This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Tom Engsted

Personal Details | Affiliation | Works
This is information that was supplied by Tom Engsted in registering through RePEc. If you are Tom Engsted , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Tom
Middle Name:
Last Name: Engsted
Suffix:

RePEc Short-ID: pen44

Email:
Homepage:
Postal Address:
Phone:

Affiliation

(in no particular order)

Lists

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

Works

| 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!]
    Published as:

  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!]
    Published as:

  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.
    Other versions:
    Published as:

  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!]
    Other versions:
    Published as:

  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)
    Other versions:

  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!]
    Other versions:

  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)
    Other versions:

  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)
    Other versions:

  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)
    Other versions:

  9. Engsted, Tom, 2002. "Measuring noise in the Permanent Income Hypothesis," Journal of Macroeconomics, Elsevier, vol. 24(3), pages 353-370, September. [Downloadable!] (restricted)
    Other versions:

  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)
    Other versions:

  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)
    Other versions:

  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
Did you know? All the bibliographic data shown here has been contributed by volunteers, thereby helping to keep this service free.

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

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.