Thomas Quistgaard Pedersen

Aarhus University - CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

  • Aarhus University - CREATES

SCHOLARLY PAPERS

14

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51

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42

Scholarly Papers (14)

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1.

Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations

Journal of Empirical Finance 58 (2020): 207-225.
Number of pages: 37 Posted: 14 Feb 2017 Last Revised: 13 May 2022
Thomas Quistgaard Pedersen, Erik Christian Montes Schütte and Erik Christian Montes Schütte
Aarhus University - CREATES and Aarhus UniversityAarhus University - CREATES
Downloads 448 (98,337)
Citation 7

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Right-tailed unit root tests, GSADF, size and power properties, sieve bootstrap, international housing market

2.

The Dividend-Price Ratio Does Predict Dividend Growth: International Evidence

Journal of Empirical Finance, Vol. 17, No. 4, 2010
Number of pages: 43 Posted: 13 Aug 2009 Last Revised: 28 Feb 2013
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 404 (110,980)
Citation 4

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dividend-price ratio, equity return and dividend growth, short- and long-horizon predictability, dividend smoothing, VAR model, asymptotic and small-sample tests

3.

The Log-Linear Return Approximation, Bubbles, and Predictability

Journal of Financial and Quantitative Analysis, Vol. 47, Nr. 3, 2012, s. 643-665.
Number of pages: 42 Posted: 09 Aug 2010 Last Revised: 28 Feb 2013
Tom Engsted, Thomas Quistgaard Pedersen and Carsten Tanggaard
University of Aarhus - CREATES, Aarhus University - CREATES and affiliation not provided to SSRN
Downloads 350 (130,486)
Citation 7

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Stock return, Taylor expansion, bubble, simulation, predictability

4.

Search and Predictability of Prices in the Housing Market

Management Science, Forthcoming
Number of pages: 84 Posted: 22 Mar 2021 Last Revised: 19 May 2022
Stig Vinther Møller, Thomas Quistgaard Pedersen, Erik Christian Montes Schütte, Erik Christian Montes Schütte and Allan Timmermann
Aarhus University - CREATES, Aarhus University - CREATES, Aarhus UniversityAarhus University - CREATES and UCSD
Downloads 261 (177,904)

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Internet search, housing markets, housing demand, forecasting, frictions, inelastic housing supply.

5.

Explosive Bubbles in House Prices? Evidence from the OECD Countries

Number of pages: 24 Posted: 13 Jan 2015
Tom Engsted, Simon Hviid and Thomas Quistgaard Pedersen
University of Aarhus - CREATES, Aarhus University and Aarhus University - CREATES
Downloads 255 (181,347)
Citation 19

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Co-explosive VAR model, right-tailed unit root tests, date-stamping bubble periods, price-to-rent ratio

6.

A New Index of Housing Sentiment

Number of pages: 39 Posted: 11 Nov 2016 Last Revised: 31 Aug 2017
Lasse Bork, Stig Vinther Møller and Thomas Quistgaard Pedersen
Aalborg University - Department of Business and Management, Aarhus University - CREATES and Aarhus University - CREATES
Downloads 250 (184,964)
Citation 4

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housing sentiment, house price forecastability, partial least squares, dynamic model averaging

7.

Pitfalls in VAR Based Return Decompositions: A Clarification

Shorter and revised version published in: Journal of Banking & Finance, Vol. 36, Nr. 5, 2012, s. 1255–1265.
Number of pages: 34 Posted: 23 Feb 2010 Last Revised: 28 Feb 2013
Tom Engsted, Thomas Quistgaard Pedersen and Carsten Tanggaard
University of Aarhus - CREATES, Aarhus University - CREATES and affiliation not provided to SSRN
Downloads 248 (186,477)
Citation 28

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Return variance decomposition, news components, VAR model, information set, predictive variables, redundant models

8.

Predictable Return Distributions

Forthcoming in Journal of Forecasting
Number of pages: 38 Posted: 15 Aug 2010 Last Revised: 19 Dec 2014
Thomas Quistgaard Pedersen
Aarhus University - CREATES
Downloads 243 (190,247)
Citation 4

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Return predictability, return distribution, quantile regression, multivariate model, out-of-sample forecast

9.

Return Predictability and Intertemporal Asset Allocation: Evidence from a Bias-Adjusted VAR Model

Journal of Empirical Finance, Vol. 19, No. 2, 2012, CREATES Research Paper No. 2008-27, 21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 41 Posted: 28 May 2008 Last Revised: 28 Feb 2013
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 238 (194,034)
Citation 2

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Intertemporal portfolio choice, return predictability, VAR model, small-sample bias

10.

Countercyclical Expected Returns

Number of pages: 45 Posted: 10 Apr 2020 Last Revised: 07 Dec 2022
Stig Vinther Møller, Thomas Quistgaard Pedersen and Sigurd Steffensen
Aarhus University - CREATES, Aarhus University - CREATES and Danmarks Nationalbank (central bank of Denmark)
Downloads 181 (249,547)

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Survey data, countercyclical expectations, extrapolative expectations

11.

Predicting Returns and Rent Growth in the Housing Market Using the Rent-to-Price Ratio: Evidence from the OECD Countries

Journal of International Money and Finance, Forthcoming
Number of pages: 33 Posted: 19 Dec 2012 Last Revised: 01 Feb 2015
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 173 (259,505)
Citation 8

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Housing market predictability, dynamic Gordon growth model, rent-price ratio, VAR model, expectations, money illusion, OECD countries

12.

Bias-Correction in Vector Autoregressive Models: A Simulation Study

Number of pages: 33 Posted: 18 May 2011
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 168 (266,254)
Citation 2

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Bias reduction, VAR model, analytical bias formula, bootstrap, iteration, Yule-Walker, non-stationary system, skewed and fat-tailed data

13.

Disappearing Money Illusion

Number of pages: 44 Posted: 24 Aug 2018
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 82 (445,861)

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Modigliani-Cohn money illusion, predictive regressions, long-run risk, inflation non-neutrality

14.

Housing Market Volatility in the OECD Area: Evidence from VAR Based Return Decompositions

Journal of Macroeconomics, Forthcoming
Number of pages: 31 Posted: 01 Mar 2013 Last Revised: 03 Sep 2014
Tom Engsted and Thomas Quistgaard Pedersen
University of Aarhus - CREATES and Aarhus University - CREATES
Downloads 60 (527,022)

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Housing return, OECD countries, risk-premia, monetary policy