Tom Engsted

University of Aarhus - CREATES

Professor

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

27

DOWNLOADS
Rank 8,903

SSRN RANKINGS

Top 8,903

in Total Papers Downloads

6,623

SSRN CITATIONS
Rank 8,670

SSRN RANKINGS

Top 8,670

in Total Papers Citations

51

CROSSREF CITATIONS

100

Scholarly Papers (27)

1.

Statistical vs. Economic Significance in Economics and Econometrics: Further Comments on Mccloskey & Ziliak

Journal of Economic Methodology, Vol. 16, No. 4, pp. 393-408, 2009
Number of pages: 26 Posted: 04 May 2009 Last Revised: 14 May 2011
Tom Engsted
University of Aarhus - CREATES
Downloads 729 (43,507)

Abstract:

Loading...

Statistical and economic significance, statistical hypothesis testing, model evaluation, misspecified models

2.

The Relation between Asset Returns and Inflation at Short and Long Horizons

Number of pages: 26 Posted: 26 Apr 2000
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 535 (64,827)
Citation 2

Abstract:

Loading...

3.

Speculative Bubbles in Stock Prices? Tests Based on the Price-Dividend Ratio

Number of pages: 21 Posted: 16 Jan 2004
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 516 (67,852)
Citation 4

Abstract:

Loading...

Speculative bubbles, price-dividend ratio, variance decomposition, bootstrap simulation, US stock market

4.

Cross-Sectional Consumption-Based Asset Pricing: A Reappraisal

Number of pages: 10 Posted: 03 Feb 2011 Last Revised: 09 Apr 2015
Tom Engsted and Stig Vinther Møller
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 445 (81,260)
Citation 1

Abstract:

Loading...

Consumption-based model, beginning-of-period timing convention, size and value premiums

5.

The Dividend-Price Ratio Does Predict Dividend Growth: International Evidence

Journal of Empirical Finance, Vol. 17, No. 4, 2010
Number of pages: 43 Posted: 13 Aug 2009 Last Revised: 28 Feb 2013
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 379 (97,958)
Citation 4

Abstract:

Loading...

dividend-price ratio, equity return and dividend growth, short- and long-horizon predictability, dividend smoothing, VAR model, asymptotic and small-sample tests

6.
Downloads 376 ( 98,821)
Citation 14

The Comovement of Us and UK Stock Markets

Number of pages: 22 Posted: 21 Feb 2002
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 353 (105,322)
Citation 1

Abstract:

Loading...

Comovement of stock returns, Variance decomposition, VAR model, Bias-correction, Bootstrap simulation

The Comovement of Us and UK Stock Markets

Number of pages: 15 Posted: 30 Nov 2004
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 23 (633,899)
  • Add to Cart

Abstract:

Loading...

7.

The Danish Stock and Bond Markets: Comovement, Return Predictability and Variance Decomposition

Number of pages: 42 Posted: 13 Jul 2000
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 367 (101,552)

Abstract:

Loading...

8.

Measures of Fit for Rational Expectations Models: A Survey

Number of pages: 71 Posted: 15 Sep 2000
Tom Engsted
University of Aarhus - CREATES
Downloads 342 (109,920)

Abstract:

Loading...

9.

The Log-Linear Return Approximation, Bubbles, and Predictability

Journal of Financial and Quantitative Analysis, Vol. 47, Nr. 3, 2012, s. 643-665.
Number of pages: 42 Posted: 09 Aug 2010 Last Revised: 28 Feb 2013
University of Aarhus - CREATES, Aarhus University - CREATES and affiliation not provided to SSRN
Downloads 326 (115,863)
Citation 7

Abstract:

Loading...

Stock return, Taylor expansion, bubble, simulation, predictability

10.

Multicointegration in Stock-Flow Models

Working Paper 1997-18
Number of pages: 24 Posted: 21 Jan 1998
Tom Engsted and Niels Haldrup
University of Aarhus - CREATES and Aarhus University, School of Economics and Management
Downloads 243 (156,918)
Citation 9

Abstract:

Loading...

11.

Testing for Multicointegration

Working Paper No. 1997-1
Number of pages: 14 Posted: 25 Feb 1997
Tom Engsted, Jesús Gonzalo and Niels Haldrup
University of Aarhus - CREATES, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Aarhus University, School of Economics and Management
Downloads 237 (160,814)
Citation 5

Abstract:

Loading...

12.

Return Predictability and Intertemporal Asset Allocation: Evidence from a Bias-Adjusted VAR Model

Journal of Empirical Finance, Vol. 19, No. 2, 2012, CREATES Research Paper No. 2008-27, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 41 Posted: 28 May 2008 Last Revised: 28 Feb 2013
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 230 (165,498)
Citation 2

Abstract:

Loading...

Intertemporal portfolio choice, return predictability, VAR model, small-sample bias

13.

Pitfalls in VAR Based Return Decompositions: A Clarification

Shorter and revised version published in: Journal of Banking & Finance, Vol. 36, Nr. 5, 2012, s. 1255–1265.
Number of pages: 34 Posted: 23 Feb 2010 Last Revised: 28 Feb 2013
University of Aarhus - CREATES, Aarhus University - CREATES and affiliation not provided to SSRN
Downloads 225 (169,036)
Citation 28

Abstract:

Loading...

Return variance decomposition, news components, VAR model, information set, predictive variables, redundant models

14.

Explosive Bubbles in House Prices? Evidence from the OECD Countries

Number of pages: 24 Posted: 13 Jan 2015
University of Aarhus - CREATES, Aarhus University and Aarhus University - CREATES
Downloads 216 (175,714)
Citation 19

Abstract:

Loading...

Co-explosive VAR model, right-tailed unit root tests, date-stamping bubble periods, price-to-rent ratio

15.

The Comovement of Us and German Bond Markets

Number of pages: 18 Posted: 10 Feb 2005
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 214 (177,222)
Citation 1

Abstract:

Loading...

International bond markets, VAR-model, return variance decomposition, small-sample bias, bootstrap simulation

16.

Habit Formation, Surplus Consumption and Return Predictability: International Evidence

Journal of International Money and Finance, Vol. 29, pp. 1237-1255, 2010
Number of pages: 33 Posted: 23 Jun 2008 Last Revised: 14 May 2011
University of Aarhus - CREATES, Alliance Manchester Business School - University of Manchester and Aarhus University - CREATES
Downloads 193 (194,917)
Citation 10

Abstract:

Loading...

Habit formation, Campbell-Cochrane model, surplus consumption ratio, GMM estimation, pricing errors, return predictability

17.
Downloads 173 (214,517)
Citation 2

Fama on Bubbles

Journal of Economic Surveys (Forthcoming)
Number of pages: 11 Posted: 02 Sep 2014 Last Revised: 23 Jan 2015
Tom Engsted
University of Aarhus - CREATES
Downloads 173 (214,634)

Abstract:

Loading...

Eugene Fama, irrational and rational bubbles, return predictability, explosive stock prices

Fama on Bubbles

Journal of Economic Surveys, Vol. 30, Issue 2, pp. 370-376, 2016
Number of pages: 7 Posted: 03 Mar 2016
Tom Engsted
University of Aarhus - CREATES
Downloads 0
Citation 1
  • Add to Cart

Abstract:

Loading...

Eugene Fama, explosive stock prices, irrational and rational bubbles, return predictability

18.

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

Journal of International Money and Finance, Forthcoming
Number of pages: 33 Posted: 19 Dec 2012 Last Revised: 01 Feb 2015
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 158 (231,739)
Citation 8

Abstract:

Loading...

Housing market predictability, dynamic Gordon growth model, rent-price ratio, VAR model, expectations, money illusion, OECD countries

19.

Bias-Correction in Vector Autoregressive Models: A Simulation Study

Number of pages: 33 Posted: 18 May 2011
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 142 (252,890)
Citation 2

Abstract:

Loading...

Bias reduction, VAR model, analytical bias formula, bootstrap, iteration, Yule-Walker, non-stationary system, skewed and fat-tailed data

20.

Estimating the Lqac Model with I(2) Variables

Working Paper 1996-1
Number of pages: 21 Posted: 19 Mar 1996
Niels Haldrup and Tom Engsted
Aarhus University, School of Economics and Management and University of Aarhus - CREATES
Downloads 142 (252,890)

Abstract:

Loading...

21.

An Iterated GMM Procedure for Estimating the Campbell-Cochrane Habit Formation Model, with an Application to Danish Stock and Bond Returns

International Journal of Finance and Economics, Vol. 15, No. 2, pp. 213-227, 2010
Number of pages: 27 Posted: 25 Jun 2008 Last Revised: 14 May 2011
Tom Engsted and Stig Vinther Møller
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 118 (290,733)
Citation 1

Abstract:

Loading...

Consumption-based model, habit persistence, GMM, pricing error

22.

Long-Run Forecasting in Multicointegrated Systems

U of Aarhus, Economics Working Paper No. 2002-15
Number of pages: 29 Posted: 04 Dec 2002
University of Aarhus - CREATES, Aarhus University, School of Economics and Management and Aarhus University - Department of Economics and Business Economics
Downloads 78 (379,467)

Abstract:

Loading...

Common Features, Multicointegration, Forecasting, VAR models

Measuring Noise in the Permanent Income Hypothesis

Number of pages: 22 Posted: 30 Mar 2000
Tom Engsted
University of Aarhus - CREATES
Downloads 78 (383,411)

Abstract:

Loading...

Measuring Noise in the Permanent Income Hypothesis

Posted: 08 Sep 2003
Tom Engsted
University of Aarhus - CREATES

Abstract:

Loading...

24.

Testing for Rational Bubbles in a Co-Explosive Vector Autoregression

Shorter and revised version published in: Econometrics Journal, Vol. 15, Nr. 2, 2012, s. 226-254.
Number of pages: 54 Posted: 26 Jun 2010 Last Revised: 28 Feb 2013
Tom Engsted and Bent Nielsen
University of Aarhus - CREATES and University of Oxford - Department of Economics
Downloads 67 (412,677)
Citation 3

Abstract:

Loading...

Rational bubbles, Explosiveness and co-explosiveness, Cointegration, Vector autoregression, Likelihood ratio tests

25.

Disappearing Money Illusion

Number of pages: 44 Posted: 24 Aug 2018
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 48 (482,269)

Abstract:

Loading...

Modigliani-Cohn money illusion, predictive regressions, long-run risk, inflation non-neutrality

26.

Housing Market Volatility in the OECD Area: Evidence from VAR Based Return Decompositions

Journal of Macroeconomics, Forthcoming
Number of pages: 31 Posted: 01 Mar 2013 Last Revised: 03 Sep 2014
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 46 (490,832)

Abstract:

Loading...

Housing return, OECD countries, risk-premia, monetary policy

27.

Multicointegration and Present Value Relations

Memo 1995-13
Posted: 23 Aug 1998
Tom Engsted, Jesús Gonzalo and Niels Haldrup
University of Aarhus - CREATES, Universidad Carlos III de Madrid - Department of Statistics and Econometrics and Aarhus University, School of Economics and Management

Abstract:

Loading...