Thomas Quistgaard Pedersen

Aarhus University - CREATES

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

14

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2,927

SSRN CITATIONS
Rank 12,828

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Top 12,828

in Total Papers Citations

52

CROSSREF CITATIONS

42

Scholarly Papers (14)

1.

Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations

Journal of Empirical Finance, Forthcoming
Number of pages: 37 Posted: 14 Feb 2017 Last Revised: 18 Jun 2020
Aarhus University - CREATES and Aarhus UniversityAarhus University - CREATES
Downloads 383 (97,772)
Citation 7

Abstract:

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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 381 (98,364)
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 326 (117,013)
Citation 7

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Stock return, Taylor expansion, bubble, simulation, predictability

4.

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 230 (167,073)
Citation 2

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

5.

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 229 (167,785)
Citation 4

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

6.

Search and Predictability of Prices in the Housing Market

Number of pages: 63 Posted: 22 Mar 2021 Last Revised: 24 Jun 2021
Aarhus University - CREATES, Aarhus University - CREATES, Aarhus UniversityAarhus University - CREATES and UCSD
Downloads 225 (170,664)

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

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 225 (170,664)
Citation 28

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

8.

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 221 (173,626)
Citation 4

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

9.

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 217 (176,663)
Citation 19

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

10.

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 158 (233,938)
Citation 8

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

11.

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 142 (255,157)
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

12.

Countercyclical Expected Returns

Number of pages: 28 Posted: 10 Apr 2020
Stig Vinther Møller, Thomas Quistgaard Pedersen and Sigurd Steffensen
Aarhus University - CREATES, Aarhus University - CREATES and Danmarks Nationalbank (central bank of Denmark)
Downloads 95 (339,630)

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Survey data, rational expectations, extrapolative expectations

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 49 (482,400)

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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 46 (495,204)

Abstract:

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