Overview
Carsten Tanggaard is a financial economist at the Department of Finance, Aarhus School of Business (Handelshøjskolen i Aarhus), Denmark. His research covers empirical asset pricing, return-inflation dynamics, and variance decomposition methods applied to Danish and international financial markets.
Key Contributions
- Fisher hypothesis at short and long horizons (with Engsted 2000): VAR-based multi-period expected return and inflation estimation avoiding time-overlapping data; documents large US/Denmark asymmetry; near-perfect Fisher at 10-year horizon for Danish stocks. See Fisher Hypothesis.
- Danish stock and bond markets (with Engsted 1999): Return predictability and variance decomposition for the Copenhagen Stock Exchange (working paper, Aarhus School of Business).
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