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1

Cointegration and the US term structure

Tom Engsted, Carsten Tanggaard

Journal:

Journal of Banking & Finance

Year:

1994

Language:

english

File:

PDF, 932 KB

english, 1994

2

Does the Long-Term Interest Rate Predict Future Inflation? A Multi-Country Analysis

Journal:

Review of Economics and Statistics

Year:

1995

Language:

english

File:

PDF, 394 KB

english, 1995

3

A revival of the autoregressive distributed lag model in estimating energy demand relationships

Jan Bentzen, Tom Engsted

Journal:

Year:

2001

Language:

english

File:

PDF, 105 KB

english, 2001

4

Pitfalls in VAR based return decompositions: A clarification

Tom Engsted, Thomas Q. Pedersen, Carsten Tanggaard

Journal:

Journal of Banking & Finance

Year:

2012

Language:

english

File:

PDF, 259 KB

english, 2012

5

The relation between asset returns and inflation at short and long horizons

Tom Engsted, Carsten Tanggaard

Journal:

Journal of International Financial Markets, Institutions and Money

Year:

2002

Language:

english

File:

PDF, 228 KB

english, 2002

6

The Comovement of US and UK Stock Markets

Engsted, Tom, Tanggaard, Carsten

Journal:

SSRN Electronic Journal

Year:

2002

File:

PDF, 274 KB

2002

7

Measures of Fit for Rational Expectations Models

Journal:

Journal of Economic Surveys

Year:

2002

Language:

english

File:

PDF, 647 KB

english, 2002

8

The Comovement of US and UK Stock Markets

Tom Engsted, Carsten Tanggaard

Journal:

European Financial Management

Year:

2004

Language:

english

File:

PDF, 152 KB

english, 2004

9

The predictive power of the money market term structure

Journal:

International Journal of Forecasting

Year:

1996

Language:

english

File:

PDF, 521 KB

english, 1996

10

Measuring noise in the Permanent Income Hypothesis

Journal:

Journal of Macroeconomics

Year:

2002

Language:

english

File:

PDF, 155 KB

english, 2002

11

Money demand during hyperinflation: Cointegration, rational expectations, and the importance of money demand shocks

Journal:

Journal of Macroeconomics

Year:

1998

Language:

english

File:

PDF, 1.03 MB

english, 1998

12

The dividend–price ratio does predict dividend growth: International evidence

Tom Engsted, Thomas Q. Pedersen

Journal:

Journal of Empirical Finance

Year:

2010

Language:

english

File:

PDF, 1.04 MB

english, 2010

13

Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Engsted, Tom, Pedersen, Thomas Q.

Journal:

Journal of Macroeconomics

Year:

2014

Language:

english

File:

PDF, 421 KB

english, 2014

14

Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak

Journal:

Journal of Economic Methodology

Year:

2009

Language:

english

File:

PDF, 118 KB

english, 2009

15

The Log-Linear Return Approximation, Bubbles, and Predictability

Engsted, Tom, Pedersen, Thomas Q., Tanggaard, Carsten

Journal:

Journal of Financial and Quantitative Analysis

Year:

2012

Language:

english

File:

PDF, 206 KB

english, 2012

16

A cointegration analysis of Danish zero-coupon bond yields

Engsted, Tom, Tanggaard, Carsten

Journal:

Applied Financial Economics

Year:

1994

Language:

english

File:

PDF, 811 KB

english, 1994

17

The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure

Tom Engsted and Carsten Tanggaard

Journal:

The Scandinavian Journal of Economics

Year:

1995

Language:

english

File:

PDF, 1.11 MB

english, 1995

18

Predicting Returns and Rent Growth in the Housing Market Using the Rent-to-Price Ratio: Evidence from the OECD Countries

Engsted, Tom, Pedersen, Thomas Quistgaard

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 240 KB

english, 2012

19

Evaluating the consumption-capital asset pricing model using Hansen–Jagannathan bounds: evidence from the UK

Journal:

International Journal of Finance & Economics

Year:

1998

Language:

english

File:

PDF, 219 KB

english, 1998

20

Estimating the LQAC model with I(2) variables

Tom Engsted, Niels Haldrup

Journal:

Journal of Applied Econometrics

Year:

1999

Language:

english

File:

PDF, 171 KB

english, 1999

21

Long-run forecasting in multicointegrated systems

Boriss Siliverstovs, Tom Engsted, Niels Haldrup

Journal:

Journal of Forecasting

Year:

2004

Language:

english

File:

PDF, 162 KB

english, 2004

22

An iterated GMM procedure for estimating the Campbell–Cochrane habit formation model, with an application to Danish Stock and bond returns

Tom Engsted, Stig V. Møller

Journal:

International Journal of Finance & Economics

Year:

2010

Language:

english

File:

PDF, 222 KB

english, 2010

23

Short- and long-run elasticities in energy demand: A cointegration approach

Jan Bentzen, Tom Engsted

Journal:

Energy Economics

Year:

1993

Language:

english

File:

PDF, 826 KB

english, 1993

24

Regime shifts in the Danish term structure of interest rates

Tom Engsted, Ken Nyholm

Journal:

Empirical Economics

Year:

2000

Language:

english

File:

PDF, 184 KB

english, 2000

25

Dynamic Modelling of Energy Demand: A Guided Tour Through the Jungle of Unit Roots and Cointegration

Tom Engsted, Jan Bentzen

Journal:

OPEC Energy Review

Year:

1997

Language:

english

File:

PDF, 280 KB

english, 1997

26

Multicointegration in Stock-Flow Models

Tom Engsted, Niels Haldrup

Journal:

Oxford Bulletin of Economics and Statistics

Year:

1999

Language:

english

File:

PDF, 407 KB

english, 1999

27

THE TERM STRUCTURE OF INTEREST RATES IN DENMARK 1982–89: TESTING THE RATIONAL EXPECTATIONS/CONSTANT LIQUIDITY PREMIUM THEORY

Journal:

Bulletin of Economic Research

Year:

1993

Language:

english

File:

PDF, 905 KB

english, 1993

28

The linear quadratic adjustment cost model and the demand for labour

Tom Engsted, Niels Haldrup

Journal:

Journal of Applied Econometrics

Year:

1994

Language:

english

File:

PDF, 929 KB

english, 1994

29

Money demand, adjustment costs, and forward-looking behavior

Tom Engsted, Niels Haldrup

Journal:

Journal of Policy Modeling

Year:

1997

Language:

english

File:

PDF, 1.04 MB

english, 1997

30

A new daily dividend-adjusted index for the Danish stock market, 1985–2002: construction, statistical properties, and return predictability

Klaus Belter, Tom Engsted, Carsten Tanggaard

Journal:

Research in International Business and Finance

Year:

2005

Language:

english

File:

PDF, 422 KB

english, 2005

31

Testing for rational bubbles in a coexplosive vector autoregression

Tom Engsted, Bent Nielsen

Journal:

The Econometrics Journal

Year:

2012

Language:

english

File:

PDF, 763 KB

english, 2012

32

Common trends in energy consumption in nine OECD countries

Tom Engsted, Jan Bentzen

Journal:

OPEC Energy Review

Year:

1996

Language:

english

File:

PDF, 574 KB

english, 1996

33

GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets

Jesper Lund, Tom Engsted

Journal:

Journal of International Money and Finance

Year:

1996

Language:

english

File:

PDF, 1.23 MB

english, 1996

34

Explosive bubbles in the cointegrated VAR model

Journal:

Finance Research Letters

Year:

2006

Language:

english

File:

PDF, 125 KB

english, 2006

35

The comovement of US and German bond markets

Tom Engsted, Carsten Tanggaard

Journal:

International Review of Financial Analysis

Year:

2007

Language:

english

File:

PDF, 167 KB

english, 2007

36

Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model

Tom Engsted, Thomas Q. Pedersen

Journal:

Journal of Empirical Finance

Year:

2012

Language:

english

File:

PDF, 334 KB

english, 2012

37

Habit formation, surplus consumption and return predictability: International evidence

Tom Engsted, Stuart Hyde, Stig V. Møller

Journal:

Journal of International Money and Finance

Year:

2010

Language:

english

File:

PDF, 284 KB

english, 2010

38

Testing for multicointegration

Tom Engsted, Jesus Gonzalo, Niels Haldrup

Journal:

Economics Letters

Year:

1997

Language:

english

File:

PDF, 491 KB

english, 1997

39

Misspecification versus bubbles in hyperinflation data: comment

Journal:

Journal of International Money and Finance

Year:

2003

Language:

english

File:

PDF, 89 KB

english, 2003

40

The Danish stock and bond markets: comovement, return predictability and variance decomposition

Tom Engsted, Carsten Tanggaard

Journal:

Journal of Empirical Finance

Year:

2001

Language:

english

File:

PDF, 165 KB

english, 2001

41

Estimating the LQAC Model with I(2) Variables

Tom Engsted and Niels Haldrup

Journal:

Journal of Applied Econometrics

Year:

1999

Language:

english

File:

PDF, 447 KB

english, 1999

42

Do farmland prices reflect rationally expected future rents?

Journal:

Applied Economics Letters

Year:

1998

Language:

english

File:

PDF, 313 KB

english, 1998

43

Non-stationarity and tax effects in the long-term Fisher hypothesis

Journal:

Applied Economics

Year:

1996

Language:

english

File:

PDF, 159 KB

english, 1996

44

Part 1 || Cointegration and Cagan's Model of Hyperinflation under Rational Expectations

Journal:

Journal of Money, Credit and Banking

Year:

1993

Language:

english

File:

PDF, 261 KB

english, 1993

45

Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries

Engsted, Tom, Pedersen, Thomas Q.

Journal:

Journal of International Money and Finance

Year:

2015

Language:

english

File:

PDF, 750 KB

english, 2015

46

Cross-sectional consumption-based asset pricing: A reappraisal

Engsted, Tom, Møller, Stig V.

Journal:

Economics Letters

Year:

2015

Language:

english

File:

PDF, 393 KB

english, 2015

47

Explosive bubbles in house prices? Evidence from the OECD countries

Engsted, Tom, Hviid, Simon J., Pedersen, Thomas Q.

Journal:

Journal of International Financial Markets, Institutions and Money

Year:

2015

Language:

english

File:

PDF, 695 KB

english, 2015

48

FAMA ON BUBBLES

Journal:

Journal of Economic Surveys

Year:

2015

Language:

english

File:

PDF, 105 KB

english, 2015

49

On the Estimation of Short- and Long-Run Elasticities in U. S. Petroleum Consumption: Comment

Jan Bentzen and Tom Engsted

Journal:

Southern Economic Journal

Year:

1996

Language:

english

File:

PDF, 191 KB

english, 1996

50

The Classic European Hyperinflations Revisited: Testing the Cagan Model Using a Cointegrated VAR Approach

Journal:

Year:

1994

Language:

english

File:

PDF, 472 KB

english, 1994