Bent Jesper Christensen : Citation Profile


Are you Bent Jesper Christensen?

Aarhus Universitet (50% share)
Aarhus Universitet (50% share)

13

H index

17

i10 index

1036

Citations

RESEARCH PRODUCTION:

26

Articles

47

Papers

RESEARCH ACTIVITY:

   27 years (1990 - 2017). See details.
   Cites by year: 38
   Journals where Bent Jesper Christensen has often published
   Relations with other researchers
   Recent citing documents: 115.    Total self citations: 32 (3 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch701
   Updated: 2019-10-15    RAS profile: 2019-04-11    
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Relations with other researchers


Works with:

Sibbertsen, Philipp (2)

Posch, Olaf (2)

Gørtz, Mette (2)

van der Wel, Michel (2)

Kruse, Robinson (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bent Jesper Christensen.

Is cited by:

DE TRUCHIS, Gilles (15)

Diebold, Francis (14)

Baruník, Jozef (13)

Christoffersen, Peter (13)

Degiannakis, Stavros (12)

Filis, George (11)

Caporin, Massimiliano (10)

Hornstein, Andreas (10)

Robin, Jean-Marc (10)

Bollerslev, Tim (10)

Barndorff-Nielsen, Ole (9)

Cites to:

Bollerslev, Tim (43)

Andersen, Torben (38)

Diebold, Francis (26)

Nielsen, Morten (26)

Campbell, John (15)

Cao, Charles (12)

Chen, Zhiwu (12)

Tauchen, George (11)

Olsen, Richard (11)

Dacorogna, Michel (11)

Robinson, Peter (11)

Main data


Where Bent Jesper Christensen has published?


Journals with more than one article published# docs
Journal of Econometrics7
Journal of Labor Economics2
Mathematical Finance2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University6

Recent works citing Bent Jesper Christensen (2019 and 2018)


YearTitle of citing document
2018Consistent Inference for Predictive Regressions in Persistent VAR Economies. (2018). Andersen, Torben ; Varneskov, Rasmus T. In: CREATES Research Papers. RePEc:aah:create:2018-09.

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2019Bond Risk Premiums at the Zero Lower Bound. (2019). Meldrum, Andrew ; Jorgensen, Kasper ; Andreasen, Martin Moller. In: CREATES Research Papers. RePEc:aah:create:2019-10.

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2019“If You Were Me”: Proxy Respondents’ Biases in Population Health Surveys. (2019). Paraponaris, Alain ; Joutard, Xavier ; Davin, Brengre. In: AMSE Working Papers. RePEc:aim:wpaimx:1905.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2018Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2018). Crisóstomo, Ricardo ; Couso, Lorena. In: Papers. RePEc:arx:papers:1801.08007.

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2018Structural analysis with mixed-frequency data: A MIDAS-SVAR model of US capital flows. (2018). Rossi, Eduardo ; Missale, Alessandro ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:1802.00793.

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2018Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022.

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2019Co-jumping of Treasury Yield Curve Rates. (2019). Baruník, Jozef ; Fiser, Pavel. In: Papers. RePEc:arx:papers:1905.01541.

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2019Existence of affine realizations for L\evy term structure models. (2019). Tappe, Stefan. In: Papers. RePEc:arx:papers:1907.02363.

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2017The discontinuation of the EUR/CHF minimum exchange rate in January 2015: was it expected?. (2017). Moessner, Richhild ; Funke, Michael ; Loermann, Julius . In: BIS Working Papers. RePEc:bis:biswps:652.

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2018Real estates information and volatility links with stock, bond and money markets. (2018). Mi, Lin ; Hodgson, Allan. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:465-491.

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2018A state‐price volatility index for the U.S. government bond market. (2018). Pan, Zheyao. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:573-597.

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2019The information content of the implied volatility term structure on future returns. (2019). Yen, Kuangchieh ; Wang, Yawhuei. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:380-406.

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2018Modeling the Interactions between Volatility and Returns using EGARCH‐M. (2018). Lange, Rutger-Jan ; Harvey, Andrew. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:909-919.

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2019Think again: volatility asymmetry and volatility persistence. (2019). Thomas, Dimpfl ; Dirk, Baur. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:19:n:4.

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2018The value of extending life at its end: Health care allocation in the presence of learning spillovers. (2018). Hintermann, Beat ; Minke, Matthias. In: Working papers. RePEc:bsl:wpaper:2018/15.

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2018Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2018). Hong, S-Y., ; Linton, O. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1877.

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2019Fraudulent Financial Reporting and the Consequences for Employees. (2019). Ho, Jung ; Gipper, Brandon. In: Working Papers. RePEc:cen:wpaper:19-12.

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2018Resurrecting the New-Keynesian Model: (Un)conventional Policy and the Taylor Rule. (2018). Posch, Olaf. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6925.

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2018Managers as Knowledge Carriers - Explaining Firms Internationalization Success with Manager Mobility. (2018). Yalcin, Erdal ; Parrotta, Pierpaolo ; Sala, Davide ; Meinen, Philipp. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7126.

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2018Persistence in the Russian Stock Market Volatility Indices. (2018). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan ; Maria, Caporale Guglielmo . In: CESifo Working Paper Series. RePEc:ces:ceswps:_7243.

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2019Volatility forecasts for the RTS stock index: option-implied volatility versus alternative methods. (2019). Caporale, Guglielmo Maria ; Teterkina, Daria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7612.

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2017Financial density forecasts: A comprehensive comparison of risk-neutral and historical schemes. (2017). Crisóstomo, Ricardo ; Crisostomo, Ricardo ; Couso, Lorena. In: CNMV Working Papers. RePEc:cnv:wpaper:dt_67en.

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2018LONG-TERM SEASONAL FORWARDS IN ELECTRICITY GENERATION MARKETS: AN APPLICATION TO COLOMBIA. (2018). Tobón Orozco, David ; Villada, Fernando ; Barrientos, Jorge ; Velilla, Esteban ; Tobon-Orozco, David ; Lopez-Lezama, Jesus M. In: REVISTA CUADERNOS DE ECONOMÍA. RePEc:col:000093:016978.

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2018Long-term seasonal forwards in electricity generation markets: an application to Colombia. (2018). Tobón Orozco, David ; Villada, Fernando ; Barrientos, Jorge ; Velilla, Esteban ; Tobon-Orozco, David ; Lopez-Lezama, Jesus M. In: REVISTA CUADERNOS DE ECONOMÍA. RePEc:col:000093:016994.

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2018Forecasting Methods in Finance. (2018). Timmermann, Allan G. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12692.

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2017Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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2019Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems. (2019). Dumitrescu, Elena Ivona ; de Truchis, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-14.

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2019Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems. (2019). Dubois, Florent ; Dumitrescu, Elena Ivona ; de Truchis, Gilles. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-15.

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2019Unemployment fluctuations over the life cycle. (2019). Sopraseuth, Thepthida ; Hairault, Jean-Olivier ; Langot, Francois. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:334-352.

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2017Asset prices and economic fluctuations: The implications of stochastic volatility. (2017). Chen, Junping ; Zhu, Xiaoneng ; Xiong, Xiong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:128-140.

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2017Disagreement and the risk-return relation. (2017). Jia, Yun ; Yang, Chunpeng. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:97-104.

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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2018Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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2018Risk aversion connectedness in five European countries. (2018). cipollini, andrea ; Muzzioli, Silvia ; lo Cascio, Iolanda. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:68-79.

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2019Modeling and forecasting return jumps using realized variation measures. (2019). Liu, YI ; Zhang, Lei. In: Economic Modelling. RePEc:eee:ecmode:v:76:y:2019:i:c:p:63-80.

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2017Fake news. (2017). Brigida, Matt ; Pratt, William R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:564-573.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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2017The time-varying GARCH-in-mean model. (2017). Dias, Gustavo Fruet . In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:129-132.

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2018Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2018Default prediction models: The role of forward-looking measures of returns and volatility. (2018). Miao, Hong ; Wang, Tianyang ; Ryan, Patricia ; Ramchander, Sanjay. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:146-162.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2018The impact of oil price shocks on the term structure of interest rates. (2018). Ioannidis, Christos ; Ka, Kook. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:601-620.

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2018Risk perception in financial markets: On the flip side. (2018). naoui, kamel ; Bekiros, Stelios ; Uddin, Gazi Salah ; Jlassi, Mouna. In: International Review of Financial Analysis. RePEc:eee:finana:v:57:y:2018:i:c:p:184-206.

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2018Implied volatility indices: A review and extension in the Turkish case. (2018). Sensoy, Ahmet ; Omole, John. In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:151-161.

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2018Is market fear persistent? A long-memory analysis. (2018). Plastun, Alex ; Caporale, Guglielmo Maria ; Gil-Alana, Luis. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:140-147.

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2019China’s crude oil futures: Introduction and some stylized facts. (2019). Zhang, Dayong ; Ji, Qiang. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:376-380.

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2018The effects of conference call tones on market perceptions of value uncertainty. (2018). DeLisle, Jared ; Borochin, Paul A ; Price, Mckay S ; Cicon, James E. In: Journal of Financial Markets. RePEc:eee:finmar:v:40:y:2018:i:c:p:75-91.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2018Oil volatility risk and expected stock returns. (2018). Christoffersen, Peter ; Pan, Xuhui . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:5-26.

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2018The impact of institutional volatility on financial volatility in transition economies. (2018). Hartwell, Christopher. In: Journal of Comparative Economics. RePEc:eee:jcecon:v:46:y:2018:i:2:p:598-615.

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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio. In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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2017Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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2018Do universal banks finance riskier but more productive firms?. (2018). Neuhann, Daniel ; Saidi, Farzad. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:1:p:66-85.

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2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity. (2018). Chen, Yong ; Paye, Bradley S ; Eaton, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:1:p:48-73.

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2019Variance risk in aggregate stock returns and time-varying return predictability. (2019). Pyun, Sungjune. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:150-174.

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2018Health care expenditures, age, proximity to death and morbidity: Implications for an ageing population. (2018). Rice, Nigel ; Howdon, Daniel. In: Journal of Health Economics. RePEc:eee:jhecon:v:57:y:2018:i:c:p:60-74.

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2017Forecasting oil price realized volatility using information channels from other asset classes. (2017). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:76:y:2017:i:c:p:28-49.

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2017Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies. (2017). Chen, Shu-Hsiu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:78:y:2017:i:c:p:1-20.

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2018The impact of uncertainty shocks on the volatility of commodity prices. (2018). Bakas, Dimitrios ; Triantafyllou, Athanasios. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:87:y:2018:i:c:p:96-111.

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2019The risk premium of gold. (2019). Simen, Chardin Wese ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:94:y:2019:i:c:p:140-159.

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2017Do constraints on financial and operating leverage affect the performance of Islamic equity portfolios?. (2017). Ashraf, Dawood ; Hussain, Syed Mujahid ; Khawaja, Mohsin ; Felixson, Karl. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:42:y:2017:i:c:p:171-182.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2018Leverage effect, economic policy uncertainty and realized volatility with regime switching. (2018). Duan, Yinying ; Liu, Zhicao ; Zeng, Qing ; Chen, Wang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:148-154.

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2018On a class of estimation and test for long memory. (2018). Fu, Hui ; He, Xin-Jiang ; Chen, Wenting . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:509:y:2018:i:c:p:906-920.

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2019Forecasting the KOSPI200 spot volatility using various volatility measures. (2019). Chun, Dohyun ; Ryu, Doojin ; Cho, Hoon. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:514:y:2019:i:c:p:156-166.

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2018Interest rate volatility and risk management: Evidence from CBOE Treasury options. (2018). Markellos, Raphael N ; Psychoyios, Dimitris. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:190-202.

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2019The impact of trade intensity and Market characteristics on asymmetric volatility, spillovers and asymmetric spillovers: Evidence from the response of international stock markets to US shocks. (2019). Park, Jin Suk ; Newaz, Mohammad Khaleq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:79-94.

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2018Tail risk and the return-volatility relation. (2018). Chevallier, Julien ; Aboura, Sofiane. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:16-29.

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2019Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies. (2019). Liu, Jingzhen. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:243-257.

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2019The High Holidays: Psychological mechanisms of honesty in real-life financial decisions. (2019). Qadan, Mahmoud ; Kliger, Doron. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:78:y:2019:i:c:p:121-137.

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2018Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?. (2018). Lansing, Kevin ; Ma, Jun ; Leroy, Stephen F. In: Working Paper Series. RePEc:fip:fedfwp:2018-14.

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2018A Shadow Rate or a Quadratic Policy Rule? The Best Way to Enforce the Zero Lower Bound in the United States. (2018). Andreasen, Martin M ; Meldrum, Andrew C. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-56.

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2019Bond Risk Premiums at the Zero Lower Bound. (2019). Meldrum, Andrew C ; Joergensen, Kasper ; Andreasen, Martin M. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2019-40.

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2018Leverage and Volatility Feedback Effects and Conditional Dependence Index: A Nonparametric Study. (2018). Sun, Yiguo ; Wu, Ximing. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:29-:d:151386.

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2019Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model. (2019). Jienwatcharamongkhol, Viroj ; Uddin, Reaz ; A. M. M. Shahiduzzaman Quoreshi, . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:94-:d:237782.

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2017Estimating Financial Volatility with High-Frequency Returns. (2017). Vo, Long. In: Journal of Finance and Economics Research. RePEc:gei:jnlfer:v:2:y:2017:i:2:p:84-114.

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2018The Credit Default Swap market contagion during recent crises: International evidence. (2018). Sabkha, Saker ; Hmaied, Dorra ; de Peretti, Christian. In: Post-Print. RePEc:hal:journl:hal-01572510.

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2017The Credit Default Swap market contagion during recent crises: International evidence. (2017). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01572510.

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2018Modeling Longevity Risk using Consistent Dynamics Affine Mortality Models. (2018). Bedoui, Rihab ; Kedidi, Islem. In: Working Papers. RePEc:hal:wpaper:hal-01678050.

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2019If You Were Me: Proxy Respondents Biases in Population Health Surveys. (2019). Paraponaris, Alain ; Joutard, Xavier ; Davin, Berengere. In: Working Papers. RePEc:hal:wpaper:halshs-02036434.

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2018Integration and Disintegration of EMU Government Bond Markets. (2018). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-625.

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2018The Periodogram of Spurious Long-Memory Processes. (2018). Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-632.

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2019Who Founds? An Analysis of University and Corporate Startup Entrepreneurs Based on Danish Register Data. (2019). Kuhn, Johan Moritz ; Kaiser, Ulrich. In: IZA Discussion Papers. RePEc:iza:izadps:dp12191.

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2019The Credit Default Swap market contagion during recent crises: international evidence. (2019). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0741-6.

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2018Comparing different methods for the estimation of interbank intraday yield curves. (2018). Jeleskovic, Vahidin ; Demertzidis, Anastasios . In: MAGKS Papers on Economics. RePEc:mar:magkse:201839.

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2018A Comparative GARCH Analysis of Macroeconomic Variables and Returns on Modelling the Kurtosis of FTSE 100 Implied Volatility Index. (2018). Giouvris, Evangelos ; Alsheikhmubarak, Abdulilah Ibrahim. In: Multinational Finance Journal. RePEc:mfj:journl:v:22:y:2018:i:3-4:p:119-172.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2018Dynamic price jumps: The performance of high frequency tests and measures, and the robustness of inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-17.

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2018The Impact of Uncertainty Shocks on the Volatility of Commodity Prices.. (2018). Bakas, Dimitrios ; Triantafyllou, Athanasios. In: Working Papers. RePEc:nbs:wpaper:2018/02.

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2018Volatility forecasting in practice: exploratory evidence from European hedge funds. (2018). Schreder, Max. In: Journal of Asset Management. RePEc:pal:assmgt:v:19:y:2018:i:4:d:10.1057_s41260-018-0082-y.

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2019European banks after the global financial crisis: a new landscape. (2019). Sánchez Serrano, Antonio ; Basten, Marisa. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:20:y:2019:i:1:d:10.1057_s41261-018-0066-3.

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2019Influence of US Presidential Terms on S&P500 Index Using a Time Series Analysis Approach. (2019). Ogbonna, Ahamuefula ; Yaya, Olaoluwa S ; Mudida, Robert ; Gil-Alana, Luis A ; Osuolale, Kazeem. In: MPRA Paper. RePEc:pra:mprapa:93941.

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2019Oil price volatility forecasts: What do investors need to know?. (2019). Filis, George ; Degiannakis, Stavros. In: MPRA Paper. RePEc:pra:mprapa:94445.

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2019Long Memory, Realized Volatility and HAR Models. (2019). Rho, Seunghwa ; Cho, Dooyeon ; Calonaci, Fabio ; Baillie, Richard T. In: Working Papers. RePEc:qmw:qmwecw:881.

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2017Variance Risk Premia on Stocks and Bonds. (2017). Sabtchevsky, Petar ; Mueller, Philippe ; Vedolin, Andrea ; Whelan, Paul. In: 2017 Meeting Papers. RePEc:red:sed017:1161.

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More than 100 citations found, this list is not complete...

Works by Bent Jesper Christensen:


YearTitleTypeCited
2001Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data In: Economics Working Papers.
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paper78
2006Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting.(2006) In: Journal of Econometrics.
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article
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations In: CREATES Research Papers.
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paper27
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations.(2007) In: The Review of Economics and Statistics.
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article
2007The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets In: CREATES Research Papers.
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paper100
2011The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 100
article
2008The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets.(2008) In: Working Paper.
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This paper has another version. Agregated cites: 100
paper
2007Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model In: CREATES Research Papers.
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paper38
2010Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model.(2010) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 38
article
2009Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model.(2009) In: Working Paper.
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This paper has another version. Agregated cites: 38
paper
2007Market Power in Power Markets: Evidence from Forward Prices of Electricity In: CREATES Research Papers.
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paper6
2008Semiparametric Inference in a GARCH-in-Mean Model In: CREATES Research Papers.
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paper12
2012Semiparametric inference in a GARCH-in-mean model.(2012) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 12
article
2008Optimal inference in dynamic models with conditional moment restrictions In: CREATES Research Papers.
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paper2
2010The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models In: CREATES Research Papers.
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paper2
2010An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses In: CREATES Research Papers.
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paper0
2010The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model In: CREATES Research Papers.
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paper0
2010Level Shifts in Volatility and the Implied-Realized Volatility Relation In: CREATES Research Papers.
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paper4
2011Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach In: CREATES Research Papers.
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paper1
2010The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior In: CREATES Research Papers.
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paper9
2012THE IMPACT OF HEALTH CHANGES ON LABOR SUPPLY: EVIDENCE FROM MERGED DATA ON INDIVIDUAL OBJECTIVE MEDICAL DIAGNOSIS CODES AND EARLY RETIREMENT BEHAVIOR.(2012) In: Health Economics.
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This paper has another version. Agregated cites: 9
article
2011Estimating Dynamic Equilibrium Models using Macro and Financial Data In: CREATES Research Papers.
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paper4
2012The impact of financial crises on the risk-return tradeoff and the leverage effect In: CREATES Research Papers.
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paper10
2015The impact of financial crises on the risk–return tradeoff and the leverage effect.(2015) In: Economic Modelling.
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This paper has another version. Agregated cites: 10
article
2012The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect.(2012) In: Working Paper.
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This paper has another version. Agregated cites: 10
paper
2013A unified framework for testing in the linear regression model under unknown order of fractional integration In: CREATES Research Papers.
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paper0
2013A unified framework for testing in the linear regression model under unknown order of fractional integration.(2013) In: Hannover Economic Papers (HEP).
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This paper has another version. Agregated cites: 0
paper
2015Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination In: CREATES Research Papers.
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paper1
2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination.(2017) In: Journal of Econometrics.
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article
2016Dynamic Global Currency Hedging In: CREATES Research Papers.
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paper1
2019Assessing predictive accuracy in panel data models with long-range dependence In: CREATES Research Papers.
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paper0
2009The Static and Dynamic Benefits of Migration and Remittances in Nicaragua In: Development Research Working Paper Series.
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paper1
1994EFFICIENCY GAINS IN BETA-PRICING MODELS In: Mathematical Finance.
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1999Interest Rate Dynamics and Consistent Forward Rate Curves In: Mathematical Finance.
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article110
1997Interest Rate Dynamics and Consistent Forward Rate Curves.(1997) In: SSE/EFI Working Paper Series in Economics and Finance.
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This paper has another version. Agregated cites: 110
paper
2011Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors Introduction In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]
article0
2001Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion In: Monte Carlo Methods and Applications.
[Full Text][Citation analysis]
article0
2014Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data In: CESifo Working Paper Series.
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paper3
2016Estimating dynamic equilibrium models using mixed frequency macro and financial data.(2016) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 3
article
1991The Exact Likelihood Function for an Empirical Job Search Model In: Econometric Theory.
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article17
1990THE EXACT LIKELIHOOD FUNCTION FOR AN EMPIRICAL JOB SEARCH MODEL..(1990) In: Tilburg - Center for Economic Research.
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This paper has another version. Agregated cites: 17
paper
1998Approximate Distributions in Essentially Linear Models In: Working Papers.
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paper3
1998Approximate Distributions in Essentially Linear Models..(1998) In: Centre for Labour Market and Social Research, Danmark-.
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paper
2000Statistical Manifolds and Separate Inference In: Working Papers.
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paper0
2000Panel Data, Local Cuts, and Orthogeodesic Models In: Econometric Society World Congress 2000 Contributed Papers.
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paper4
1997Panel Data, Local Cuts, and Orthogeodesic Models..(1997) In: Centre for Labour Market and Social Research, Danmark-.
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paper
2015The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models In: Journal of Econometrics.
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article9
1997Inference in non-linear panel models with partially missing observations The case of the equilibrium search model In: Journal of Econometrics.
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article9
1998Some system theoretic aspects of interest rate theory In: Insurance: Mathematics and Economics.
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article0
1998The relation between implied and realized volatility In: Journal of Financial Economics.
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article318
1999The Effects of Pension System on Retirement and Government Finances: Predictions Using Danish Data on Married Couples. In: Aarhus School of Business - Department of Economics.
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paper1
1999A Bivariate Duration Model of the Joint Retirement Decisions of Married Couples. In: Centre for Labour Market and Social Research, Danmark-.
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paper11
1999Equilibrium Search with Human Capital Accumulation. In: Centre for Labour Market and Social Research, Danmark-.
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paper11
1999The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: an Application to Danish Data. In: Centre for Labour Market and Social Research, Danmark-.
[Citation analysis]
paper2
2006Structural Models of Wage and Employment Dynamics In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
paper0
2017End-Of-Life Medical Spending In Last Twelve Months Of Life Is Lower Than Previously Reported In: Post-Print.
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paper2
2004Latent Utility Shocks in a Structural Empirical Asset Pricing Model In: Working Papers.
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paper0
2016Medical Spending in Denmark In: Fiscal Studies.
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article0
2004Special issue on the econometrics of social insurance In: Journal of Applied Econometrics.
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article1
2004Multivariate mixed proportional hazard modelling of the joint retirement of married couples In: Journal of Applied Econometrics.
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article30
2003On the Job Search and the Wage Distribution In: CAM Working Papers.
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paper121
2005On-the-Job Search and the Wage Distribution.(2005) In: Journal of Labor Economics.
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This paper has another version. Agregated cites: 121
article
2000On the job search and the wage distribution.(2000) In: SFB 373 Discussion Papers.
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This paper has another version. Agregated cites: 121
paper
1999Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’ In: Review of Finance.
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article0
2005The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices In: Working Paper.
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paper2
2005Forecasting Exchange Rate Volatility In The Presence Of Jumps In: Working Paper.
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paper4
2006The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps In: Working Paper.
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paper1
2001Specification and Estimation of Equilibrium Search Models In: Review of Economic Dynamics.
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article25
2010Wage and Productivity Dispersion: Labor Quality or Rent Sharing? In: 2010 Meeting Papers.
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paper18
2014Wage and Productivity Dispersion: The Roles of Rent Sharing, Labor Quality and Capital Intensity In: 2014 Meeting Papers.
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paper1
2017Health, Retirement and Consumption In: 2017 Meeting Papers.
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2002New evidence on the implied-realized volatility relation In: The European Journal of Finance.
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1994Measurement Error in the Prototypal Job-Search Model. In: Journal of Labor Economics.
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article17

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