Details about Bent Jesper Christensen

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

Access statistics for papers by Bent Jesper Christensen.

Last updated 2023-12-21. Update your information in the RePEc Author Service.

Short-id: pch701

---

Jump to Journal Articles Edited books Chapters

Working Papers

2023

1. Long-term Care in Denmark
   NBER Working Papers, National Bureau of Economic Research, Inc

2022

2. Consumption and Saving after Retirement
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
3. Estimation of continuous-time linear DSGE models from discrete-time measurements
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2021

4. The incremental information in the yield curve about future interest rate risk
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article The incremental information in the yield curve about future interest rate risk, Journal of Banking & Finance, Elsevier (2023) (2023)

2020

5. Optimal control of investment, premium and deductible for a non-life insurance company
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article Optimal control of investment, premium and deductible for a non-life insurance company, Insurance: Mathematics and Economics, Elsevier (2021) View citations (1) (2021)
6. Targeting predictors in random forest regression
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (12)
   Also in Papers, arXiv.org (2020) View citations (11)
   See also Journal Article Targeting predictors in random forest regression, International Journal of Forecasting, Elsevier (2023) View citations (3) (2023)

2019

7. Assessing predictive accuracy in panel data models with long-range dependence
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2017

8. End-Of-Life Medical Spending In Last Twelve Months Of Life Is Lower Than Previously Reported
   Post-Print, HAL View citations (15)
   Also in PSE-Ecole d'économie de Paris (Postprint), HAL (2017) View citations (12)
9. Health, Retirement and Consumption
   2017 Meeting Papers, Society for Economic Dynamics

2016

10. Dynamic Global Currency Hedging
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
    See also Journal Article Dynamic Global Currency Hedging*, Journal of Financial Econometrics, Oxford University Press (2021) (2021)

2015

11. 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 View citations (1)
    See also Journal Article Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination, Journal of Econometrics, Elsevier (2017) View citations (7) (2017)

2014

12. Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data
    CESifo Working Paper Series, CESifo
    See also Journal Article Estimating dynamic equilibrium models using mixed frequency macro and financial data, Journal of Econometrics, Elsevier (2016) View citations (12) (2016)
13. Wage and Productivity Dispersion: The Roles of Rent Sharing, Labor Quality and Capital Intensity
    2014 Meeting Papers, Society for Economic Dynamics View citations (39)

2013

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

2012

15. The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect
    Working Paper, Economics Department, Queen's University View citations (2)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2012) View citations (2)
    See also Journal Article The impact of financial crises on the risk–return tradeoff and the leverage effect, Economic Modelling, Elsevier (2015) View citations (12) (2015)

2011

16. Estimating Dynamic Equilibrium Models using Macro and Financial Data
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (5)
17. Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2010

18. Level Shifts in Volatility and the Implied-Realized Volatility Relation
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
19. 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 View citations (5)
    See also Journal Article THE IMPACT OF HEALTH CHANGES ON LABOR SUPPLY: EVIDENCE FROM MERGED DATA ON INDIVIDUAL OBJECTIVE MEDICAL DIAGNOSIS CODES AND EARLY RETIREMENT BEHAVIOR, Health Economics, John Wiley & Sons, Ltd. (2012) View citations (11) (2012)
20. 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
21. Wage and Productivity Dispersion: Labor Quality or Rent Sharing?
    2010 Meeting Papers, Society for Economic Dynamics View citations (28)

2009

22. Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model
    Working Paper, Economics Department, Queen's University View citations (5)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (11)
    See also Journal Article Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model, Journal of Empirical Finance, Elsevier (2010) View citations (38) (2010)

2008

23. Optimal inference in dynamic models with conditional moment restrictions
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
24. Semiparametric Inference in a GARCH-in-Mean Model
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)
    See also Journal Article Semiparametric inference in a GARCH-in-mean model, Journal of Econometrics, Elsevier (2012) View citations (16) (2012)
25. The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets
    Working Paper, Economics Department, Queen's University View citations (7)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (16)
    See also Journal Article The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets, Journal of Econometrics, Elsevier (2011) View citations (177) (2011)

2007

26. Market Power in Power Markets: Evidence from Forward Prices of Electricity
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)
27. The Effect of Long Memory in Volatility on Stock Market Fluctuations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (54)
    See also Journal Article The Effect of Long Memory in Volatility on Stock Market Fluctuations, The Review of Economics and Statistics, MIT Press (2007) View citations (52) (2007)

2006

28. Structural Models of Wage and Employment Dynamics
    Post-Print, HAL View citations (44)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2006) View citations (41)
29. The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps
    Working Paper, Economics Department, Queen's University View citations (2)

2005

30. Forecasting Exchange Rate Volatility In The Presence Of Jumps
    Working Paper, Economics Department, Queen's University View citations (6)
31. The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices
    Working Paper, Economics Department, Queen's University View citations (5)

2004

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

2003

33. On the Job Search and the Wage Distribution
    CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics View citations (16)
    Also in SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes (2000) View citations (2)
    See also Journal Article On-the-Job Search and the Wage Distribution, Journal of Labor Economics, University of Chicago Press (2005) View citations (158) (2005)

2000

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

1999

36. A Bivariate Duration Model of the Joint Retirement Decisions of Married Couples
    Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (12)
37. Equilibrium Search with Human Capital Accumulation
    Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (24)
    See also Chapter Equilibrium Search with Human Capital Accumulation, Contributions to Economic Analysis, Emerald Group Publishing Limited (2000) (2000)
38. 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)
39. 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)
    See also Chapter The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: An Application to Danish Data, Contributions to Economic Analysis, Emerald Group Publishing Limited (2000) (2000)

1998

40. 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) View citations (2)

1997

41. Interest Rate Dynamics and Consistent Forward Rate Curves
    SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics View citations (51)
    See also Journal Article Interest Rate Dynamics and Consistent Forward Rate Curves, Mathematical Finance, Wiley Blackwell (1999) View citations (129) (1999)

1990

42. THE EXACT LIKELIHOOD FUNCTION FOR AN EMPIRICAL JOB SEARCH MODEL
    Working Papers, Tilburg - Center for Economic Research View citations (9)
    See also Journal Article The Exact Likelihood Function for an Empirical Job Search Model, Econometric Theory, Cambridge University Press (1991) View citations (20) (1991)

Undated

43. 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
44. 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 View citations (6)
    See also Journal Article Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting, Journal of Econometrics, Elsevier (2006) View citations (90) (2006)
45. 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 View citations (2)

Journal Articles

2023

1. Climate, wind energy, and CO2 emissions from energy production in Denmark
   Energy Economics, 2023, 125, (C)
2. Targeting predictors in random forest regression
   International Journal of Forecasting, 2023, 39, (2), 841-868 View citations (3)
   See also Working Paper Targeting predictors in random forest regression, CREATES Research Papers (2020) View citations (12) (2020)
3. The incremental information in the yield curve about future interest rate risk
   Journal of Banking & Finance, 2023, 155, (C)
   See also Working Paper The incremental information in the yield curve about future interest rate risk, CREATES Research Papers (2021) (2021)

2021

4. Dynamic Global Currency Hedging*
   (Arbitrage in the Foreign Exchange Market: Turning on the Microscope)
   Journal of Financial Econometrics, 2021, 19, (1), 97-127
   See also Working Paper Dynamic Global Currency Hedging, CREATES Research Papers (2016) View citations (3) (2016)
5. Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting
   Journal of the Royal Statistical Society Series A, 2021, 184, (1), 118-149 View citations (1)
6. Optimal control of investment, premium and deductible for a non-life insurance company
   Insurance: Mathematics and Economics, 2021, 101, (PB), 384-405 View citations (1)
   See also Working Paper Optimal control of investment, premium and deductible for a non-life insurance company, CREATES Research Papers (2020) (2020)

2019

7. An asset pricing approach to testing general term structure models
   Journal of Financial Economics, 2019, 134, (1), 165-191 View citations (2)
8. Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market
   Insurance: Mathematics and Economics, 2019, 87, (C), 92-100 View citations (2)
9. Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation
   Risks, 2019, 7, (2), 1-23 View citations (3)

2017

10. Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
    Journal of Econometrics, 2017, 197, (2), 218-244 View citations (7)
    See also Working Paper Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination, CREATES Research Papers (2015) View citations (1) (2015)

2016

11. Estimating dynamic equilibrium models using mixed frequency macro and financial data
    Journal of Econometrics, 2016, 194, (1), 116-137 View citations (12)
    See also Working Paper Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data, CESifo Working Paper Series (2014) (2014)
12. Medical Spending in Denmark
    Fiscal Studies, 2016, 37, 461-497 View citations (3)

2015

13. 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 View citations (17)
14. The impact of financial crises on the risk–return tradeoff and the leverage effect
    Economic Modelling, 2015, 49, (C), 407-418 View citations (12)
    See also Working Paper The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect, Working Paper (2012) View citations (2) (2012)

2012

15. Semiparametric inference in a GARCH-in-mean model
    Journal of Econometrics, 2012, 167, (2), 458-472 View citations (16)
    See also Working Paper Semiparametric Inference in a GARCH-in-Mean Model, CREATES Research Papers (2008) View citations (4) (2008)
16. 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, (S1), 56-100 View citations (11)
    See also Working Paper 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 (2010) View citations (5) (2010)

2011

17. Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
    Journal of Time Series Econometrics, 2011, 3, (1), 8
18. 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 View citations (177)
    See also Working Paper The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets, Working Paper (2008) View citations (7) (2008)

2010

19. 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 View citations (38)
    See also Working Paper Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model, Working Paper (2009) View citations (5) (2009)

2007

20. The Effect of Long Memory in Volatility on Stock Market Fluctuations
    The Review of Economics and Statistics, 2007, 89, (4), 684-700 View citations (52)
    See also Working Paper The Effect of Long Memory in Volatility on Stock Market Fluctuations, CREATES Research Papers (2007) View citations (54) (2007)

2006

21. Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
    Journal of Econometrics, 2006, 133, (1), 343-371 View citations (90)
    See also Working Paper Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data, Economics Working Papers View citations (6)

2005

22. On-the-Job Search and the Wage Distribution
    Journal of Labor Economics, 2005, 23, (1), 31-58 View citations (158)
    See also Working Paper On the Job Search and the Wage Distribution, CAM Working Papers (2003) View citations (16) (2003)

2004

23. Multivariate mixed proportional hazard modelling of the joint retirement of married couples
    Journal of Applied Econometrics, 2004, 19, (6), 687-704 View citations (45)
24. Special issue on the econometrics of social insurance
    Journal of Applied Econometrics, 2004, 19, (6), 647-648 View citations (1)

2002

25. New evidence on the implied-realized volatility relation
    The European Journal of Finance, 2002, 8, (2), 187-205 View citations (30)

2001

26. 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
27. Specification and Estimation of Equilibrium Search Models
    Review of Economic Dynamics, 2001, 4, (1), 90-126 View citations (27)

2000

28. Effekten af pensionsreform på danske ægtepars udtræden af arbejdsmarkedet
    Nationaløkonomisk tidsskrift, 2000, 2000, (1), 222-242

1999

29. Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’
    Review of Finance, 1999, 3, (3), 311-317
30. Interest Rate Dynamics and Consistent Forward Rate Curves
    Mathematical Finance, 1999, 9, (4), 323-348 View citations (129)
    See also Working Paper Interest Rate Dynamics and Consistent Forward Rate Curves, SSE/EFI Working Paper Series in Economics and Finance (1997) View citations (51) (1997)

1998

31. Some system theoretic aspects of interest rate theory
    Insurance: Mathematics and Economics, 1998, 22, (1), 17-23 View citations (1)
32. The relation between implied and realized volatility
    Journal of Financial Economics, 1998, 50, (2), 125-150 View citations (461)

1997

33. 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 View citations (10)

1994

34. EFFICIENCY GAINS IN BETA‐PRICING MODELS1
    Mathematical Finance, 1994, 4, (2), 143-154
35. Measurement Error in the Prototypal Job-Search Model
    Journal of Labor Economics, 1994, 12, (4), 618-39 View citations (19)

1991

36. The Exact Likelihood Function for an Empirical Job Search Model
    Econometric Theory, 1991, 7, (4), 464-486 View citations (20)
    See also Working Paper THE EXACT LIKELIHOOD FUNCTION FOR AN EMPIRICAL JOB SEARCH MODEL, Working Papers (1990) View citations (9) (1990)

Edited books

2017

1. Globalization
   Springer Books, Springer

Chapters

2006

1. Identification and Inference in Dynamic Programming Models
   A chapter in Structural Models of Wage and Employment Dynamics, 2006, pp 331-364

2000

2. Equilibrium Search with Human Capital Accumulation
   A chapter in Panel Data and Structural Labour Market Models, 2000, pp 107-143
   See also Working Paper Equilibrium Search with Human Capital Accumulation, Centre for Labour Market and Social Research, Danmark- (1999) View citations (24) (1999)
3. The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: An Application to Danish Data
   A chapter in Panel Data and Structural Labour Market Models, 2000, pp 85-106
   See also Working Paper The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: an Application to Danish Data, Centre for Labour Market and Social Research, Danmark- (1999) View citations (2) (1999)