Dennis Kristensen
Personal Details
First Name: | Dennis |
Middle Name: | |
Last Name: | Kristensen |
Suffix: | |
RePEc Short-ID: | pkr127 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/site/econkristensen/ | |
Terminal Degree: | 2004 Economics Department; London School of Economics (LSE) (from RePEc Genealogy) |
Affiliation
(5%) Centre for Microdata Methods and Practice (CEMMAP)
London, United Kingdomhttp://www.cemmap.ac.uk/
RePEc:edi:cmifsuk (more details at EDIRC)
(90%) Department of Economics
University College London (UCL)
London, United Kingdomhttp://www.ucl.ac.uk/economics/
RePEc:edi:deucluk (more details at EDIRC)
(5%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Aarhus, Denmarkhttp://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)
Research output
Jump to: Working papers Articles EditorshipWorking papers
- Dennis Kristensen & Young Jun Lee & Antonio Mele, 2023. "Closed-form approximations of moments and densities of continuous-time Markov models," Papers 2308.09009, arXiv.org.
- Mogens Fosgerau & Dennis Kristensen, 2020.
"Identification of a class of index models: A topological approach,"
Papers
2004.07900, arXiv.org.
- Mogens Fosgerau & Dennis Kristensen, 2021. "Identification of a class of index models: A topological approach," The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 121-133.
- Mogens Fosgerau & Dennis Kristensen, 2019. "Identification of a class of index models: A topological approach," CeMMAP working papers CWP52/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dennis Kristensen & Young Jun Lee, 2019. "Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models," Papers 1904.05209, arXiv.org, revised Aug 2023.
- Dennis Kristensen & Patrick K. Mogensen & Jong Myun Moon & Bertel Schjerning, 2019.
"Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods,"
Papers
1904.05232, arXiv.org, revised Feb 2020.
- Kristensen, Dennis & Mogensen, Patrick K. & Moon, Jong Myun & Schjerning, Bertel, 2021. "Solving dynamic discrete choice models using smoothing and sieve methods," Journal of Econometrics, Elsevier, vol. 223(2), pages 328-360.
- Dennis Kristensen & Patrick K. Mogensen & Jong-Myun Moon & Bertel Schjerning, 2019. "Solving dynamic discrete choice models using smoothing and sieve methods," CeMMAP working papers CWP15/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018.
"Diffusion Copulas: Identification and Estimation,"
CREATES Research Papers
2018-20, Department of Economics and Business Economics, Aarhus University.
- Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021. "Diffusion copulas: Identification and estimation," Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," Working Papers 20184, University of Liverpool, Department of Economics.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020. "Diffusion Copulas: Identification and Estimation," Papers 2005.03513, arXiv.org.
- Richard Blundell & Dennis Kristensen & Rosa Matzkin, 2017.
"Individual counterfactuals with multidimensional unobserved heterogeneity,"
CeMMAP working papers
60/17, Institute for Fiscal Studies.
- Richard Blundell & Dennis Kristensen & Rosa Matzkin, 2017. "Individual counterfactuals with multidimensional unobserved heterogeneity," CeMMAP working papers CWP60/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen, 2016. "Bayesian Indirect Inference and the ABC of GMM," Monash Econometrics and Business Statistics Working Papers 1/16, Monash University, Department of Econometrics and Business Statistics.
- Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015.
"Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX),"
CREATES Research Papers
2015-11, Department of Economics and Business Economics, Aarhus University.
- Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
- Michael Creel & Dennis Kristensen, 2015.
"On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments,"
UFAE and IAE Working Papers
950.15, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 27 Feb 2015.
- Creel, Michael & Kristensen, Dennis, 2016. "On selection of statistics for approximate Bayesian computing (or the method of simulated moments)," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 99-114.
- Michael Creel & Dennis Kristensen, 2014.
"ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models,"
CREATES Research Papers
2014-30, Department of Economics and Business Economics, Aarhus University.
- Creel, Michael & Kristensen, Dennis, 2015. "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 85-108.
- Michael Creel & Dennis Kristensen, 2013. "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers 931.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Dennis Kristensen & Bernard Salanie, 2013.
"Higher-order properties of approximate estimators,"
CeMMAP working papers
45/13, Institute for Fiscal Studies.
- Kristensen, Dennis & Salanié, Bernard, 2017. "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
- Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers CWP45/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2012.
"Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates,"
CREATES Research Papers
2012-25, Department of Economics and Business Economics, Aarhus University.
- Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers 18/13, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Michael Creel & Dennis Kristensen, 2011.
"Indirect likelihood inference,"
UFAE and IAE Working Papers
874.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Michael Creel & Dennis Kristensen, "undated". "Indirect Likelihood Inference," Working Papers 558, Barcelona School of Economics.
- Creel, Michael & Kristensen, Dennis, 2011. "Indirect Likelihood Inference," Dynare Working Papers 8, CEPREMAP.
- Pierre-Andre Chiappori & Ivana Komunjer & Dennis Kristensen, 2011.
"Nonparametric Identification and Estimation of Transformation Models,"
CAM Working Papers
2011-01, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis, 2015. "Nonparametric identification and estimation of transformation models," Journal of Econometrics, Elsevier, vol. 188(1), pages 22-39.
- Richard Blundell & Dennis Kristensen & Rosa Matzkin, 2011.
"Bounding quantile demand functions using revealed preference inequalities,"
CeMMAP working papers
CWP21/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Blundell, Richard & Kristensen, Dennis & Matzkin, Rosa, 2014. "Bounding quantile demand functions using revealed preference inequalities," Journal of Econometrics, Elsevier, vol. 179(2), pages 112-127.
- Dennis Kristensen, 2011.
"Nonparametric Detection and Estimation of Structural Change,"
CREATES Research Papers
2011-13, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen, 2012. "Non‐parametric detection and estimation of structural change," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 420-461, October.
- Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Dennis Kristensen, 2010.
"Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models,"
CREATES Research Papers
2010-43, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis, 2011. "Semi-nonparametric estimation and misspecification testing of diffusion models," Journal of Econometrics, Elsevier, vol. 164(2), pages 382-403, October.
- Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers 10-10, University of Copenhagen. Department of Economics.
- Shin Kanaya & Dennis Kristensen, 2010.
"Estimation of Stochastic Volatility Models by Nonparametric Filtering,"
CREATES Research Papers
2010-67, Department of Economics and Business Economics, Aarhus University.
- Kanaya, Shin & Kristensen, Dennis, 2016. "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
- Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers 09/15, Institute for Fiscal Studies.
- Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers CWP09/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dennis Kristensen & Anders Rahbek, 2010.
"Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models,"
CREATES Research Papers
2010-68, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis & Rahbek, Anders, 2013. "Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models," Econometric Theory, Cambridge University Press, vol. 29(6), pages 1238-1288, December.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," Discussion Papers 10-25, University of Copenhagen. Department of Economics.
- Dennis Kristensen & Andrew Ang, 2009.
"Testing Conditional Factor Models,"
CREATES Research Papers
2009-09, Department of Economics and Business Economics, Aarhus University.
- Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
- Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
- Dennis Kristensen & Antonio Mele, 2009.
"Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models,"
CREATES Research Papers
2009-14, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
- Michael Creel & Dennis Kristensen, 2009.
"Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments,"
UFAE and IAE Working Papers
792.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Michael Creel & Dennis Kristensen, 2012. "Estimation of dynamic latent variable models using simulated non‐parametric moments," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 490-515, October.
- Michael Creel, 2008. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008.
- Dennis Kristensen, 2009.
"Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models,"
CREATES Research Papers
2009-41, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
- Michael Creel & Dennis Kristensen, 2009. "SNM Guide," UFAE and IAE Working Papers 793.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen, 2008.
"Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data,"
CREATES Research Papers
2008-37, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis, 2009. "Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data," Econometric Theory, Cambridge University Press, vol. 25(5), pages 1433-1445, October.
- Dennis Kristensen & Yongseok Shin, 2008.
"Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood,"
CREATES Research Papers
2008-58, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
- Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen, 2007.
"Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach,"
CREATES Research Papers
2007-02, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis, 2010. "Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach," Econometric Theory, Cambridge University Press, vol. 26(1), pages 60-93, February.
- Kristensen, Dennis, 2004.
"A semiparametric single-factor model of the term structure,"
LSE Research Online Documents on Economics
24741, London School of Economics and Political Science, LSE Library.
- Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers dp501, Financial Markets Group.
- Kristensen, Dennis, 2004.
"Estimation of partial differential equations with applications in finance,"
LSE Research Online Documents on Economics
24738, London School of Economics and Political Science, LSE Library.
- Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
- Kristensen, Dennis, 2004.
"Estimation in two classes of semiparametric diffusion models,"
LSE Research Online Documents on Economics
24739, London School of Economics and Political Science, LSE Library.
- Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
- Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2003. "Nonparametric IV estimation of shape-invariant Engel curves," CeMMAP working papers CWP15/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Articles
- Mogens Fosgerau & Dennis Kristensen, 2021.
"Identification of a class of index models: A topological approach,"
The Econometrics Journal, Royal Economic Society, vol. 24(1), pages 121-133.
- Mogens Fosgerau & Dennis Kristensen, 2019. "Identification of a class of index models: A topological approach," CeMMAP working papers CWP52/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Mogens Fosgerau & Dennis Kristensen, 2020. "Identification of a class of index models: A topological approach," Papers 2004.07900, arXiv.org.
- Kristensen, Dennis & Mogensen, Patrick K. & Moon, Jong Myun & Schjerning, Bertel, 2021.
"Solving dynamic discrete choice models using smoothing and sieve methods,"
Journal of Econometrics, Elsevier, vol. 223(2), pages 328-360.
- Dennis Kristensen & Patrick K. Mogensen & Jong-Myun Moon & Bertel Schjerning, 2019. "Solving dynamic discrete choice models using smoothing and sieve methods," CeMMAP working papers CWP15/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dennis Kristensen & Patrick K. Mogensen & Jong Myun Moon & Bertel Schjerning, 2019. "Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods," Papers 1904.05232, arXiv.org, revised Feb 2020.
- Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis, 2021.
"Diffusion copulas: Identification and estimation,"
Journal of Econometrics, Elsevier, vol. 221(2), pages 616-643.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," CREATES Research Papers 2018-20, Department of Economics and Business Economics, Aarhus University.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2018. "Diffusion Copulas: Identification and Estimation," Working Papers 20184, University of Liverpool, Department of Economics.
- Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 2020. "Diffusion Copulas: Identification and Estimation," Papers 2005.03513, arXiv.org.
- Kristensen, Dennis & Salanié, Bernard, 2017.
"Higher-order properties of approximate estimators,"
Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
- Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers CWP45/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers 45/13, Institute for Fiscal Studies.
- Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016.
"Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX),"
Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
- Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.
- Kanaya, Shin & Kristensen, Dennis, 2016.
"Estimation Of Stochastic Volatility Models By Nonparametric Filtering,"
Econometric Theory, Cambridge University Press, vol. 32(4), pages 861-916, August.
- Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, Department of Economics and Business Economics, Aarhus University.
- Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers 09/15, Institute for Fiscal Studies.
- Shin Kanaya & Dennis Kristensen, 2015. "Estimation of stochastic volatility models by nonparametric filtering," CeMMAP working papers CWP09/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Creel, Michael & Kristensen, Dennis, 2016.
"On selection of statistics for approximate Bayesian computing (or the method of simulated moments),"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 99-114.
- Michael Creel & Dennis Kristensen, 2015. "On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments," UFAE and IAE Working Papers 950.15, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 27 Feb 2015.
- Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis, 2015.
"Nonparametric identification and estimation of transformation models,"
Journal of Econometrics, Elsevier, vol. 188(1), pages 22-39.
- Pierre-Andre Chiappori & Ivana Komunjer & Dennis Kristensen, 2011. "Nonparametric Identification and Estimation of Transformation Models," CAM Working Papers 2011-01, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Creel, Michael & Kristensen, Dennis, 2015.
"ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models,"
Journal of Empirical Finance, Elsevier, vol. 31(C), pages 85-108.
- Michael Creel & Dennis Kristensen, 2014. "ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models," CREATES Research Papers 2014-30, Department of Economics and Business Economics, Aarhus University.
- Heejoon Han & Dennis Kristensen, 2014.
"Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
- Heejoon Han & Dennis Kristensen, 2012. "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers 2012-25, Department of Economics and Business Economics, Aarhus University.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers 18/13, Institute for Fiscal Studies.
- Heejoon Han & Dennis Kristensen, 2013. "Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates," CeMMAP working papers CWP18/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Blundell, Richard & Kristensen, Dennis & Matzkin, Rosa, 2014.
"Bounding quantile demand functions using revealed preference inequalities,"
Journal of Econometrics, Elsevier, vol. 179(2), pages 112-127.
- Richard Blundell & Dennis Kristensen & Rosa Matzkin, 2011. "Bounding quantile demand functions using revealed preference inequalities," CeMMAP working papers CWP21/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Kristensen, Dennis & Rahbek, Anders, 2013.
"Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models,"
Econometric Theory, Cambridge University Press, vol. 29(6), pages 1238-1288, December.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," CREATES Research Papers 2010-68, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," Discussion Papers 10-25, University of Copenhagen. Department of Economics.
- Richard Blundell & Dennis Kristensen & Rosa L. Matzkin, 2013. "Control Functions and Simultaneous Equations Methods," American Economic Review, American Economic Association, vol. 103(3), pages 563-569, May.
- Dennis Kristensen, 2012.
"Non‐parametric detection and estimation of structural change,"
Econometrics Journal, Royal Economic Society, vol. 15(3), pages 420-461, October.
- Dennis Kristensen, 2011. "Nonparametric Detection and Estimation of Structural Change," CREATES Research Papers 2011-13, Department of Economics and Business Economics, Aarhus University.
- Michael Creel & Dennis Kristensen, 2012.
"Estimation of dynamic latent variable models using simulated non‐parametric moments,"
Econometrics Journal, Royal Economic Society, vol. 15(3), pages 490-515, October.
- Michael Creel & Dennis Kristensen, 2009. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 792.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Kristensen, Dennis & Shin, Yongseok, 2012.
"Estimation of dynamic models with nonparametric simulated maximum likelihood,"
Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
- Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, Department of Economics and Business Economics, Aarhus University.
- Ang, Andrew & Kristensen, Dennis, 2012.
"Testing conditional factor models,"
Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
- Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
- Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis, 2011.
"Semi-nonparametric estimation and misspecification testing of diffusion models,"
Journal of Econometrics, Elsevier, vol. 164(2), pages 382-403, October.
- Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers 10-10, University of Copenhagen. Department of Economics.
- Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2010-43, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis & Mele, Antonio, 2011.
"Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models,"
Journal of Financial Economics, Elsevier, vol. 102(2), pages 390-415.
- Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis, 2010.
"Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach,"
Econometric Theory, Cambridge University Press, vol. 26(1), pages 60-93, February.
- Dennis Kristensen, 2007. "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers 2007-02, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis, 2010.
"Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models,"
Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
- Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, Department of Economics and Business Economics, Aarhus University.
- Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
- Kristensen, Dennis, 2009.
"Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data,"
Econometric Theory, Cambridge University Press, vol. 25(5), pages 1433-1445, October.
- Dennis Kristensen, 2008. "Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data," CREATES Research Papers 2008-37, Department of Economics and Business Economics, Aarhus University.
- Dennis Kristensen, 2009. "On stationarity and ergodicity of the bilinear model with applications to GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 125-144, January.
- Kristensen Dennis & Rahbek Anders, 2009. "Asymptotics of the QMLE for Non-Linear ARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-38, April.
- Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
- Kristensen, Dennis, 2008.
"Estimation of partial differential equations with applications in finance,"
Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
- Kristensen, Dennis, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
- Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2007. "Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves," Econometrica, Econometric Society, vol. 75(6), pages 1613-1669, November.
- Kristensen, Dennis & Linton, Oliver, 2006. "A Closed-Form Estimator For The Garch(1,1) Model," Econometric Theory, Cambridge University Press, vol. 22(2), pages 323-337, April.
- Kristensen, Dennis & Rahbek, Anders, 2005. "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, vol. 21(5), pages 946-961, October.
- Kristensen, Dennis & Linton, Oliver, 2004. "03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution," Econometric Theory, Cambridge University Press, vol. 20(5), pages 990-993, October.
- Andrew Jeffrey, 2004. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 251-289.
- Kristensen, Dennis & Linton, Oliver, 2003. "03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation," Econometric Theory, Cambridge University Press, vol. 19(5), pages 879-880, October.
Editorship
- The Econometrics Journal, Royal Economic Society.
- Econometrics Journal, Royal Economic Society.
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- Number of Distinct Works, Weighted by Recursive Impact Factor
- Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
- Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Simple Impact Factor
- Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Recursive Impact Factor
- Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors
- Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
- Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
- Number of Journal Pages, Weighted by Simple Impact Factor
- Number of Journal Pages, Weighted by Recursive Impact Factor
- Number of Journal Pages, Weighted by Number of Authors
- Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
- Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
- Closeness measure in co-authorship network
- Record of graduates
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 34 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (27) 2008-06-27 2008-11-18 2009-03-14 2009-10-10 2009-11-21 2009-11-21 2010-03-28 2010-05-02 2010-09-03 2010-10-23 2010-10-23 2011-02-05 2011-06-11 2011-06-18 2011-11-14 2012-05-29 2013-06-24 2013-09-25 2014-09-25 2015-02-16 2015-02-22 2016-04-04 2018-07-30 2019-04-15 2020-01-06 2020-01-13 2020-02-17. Author is listed
- NEP-ETS: Econometric Time Series (14) 2008-06-27 2008-07-05 2008-11-18 2009-03-14 2009-11-21 2010-10-23 2010-10-23 2011-05-07 2012-05-29 2013-06-09 2014-09-25 2015-08-19 2019-04-15 2020-02-17. Author is listed
- NEP-ORE: Operations Research (10) 2008-07-05 2010-05-02 2010-10-23 2012-05-29 2013-06-24 2014-09-25 2015-08-19 2016-04-04 2020-02-17 2020-05-25. Author is listed
- NEP-DCM: Discrete Choice Models (3) 2019-04-15 2020-01-13 2020-05-25
- NEP-LTV: Unemployment, Inequality and Poverty (2) 2011-06-18 2013-09-25
- NEP-UPT: Utility Models and Prospect Theory (2) 2020-01-06 2020-05-04
- NEP-CMP: Computational Economics (1) 2020-01-13
- NEP-LAM: Central and South America (1) 2013-09-25
- NEP-MAC: Macroeconomics (1) 2015-02-16
- NEP-NEU: Neuroeconomics (1) 2013-09-25
- NEP-RMG: Risk Management (1) 2020-01-06
- NEP-SEA: South East Asia (1) 2012-05-29
Corrections
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