Dennis Kristensen

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Richard BlundellUniversity College LondonVerified email at ucl.ac.uk
Anders RahbekProfessor, University of CopenhagenVerified email at econ.ku.dk
Oliver LintonUNIVERSITY OF CAMBRIDGEVerified email at cam.ac.uk
Michael CreelUniversitat Autònoma de Barcelona, Barcelona School of Economics, and MOVEVerified email at uab.es
Andrew AngBlackRockVerified email at blackrock.com
Xiaohong ChenProfessor of Economics, Yale UniversityVerified email at yale.edu
Pierre-André ChiapporiSteinschneider Professor of Economics, Columbia UniversityVerified email at columbia.edu
Shin KanayaDepartment of Economics, University of EssexVerified email at essex.ac.uk
Heejoon HanSungkyunkwan UniversityVerified email at skku.edu
Antonio MeleUniversità della Svizzera Italiana (USI) and Swiss Finance InstituteVerified email at usi.ch
Bertel SchjerningDepartment of Economics, University of CopenhagenVerified email at econ.ku.dk
Bernard SalanieProfessor of Economics, Columbia UniversityVerified email at columbia.edu
Yongseok ShinDepartment of Economics, Washington University in St. LouisVerified email at wustl.edu
Peter C. B. PhillipsYale UniversityVerified email at yale.edu
Giuseppe CavaliereUniversity of Bologna and University of ExeterVerified email at unibo.it
Arianna AgostoAssistant Professor, University of PaviaVerified email at unipv.it
Mogens FosgerauProfessor, University of CopenhagenVerified email at econ.ku.dk
Jiti Gao (高集体), FASSA, Donald Coc...Department of Econometrics and Business Statistics, Monash UniversityVerified email at monash.edu
Han HongStanford UniversityVerified email at stanford.edu
Young Jun LeeUniversity of CopenhagenVerified email at econ.ku.dk

Dennis Kristensen

University College London

Verified email at ucl.ac.uk - Homepage

Econometrics Statistics


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Semi‐nonparametric IV estimation of shape‐invariant Engel curves R Blundell, X Chen, D Kristensen Econometrica 75 (6), 1613-1669, 2007	522	2007
Testing conditional factor models A Ang, D Kristensen Journal of Financial Economics 106 (1), 132-156, 2012	206	2012
Nonparametric filtering of the realized spot volatility: A kernel-based approach D Kristensen Econometric Theory 26 (1), 60-93, 2010	190	2010
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates H Han, D Kristensen Journal of Economics and Business Statistics 32 (3), 416-429, 2014	95	2014
Bounding quantile demand functions using revealed preference inequalities R Blundell, D Kristensen, R Matzkin Journal of Econometrics 179 (2), 112–127, 2014	85*	2014
Uniform convergence rates of kernel estimators with heterogeneous, dependent data D Kristensen Econometric Theory 25 (5), 1433-1445, 2009	81	2009
A closed-form estimator for the GARCH(1,1) model D Kristensen, O Linton Econometric Theory 22 (2), 323-337, 2006	81	2006
Estimation of dynamic models with nonparametric simulated maximum likelihood D Kristensen, Y Shin Journal of Econometrics 167 (1), 76–94, 2012	77	2012
Asymptotics of the QMLE for a class of ARCH(q) models D Kristensen, A Rahbek Econometric Theory 21 (5), 946-961, 2005	73	2005
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) A Agosto, G Cavaliere, D Kristensen, A Rahbek Journal of Empirical Finance 38, 640-663, 2016	70	2016
Estimation of stochastic volatility models by nonparametric filtering S Kanaya, D Kristensen Econometric Theory 32 (4), 861-916, 2016	63*	2016
Nonparametric detection and estimation of structural change D Kristensen Econometrics Journal 15 (3), 420–461, 2012	59	2012
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models D Kristensen, A Mele Journal of Financial Economics 102 (2), 390–415, 2011	58	2011
Nonparametric identification and estimation of transformation models PA Chiappori, I Komunjer, D Kristensen Journal of Econometrics 188 (1), 22–39, 2015	55	2015
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models D Kristensen Journal of Econometrics 156 (2), 239-259, 2010	53*	2010
Higher-order properties of approximate estimators D Kristensen, B Salanié Journal of Econometrics 198 (2), 189-208, 2017	43*	2017
Indirect likelihood inference M Creel, D Kristensen	42*	2011
Semi-nonparametric estimation and misspecification testing of diffusion models D Kristensen Journal of Econometrics 164 (2), 382–403, 2011	34*	2011
On stationarity and ergodicity of the bilinear model with applications to GARCH models D Kristensen Journal of Time Series Analysis 30 (1), 125-144, 2009	33	2009
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models M Creel, D Kristensen Journal of Empirical Finance 31, 85-108, 2015	31	2015

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