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Details about Bent Jesper Christensen

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Postal address:Department of Economics and Business Aarhus University Fuglesangs Allé 4 DK-8210 Aarhus V Denmark
Workplace:Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)
Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

Access statistics for papers by Bent Jesper Christensen.

Last updated 2017-07-06. Update your information in the RePEc Author Service.

Short-id: pch701


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Working Papers

2016

  1. Dynamic Global Currency Hedging
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2015

  1. Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Econometrics (2017)

2014

  1. Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data
    CESifo Working Paper Series, CESifo Group Munich Downloads
    See also Journal Article in Journal of Econometrics (2016)
  2. Wage and Productivity Dispersion: The Roles of Rent Sharing, Labor Quality and Capital Intensity
    2014 Meeting Papers, Society for Economic Dynamics Downloads

2013

  1. A unified framework for testing in the linear regression model under unknown order of fractional integration
    Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2013) Downloads

2012

  1. The impact of financial crises on the risk-return tradeoff and the leverage effect
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    Also in Working Papers, Queen's University, Department of Economics (2012) Downloads

    See also Journal Article in Economic Modelling (2015)

2011

  1. Estimating Dynamic Equilibrium Models using Macro and Financial Data
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
  2. Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2010

  1. Level Shifts in Volatility and the Implied-Realized Volatility Relation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
  2. The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Health Economics (2012)
  3. The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  4. Wage and Productivity Dispersion: Labor Quality or Rent Sharing?
    2010 Meeting Papers, Society for Economic Dynamics Downloads View citations (16)

2009

  1. Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model
    Working Papers, Queen's University, Department of Economics Downloads View citations (1)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (8)

    See also Journal Article in Journal of Empirical Finance (2010)
  2. The Static and Dynamic Benefits of Migration and Remittances in Nicaragua
    Development Research Working Paper Series, Institute for Advanced Development Studies Downloads View citations (1)

2008

  1. Optimal inference in dynamic models with conditional moment restrictions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
  2. Semiparametric Inference in a GARCH-in-Mean Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (2012)
  3. The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets
    Working Papers, Queen's University, Department of Economics Downloads View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) Downloads View citations (14)

    See also Journal Article in Journal of Econometrics (2011)

2007

  1. Market Power in Power Markets: Evidence from Forward Prices of Electricity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
  2. The Effect of Long Memory in Volatility on Stock Market Fluctuations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (26)
    See also Journal Article in The Review of Economics and Statistics (2007)

2006

  1. Labor Mobility in Bolivia: On-the-job Search Behavior of Private and Public Sector Employees
    Development Research Working Paper Series, Institute for Advanced Development Studies Downloads View citations (1)
  2. Structural Models of Wage and Employment Dynamics
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
  3. The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps
    Working Papers, Queen's University, Department of Economics Downloads View citations (2)

2005

  1. Forecasting Exchange Rate Volatility in the Presence of Jumps
    Working Papers, Queen's University, Department of Economics Downloads View citations (6)
  2. Movilidad Laboral en Bolivia: Una Comparación entre Empleados del Sector Público y Privado
    Development Research Working Paper Series, Institute for Advanced Development Studies Downloads
  3. The Impact of Aid on Recipient Behavior: A Micro-Level Dynamic Analysis of Remittances, Schooling, Work, Consumption, Investment and Social Mobility in Nicaragua
    Development Research Working Paper Series, Institute for Advanced Development Studies Downloads View citations (5)
  4. The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices
    Working Papers, Queen's University, Department of Economics Downloads View citations (4)

2004

  1. Latent Utility Shocks in a Structural Empirical Asset Pricing Model
    Working Papers, Copenhagen Business School, Department of Finance Downloads

2003

  1. On the Job Search and the Wage Distribution
    CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics Downloads View citations (15)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) Downloads View citations (1)

    See also Journal Article in Journal of Labor Economics (2005)

2000

  1. Panel Data, Local Cuts, and Orthogeodesic Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (4)
    Also in Working Papers, Centre for Labour Market and Social Research, Danmark- (1997)
  2. Statistical Manifolds and Separate Inference
    Working Papers, Cornell University, Center for Analytic Economics

1999

  1. A Bivariate Duration Model of the Joint Retirement Decisions of Married Couples
    Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (10)
  2. Equilibrium Search with Human Capital Accumulation
    Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (11)
  3. The Effects of Pension System on Retirement and Government Finances: Predictions Using Danish Data on Married Couples
    Working Papers, Aarhus School of Business - Department of Economics View citations (1)
  4. The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: an Application to Danish Data
    Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (2)

1998

  1. Approximate Distributions in Essentially Linear Models
    Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (3)
    Also in Working Papers, Duke University, Department of Economics (1998) Downloads View citations (2)

1997

  1. Interest Rate Dynamics and Consistent Forward Rate Curves
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics Downloads View citations (40)
    See also Journal Article in Mathematical Finance (1999)

1990

  1. THE EXACT LIKELIHOOD FUNCTION FOR AN EMPIRICAL JOB SEARCH MODEL
    Working Papers, Tilburg - Center for Economic Research View citations (9)
    See also Journal Article in Econometric Theory (1991)

Undated

  1. An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  2. Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data
    Economics Working Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2006)
  3. The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)

Journal Articles

2017

  1. Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
    Journal of Econometrics, 2017, 197, (2), 218-244 Downloads
    See also Working Paper (2015)

2016

  1. Estimating dynamic equilibrium models using mixed frequency macro and financial data
    Journal of Econometrics, 2016, 194, (1), 116-137 Downloads
    See also Working Paper (2014)

2015

  1. The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models
    Journal of Econometrics, 2015, 184, (2), 420-451 Downloads View citations (5)
  2. The impact of financial crises on the risk–return tradeoff and the leverage effect
    Economic Modelling, 2015, 49, (C), 407-418 Downloads View citations (2)
    See also Working Paper (2012)

2012

  1. Semiparametric inference in a GARCH-in-mean model
    Journal of Econometrics, 2012, 167, (2), 458-472 Downloads View citations (6)
    See also Working Paper (2008)
  2. THE IMPACT OF HEALTH CHANGES ON LABOR SUPPLY: EVIDENCE FROM MERGED DATA ON INDIVIDUAL OBJECTIVE MEDICAL DIAGNOSIS CODES AND EARLY RETIREMENT BEHAVIOR
    Health Economics, 2012, 21, 56-100 View citations (4)
    See also Working Paper (2010)

2011

  1. Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
    Journal of Time Series Econometrics, 2011, 3, (1), 1-8 Downloads
  2. The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
    Journal of Econometrics, 2011, 160, (1), 48-57 Downloads View citations (59)
    See also Working Paper (2008)

2010

  1. Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model
    Journal of Empirical Finance, 2010, 17, (3), 460-470 Downloads View citations (19)
    See also Working Paper (2009)

2007

  1. The Effect of Long Memory in Volatility on Stock Market Fluctuations
    The Review of Economics and Statistics, 2007, 89, (4), 684-700 Downloads View citations (25)
    See also Working Paper (2007)

2006

  1. Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
    Journal of Econometrics, 2006, 133, (1), 343-371 Downloads View citations (61)
    See also Working Paper

2005

  1. On-the-Job Search and the Wage Distribution
    Journal of Labor Economics, 2005, 23, (1), 31-58 Downloads View citations (92)
    See also Working Paper (2003)

2004

  1. Multivariate mixed proportional hazard modelling of the joint retirement of married couples
    Journal of Applied Econometrics, 2004, 19, (6), 687-704 Downloads View citations (25)
  2. Special issue on the econometrics of social insurance
    Journal of Applied Econometrics, 2004, 19, (6), 647-648 Downloads

2002

  1. New evidence on the implied-realized volatility relation
    The European Journal of Finance, 2002, 8, (2), 187-205 Downloads View citations (15)

2001

  1. Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion
    Monte Carlo Methods and Applications, 2001, 7, (1-2), 111-124 Downloads
  2. Specification and Estimation of Equilibrium Search Models
    Review of Economic Dynamics, 2001, 4, (1), 90-126 Downloads View citations (24)

1999

  1. Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’
    Review of Finance, 1999, 3, (3), 311-317 Downloads
  2. Interest Rate Dynamics and Consistent Forward Rate Curves
    Mathematical Finance, 1999, 9, (4), 323-348 Downloads View citations (87)
    See also Working Paper (1997)

1998

  1. Some system theoretic aspects of interest rate theory
    Insurance: Mathematics and Economics, 1998, 22, (1), 17-23 Downloads
  2. The relation between implied and realized volatility
    Journal of Financial Economics, 1998, 50, (2), 125-150 Downloads View citations (266)

1997

  1. Inference in non-linear panel models with partially missing observations The case of the equilibrium search model
    Journal of Econometrics, 1997, 79, (2), 201-219 Downloads View citations (10)

1994

  1. EFFICIENCY GAINS IN BETA-PRICING MODELS
    Mathematical Finance, 1994, 4, (2), 143-154 Downloads
  2. Measurement Error in the Prototypal Job-Search Model
    Journal of Labor Economics, 1994, 12, (4), 618-39 Downloads View citations (18)

1991

  1. The Exact Likelihood Function for an Empirical Job Search Model
    Econometric Theory, 1991, 7, (04), 464-486 Downloads View citations (16)
    See also Working Paper (1990)
 
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