Tom Engsted is professor at the Department of Economics and Business. He received his MSc in Economics in 1989 from the University of Aarhus, and he got his PhD in 1993. He has previously held positions from assistant to full professor at the Aarhus School of Business, and he has been visiting scholar at the European University Institute in Florence. He is Research Fellow at the Center for Research in Econometric Analysis of Time Series (CREATES), funded by the Danish National Research Foundation (Danmarks Grundforskningsfond), at the University of Aarhus. His primary research and teaching interests are empirical finance and applied time-series econometrics
- Empirical Finance
- Asset pricing
- Financial econometrics
- Empirical macroeconomics
- T. Engsted: Cointegration and Cagan’s model of hyperinflation under rational expectations. Journal of Money, Credit and Banking 25, August 1993, pp. 350-60
- T. Engsted and C. Tanggaard: Cointegration and the US term structure. Journal of Banking and Finance 18, January 1994, pp. 167-181.
- T. Engsted: Does the long-term interest rate predict future inflation? A multi-country analysis. Review of Economics and Statistics 77(1), February 1995, pp. 42-56.
- T. Engsted and N. Haldrup: Estimating the LQAC model with I(2) variables. Journal of Applied Econometrics 14, March-April 1999, pp.155-170.
- T. Engsted and S. Johansen: Granger’s representation theorem and multicointegration. In: Engle, R.F. and H. White (eds.): Cointegration, Causality, and Forecasting. A Festschrift in Honour of Clive W.J. Granger. Oxford University Press, 1999, pp.200-211.
- T. Engsted: Explosive bubbles in the cointegrated VAR model. Finance Research Letters. 3, June 2006, pp. 154-162