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The Log-Linear Return Approximation, Bubbles, and Predictability
Engsted, Tom - 2013
We study in detail the log-linear return approximation introduced by Campbell 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...
Persistent link: https://www.econbiz.de/10013094428
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The Danish stock and bond markets : comovement, return predictability and variance decomposition
Engsted, Tom; Tanggaard, Carsten - 1999
Persistent link: https://www.econbiz.de/10001456440
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The relation between asset returns and inflation at short and long horizons
Engsted, Tom; Tanggaard, Carsten - 2000
Persistent link: https://www.econbiz.de/10001468901
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The relation between asset returns and inflation at short and long horizons
Engsted, Tom; Tanggaard, Carsten - 2000
Persistent link: https://www.econbiz.de/10001493817
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The Danish stock and bond markets : comovement, return predictability and variance decomposition
Engsted, Tom; Tanggaard, Carsten - In: Journal of empirical finance 8 (2001) 3, pp. 243-271
Persistent link: https://www.econbiz.de/10001587064
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The Danish stock and bond markets : comovement, return predictability and variance decomposition
Engsted, Tom; Tanggaard, Carsten - 1999
Persistent link: https://www.econbiz.de/10001411172
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A new daily dividend-adjusted index for the Danish stock market, 1985 - 2002 : construction, statistical properties, and return predictability
Belter, Klaus; Engsted, Tom; Tanggaard, Carsten - 2003
Persistent link: https://www.econbiz.de/10001746723
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The comovement of US and UK stock markets
Engsted, Tom (contributor); Tanggaard, Carsten (contributor) - 2002 - [Elektronische Resource]
Persistent link: https://www.econbiz.de/10001660129
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The relation between asset returns and inflation at short and long horizons
Engsted, Tom; Tanggaard, Carsten - In: Journal of international financial markets, … 12 (2002) 2, pp. 101-118
Persistent link: https://www.econbiz.de/10001656966
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The comovement of US and German bond markets
Engsted, Tom (contributor); Tanggaard, Carsten (contributor) - 2005
Persistent link: https://www.econbiz.de/10002612195