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Details about Dennis Kristensen

Homepage:https://sites.google.com/site/econkristensen/
Workplace:Centre for Microdata Methods and Practice (CEMMAP), (more information at EDIRC)
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 Economics), Aarhus Universitet (Aarhus University), (more information at EDIRC)

Access statistics for papers by Dennis Kristensen.

Last updated 2023-03-20. Update your information in the RePEc Author Service.

Short-id: pkr127


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Working Papers

2023

  1. Closed-form approximations of moments and densities of continuous-time Markov models
    Papers, arXiv.org Downloads
  2. Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
    Papers, arXiv.org Downloads View citations (2)

2020

  1. Diffusion Copulas: Identification and Estimation
    Papers, arXiv.org Downloads
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2018) Downloads
    Working Papers, University of Liverpool, Department of Economics (2018) Downloads

    See also Journal Article Diffusion copulas: Identification and estimation, Journal of Econometrics, Elsevier (2021) Downloads (2021)
  2. Identification of a class of index models: A topological approach
    Papers, arXiv.org Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2019) Downloads
  3. Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods
    Papers, arXiv.org Downloads View citations (1)
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2019) Downloads

    See also Journal Article Solving dynamic discrete choice models using smoothing and sieve methods, Journal of Econometrics, Elsevier (2021) Downloads View citations (3) (2021)

2017

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

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 View citations (3)

2015

  1. Estimation of stochastic volatility models by nonparametric filtering
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies Downloads View citations (3)
    Also in CeMMAP working papers, Institute for Fiscal Studies (2015) Downloads
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (17)

    See also Journal Article ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING, Econometric Theory, Cambridge University Press (2016) Downloads View citations (20) (2016)
  2. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)
    See also Journal Article Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX), Journal of Empirical Finance, Elsevier (2016) Downloads View citations (33) (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 (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) Downloads View citations (1) (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 (3)
    See also Journal Article ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models, Journal of Empirical Finance, Elsevier (2015) Downloads View citations (19) (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 View citations (2)
    CeMMAP working papers, Institute for Fiscal Studies (2013) Downloads

    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) Downloads View citations (45) (2014)
  2. Higher-order properties of approximate estimators
    CeMMAP working papers, Institute for Fiscal Studies Downloads
    Also in CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2013) Downloads View citations (5)

    See also Journal Article Higher-order properties of approximate estimators, Journal of Econometrics, Elsevier (2017) Downloads View citations (12) (2017)
  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 (11)

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 (21)
    See also Journal Article Bounding quantile demand functions using revealed preference inequalities, Journal of Econometrics, Elsevier (2014) Downloads View citations (64) (2014)
  2. Indirect Likelihood Inference
    Dynare Working Papers, CEPREMAP Downloads View citations (11)
    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 (11)
    Working Papers, Barcelona School of Economics Downloads View citations (17)
  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 Non‐parametric detection and estimation of structural change, Econometrics Journal, Royal Economic Society (2012) Downloads View citations (29) (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 Nonparametric identification and estimation of transformation models, Journal of Econometrics, Elsevier (2015) Downloads View citations (38) (2015)
  5. Testing Conditional Factor Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) Downloads View citations (14)

    See also Journal Article Testing conditional factor models, Journal of Financial Economics, Elsevier (2012) Downloads View citations (73) (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 (11)
  2. Semi-Nonparametric Estimation and Misspecification Testing of Diffusion 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

    See also Journal Article Semi-nonparametric estimation and misspecification testing of diffusion models, Journal of Econometrics, Elsevier (2011) Downloads View citations (12) (2011)
  3. Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2010) Downloads View citations (3)

    See also Journal Article TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS, Econometric Theory, Cambridge University Press (2013) Downloads View citations (10) (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 Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models, Journal of Financial Economics, Elsevier (2011) Downloads View citations (21) (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 Estimation of dynamic latent variable models using simulated non‐parametric moments, Econometrics Journal, Royal Economic Society (2012) Downloads View citations (20) (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 Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models, Journal of Econometrics, Elsevier (2010) Downloads View citations (19) (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 View citations (1)

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 (17)
    See also Journal Article Estimation of dynamic models with nonparametric simulated maximum likelihood, Journal of Econometrics, Elsevier (2012) Downloads View citations (45) (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 UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA, Econometric Theory, Cambridge University Press (2009) Downloads View citations (60) (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 (3)
  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 (8)
    See also Journal Article NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH, Econometric Theory, Cambridge University Press (2010) Downloads View citations (78) (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 View citations (3)
  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 View citations (5)
  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 Estimation of partial differential equations with applications in finance, Journal of Econometrics, Elsevier (2008) Downloads View citations (10) (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 (40)

Journal Articles

2021

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

2017

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

2016

  1. ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
    Econometric Theory, 2016, 32, (4), 861-916 Downloads View citations (20)
    See also Working Paper Estimation of stochastic volatility models by nonparametric filtering, CeMMAP working papers (2015) Downloads View citations (3) (2015)
  2. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
    Journal of Empirical Finance, 2016, 38, (PB), 640-663 Downloads View citations (33)
    See also Working Paper Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX), CREATES Research Papers (2015) Downloads View citations (1) (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 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) Downloads View citations (6) (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 (19)
    See also Working Paper ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models, CREATES Research Papers (2014) Downloads View citations (3) (2014)
  2. Nonparametric identification and estimation of transformation models
    Journal of Econometrics, 2015, 188, (1), 22-39 Downloads View citations (38)
    See also Working Paper Nonparametric Identification and Estimation of Transformation Models, CAM Working Papers (2011) Downloads View citations (3) (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 (45)
    See also Working Paper Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates, CeMMAP working papers (2013) Downloads (2013)
  2. Bounding quantile demand functions using revealed preference inequalities
    Journal of Econometrics, 2014, 179, (2), 112-127 Downloads View citations (64)
    See also Working Paper Bounding quantile demand functions using revealed preference inequalities, CeMMAP working papers (2011) Downloads View citations (21) (2011)

2013

  1. Control Functions and Simultaneous Equations Methods
    American Economic Review, 2013, 103, (3), 563-69 Downloads View citations (12)
  2. TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
    Econometric Theory, 2013, 29, (6), 1238-1288 Downloads View citations (10)
    See also Working Paper Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models, Discussion Papers (2010) Downloads View citations (4) (2010)

2012

  1. Estimation of dynamic latent variable models using simulated non‐parametric moments
    Econometrics Journal, 2012, 15, (3), 490-515 Downloads View citations (20)
    See also Working Paper Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments, UFAE and IAE Working Papers (2009) Downloads View citations (5) (2009)
  2. Estimation of dynamic models with nonparametric simulated maximum likelihood
    Journal of Econometrics, 2012, 167, (1), 76-94 Downloads View citations (45)
    See also Working Paper Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood, CREATES Research Papers (2008) Downloads View citations (17) (2008)
  3. Non‐parametric detection and estimation of structural change
    Econometrics Journal, 2012, 15, (3), 420-461 Downloads View citations (29)
    See also Working Paper Nonparametric Detection and Estimation of Structural Change, CREATES Research Papers (2011) Downloads View citations (2) (2011)
  4. Testing conditional factor models
    Journal of Financial Economics, 2012, 106, (1), 132-156 Downloads View citations (73)
    See also Working Paper Testing Conditional Factor Models, NBER Working Papers (2011) Downloads View citations (16) (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 (21)
    See also Working Paper Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models, CREATES Research Papers (2009) Downloads View citations (2) (2009)
  2. Semi-nonparametric estimation and misspecification testing of diffusion models
    Journal of Econometrics, 2011, 164, (2), 382-403 Downloads View citations (12)
    See also Working Paper Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models, CREATES Research Papers (2010) Downloads (2010)

2010

  1. Likelihood-based inference for cointegration with nonlinear error-correction
    Journal of Econometrics, 2010, 158, (1), 78-94 Downloads View citations (17)
  2. NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
    Econometric Theory, 2010, 26, (1), 60-93 Downloads View citations (78)
    See also Working Paper Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach, CREATES Research Papers (2007) Downloads View citations (8) (2007)
  3. Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
    Journal of Econometrics, 2010, 156, (2), 239-259 Downloads View citations (19)
    See also Working Paper Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models, CREATES Research Papers (2009) Downloads View citations (1) (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 (15)
  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, (5), 1433-1445 Downloads View citations (60)
    See also Working Paper Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data, CREATES Research Papers (2008) Downloads View citations (2) (2008)

2008

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

2007

  1. Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
    Econometrica, 2007, 75, (6), 1613-1669 Downloads View citations (263)

2006

  1. A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
    Econometric Theory, 2006, 22, (2), 323-337 Downloads View citations (29)

2005

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

2004

  1. 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution
    Econometric Theory, 2004, 20, (5), 990-993 Downloads View citations (16)
  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 (12)

2003

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

Editor

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