Publications - Tom Engsted https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Bcontroller%5D=Publications&cHash=48d738180e410e07b90fb6bb66818869 en-us PURE Extension typo3support@science.au.dk (Web Department) 30 <![CDATA[Statistisk evaluering af finansielle modeller: Den bayesianske tilgang]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f550e897-0923-469b-ae29-549078d3afae&tx_pure_pure5%5BshowType%5D=pub&cHash=d2192d0d93d1879518287848f067dc00 Engsted, T. Forskning Mon, 01 Feb 2021 13:34:47 +0100 f550e897-0923-469b-ae29-549078d3afae <![CDATA[Er der virkelig 400+ risikofaktorer i aktiemarkedet?]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f67947ec-9a64-4c4b-83c6-34a57af370e9&tx_pure_pure5%5BshowType%5D=pub&cHash=c8a9f6b1ce864b81d60021c943aabd20 Engsted, T. Forskning Wed, 01 Jan 2020 13:34:47 +0100 f67947ec-9a64-4c4b-83c6-34a57af370e9 <![CDATA[Frekvensbaserede vs. bayesianske metoder i empirisk økonomi]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=b9ac00f9-0614-4f92-83da-49b32b523219&tx_pure_pure5%5BshowType%5D=pub&cHash=6ef7e83540cd6105ce4d6ee6a2d8a341 Engsted, T. Forskning Wed, 01 Jan 2020 13:34:47 +0100 b9ac00f9-0614-4f92-83da-49b32b523219 <![CDATA[Likelihoodprincippet og den klassiske p-værdi]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=13bf5bc0-1d83-4dff-a367-8cd5bb391762&tx_pure_pure5%5BshowType%5D=pub&cHash=761734812eac3fece090063446a52c1d Engsted, T. Forskning Wed, 01 Jan 2020 13:34:48 +0100 13bf5bc0-1d83-4dff-a367-8cd5bb391762 <![CDATA[The Yield Spread and Bond Return Predictability in Expansions and Recessions]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=02f484fe-54e7-447d-ac9a-11d3a7f93a72&tx_pure_pure5%5BshowType%5D=pub&cHash=964fb485623ef88a57977021a9d15b20 Andreasen, M. M., Engsted, T., Møller, S. V., Jensen, M. D. S. This paper uncovers that expected excess bond returns display a positive correlation with the slope of the yield curve (i.e., yield spread) in expansions but a negative correlation in recessions. We use a macro-finance term structure model with different market prices of risk in expansions and recessions to show that a very accommodating monetary policy in recessions is a key driver of this switch in return predictability.

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Forskning Tue, 01 Jun 2021 13:34:48 +0200 02f484fe-54e7-447d-ac9a-11d3a7f93a72
<![CDATA[Bayesianske hypotesetest]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=42f62da6-a7d9-4127-8e00-166c6d3f49c0&tx_pure_pure5%5BshowType%5D=pub&cHash=27353919a5cee4b39b20264a3c6555dd Engsted, T. Forskning Tue, 01 Jan 2019 13:34:48 +0100 42f62da6-a7d9-4127-8e00-166c6d3f49c0 <![CDATA[Disappearing money illusion]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=c1db39b2-3d17-4d11-a7ac-640c9f262d39&tx_pure_pure5%5BshowType%5D=pub&cHash=6e04e318db5ff0c1010792511cf53c1a Engsted, T., Pedersen, T. Q. Forskning Tue, 21 Aug 2018 13:34:48 +0200 c1db39b2-3d17-4d11-a7ac-640c9f262d39 <![CDATA[Frekvensbaserede versus bayesianske metoder i empirisk økonomi]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d84ed158-d4ce-4ea1-8884-77df022ca836&tx_pure_pure5%5BshowType%5D=pub&cHash=90ac494d8319430cfcea30e223aa9c19 Engsted, T. Forskning Mon, 20 Aug 2018 13:34:48 +0200 d84ed158-d4ce-4ea1-8884-77df022ca836 <![CDATA[Sådan stopper man højfrekvent handel]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=874a0424-8399-42e2-82fe-44f29c1597e8&tx_pure_pure5%5BshowType%5D=pub&cHash=4054183021b80d983ee12def833d609e Engsted, T., Tanggaard, C. Formidling Sat, 18 Mar 2017 13:34:48 +0100 874a0424-8399-42e2-82fe-44f29c1597e8 <![CDATA[Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7511e8f8-b975-4a21-b99c-5e3991ceddfa&tx_pure_pure5%5BshowType%5D=pub&cHash=f2a0a6303cd3fc0bd15d3a98596468fc Andreasen, M. M., Engsted, T., Møller, S. V., Jensen, M. D. S. Forskning Mon, 05 Sep 2016 13:34:48 +0200 7511e8f8-b975-4a21-b99c-5e3991ceddfa <![CDATA[The predictive power of dividend yields for future inflation: Money illusion or rational causes?]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e235fc19-559a-4a57-a5bf-018578b028c9&tx_pure_pure5%5BshowType%5D=pub&cHash=2c487fcab990ebdb68b095750566260d Engsted, T., Pedersen, T. Q. Forskning Tue, 26 Apr 2016 13:34:48 +0200 e235fc19-559a-4a57-a5bf-018578b028c9 <![CDATA[Bankpakkernes succes er stærkt forskønnet]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=9ae77dba-0d41-416d-8d3f-5a2980b57a92&tx_pure_pure5%5BshowType%5D=pub&cHash=0f88bce6472de09362972da67bc9193b Engsted, T. Formidling Fri, 08 Apr 2016 13:34:48 +0200 9ae77dba-0d41-416d-8d3f-5a2980b57a92 <![CDATA[Morningstar-rapport er fri fantasi]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d23f8e07-b202-4d98-929d-6378465ebbc4&tx_pure_pure5%5BshowType%5D=pub&cHash=f84be13165b643126fd193b3df2f0f8d Engsted, T., Tanggaard, C. Formidling Sun, 24 Jan 2016 13:34:48 +0100 d23f8e07-b202-4d98-929d-6378465ebbc4 <![CDATA[Gav EU grønt lys til at fusionere to usunde banker?]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=d9237733-e98e-42b3-869d-4ca24ff7b7c1&tx_pure_pure5%5BshowType%5D=pub&cHash=d22eabf00ad1051c096e9d2f291ab4be Engsted, T., Raaballe, J. Formidling Mon, 14 Dec 2015 13:34:48 +0100 d9237733-e98e-42b3-869d-4ca24ff7b7c1 <![CDATA[Supplerende pensionsopsparing]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=95837236-9ff0-4e68-9667-f3613c4985f8&tx_pure_pure5%5BshowType%5D=pub&cHash=3bdf9e490d196b603867ba0dbe933091 Engsted, T., Møller, M., Steffensen, M. Formidling Thu, 01 Jan 2015 13:34:48 +0100 95837236-9ff0-4e68-9667-f3613c4985f8 <![CDATA[Forord]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=990d9b1a-9c28-4943-a634-06188358a404&tx_pure_pure5%5BshowType%5D=pub&cHash=c29f1862eab16ab172252115e87b5ba8 Engsted, T. Formidling Thu, 01 Jan 2015 13:34:48 +0100 990d9b1a-9c28-4943-a634-06188358a404 <![CDATA[Explosive bubbles in house prices? Evidence from the OECD countries]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=1cea5f93-16b1-4560-b8f7-20f400d61e72&tx_pure_pure5%5BshowType%5D=pub&cHash=26422d5165464d8af31cc7a6cedcfa2b Engsted, T., Hviid, S. J., Pedersen, T. Q. Forskning Fri, 01 Jan 2016 13:34:48 +0100 1cea5f93-16b1-4560-b8f7-20f400d61e72 <![CDATA[Bobler]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=4c6f2647-6fe5-4ff3-85c0-ac809ec09de3&tx_pure_pure5%5BshowType%5D=pub&cHash=13e291e70390db642f85e0958485b98b Engsted, T. Formidling Fri, 22 May 2015 13:34:48 +0200 4c6f2647-6fe5-4ff3-85c0-ac809ec09de3 <![CDATA[Cross-sectional consumption-based asset pricing: A reappraisal]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=b89a0c34-2af4-4cf9-bee2-368a7786c522&tx_pure_pure5%5BshowType%5D=pub&cHash=f85ed11d29e33ac17e5156dc265470e5 Engsted, T., Møller, S. V. Forskning Thu, 01 Jan 2015 13:34:48 +0100 b89a0c34-2af4-4cf9-bee2-368a7786c522 <![CDATA[Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e20b2fc8-a016-48d2-a193-6bf67e954c34&tx_pure_pure5%5BshowType%5D=pub&cHash=04b79a5d9c92adbdf0391ba88ed1b534 Engsted, T., Pedersen, T. Q. Forskning Thu, 01 Jan 2015 13:34:48 +0100 e20b2fc8-a016-48d2-a193-6bf67e954c34 <![CDATA[Fama on Bubbles]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ac1b0d34-bfbf-4f7a-a3cd-5bf9188f58a9&tx_pure_pure5%5BshowType%5D=pub&cHash=e90afb1e1646a35f8d9dfd226eccd45e Engsted, T. Forskning Fri, 01 Jan 2016 13:34:48 +0100 ac1b0d34-bfbf-4f7a-a3cd-5bf9188f58a9 <![CDATA[Explosive bubbles in house prices? Evidence from the OECD countries]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7d59f811-42ea-4a3c-ae06-9d8d1bf6e493&tx_pure_pure5%5BshowType%5D=pub&cHash=f874c6864b0d7467861edd05f37df43c Engsted, T., Hviid, S. J., Pedersen, T. Q. Forskning Tue, 13 Jan 2015 13:34:48 +0100 7d59f811-42ea-4a3c-ae06-9d8d1bf6e493 <![CDATA[Aktiv forvaltning er en dødssejler]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=b41bedab-e134-4a7e-adc0-01c4326137bf&tx_pure_pure5%5BshowType%5D=pub&cHash=3e23049472dd06c73fd31ccfacd43d0d Tanggaard, C., Engsted, T. Formidling Wed, 29 Oct 2014 13:34:48 +0100 b41bedab-e134-4a7e-adc0-01c4326137bf <![CDATA[Housing market volatility in the OECD area]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e64923c3-23b3-4307-ab07-f5f0788297ae&tx_pure_pure5%5BshowType%5D=pub&cHash=c57a873c47a740ceda2f2d9782321a8c Engsted, T., Pedersen, T. Q. Forskning Wed, 01 Jan 2014 13:34:48 +0100 e64923c3-23b3-4307-ab07-f5f0788297ae <![CDATA[Fama on bubbles]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0e3482ed-ae15-4584-8d8b-7df51e2dfb30&tx_pure_pure5%5BshowType%5D=pub&cHash=46cac7d428d74a9f9aa5e38f9c960c60 Engsted, T. ]]> Forskning Tue, 02 Sep 2014 13:34:48 +0200 0e3482ed-ae15-4584-8d8b-7df51e2dfb30 <![CDATA[Den finansielle krise i Danmark]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=384dd52e-a452-4079-854c-b1e78d904125&tx_pure_pure5%5BshowType%5D=pub&cHash=2c603771747f4f3611675725e58df23c Engsted, T., Raaballe, J. Forskning Wed, 01 Jan 2014 13:34:48 +0100 384dd52e-a452-4079-854c-b1e78d904125 <![CDATA[Den finansielle krise i Danmark]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=96f8f86e-992e-4d81-9e9c-f5d569867734&tx_pure_pure5%5BshowType%5D=pub&cHash=77e9424ed2aa7eb6a532ac888bab4a93 Engsted, T., Raaballe, J. Forskning Tue, 10 Jun 2014 13:34:48 +0200 96f8f86e-992e-4d81-9e9c-f5d569867734 <![CDATA[Bias-correction in vector autoregressive models]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=69c86613-4421-4f89-9df3-170e049a45db&tx_pure_pure5%5BshowType%5D=pub&cHash=00c3780a4ab5b78dc4792487727645d1 Engsted, T., Pedersen, T. Q. estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we show that when the model is stationary this simple bias formula compares very favorably to bootstrap bias-correction, both in terms of bias and mean squared error. In non-stationary models, the analytical bias formula performs noticeably
worse than bootstrapping. Both methods yield a notable improvement over ordinary least squares. We pay special attention to the risk of pushing an otherwise stationary model into the non-stationary region of the parameter space when correcting for bias. Finally, we consider a recently proposed reduced-bias weighted least squares estimator, and we find that
it compares very favorably in non-stationary models.]]>
Forskning Wed, 01 Jan 2014 13:34:48 +0100 69c86613-4421-4f89-9df3-170e049a45db
<![CDATA[Anders Grosen - redaktør og samfundsdebattør]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=95016965-625b-48ce-8b46-53ebfc7ba35c&tx_pure_pure5%5BshowType%5D=pub&cHash=5080994f17e44dc8a4de73769873cfe1 Balling, M., Engsted, T., Jakobsen, S., Møller, M., Tanggaard, C. Formidling Wed, 01 Jan 2014 13:34:48 +0100 95016965-625b-48ce-8b46-53ebfc7ba35c <![CDATA[Nobelprisen i økonomi 2013: Eugene F. Fama, Robert J. Shiller og Lars Peter Hansen]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=3d6a1c7e-1808-4a52-8c4f-038b520de7e9&tx_pure_pure5%5BshowType%5D=pub&cHash=a162d49e9c349e87bc24beeeccade938 Engsted, T. Forskning Sun, 01 Dec 2013 13:34:48 +0100 3d6a1c7e-1808-4a52-8c4f-038b520de7e9 <![CDATA[Den finansielle krise i Danmark]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=7145f42c-9667-4ff3-8ff4-8d3b04a9960f&tx_pure_pure5%5BshowType%5D=pub&cHash=f56479114bb2b687e62c073ab65dad54 Engsted, T., Raaballe, J. Forskning Fri, 06 Dec 2013 13:34:48 +0100 7145f42c-9667-4ff3-8ff4-8d3b04a9960f <![CDATA[Den finansielle krise i Danmark:]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=8c232fa3-20bb-4783-a51c-50421620ca53&tx_pure_pure5%5BshowType%5D=pub&cHash=b15c86f7b0df6eba4e094a1e0c0e4bc3 Engsted, T., Raaballe, J. informationer i rapporten, og en god beskrivelse/analyse stiller lige så
mange spørgsmål, som den besvarer. Som følge heraf, og i betragtning
af rapportens omfang, har vi i vor diskussion valgt at fokusere på de
områder, der ikke belyses/besvares, og de områder, hvor vi ikke kan
finde et empirisk og/eller logisk belæg for rapportens påstande.]]>
Forskning Fri, 06 Dec 2013 13:34:48 +0100 8c232fa3-20bb-4783-a51c-50421620ca53
<![CDATA[Detailregulering er opskriften på nye kriser]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=2c723617-469a-401f-a7c6-e132c3223d7c&tx_pure_pure5%5BshowType%5D=pub&cHash=d5393ff32db068cea8bbc7d17ca7bedf Engsted, T. Formidling Mon, 23 Sep 2013 13:34:48 +0200 2c723617-469a-401f-a7c6-e132c3223d7c <![CDATA[Det finansielle system og krisen]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=59a2910a-85b2-41cf-86b5-e19047416c97&tx_pure_pure5%5BshowType%5D=pub&cHash=999234034dbb668fcecd5be6c5ef2513 Engsted, T., Tanggaard, C., Balling, M. Forskning Tue, 01 Jan 2013 13:34:48 +0100 59a2910a-85b2-41cf-86b5-e19047416c97 <![CDATA[Malurt i bægeret]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=dcfc349c-ff9f-4745-a2c7-0735f0829721&tx_pure_pure5%5BshowType%5D=pub&cHash=a351b2ae0d3bd2bd3c7eeec7ad414b3b Engsted, T., Tanggaard, C. Formidling Thu, 25 Apr 2013 13:34:48 +0200 dcfc349c-ff9f-4745-a2c7-0735f0829721 <![CDATA[Bond return predictability in expansions and recessions]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=92807514-71c0-47a2-9147-70818f41b1f4&tx_pure_pure5%5BshowType%5D=pub&cHash=0bd13dcb4fff508326d9ae8ca7e57b63 Engsted, T., Møller, S. V., Jensen, M. D. S. Forskning Thu, 25 Apr 2013 13:34:48 +0200 92807514-71c0-47a2-9147-70818f41b1f4 <![CDATA[Housing market volatility in the OECD area: Evidence from VAR based return decompositions]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=933cc472-c275-43a4-8d63-bfd2110d3f73&tx_pure_pure5%5BshowType%5D=pub&cHash=09be08ea8e686454b67cca75e4ddcd34 Engsted, T., Pedersen, T. Q. in other countries.]]> Forskning Thu, 28 Feb 2013 13:34:48 +0100 933cc472-c275-43a4-8d63-bfd2110d3f73 <![CDATA[Derfor skyder økonomerne forbi]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=0fa0be2f-7935-4f32-8ff8-04868688e607&tx_pure_pure5%5BshowType%5D=pub&cHash=d8deea4f34038dca8d51a977efa82506 Engsted, T. Formidling Wed, 30 Jan 2013 13:34:48 +0100 0fa0be2f-7935-4f32-8ff8-04868688e607 <![CDATA[Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=2d27f94a-b61b-4853-b6da-cf4e954722a7&tx_pure_pure5%5BshowType%5D=pub&cHash=9509bbf548c0f3b445267df1cdce35d0 Engsted, T., Pedersen, T. Q. Forskning Mon, 17 Dec 2012 13:34:48 +0100 2d27f94a-b61b-4853-b6da-cf4e954722a7 <![CDATA[Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=f994cc7d-5ad8-40a4-bb88-fd024a59d220&tx_pure_pure5%5BshowType%5D=pub&cHash=b55fc83c3685eb96c6192a4ba61ec773 Engsted, T., Pedersen, T. Q. Forskning Sun, 01 Jan 2012 13:34:48 +0100 f994cc7d-5ad8-40a4-bb88-fd024a59d220 <![CDATA[Aktiv vs. passiv forvaltning, held eller dygtighed, og måling af porteføljeforvalteres performance]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=48c3b8a6-dee6-463d-be80-defb1550e34c&tx_pure_pure5%5BshowType%5D=pub&cHash=f951d0251d6ae42174ea93b8ac396b50 Engsted, T. Forskning Sun, 01 Jan 2012 13:34:48 +0100 48c3b8a6-dee6-463d-be80-defb1550e34c <![CDATA[En pengemaskine for bankerne]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=34391b6e-221f-4958-a3f4-84b5f636ddc6&tx_pure_pure5%5BshowType%5D=pub&cHash=a42904bd0e52719d84bd77e38877129b Engsted, T. Formidling Fri, 17 Jun 2011 13:34:48 +0200 34391b6e-221f-4958-a3f4-84b5f636ddc6 <![CDATA[Testing for rational bubbles in a coexplosive vector autoregression]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=a35bf344-581d-4ebb-b9a8-7e6388ab2148&tx_pure_pure5%5BshowType%5D=pub&cHash=a068f939800f4860fe3e532904ecd8d8 Engsted, T., Nielsen, B. Forskning Sun, 01 Jan 2012 13:34:48 +0100 a35bf344-581d-4ebb-b9a8-7e6388ab2148 <![CDATA[Pitfalls in VAR based return decompositions: A clarification]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=3625c340-d91b-4ae8-ab8f-7ad0d11eecf0&tx_pure_pure5%5BshowType%5D=pub&cHash=0c2be4d995aef1ea31da69bf4d2b0907 Engsted, T., Pedersen, T. Q., Tanggaard, C. Forskning Sun, 01 Jan 2012 13:34:48 +0100 3625c340-d91b-4ae8-ab8f-7ad0d11eecf0 <![CDATA[Anbefalinger til den 'almindelige forbruger' om aktieinvesteringer]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=510722ef-ab1e-47dc-8490-b03b878904a1&tx_pure_pure5%5BshowType%5D=pub&cHash=69e60b63faab16240e56b3804445af6e Engsted, T., Møller, M. Forskning Sat, 01 Jan 2011 13:34:48 +0100 510722ef-ab1e-47dc-8490-b03b878904a1 <![CDATA[Cross-sectional consumption-based asset pricing: The importance of consumption timing and the inclusion of severe crises]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=5b6dc2be-52f5-4505-b5bd-2c494024c03b&tx_pure_pure5%5BshowType%5D=pub&cHash=aaa18eff5e70993a956cf9ae9d4e74d4 Engsted, T., Møller, S. V. Forskning Sat, 01 Jan 2011 13:34:48 +0100 5b6dc2be-52f5-4505-b5bd-2c494024c03b <![CDATA[Bias-correction in vector autoregressive models: A simulation study]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=10132b4f-0730-4dc4-a3f5-dde5a9669a4e&tx_pure_pure5%5BshowType%5D=pub&cHash=f9686cba5cea6d309bcafe0ada98b699 Engsted, T., Pedersen, T. Q. Forskning Fri, 13 May 2011 13:34:48 +0200 10132b4f-0730-4dc4-a3f5-dde5a9669a4e <![CDATA[Anbefalinger om aktieinvestering]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=51728796-b3d3-4528-93ca-ad6525ad7716&tx_pure_pure5%5BshowType%5D=pub&cHash=10e35ecc32221508f698c169697859ad Engsted, T., Larsen, B. G., Møller, M. Rådgivning Sat, 08 Jan 2011 13:34:48 +0100 51728796-b3d3-4528-93ca-ad6525ad7716 <![CDATA[The Log-Linear Return Approximation, Bubbles, and Predictability]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=ec8cf075-eac5-4627-b108-2750aa965139&tx_pure_pure5%5BshowType%5D=pub&cHash=9a670d1fb91c49738c1d41cc4520cccc Engsted, T., Pedersen, T. Q., Tanggaard, C. and Shiller (1988a). First, we derive an upper bound for the mean approximation
error, given stationarity of the log dividend-price ratio. Next, we simulate various
rational bubbles which have explosive conditional expectation, and we investigate
the magnitude of the approximation error in those cases. We …nd that surprisingly
the Campbell-Shiller approximation is very accurate even in the presence of large
explosive bubbles. Only in very large samples do we …nd evidence that bubbles
generate large approximation errors. Finally, we show that a bubble model in which
expected returns are constant can explain the predictability of stock returns from
the dividend-price ratio that many previous studies have documented.]]>
Forskning Sun, 01 Jan 2012 13:34:48 +0100 ec8cf075-eac5-4627-b108-2750aa965139
<![CDATA[Spekulative bobler: Kan de identificeres, og hvad skal vi gøre ved dem?]]> https://econ.au.dk/da/research/researchcentres/creates/people/research-fellows/tom-engsted?tx_pure_pure5%5Baction%5D=single&tx_pure_pure5%5Bcontroller%5D=Publications&tx_pure_pure5%5Bid%5D=e642c5d0-bfd1-11df-8cb9-000ea68e967b&tx_pure_pure5%5BshowType%5D=pub&cHash=be4f62db6d2e9130fadd98e818ff5609 Engsted, T. Forskning Fri, 01 Jan 2010 13:34:48 +0100 e642c5d0-bfd1-11df-8cb9-000ea68e967b