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Details about Dennis Kristensen

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Homepage:https://sites.google.com/site/econkristensen/
Workplace:Department of Economics, University College London (UCL), (more information at EDIRC)
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)
Centre for Microdata Methods and Practice (CEMMAP), (more information at EDIRC)

Access statistics for papers by Dennis Kristensen.

Last updated 2016-12-26. Update your information in the RePEc Author Service.

Short-id: pkr127


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Working Papers

2016

  1. Bayesian Indirect Inference and the ABC of GMM
    Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics Downloads

2015

  1. Estimation of stochastic volatility models by nonparametric filtering
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (16)

    See also Journal Article in Econometric Theory (2016)
  2. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    See also Journal Article in Journal of Empirical Finance (2016)
  3. 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) Downloads View citations (2)
    See also Journal Article in Computational Statistics & Data Analysis (2016)

2014

  1. ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Journal of Empirical Finance (2015)

2013

  1. Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) Downloads

    See also Journal Article in Journal of Business & Economic Statistics (2014)
  2. Higher-order properties of approximate estimators
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (3)
  3. Indirect Likelihood Inference (revised)
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads View citations (4)

2011

  1. Bounding quantile demand functions using revealed preference inequalities
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (8)
    See also Journal Article in Journal of Econometrics (2014)
  2. Indirect Likelihood Inference
    Dynare Working Papers, CEPREMAP Downloads View citations (5)
    Also in UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) (2011) Downloads View citations (3)
    Working Papers, Barcelona Graduate School of Economics Downloads View citations (1)
  3. Nonparametric Detection and Estimation of Structural Change
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Econometrics Journal (2012)
  4. Nonparametric Identification and Estimation of Transformation Models
    CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2015)
  5. Testing Conditional Factor Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (8)

    See also Journal Article in Journal of Financial Economics (2012)

2010

  1. Higher Order Improvements for Approximate Estimators
    CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics Downloads View citations (2)
  2. Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
    Discussion Papers, University of Copenhagen. Department of Economics Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads

    See also Journal Article in Journal of Econometrics (2011)
  3. Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2010) Downloads View citations (1)

    See also Journal Article in Econometric Theory (2013)

2009

  1. 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 Downloads View citations (2)
    See also Journal Article in Journal of Financial Economics (2011)
  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) Downloads View citations (5)
    See also Journal Article in Econometrics Journal (2012)
  3. Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2010)
  4. SNM Guide
    UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) Downloads
  5. Semiparametric Modelling and Estimation: A Selective Overview
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2008

  1. Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (16)
    See also Journal Article in Journal of Econometrics (2012)
  2. Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Econometric Theory (2009)

2007

  1. Likelihood-Based Inference in Nonlinear Error-Correction Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
  2. Nonparametric Estimation and Misspecification Testing of Diffusion Models
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (4)
  3. Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
    See also Journal Article in Econometric Theory (2010)

2004

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

2003

  1. Nonparametric IV estimation of shape-invariant Engel curves
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (34)

Journal Articles

2016

  1. ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
    Econometric Theory, 2016, 32, (04), 861-916 Downloads
    See also Working Paper (2015)
  2. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    Journal of Empirical Finance, 2016, 38, (PB), 640-663 Downloads
    See also Working Paper (2015)
  3. On selection of statistics for approximate Bayesian computing (or the method of simulated moments)
    Computational Statistics & Data Analysis, 2016, 100, (C), 99-114 Downloads
    See also Working Paper (2015)

2015

  1. ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models
    Journal of Empirical Finance, 2015, 31, (C), 85-108 Downloads View citations (6)
    See also Working Paper (2014)
  2. Nonparametric identification and estimation of transformation models
    Journal of Econometrics, 2015, 188, (1), 22-39 Downloads View citations (3)
    See also Working Paper (2011)

2014

  1. Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates
    Journal of Business & Economic Statistics, 2014, 32, (3), 416-429 Downloads View citations (17)
    See also Working Paper (2013)
  2. Bounding quantile demand functions using revealed preference inequalities
    Journal of Econometrics, 2014, 179, (2), 112-127 Downloads View citations (15)
    See also Working Paper (2011)

2013

  1. Control Functions and Simultaneous Equations Methods
    American Economic Review, 2013, 103, (3), 563-69 Downloads View citations (1)
  2. TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
    Econometric Theory, 2013, 29, (06), 1238-1288 Downloads View citations (3)
    See also Working Paper (2010)

2012

  1. Estimation of dynamic latent variable models using simulated non‐parametric moments
    Econometrics Journal, 2012, 15, (3), 490-515 Downloads View citations (16)
    See also Working Paper (2009)
  2. Estimation of dynamic models with nonparametric simulated maximum likelihood
    Journal of Econometrics, 2012, 167, (1), 76-94 Downloads View citations (15)
    See also Working Paper (2008)
  3. Non‐parametric detection and estimation of structural change
    Econometrics Journal, 2012, 15, (3), 420-461 Downloads View citations (5)
    See also Working Paper (2011)
  4. Testing conditional factor models
    Journal of Financial Economics, 2012, 106, (1), 132-156 Downloads View citations (20)
    See also Working Paper (2011)

2011

  1. 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 Downloads View citations (7)
    See also Working Paper (2009)
  2. Semi-nonparametric estimation and misspecification testing of diffusion models
    Journal of Econometrics, 2011, 164, (2), 382-403 Downloads View citations (4)
    See also Working Paper (2010)

2010

  1. Likelihood-based inference for cointegration with nonlinear error-correction
    Journal of Econometrics, 2010, 158, (1), 78-94 Downloads View citations (6)
  2. NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
    Econometric Theory, 2010, 26, (01), 60-93 Downloads View citations (27)
    See also Working Paper (2007)
  3. Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
    Journal of Econometrics, 2010, 156, (2), 239-259 Downloads View citations (9)
    See also Working Paper (2009)

2009

  1. Asymptotics of the QMLE for Non-Linear ARCH Models
    Journal of Time Series Econometrics, 2009, 1, (1), 1-38 Downloads View citations (10)
  2. On stationarity and ergodicity of the bilinear model with applications to GARCH models
    Journal of Time Series Analysis, 2009, 30, (1), 125-144 Downloads View citations (9)
  3. Semiparametric modelling and estimation (in Russian)
    Quantile, 2009, (7), 53-83 Downloads
  4. UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA
    Econometric Theory, 2009, 25, (05), 1433-1445 Downloads View citations (33)
    See also Working Paper (2008)

2008

  1. Estimation of partial differential equations with applications in finance
    Journal of Econometrics, 2008, 144, (2), 392-408 Downloads View citations (6)
    See also Working Paper (2004)

2007

  1. Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
    Econometrica, 2007, 75, (6), 1613-1669 Downloads View citations (104)

2006

  1. A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
    Econometric Theory, 2006, 22, (02), 323-337 Downloads View citations (19)

2005

  1. ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
    Econometric Theory, 2005, 21, (05), 946-961 Downloads View citations (25)

2004

  1. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution
    Econometric Theory, 2004, 20, (05), 990-993 Downloads View citations (9)
  2. Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
    Journal of Financial Econometrics, 2004, 2, (2), 251-289 Downloads View citations (7)

2003

  1. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation
    Econometric Theory, 2003, 19, (05), 879-880 Downloads View citations (1)
 
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