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 Graduate 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
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
Peter C. B. PhillipsYale UniversityVerified email at yale.edu
Yongseok ShinDepartment of Economics, Washington University in St. LouisVerified email at wustl.edu
Giuseppe CavaliereUniversity of Bologna and University of ExeterVerified email at unibo.it
Arianna AgostoPost-doctoral Researcher, University of PaviaVerified email at unipv.it
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
Patrick Kofod MogensenUniversity of CopenhagenVerified email at econ.ku.dk
Aureo de PaulaUniversity College London, CeMMAP, Institute for Fiscal StudiesVerified email at ucl.ac.uk
Mogens FosgerauProfessor, University 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	498	2007
Testing conditional factor models A Ang, D Kristensen Journal of Financial Economics 106 (1), 132-156, 2012	190	2012
Nonparametric filtering of the realized spot volatility: A kernel-based approach D Kristensen Econometric Theory 26 (1), 60-93, 2010	167	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	83	2014
Bounding quantile demand functions using revealed preference inequalities R Blundell, D Kristensen, R Matzkin Journal of Econometrics 179 (2), 112–127, 2014	81*	2014
A closed-form estimator for the GARCH(1,1) model D Kristensen, O Linton Econometric Theory 22 (2), 323-337, 2006	78	2006
Uniform convergence rates of kernel estimators with heterogeneous, dependent data D Kristensen Econometric Theory 25 (5), 1433-1445, 2009	77	2009
Asymptotics of the QMLE for a class of ARCH(q) models D Kristensen, A Rahbek Econometric Theory 21 (5), 946-961, 2005	72	2005
Estimation of dynamic models with nonparametric simulated maximum likelihood D Kristensen, Y Shin Journal of Econometrics 167 (1), 76–94, 2012	71	2012
Estimation of stochastic volatility models by nonparametric filtering S Kanaya, D Kristensen Econometric Theory 32 (4), 861-916, 2016	59*	2016
Nonparametric detection and estimation of structural change D Kristensen Econometrics Journal 15 (3), 420–461, 2012	55	2012
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	54	2016
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models D Kristensen Journal of Econometrics 156 (2), 239-259, 2010	53*	2010
Nonparametric identification and estimation of transformation models PA Chiappori, I Komunjer, D Kristensen Journal of Econometrics 188 (1), 22–39, 2015	52	2015
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	51	2011
Indirect likelihood inference M Creel, D Kristensen	39*	2011
Higher-order properties of approximate estimators D Kristensen, B Salanié Journal of Econometrics 198 (2), 189-208, 2017	38*	2017
Semi-nonparametric estimation and misspecification testing of diffusion models D Kristensen Journal of Econometrics 164 (2), 382–403, 2011	32*	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	31	2009
Nonparametric estimation of a multifactor Heath-Jarrow-Morton model: An integrated approach A Jeffrey, D Kristensen, O Linton, T Nguyen, PCB Phillips Journal of Financial Econometrics 2 (2), 251-289, 2004	31	2004

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