We estimate a well-specified two-state regime-switching model for Danish stock returns. The <p> model identifies two regimes which have low return-low volatility and high return-high <p> volatility, respectively. The low return-low volatility regime dominated, except in a few, short <p> episodes, until...</p></p></p>

Using annual data over the post-World War I-period, we estimate a fundamentals-based <p> empirical model for the dividend-price ratio of Danish stocks. The key fundamentals-variable <p> is a time-varying discount rate, decomposed into time-varying measures for the growth-adjusted <p> real interest rate...</p></p></p>

Using annual data over the post-World War I-period, we estimate a fundamentals-based empirical model for the dividend-price ratio of Danish stocks. The key fundamentals-variable is a time-varying discount rate, decomposed into time-varying measures for the growth-adjusted real interest rate and...

Using Danish data for the post-World War II-period, we estimate a simple model for the long-run behavior of stock prices. We find a stable and strong cointegrating relation between stock prices and two macroeconomic "fundamentals" variables, firm profits and the nominal bond rate. Both...

Based on data on the living space of dwellings compiled by Statistics Denmark and data on housing prices compiled by Realkreditraadet (the Association of Danish Mortgage Banks), we calculate three measures of housing wealth for Denmark in the period from 1981 to 2006. These measures include...