Details about Dennis Kristensen

Access statistics for papers by Dennis Kristensen.

Last updated 2025-03-17. Update your information in the RePEc Author Service.

Short-id: pkr127

Working Papers

2023

1. Closed-form approximations of moments and densities of continuous-time Markov models
   Papers, arXiv.org
   See also Journal Article Closed-form approximations of moments and densities of continuous–time Markov models, Journal of Economic Dynamics and Control, Elsevier (2024) (2024)
2. Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
   Papers, arXiv.org View citations (2)

2020

3. Diffusion Copulas: Identification and Estimation
   Papers, arXiv.org
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018)
   Working Papers, University of Liverpool, Department of Economics (2018)
   See also Journal Article Diffusion copulas: Identification and estimation, Journal of Econometrics, Elsevier (2021) (2021)
4. Identification of a class of index models: A topological approach
   Papers, arXiv.org View citations (1)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2019)
   See also Journal Article Identification of a class of index models: A topological approach, The Econometrics Journal, Royal Economic Society (2021) View citations (2) (2021)
5. Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods
   Papers, arXiv.org View citations (1)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2019)
   See also Journal Article Solving dynamic discrete choice models using smoothing and sieve methods, Journal of Econometrics, Elsevier (2021) View citations (3) (2021)

2017

6. Individual counterfactuals with multidimensional unobserved heterogeneity
   CeMMAP working papers, Institute for Fiscal Studies View citations (7)
   Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2017) View citations (11)

2016

7. Bayesian Indirect Inference and the ABC of GMM
   Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics View citations (3)

2015

8. Estimation of stochastic volatility models by nonparametric filtering
   CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (3)
   Also in CeMMAP working papers, Institute for Fiscal Studies (2015)
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (17)
   See also Journal Article ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING, Econometric Theory, Cambridge University Press (2016) View citations (21) (2016)
9. Indirect Likelihood Inference
   Working Papers, Barcelona School of Economics View citations (17)
   Also in Dynare Working Papers, CEPREMAP (2011) View citations (11)
   UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) (2011) View citations (11)
10. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX), Journal of Empirical Finance, Elsevier (2016) View citations (35) (2016)
11. On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) View citations (6)
    See also Journal Article On selection of statistics for approximate Bayesian computing (or the method of simulated moments), Computational Statistics & Data Analysis, Elsevier (2016) View citations (1) (2016)

2014

12. ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models, Journal of Empirical Finance, Elsevier (2015) View citations (19) (2015)

2013

13. Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (2)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013)
    See also Journal Article Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates, Journal of Business & Economic Statistics, Taylor & Francis Journals (2014) View citations (48) (2014)
14. Higher-order properties of approximate estimators
    CeMMAP working papers, Institute for Fiscal Studies
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) View citations (5)
    See also Journal Article Higher-order properties of approximate estimators, Journal of Econometrics, Elsevier (2017) View citations (12) (2017)
15. Indirect Likelihood Inference (revised)
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) View citations (11)

2011

16. Bounding quantile demand functions using revealed preference inequalities
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (21)
    See also Journal Article Bounding quantile demand functions using revealed preference inequalities, Journal of Econometrics, Elsevier (2014) View citations (65) (2014)
17. Nonparametric Detection and Estimation of Structural Change
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article Non‐parametric detection and estimation of structural change, Econometrics Journal, Royal Economic Society (2012) View citations (29) (2012)
18. Nonparametric Identification and Estimation of Transformation Models
    CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics View citations (3)
    See also Journal Article Nonparametric identification and estimation of transformation models, Journal of Econometrics, Elsevier (2015) View citations (39) (2015)
19. Testing Conditional Factor Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (14)
    See also Journal Article Testing conditional factor models, Journal of Financial Economics, Elsevier (2012) View citations (77) (2012)

2010

20. Higher Order Improvements for Approximate Estimators
    CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics View citations (11)
21. Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
    Discussion Papers, University of Copenhagen. Department of Economics
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010)
    See also Journal Article Semi-nonparametric estimation and misspecification testing of diffusion models, Journal of Econometrics, Elsevier (2011) View citations (12) (2011)
22. Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
    Discussion Papers, University of Copenhagen. Department of Economics View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) View citations (3)
    See also Journal Article TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS, Econometric Theory, Cambridge University Press (2013) View citations (11) (2013)

2009

23. Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models, Journal of Financial Economics, Elsevier (2011) View citations (24) (2011)
24. 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) View citations (5)
    See also Journal Article Estimation of dynamic latent variable models using simulated non‐parametric moments, Econometrics Journal, Royal Economic Society (2012) View citations (20) (2012)
25. Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
    See also Journal Article Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models, Journal of Econometrics, Elsevier (2010) View citations (19) (2010)
26. SNM Guide
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC)
27. Semiparametric Modelling and Estimation: A Selective Overview
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2008

28. Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (17)
    See also Journal Article Estimation of dynamic models with nonparametric simulated maximum likelihood, Journal of Econometrics, Elsevier (2012) View citations (48) (2012)
29. Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA, Econometric Theory, Cambridge University Press (2009) View citations (60) (2009)

2007

30. Likelihood-Based Inference in Nonlinear Error-Correction Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
31. Nonparametric Estimation and Misspecification Testing of Diffusion Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
32. Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)
    See also Journal Article NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH, Econometric Theory, Cambridge University Press (2010) View citations (79) (2010)

2004

33. A Semiparametric Single-Factor Model of the Term Structure
    FMG Discussion Papers, Financial Markets Group View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (3)
34. Estimation in Two Classes of Semiparametric Diffusion Models
    FMG Discussion Papers, Financial Markets Group View citations (8)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (5)
35. Estimation of partial differential equations with applications in finance
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
    See also Journal Article Estimation of partial differential equations with applications in finance, Journal of Econometrics, Elsevier (2008) View citations (10) (2008)

2003

36. Nonparametric IV estimation of shape-invariant Engel curves
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies View citations (40)

Journal Articles

2024

1. Closed-form approximations of moments and densities of continuous–time Markov models
   Journal of Economic Dynamics and Control, 2024, 168, (C)
   See also Working Paper Closed-form approximations of moments and densities of continuous-time Markov models, Papers (2023) (2023)

2021

2. Diffusion copulas: Identification and estimation
   Journal of Econometrics, 2021, 221, (2), 616-643
   See also Working Paper Diffusion Copulas: Identification and Estimation, Papers (2020) (2020)
3. Identification of a class of index models: A topological approach
   The Econometrics Journal, 2021, 24, (1), 121-133 View citations (2)
   See also Working Paper Identification of a class of index models: A topological approach, Papers (2020) View citations (1) (2020)
4. Solving dynamic discrete choice models using smoothing and sieve methods
   Journal of Econometrics, 2021, 223, (2), 328-360 View citations (3)
   See also Working Paper Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods, Papers (2020) View citations (1) (2020)

2017

5. Higher-order properties of approximate estimators
   Journal of Econometrics, 2017, 198, (2), 189-208 View citations (12)
   See also Working Paper Higher-order properties of approximate estimators, CeMMAP working papers (2013) (2013)

2016

6. ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
   Econometric Theory, 2016, 32, (4), 861-916 View citations (21)
   See also Working Paper Estimation of stochastic volatility models by nonparametric filtering, CeMMAP working papers (2015) View citations (3) (2015)
7. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
   Journal of Empirical Finance, 2016, 38, (PB), 640-663 View citations (35)
   See also Working Paper Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX), CREATES Research Papers (2015) View citations (1) (2015)
8. On selection of statistics for approximate Bayesian computing (or the method of simulated moments)
   Computational Statistics & Data Analysis, 2016, 100, (C), 99-114 View citations (1)
   See also Working Paper On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments, UFAE and IAE Working Papers (2015) View citations (6) (2015)

2015

9. ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models
   Journal of Empirical Finance, 2015, 31, (C), 85-108 View citations (19)
   See also Working Paper ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models, CREATES Research Papers (2014) View citations (3) (2014)
10. Nonparametric identification and estimation of transformation models
    Journal of Econometrics, 2015, 188, (1), 22-39 View citations (39)
    See also Working Paper Nonparametric Identification and Estimation of Transformation Models, CAM Working Papers (2011) View citations (3) (2011)

2014

11. Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates
    Journal of Business & Economic Statistics, 2014, 32, (3), 416-429 View citations (48)
    See also Working Paper Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates, CeMMAP working papers (2013) (2013)
12. Bounding quantile demand functions using revealed preference inequalities
    Journal of Econometrics, 2014, 179, (2), 112-127 View citations (65)
    See also Working Paper Bounding quantile demand functions using revealed preference inequalities, CeMMAP working papers (2011) View citations (21) (2011)

2013

13. Control Functions and Simultaneous Equations Methods
    American Economic Review, 2013, 103, (3), 563-69 View citations (12)
14. TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
    Econometric Theory, 2013, 29, (6), 1238-1288 View citations (11)
    See also Working Paper Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models, Discussion Papers (2010) View citations (4) (2010)

2012

15. Estimation of dynamic latent variable models using simulated non‐parametric moments
    Econometrics Journal, 2012, 15, (3), 490-515 View citations (20)
    See also Working Paper Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments, UFAE and IAE Working Papers (2009) View citations (5) (2009)
16. Estimation of dynamic models with nonparametric simulated maximum likelihood
    Journal of Econometrics, 2012, 167, (1), 76-94 View citations (48)
    See also Working Paper Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood, CREATES Research Papers (2008) View citations (17) (2008)
17. Non‐parametric detection and estimation of structural change
    Econometrics Journal, 2012, 15, (3), 420-461 View citations (29)
    See also Working Paper Nonparametric Detection and Estimation of Structural Change, CREATES Research Papers (2011) View citations (2) (2011)
18. Testing conditional factor models
    Journal of Financial Economics, 2012, 106, (1), 132-156 View citations (77)
    See also Working Paper Testing Conditional Factor Models, NBER Working Papers (2011) View citations (17) (2011)

2011

19. Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
    Journal of Financial Economics, 2011, 102, (2), 390-415 View citations (24)
    See also Working Paper Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models, CREATES Research Papers (2009) View citations (2) (2009)
20. Semi-nonparametric estimation and misspecification testing of diffusion models
    Journal of Econometrics, 2011, 164, (2), 382-403 View citations (12)
    See also Working Paper Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models, Discussion Papers (2010) (2010)

2010

21. Likelihood-based inference for cointegration with nonlinear error-correction
    Journal of Econometrics, 2010, 158, (1), 78-94 View citations (17)
22. NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
    Econometric Theory, 2010, 26, (1), 60-93 View citations (79)
    See also Working Paper Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach, CREATES Research Papers (2007) View citations (8) (2007)
23. Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
    Journal of Econometrics, 2010, 156, (2), 239-259 View citations (19)
    See also Working Paper Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models, CREATES Research Papers (2009) View citations (1) (2009)

2009

24. Asymptotics of the QMLE for Non-Linear ARCH Models
    Journal of Time Series Econometrics, 2009, 1, (1), 38 View citations (10)
25. 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 (17)
26. Semiparametric modelling and estimation (in Russian)
    Quantile, 2009, (7), 53-83
27. UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA
    Econometric Theory, 2009, 25, (5), 1433-1445 View citations (60)
    See also Working Paper Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data, CREATES Research Papers (2008) View citations (2) (2008)

2008

28. Estimation of partial differential equations with applications in finance
    Journal of Econometrics, 2008, 144, (2), 392-408 View citations (10)
    See also Working Paper Estimation of partial differential equations with applications in finance, LSE Research Online Documents on Economics (2004) (2004)

2007

29. Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
    Econometrica, 2007, 75, (6), 1613-1669 View citations (268)

2006

30. A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
    Econometric Theory, 2006, 22, (2), 323-337 View citations (30)

2005

31. ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
    Econometric Theory, 2005, 21, (5), 946-961 View citations (35)

2004

32. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution
    Econometric Theory, 2004, 20, (5), 990-993 View citations (16)
33. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
    Journal of Financial Econometrics, 2004, 2, (2), 251-289 View citations (12)

2003

34. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation
    Econometric Theory, 2003, 19, (5), 879-880 View citations (1)

Editor

1. Econometrics Journal
   Royal Economic Society
2. The Econometrics Journal
   Royal Economic Society