Carsten Tanggaard

affiliation not provided to SSRN

SCHOLARLY PAPERS

11

DOWNLOADS

3,497

52

!

Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

Scholarly Papers (11)

1.
Downloads 892 ( 25,093)

Yield Curve Estimation by Kernel Smoothing Methods

Number of pages: 43 Posted: 09 Aug 2000
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 785 (29,494)

Abstract:

Loading...

Coupon bonds, Kernal Estimation, Hilbert Space, nonparametric regression, term structure estimation, yield curve, zero coupon

Yield Curve Estimation by Kernel Smoothing Methods

LSE STICERD Research Paper No. EM385
Number of pages: 46 Posted: 21 Jul 2008
University of Cambridge, University of Mannheim - Department of Economics, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 107 (250,287)

Abstract:

Loading...

2.

Speculative Bubbles in Stock Prices? Tests Based on the Price-Dividend Ratio

EFA 2004 Maastricht Meetings Paper No. 1804
Number of pages: 21 Posted: 16 Jan 2004
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 502 (54,073)

Abstract:

Loading...

Speculative bubbles, price-dividend ratio, variance decomposition, bootstrap simulation, US stock market

3.

The Relation between Asset Returns and Inflation at Short and Long Horizons

Number of pages: 26 Posted: 26 Apr 2000
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 495 (55,050)

Abstract:

Loading...

4.
Downloads 371 ( 78,000)

The Comovement of Us and UK Stock Markets

Number of pages: 22 Posted: 21 Feb 2002
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 348 (83,409)

Abstract:

Loading...

Comovement of stock returns, Variance decomposition, VAR model, Bias-correction, Bootstrap simulation

The Comovement of Us and UK Stock Markets

European Financial Management, Vol. 10, No. 4, pp. 593-607, December 2004
Number of pages: 15 Posted: 30 Nov 2004
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 23 (510,916)
  • Add to Cart

Abstract:

Loading...

5.

The Danish Stock and Bond Markets: Comovement, Return Predictability and Variance Decomposition

Number of pages: 42 Posted: 13 Jul 2000
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 360 (80,820)

Abstract:

Loading...

6.

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 303 (98,029)

Abstract:

Loading...

Stock return, Taylor expansion, bubble, simulation, predictability

7.

The Comovement of Us and German Bond Markets

Number of pages: 18 Posted: 10 Feb 2005
Tom Engsted and Carsten Tanggaard
University of Aarhus - CREATES and affiliation not provided to SSRN
Downloads 207 (144,517)

Abstract:

Loading...

International bond markets, VAR-model, return variance decomposition, small-sample bias, bootstrap simulation

8.

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 185 (160,263)

Abstract:

Loading...

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

9.

Local Linear Density Estimation for Filtered Survival Data, with Bias Correction

Centre for Analytical Finance Working Paper No. 185
Number of pages: 38 Posted: 11 Dec 2004
Jens Perch Nielsen, Carsten Tanggaard and M. C. Jones
City University London - Cass Business School, affiliation not provided to SSRN and The Open University
Downloads 174 (169,364)

Abstract:

Loading...

Aalen's multiplicative model, additive bias correction, censoring, counting processes, exposure robustness, kernel density estimation, multiplicative bias correction, old age mortality

10.

Dispersed Trading and the Prevention of Market Failure: The Case of the Copenhagen Stock Exchange

European Financial Management, Vol. 14, Issue 2, pp. 243-267, March 2008
Number of pages: 25 Posted: 12 Mar 2008
David C. Porter, Carsten Tanggaard, Daniel G. Weaver and Wei Yu
affiliation not provided to SSRN, affiliation not provided to SSRN, Rutgers Business School and California State Polytechnic University, Pomona
Downloads 8 (583,336)
  • Add to Cart

Abstract:

Loading...

11.

Asymmetric Information, Self‐Selection, and Pricing of Insurance Contracts: The Simple No‐Claims Case

Journal of Risk and Insurance, Vol. 81, Issue 4, pp. 757-780, 2014
Number of pages: 23 Posted: 25 Nov 2014
Heriot-Watt University, Codan Insurance, City University London - Cass Business School and affiliation not provided to SSRN
Downloads 0 (657,040)
  • Add to Cart

Abstract:

Loading...