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The Log-Linear Return Approximation, Bubbles, and Predictability

Engsted, Tom - 2013

We study in detail the log-linear return approximation introduced by Campbell and Shiller (1988a). First, we derive an upper bound for the mean approximation error, given stationarity of the log dividend-price ratio. Next, we simulate various rational bubbles which have explosive conditional...

Persistent link: https://www.econbiz.de/10013094428

Misspecification versus bubbles in hyperinflation data : comment

Engsted, Tom - In: Journal of international money and finance 22 (2003) 4, pp. 441-451

Persistent link: https://www.econbiz.de/10001770574

Misspecification versus bubbles in hyperinflation data : comment

Engsted, Tom (contributor) - 2002 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001660135

Testing for rational inflationary bubbles : the case of Argentina, Brazil and Israel

Engsted, Tom - In: Applied economics 25 (1993) 5, pp. 667-674

Persistent link: https://www.econbiz.de/10015142543

Misspecification versus bubbles in hyperinflation data : comment

Engsted, Tom - 2002

Persistent link: https://www.econbiz.de/10001683208

Fama on bubbles

Engsted, Tom - 2014

Persistent link: https://www.econbiz.de/10010401697

Explosive bubbles in the cointegrated VAR model

Engsted, Tom - In: Finance research letters 3 (2006) 2, pp. 154-162

Persistent link: https://www.econbiz.de/10003333936

Present value models and non-stationary time-series : an introduction, and a summary of the thesis

Engsted, Tom - 1993

Persistent link: https://www.econbiz.de/10000859623

A new test for speculative bubbles based on return variance decompositions

Engsted, Tom; Tanggaard, Carsten - 2001

Persistent link: https://www.econbiz.de/10001613889

Misspecification and bubbles in hyperinflation data : reply to Engsted

Hooker, Mark Allan - In: Journal of international money and finance 22 (2003) 4, pp. 453-458

Persistent link: https://www.econbiz.de/10001770578

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