Details about Dennis Kristensen

Access statistics for papers by Dennis Kristensen.

Last updated 2009-11-22. Update your information in the RePEc Author Service.

Short-id: pkr127

Working Papers

2009

1. Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models
   CREATES Research Papers, School of Economics and Management, University of Aarhus
2. Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments
   UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
3. Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models
   CREATES Research Papers, School of Economics and Management, University of Aarhus
4. SNM Guide
   UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
5. Semiparametric Modelling and Estimation: A Selective Overview
   CREATES Research Papers, School of Economics and Management, University of Aarhus
6. Testing Conditional Factor Models
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2008

7. Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
8. Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data
   CREATES Research Papers, School of Economics and Management, University of Aarhus
   See also Journal Article in Econometric Theory (2009)

2007

9. Likelihood-Based Inference in Nonlinear Error-Correction Models
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations
10. Nonparametric Estimation and Misspecification Testing of Diffusion Models
    CREATES Research Papers, School of Economics and Management, University of Aarhus
11. Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
    CREATES Research Papers, School of Economics and Management, University of Aarhus View citations

2004

12. A Semiparametric Single-Factor Model of the Term Structure
    FMG Discussion Papers, Financial Markets Group
13. Estimation in Two Classes of Semiparametric Diffusion Models
    FMG Discussion Papers, Financial Markets Group View citations

2003

14. Nonparametric IV estimation of shape-invariant Engel curves
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations

Journal Articles

2009

1. Asymptotics of the QMLE for Non-Linear ARCH Models
   Journal of Time Series Econometrics, 2009, 1, (1)
2. On stationarity and ergodicity of the bilinear model with applications to GARCH models
   Journal of Time Series Analysis, 2009, 30, (1), 125-144 View citations
3. Semiparametric modelling and estimation (in Russian)
   Quantile, 2009, (7), 53-83
4. UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA
   Econometric Theory, 2009, 25, (05), 1433-1445 View citations
   See also Working Paper (2008)

2008

5. Estimation of partial differential equations with applications in finance
   Journal of Econometrics, 2008, 144, (2), 392-408

2007

6. Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
   Econometrica, 2007, 75, (6), 1613-1669 View citations

2006

7. A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
   Econometric Theory, 2006, 22, (02), 323-337 View citations

2005

8. ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
   Econometric Theory, 2005, 21, (05), 946-961 View citations

2004

9. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution
   Econometric Theory, 2004, 20, (05), 990-993
10. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
    Journal of Financial Econometrics, 2004, 2, (2), 251-289 View citations

2003

11. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation
    Econometric Theory, 2003, 19, (05), 879-880 View citations