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Tom Engsted

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First Name: Tom
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Last Name: Engsted
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RePEc Short-ID: pen44

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This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Number of Authors

Works

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Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, School of Economics and Management, University of Aarhus. [Downloadable!]

  2. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, School of Economics and Management, University of Aarhus. [Downloadable!]

  3. Tom Engsted & Thomas Q. Pedersen, 2008. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," CREATES Research Papers 2008-27, School of Economics and Management, University of Aarhus. [Downloadable!]

  4. Tom Engsted & Stig V. Møller, 2008. "An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns," CREATES Research Papers 2008-12, School of Economics and Management, University of Aarhus. [Downloadable!]

  5. Tom Engsted & Stuart Hyde & Stig V. Møller, 2007. "Habit Formation, Surplus Consumption and Return Predictability: International Evidence," CREATES Research Papers 2007-31, School of Economics and Management, University of Aarhus. [Downloadable!]

  6. Engsted, Tom & Tanggaard, Carsten, 2004. "Speculative bubbles in stock prices? Tests based on the price-dividend ratio," Finance Working Papers 04-1, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]

  7. Christiansen, Charlotte & Engsted, Tom & Jakobsen, Svend & Tanggaard, Carsten, 2003. "An Empirical Study of the Term Structure of Interest Rates in Denmark, 1993 – 2002," Finance Working Papers 03-2, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]

  8. Christiansen, Charlotte & Engsted, Tom & Jakobsen, Svend & Tanggaard, Carsten, 2003. "Denmark - A chapter on the Danish Bond Market," Finance Working Papers 03-3, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]

  9. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    Published as:

  10. Engsted, Tom, 2003. "Aktiemarkedet," Finance Working Papers 02-8, University of Aarhus, Aarhus School of Business, Department of Business Studies.

  11. Engsted, Tom & Tanggaard, Carsten, 2002. "The comovement of US and UK stock markets," Finance Working Papers 02-1, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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  12. Engsted, Tom, 2002. "Misspecification versus bubbles in hyperinflation data: Comment," Finance Working Papers 02-2, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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  13. Engsted, Tom & Tanggaard, Carsten, 2001. "A New Test for Speculative Bubbles Based on Return Variance Decompositions," Finance Working Papers 01-9, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]

  14. Engsted, Tom, 2000. "Measuring Noise in the Permanent Income Hypothesis," Finance Working Papers 00-8, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    Published as:

  15. Engsted, Tom & Mammen, Enno & Tanggaard, Carsten, 2000. "Evaluating the C-CAPM and the Equity Premium Puzzle at Short and Long Horizons: A Markovian Bootstrap Approach," Finance Working Papers 00-10, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]

  16. Engsted, Tom & Tanggaard, Carsten, 2000. "The Relation Between Asset Returns and Inflation at Short and Long Horizons," Finance Working Papers 00-9, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    Published as:

  17. Bentzen, J. & Engsted, T., 1999. "A Revival of the Autoregressive Distributed Lag Model in Estimating Energy Demand Relationships," Papers 99-7, Aarhus School of Business - Department of Economics.

  18. Engsted, T & Bentzen, J, 1997. "Dynamic Modelling of Energy Demand : A Guided Tour Through the Jungle of Unit Roots and Cointegration," Papers 97-6, Aarhus School of Business - Department of Economics.

  19. Engsted, T. & Johansen, S., 1997. "Granger's Representation Theorem and Multicointegration," Economics Working Papers eco97/15, European University Institute.

  20. Engsted,T. & Haldrup,N., 1996. "Estimating the LQAC model with I(2) Variables," Economics Working Papers 1996-1, School of Economics and Management, University of Aarhus.
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  21. Engsted, T. & Haldrup, N., 1993. "Money Demand, Expectations and the Foreward Looking Model: A Comment," Economics Working Papers 1993-23, School of Economics and Management, University of Aarhus.

  22. Boris Siliverstovs & Tom Engsted & Niels Haldrup, . "Long-run forecasting in multicointegrated systems," Economics Working Papers 2002-15, School of Economics and Management, University of Aarhus. [Downloadable!]
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  23. Tom Engsted & Niels Haldrup, . "Multicointegration in Stock-Flow Models," Economics Working Papers 1997-18, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:

  24. Tom Engsted & Jesus Gonzalo & Niels Haldrup, . "Testing for Multicointegration," Economics Working Papers 1997-1, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:


Articles

  1. Engsted, Tom & Tanggaard, Carsten, 2007. "The comovement of US and German bond markets," International Review of Financial Analysis, Elsevier, vol. 16(2), pages 172-182. [Downloadable!] (restricted)

  2. Engsted, Tom, 2006. "Explosive bubbles in the cointegrated VAR model," Finance Research Letters, Elsevier, vol. 3(2), pages 154-162, June. [Downloadable!] (restricted)

  3. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2005. "A new daily dividend-adjusted index for the Danish stock market, 1985-2002: construction, statistical properties, and return predictability," Research in International Business and Finance, Elsevier, vol. 19(1), pages 53-70, March. [Downloadable!] (restricted)
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  4. Tom Engsted & Niels Haldrup & Boriss Siliverstovs, 2004. "Long-run forecasting in multicointegrated systems," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(5), pages 315-335. [Downloadable!]
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  5. Tom Engsted & Carsten Tanggaard, 2004. "The Comovement of US and UK Stock Markets," European Financial Management, Blackwell Publishing Ltd, vol. 10(4), pages 593-607. [Downloadable!] (restricted)
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  6. Engsted, Tom, 2003. "Misspecification versus bubbles in hyperinflation data: comment," Journal of International Money and Finance, Elsevier, vol. 22(4), pages 441-451, August. [Downloadable!] (restricted)
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  7. Engsted, Tom, 2002. " Measures of Fit for Rational Expectations Models," Journal of Economic Surveys, Blackwell Publishing, vol. 16(3), pages 301-55, July. [Downloadable!] (restricted)

  8. Engsted, Tom & Tanggaard, Carsten, 2002. "The relation between asset returns and inflation at short and long horizons," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 101-118, April. [Downloadable!] (restricted)
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  9. Engsted, Tom, 2002. "Measuring noise in the Permanent Income Hypothesis," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 353-370, September. [Downloadable!] (restricted)
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  10. Engsted, Tom & Tanggaard, Carsten, 2001. "The Danish stock and bond markets: comovement, return predictability and variance decomposition," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 243-271, July. [Downloadable!] (restricted)

  11. Tom Engsted & Ken Nyholm, 2000. "Regime shifts in the Danish term structure of interest rates," Empirical Economics, Springer, vol. 25(1), pages 1-13. [Downloadable!] (restricted)

  12. Engsted, Tom & Haldrup, Niels, 1999. "Estimating the LQAC Model with I(2) Variables," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(2), pages 155-70, March-Apr. [Downloadable!]
    Other versions:

  13. Engsted, Tom & Haldrup, Niels, 1999. " Multicointegration in Stock-Flow Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 61(2), pages 237-54, May. [Downloadable!] (restricted)
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  14. Engsted, Tom, 1998. "Evaluating the Consumption-Capital Asset Pricing Model Using Hansen-Jagannathan Bounds: Evidence from the UK," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 3(4), pages 291-302, October. [Downloadable!] (restricted)

  15. Engsted, Tom, 1998. "Money Demand During Hyperinflation: Cointegration, Rational Expectations, and the Importance of Money Demand Shocks," Journal of Macroeconomics, Elsevier, vol. 20(3), pages 533-552, July. [Downloadable!] (restricted)

  16. Engsted, Tom, 1998. "Do Farmland Prices Reflect Rationally Expected Future Rents?," Applied Economics Letters, Taylor and Francis Journals, vol. 5(2), pages 75-79, February. [Downloadable!] (restricted)

  17. Engsted, Tom & Gonzalo, Jesus & Haldrup, Niels, 1997. "Testing for multicointegration," Economics Letters, Elsevier, vol. 56(3), pages 259-266, November. [Downloadable!] (restricted)
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  18. Engsted, Tom & Lund, Jesper, 1997. "Common Stochastic Trends in International Stock Prices and Dividends: An Example of Testing Overidentifying Restrictions on Multiple Cointegration Vectors," Applied Financial Economics, Taylor and Francis Journals, vol. 7(6), pages 659-65, December. [Downloadable!] (restricted)

  19. Engsted, Tom & Haldrup, Niels, 1997. "Money demand, adjustment costs, and forward-looking behavior," Journal of Policy Modeling, Elsevier, vol. 19(2), pages 153-173, April. [Downloadable!] (restricted)

  20. Engsted, Tom, 1996. "Non-stationarity and Tax Effects in the Long-Term Fisher Hypothesis," Applied Economics, Taylor and Francis Journals, vol. 28(7), pages 883-87, July. [Downloadable!] (restricted)

  21. Engsted, Tom, 1996. "The monetary model of the exchange rate under hyperinflation: New encouraging evidence," Economics Letters, Elsevier, vol. 51(1), pages 37-44, April. [Downloadable!] (restricted)

  22. Engsted, Tom, 1996. "The predictive power of the money market term structure," International Journal of Forecasting, Elsevier, vol. 12(2), pages 289-295, June. [Downloadable!] (restricted)

  23. Lund, Jesper & Engsted, Tom, 1996. "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, Elsevier, vol. 15(4), pages 497-521, August. [Downloadable!] (restricted)

  24. Engsted, Tom, 1995. "Does the Long-Term Interest Rate Predict Future Inflation? A Multi-country Analysis," The Review of Economics and Statistics, MIT Press, vol. 77(1), pages 42-54, February. [Downloadable!] (restricted)

  25. Engsted, Tom & Tanggaard, Carsten, 1995. " The Predictive Power of Yield Spreads for Future Interest Rates: Evidence from the Danish Term Structure," Scandinavian Journal of Economics, Blackwell Publishing, vol. 97(1), pages 145-59, March.

  26. Engsted, Tom, 1994. "The Classic European Hyperinflations Revisited: Testing the Cagan Model Using a Cointegrated VAR Approach," Economica, London School of Economics and Political Science, vol. 61(243), pages 331-43, August. [Downloadable!] (restricted)

  27. Engsted, Tom & Tanggaard, Carsten, 1994. "Cointegration and the US term structure," Journal of Banking & Finance, Elsevier, vol. 18(1), pages 167-181, January. [Downloadable!] (restricted)

  28. Engsted, Tom & Haldrup, Niels, 1994. "The Linear Quadratic Adjustment Cost Model and the Demand for Labour," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(S), pages S145-59, Suppl. De. [Downloadable!] (restricted)

  29. Engsted, Tom & Tanggaard, Carsten, 1994. "A Cointegration Analysis of Danish Zero-Coupon Bond Yields," Applied Financial Economics, Taylor and Francis Journals, vol. 4(4), pages 265-78, August. [Downloadable!] (restricted)

  30. Engsted, Tom, 1993. "Cointegration and Cagan's Model of Hyperinflation under Rational Expectations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 350-60, August. [Downloadable!] (restricted)

  31. Bentzen, Jan & Engsted, Tom, 1993. "Short- and long-run elasticities in energy demand : A cointegration approach," Energy Economics, Elsevier, vol. 15(1), pages 9-16, January. [Downloadable!] (restricted)

  32. Engsted, Tom, 1993. "Testing for Rational Inflationary Bubbles: The Case of Argentina, Brazil and Israel," Applied Economics, Taylor and Francis Journals, vol. 25(5), pages 667-74, May.

  33. Engsted, Tom, 1993. "The Term Structure of Interest Rates in Denmark 1982-89: Testing the Rational Expectations/Constant Liquidity Premium Theory," Bulletin of Economic Research, Blackwell Publishing, vol. 45(1), pages 19-37, January.

  34. Engsted, T, 1991. "A Note on the Rationality of Survey Inflation Expectations in the United Kingdom," Applied Economics, Taylor and Francis Journals, vol. 23(7), pages 1269-75, July.


NEP Fields

14 papers by this author were announced in
NEP, and specifically in the following field reports (number of papers):
  1. NEP-DEV: Development (1) 2004-03-22
  2. NEP-ECM: Econometrics (5) 2003-05-16 2003-11-23 2004-03-28 2008-06-27 2009-05-16 Author is listed
  3. NEP-ETS: Econometric Time Series (4) 2002-06-13 2003-05-15 2004-03-28 2004-06-07 Author is listed
  4. NEP-FIN: Finance (2) 2003-05-15 2004-03-22
  5. NEP-FMK: Financial Markets (4) 2002-06-13 2003-05-15 2003-05-15 2004-03-22 Author is listed
  6. NEP-MAC: Macroeconomics (2) 2003-05-15 2008-06-27
  7. NEP-RMG: Risk Management (2) 2004-03-22 2004-03-28

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This page was last updated on 2009-11-3.


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