In analyzing the relationship between expected stock and bond returns and expected inflation at short and long horizons, we measure multi-period expected returns and inflation from a vector-autoregressive (VAR) model involving only one-period variables. Thereby we circumvent the problems with...

We investigate the C-CAPM and the equity premium puzzle using asset returns and consumption data from the US and Denmark. In contrast to previous studies the investigation is carried out with both short and long investment horizons. In addition, we introduce a Markovian bootstrap approach to...

We suggest a new test for speculative stock market bubbles that has several advantages compared to earlier bubble tests. The test makes use of the fact that the variance of excess return innovations and the variance of (dividend news minus interest rate news minus excess returm news) will be...

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We present a new dividend-adjusted blue chip index for the Dan- <p> ish stock market covering the period 1985-2002. In contrast to <p> other indices on the Danish stock market, the index is calcu- <p> lated on a daily basis. In the first part of the paper a detailed <p> description of the construction of...</p></p></p></p>

US and UK stock returns are highly positively correlated over the period 1918-1999. Using VAR-based variance decompositions, we investigate the nature of this comovement. Excess return innovations are decomposed into news about future dividends, real interest rates, and excess returns. We find...

This paper introduces a new bias reducing method for kernel hazard estimation. The method is called global polynomial adjustment (GPA). It is a global correction which is applicable to any kernel hazard estimator. The estimator works well from a theoretical point of view as it symptotically...

A class of local linear kernel density estimators based on weighted least squares kernel estimation is considered within the framework of Aalen's multiplicative intensity model. This model includes the filtered data model that, in turn, allows for truncation and/or censoring in addition to...