.
Pedersen, Thomas Quistgaard's
Scholarly Papers
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Aggregate Statistics
Total 906
Total Citations 28
1.
Engsted, Tom University of Aarhus - CREATES
Pedersen, Thomas Quistgaard University of Aarhus - CREATES
Posted:
13 Aug 09
Last Revised:
28 Feb 13
222(67,955)
9
dividend-price ratio, equity return and dividend growth, short- and long-horizon predictability, dividend smoothing, VAR model, asymptotic and small-sample tests
2.
Engsted, Tom University of Aarhus - CREATES
Pedersen, Thomas Quistgaard University of Aarhus - CREATES
Tanggaard, Carsten CREATES
Posted:
09 Aug 10
Last Revised:
28 Feb 13
174(86,459)
6
Stock return, Taylor expansion, bubble, simulation, predictability
3.
Engsted, Tom University of Aarhus - CREATES
Pedersen, Thomas Quistgaard University of Aarhus - CREATES
Posted:
28 May 08
Last Revised:
28 Feb 13
155(96,125)
3
Intertemporal portfolio choice, return predictability, VAR model, small-sample bias
4.
Pedersen, Thomas Quistgaard University of Aarhus - CREATES
123(117,002)
2
Return predictability, return distribution, quantile regression, multivariate model, out-of-sample forecast, portfolio choice
5.
Engsted, Tom University of Aarhus - CREATES
Pedersen, Thomas Quistgaard University of Aarhus - CREATES
Tanggaard, Carsten CREATES
Posted:
23 Feb 10
Last Revised:
28 Feb 13
112(125,904)
7
Return variance decomposition, news components, VAR model, information set, predictive variables, redundant models
6.
Engsted, Tom University of Aarhus - CREATES
Pedersen, Thomas Quistgaard University of Aarhus - CREATES
71(169,659)
Bias reduction, VAR model, analytical bias formula, bootstrap, iteration, Yule-Walker, non-stationary system, skewed and fat-tailed data
7.
Engsted, Tom University of Aarhus - CREATES
Pedersen, Thomas Quistgaard University of Aarhus - CREATES
39(224,194)
1
real estate predictability, dynamic Gordon growth model, rent-price ratio, VAR model, OECD countries
8.
Engsted, Tom University of Aarhus - CREATES
Pedersen, Thomas Quistgaard University of Aarhus - CREATES
Posted:
01 Mar 13
Last Revised:
03 Mar 13
10(313,256)
Housing return volatility, variance decomposition, dynamic Gordon growth model, innovation and news components, VAR model, principal components, OECD countries
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