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Tom Engsted · Study
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Author
Tom Engsted
32 works
· latest 2015
· 1 institutions
cluster: provisional
ORCID 0000-0002-5156-571X
Works
32 shown
Explosive Bubbles in House Prices? Evidence from the OECD Countries
Journal of International Financial Markets Institutions and Money
·
2015
·
3 authors
·
Open access
148
citations
Bias-Correction in Vector Autoregressive Models: A Simulation Study
Econometrics
·
2014
·
2 authors
·
Open access
39
citations
Pitfalls in VAR based return decompositions: A clarification
Journal of Banking & Finance
·
2011
·
3 authors
·
Open access
137
citations
The Log-Linear Return Approximation, Bubbles, and Predictability
Journal of Financial and Quantitative Analysis
·
2011
·
3 authors
·
Open access
81
citations
The dividend–price ratio does predict dividend growth: International evidence
Journal of Empirical Finance
·
2010
·
2 authors
·
Open access
108
citations
Statistical vs. economic significance in economics and econometrics: further comments on McCloskey and Ziliak
Journal of Economic Methodology
·
2009
·
1 author
26
citations
Habit Formation, Surplus Consumption and Return Predictability: International Evidence
Journal of International Money and Finance
·
2009
·
3 authors
·
Open access
31
citations
The comovement of US and German bond markets
International Review of Financial Analysis
·
2006
·
2 authors
·
Open access
35
citations
Explosive bubbles in the cointegrated VAR model
Finance research letters
·
2006
·
1 author
65
citations
The Comovement of US and UK Stock Markets
European Financial Management
·
2004
·
2 authors
·
Open access
53
citations
Speculative Bubbles in Stock Prices? Tests Based on the Price-Dividend Ratio
SSRN Electronic Journal
·
2004
·
2 authors
·
preprint
·
Open access
34
citations
Measures of Fit for Rational Expectations Models
Journal of Economic Surveys
·
2002
·
1 author
27
citations
The relation between asset returns and inflation at short and long horizons
Journal of International Financial Markets Institutions and Money
·
2002
·
2 authors
71
citations
The Danish stock and bond markets: comovement, return predictability and variance decomposition
Journal of Empirical Finance
·
2001
·
2 authors
·
Open access
70
citations
A revival of the autoregressive distributed lag model in estimating energy demand relationships
Energy
·
2001
·
2 authors
233
citations
Regime shifts in the Danish term structure of interest rates
Empirical Economics
·
2000
·
2 authors
39
citations
Measuring Noise in the Permanent Income Hypothesis
RePEc: Research Papers in Economics
·
2000
·
1 author
·
preprint
22
citations
Measures of Fit for Rational Expectations Models: A Survey
SSRN Electronic Journal
·
2000
·
1 author
·
preprint
·
Open access
23
citations
Granger’s Representation Theorem and Multicointegration
·
1999
·
2 authors
·
chapter
·
Open access
41
citations
Multicointegration in Stock‐Flow Models
Oxford Bulletin of Economics and Statistics
·
1999
·
2 authors
·
Open access
44
citations
Money demand during hyperinflation: Cointegration, rational expectations, and the importance of money demand shocks
Journal of Macroeconomics
·
1998
·
1 author
24
citations
Testing for multicointegration
Economics Letters
·
1997
·
3 authors
·
Open access
67
citations
GMM and present value tests of the C-CAPM: evidence from the Danish, German, Swedish and UK stock markets
Journal of International Money and Finance
·
1996
·
2 authors
61
citations
The predictive power of the money market term structure
International Journal of Forecasting
·
1996
·
1 author
30
citations
The monetary model of the exchange rate under hyperinflation: New encouraging evidence
Economics Letters
·
1996
·
1 author
34
citations
The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure
Scandinavian Journal of Economics
·
1995
·
2 authors
35
citations
Does the Long-Term Interest Rate Predict Future Inflation? A Multi-Country Analysis
The Review of Economics and Statistics
·
1995
·
1 author
67
citations
The linear quadratic adjustment cost model and the demand for labour
Journal of Applied Econometrics
·
1994
·
2 authors
30
citations
The Classic European Hyperinflations Revisited: Testing the Cagan Model Using a Cointegrated VAR Approach
Economica
·
1994
·
1 author
29
citations
A cointegration analysis of Danish zero-coupon bond yields
Applied Financial Economics
·
1994
·
2 authors
17
citations
Cointegration and the US term structure
Journal of Banking & Finance
·
1994
·
2 authors
131
citations
Cointegration and Cagan's Model of Hyperinflation under Rational Expectations
Journal of money credit and banking
·
1993
·
1 author
86
citations