumption and return predictability: International evidence 0 0 0 21 0 0 4 206
Housing market volatility in the OECD area: Evidence from VAR based return decompositions 0 0 2 18 2 2 11 64
Long-run forecasting in multicointegrated systems 0 1 1 47 0 1 3 247
Measuring noise in the Permanent Income Hypothesis 0 0 0 23 0 0 4 110
Misspecification versus bubbles in hyperinflation data: comment 0 0 0 18 0 0 1 78
Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks 0 0 0 41 0 0 1 211
Money demand, adjustment costs, and forward-looking behavior 0 0 0 20 0 0 2 80
Pitfalls in VAR based return decompositions: A clarification 0 0 3 30 0 0 8 111
Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries 0 1 4 19 4 8 23 87
Regime shifts in the Danish term structure of interest rates 0 0 0 129 1 3 6 534
Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model 0 0 2 27 0 0 6 137
Short- and long-run elasticities in energy demand: A cointegration approach 0 1 7 538 0 2 16 946
Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak 0 1 1 7 0 2 12 100
Testing for multicointegration 0 1 1 70 1 2 6 175
Testing for rational bubbles in a coexplosive vector autoregression 0 0 0 0 0 2 6 63
The Comovement of US and UK Stock Markets 0 0 1 25 0 0 4 109
The Danish stock and bond markets: comovement, return predictability and variance decomposition 0 0 0 69 0 0 5 208
The Linear Quadratic Adjustment Cost Model and the Demand for Labour 0 1 1 136 0 2 4 588
The Log-Linear Return Approximation, Bubbles, and Predictability 0 0 0 35 0 1 9 113
The Term Structure of Interest Rates in Denmark 1982-89: Testing the Rational Expectations/Constant Liquidity Premium Theory 0 0 0 0 0 0 3 167
The comovement of US and German bond markets 0 0 1 31 0 1 4 104
The dividend-price ratio does predict dividend growth: International evidence 0 1 3 57 1 2 13 176
The monetary model of the exchange rate under hyperinflation: New encouraging evidence 0 1 1 26 0 1 2 91
The predictive power of the money market term structure 0 0 1 57 0 0 2 152
The relation between asset returns and inflation at short and long horizons 0 1 4 83 0 1 12 254
Total Journal Articles 4 23 74 3,242 24 67 351 11,121
2 registered items for which data could not be found


Statistics updated 2020-09-04