Research output per year
Research output per year
- 31 results
Search results
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2025
Optimal asset allocation and nonlinear return predictability from the dividend-price ratio
Ghezzi, F., Sarkar, A., Pedersen, T. Q. & Timmermann, A., Mar 2025, In: Annals of Operations Research. 346, 1, p. 415-445 31 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access -
2024
House price bubbles under the COVID-19 pandemic
Hansen, J. H., Møller, S. V., Pedersen, T. Q. & Schütte, C. M., Jan 2024, In: Journal of Empirical Finance. 75, 101462.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open Access2 Citations (Scopus) -
Search and Predictability of Prices in the Housing Market
Møller, S. V., Pedersen, T. Q., Montes Schütte, E. C. & Timmermann, A., Jan 2024, In: Management Science. 70, 1, p. 415–438 24 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
7 Citations (Scopus) -
2022
House Price Bubbles under the COVID-19 Pandemic: House Price Bubbles under the COVID-19 Pandemic
Hansen, J. H., Møller, S. V., Pedersen, T. Q. & Montes Schütte, E. C., 2022, (Unpublished).Research output: Working paper/Preprint › Working paper › Research › peer-review
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2020
A new index of housing sentiment
Bork, L., Møller, S. V. & Pedersen, T. Q., Apr 2020, In: Management Science. 66, 4, p. 1563-1583 21 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile35 Citations (Scopus)203 Downloads (Pure) -
Testing for explosive bubbles in the presence of autocorrelated innovations
Pedersen, T. Q. & Schütte, E. C. M., Sept 2020, In: Journal of Empirical Finance. 58, p. 207-225Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
Open AccessFile13 Citations (Scopus)177 Downloads (Pure) -
2018
Disappearing money illusion
Engsted, T. & Pedersen, T. Q., 21 Aug 2018, Aarhus: Institut for Økonomi, Aarhus Universitet, 44 p. (CREATES Research Paper; No. 2018-24).Research output: Working paper/Preprint › Working paper › Research
Open AccessFile479 Downloads (Pure) -
2017
Testing for Explosive Bubbles in the Presence of Autocorrelated Innovations
Pedersen, T. Q. & Montes Schütte, E. C., 16 Feb 2017, Aarhus: Institut for Økonomi, Aarhus Universitet, 34 p. (CREATES Research Paper; No. 2017-09).Research output: Working paper/Preprint › Working paper › Research
Open AccessFile3843 Downloads (Pure) -
2016
A New Index of Housing Sentiment
Bork, L., Møller, S. V. & Pedersen, T. Q., 14 Nov 2016, Aarhus: Institut for Økonomi, Aarhus Universitet, 31 p. (CREATES Research Paper; No. 2016-32).Research output: Working paper/Preprint › Working paper › Research
Open AccessFile1920 Downloads (Pure) -
Explosive bubbles in house prices? Evidence from the OECD countries
Engsted, T., Hviid, S. J. & Pedersen, T. Q., 1 Jan 2016, In: Journal of International Financial Markets, Institutions & Money. 40, p. 14-25 12 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
77 Citations (Scopus) -
The predictive power of dividend yields for future inflation: Money illusion or rational causes?
Engsted, T. & Pedersen, T. Q., 26 Apr 2016, Aarhus: Institut for Økonomi, Aarhus Universitet, 53 p. (CREATES Research Paper; No. 2016-11).Research output: Working paper/Preprint › Working paper › Research
Open AccessFile629 Downloads (Pure) -
2015
Explosive bubbles in house prices? Evidence from the OECD countries
Engsted, T., Hviid, S. J. & Pedersen, T. Q., 13 Jan 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 24 p. (CREATES Research Paper; No. 2015-01).Research output: Working paper/Preprint › Working paper › Research
File1561 Downloads (Pure) -
Predictable return distributions
Pedersen, T. Q., 2015, In: Journal of Forecasting. 34, 2, p. 114-132Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
24 Citations (Scopus) -
Predicting returns and rent growth in the housing market using the rent-price ratio: Evidence from the OECD countries
Engsted, T. & Pedersen, T. Q., 2015, In: Journal of International Money and Finance. 53, p. 257-275Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
46 Citations (Scopus) -
2014
Bias-correction in vector autoregressive models: A simulation study
Engsted, T. & Pedersen, T. Q., 2014, In: Econometrics. 2, 1, p. 45-71 27 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
17 Citations (Scopus) -
Housing market volatility in the OECD area: Evidence from VAR based return decompositions
Engsted, T. & Pedersen, T. Q., 2014, In: Journal of Macroeconomics. 42, p. 91-103 13 p.Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
16 Citations (Scopus) -
2013
Housing market volatility in the OECD area: Evidence from VAR based return decompositions
Engsted, T. & Pedersen, T. Q., 28 Feb 2013, Aarhus: Institut for Økonomi, Aarhus Universitet, 26 p. (CREATES Research Paper; No. 2013-4).Research output: Working paper/Preprint › Working paper › Research
File1233 Downloads (Pure) -
2012
Pitfalls in VAR based return decompositions: A clarification
Engsted, T., Pedersen, T. Q. & Tanggaard, C., 2012, In: Journal of Banking & Finance. 36, 5, p. 1255–1265Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
63 Citations (Scopus) -
Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries
Engsted, T. & Pedersen, T. Q., 17 Dec 2012, Aarhus: Institut for Økonomi, Aarhus Universitet, 43 p. (CREATES Research Paper; No. 2012-58).Research output: Working paper/Preprint › Working paper › Research
File2789 Downloads (Pure) -
Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
Engsted, T. & Pedersen, T. Q., 2012, In: Journal of Empirical Finance. 19, 2, p. 241-253Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
7 Citations (Scopus) -
The Log-Linear Return Approximation, Bubbles, and Predictability
Engsted, T., Pedersen, T. Q. & Tanggaard, C., 2012, In: Journal of Financial and Quantitative Analysis. 47, 3, p. 643-665Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
33 Citations (Scopus) -
2011
Bias-correction in vector autoregressive models: A simulation study
Engsted, T. & Pedersen, T. Q., 13 May 2011, Aarhus: CREATES, Institut for Økonomi, Aarhus Universitet, 33 p.Research output: Working paper/Preprint › Working paper › Research
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2010
Pitfalls in VAR based return decompositions: A clarification
Engsted, T., Pedersen, T. Q. & Tanggaard, C., 2010, Aarhus: Institut for Økonomi, Aarhus Universitet, 30 p.Research output: Working paper/Preprint › Working paper › Research
Open AccessFile985 Downloads (Pure) -
Predictable return distributions
Pedersen, T. Q., 2010, Aarhus: Institut for Økonomi, Aarhus Universitet, 47 p.Research output: Working paper/Preprint › Working paper › Research
Open AccessFile573 Downloads (Pure) -
Return predictability and dynamic asset allocation
Pedersen, T. Q., 2010, Aarhus: Institut for Økonomi, Aarhus Universitet. 184 p.Research output: Types of Thesis › PhD thesis
Open AccessFile863 Downloads (Pure) -
The dividend-price ratio does predict dividend growth: International evidence
Engsted, T. & Pedersen, T. Q., 2010, In: Journal of Empirical Finance. 17, 4, p. 585-605Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review
60 Citations (Scopus) -
The log-linear return approximation, bubbles, and predictability
Engsted, T., Pedersen, T. Q. & Tanggaard, C., 2010, Aarhus: Aarhus University. School of Economics and Management, 34 p.Research output: Working paper/Preprint › Working paper › Research
Open AccessFile1131 Downloads (Pure) -
2009
The dividend-price ratio does predict dividend growth: International evidence
Engsted, T. & Pedersen, T. Q., 2009, Aarhus: Institut for Økonomi, Aarhus Universitet, 38 p.Research output: Working paper/Preprint › Working paper › Research
Open AccessFile787 Downloads (Pure) -
2008
Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution
Pedersen, T. Q., 2008, Aarhus: Institut for Økonomi, Aarhus Universitet, 50 p.Research output: Working paper/Preprint › Working paper › Research
Open AccessFile291 Downloads (Pure) -
Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model
Engsted, T. & Pedersen, T. Q., 2008, Aarhus: Institut for Økonomi, Aarhus Universitet, 37 p.Research output: Working paper/Preprint › Working paper › Research
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2006
Strategisk og taktisk aktivallokering - forudsigelige afkasts betydning for den langsigtede investor
Larsen, A. L. & Pedersen, T. Q., 2006, In: Finans/Invest. 6, p. 9-15Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaper › Journal article › Research › peer-review