Bent Jesper Christensen : Citation Profile


Are you Bent Jesper Christensen?

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

14

H index

19

i10 index

1206

Citations

RESEARCH PRODUCTION:

29

Articles

51

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   30 years (1990 - 2020). See details.
   Cites by year: 40
   Journals where Bent Jesper Christensen has often published
   Relations with other researchers
   Recent citing documents: 70.    Total self citations: 35 (2.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch701
   Updated: 2021-02-20    RAS profile: 2020-11-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Gørtz, Mette (3)

Geoffard, Pierre (2)

french, eric (2)

McCauley, Jeremy (2)

Van Doorslaer, Eddy (2)

Chalkley, Martin (2)

Michaud, Pierre-Carl (2)

O'Donnell, Owen (2)

Jones, John (2)

Ziebarth, Nicolas (2)

De Nardi, Mariacristina (2)

Rice, Nigel (2)

Skinner, Jonathan (2)

van der Wel, Michel (2)

Fan, Elliott (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:

Degiannakis, Stavros (17)

Filis, George (16)

Baruník, Jozef (16)

DE TRUCHIS, Gilles (15)

Diebold, Francis (14)

Christoffersen, Peter (13)

Rudebusch, Glenn (11)

Bollerslev, Tim (10)

Hornstein, Andreas (10)

Caporin, Massimiliano (10)

Robin, Jean-Marc (10)

Cites to:

Bollerslev, Tim (46)

Andersen, Torben (40)

Diebold, Francis (32)

Nielsen, Morten (26)

Campbell, John (17)

Chen, Zhiwu (12)

Cao, Charles (12)

Dacorogna, Michel (11)

Barndorff-Nielsen, Ole (11)

Tauchen, George (11)

Olsen, Richard (11)

Main data


Where Bent Jesper Christensen has published?


Journals with more than one article published# docs
Journal of Econometrics7
Mathematical Finance2
Journal of Labor Economics2
Journal of Applied Econometrics2
Journal of Financial Economics2
Insurance: Mathematics and Economics2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University6
Post-Print / HAL2

Recent works citing Bent Jesper Christensen (2021 and 2020)


YearTitle of citing document
2021A machine learning approach to volatility forecasting. (2021). Veliyev, Bezirgen ; Siggaard, Mathias ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2021-03.

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2020The Impact of Public Information on Commodity Market Performance : The Response of Corn Futures to USDA Corn Production Forecasts. (2020). Hoffman, Linwood A ; Arnade, Carlos Anthony. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304181.

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2020Determining the Cointegrating Rank in Nonstationary Fractional Systems by the Exact Local Whittle Approach. (2006). Shimotsu, Katsumi ; Nielsen, Morton Orregaard. In: Queen's Economics Department Working Papers. RePEc:ags:quedwp:273467.

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2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020Implied volatility smile dynamics in the presence of jumps. (2017). Kanniainen, Juho ; Barholm, Perttu ; Magris, Martin. In: Papers. RePEc:arx:papers:1711.02925.

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2020Asymmetric 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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2020The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.01714.

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2020Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl. In: Papers. RePEc:arx:papers:2009.09770.

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2021Short Rate Dynamics: A Fed Funds and SOFR perspective. (2021). Schlogl, Erik ; Gellert, Karol. In: Papers. RePEc:arx:papers:2101.04308.

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2021Dynamic industry uncertainty networks and the business cycle. (2021). Baruník, Jozef ; Faff, Robert ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2101.06957.

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2020The effect of option transaction costs on informed trading in the options market around earnings announcements. (2020). Zhao, Chen ; Li, Yubin ; Govindaraj, Suresh. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:47:y:2020:i:5-6:p:615-644.

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2020The Effect of Wealth on Worker Productivity. (2020). Sepahsalari, Alireza ; Eeckhout, Jan. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:20/731.

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2020More than One Red Herring? Heterogeneous Effects of Ageing on Healthcare Utilisation. (2020). Costa-Font, Joan ; Vilaplana-Prieto, Cristina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8300.

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2020Macroeconomic Data Transformations Matter. (2020). Stevanovic, Dalibor ; Surprenant, Stephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-42.

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2020Monetary policy and the term structure of Inflation expectations with information frictions. (2020). McNeil, James. In: Working Papers. RePEc:dal:wpaper:daleconwp2020-07.

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2020Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail. (2020). Trigeorgis, Lenos ; Driouchi, Tarik. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119919309332.

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2020Structural analysis with mixed-frequency data: A model of US capital flows. (2020). Rossi, Eduardo ; Missale, Alessandro ; Bastianin, Andrea ; Bacchiocchi, Emanuele. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:427-443.

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2020Which types of commodity price information are more useful for predicting US stock market volatility?. (2020). Li, Yan ; Ma, Feng ; Liang, Chao. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:642-650.

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2020Efficient predictability of stock return volatility: The role of stock market implied volatility. (2020). He, Shaoyi ; Wen, Fenghua ; Zhou, Huiting ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300711.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2020Price delay and post-earnings announcement drift anomalies: The role of option-implied betas. (2020). Tsai, Wei-Che ; Ho, Hwai-Chung. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818300330.

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2020Incorporating the RMB internationalization effect into its exchange rate volatility forecasting. (2020). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302840.

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2020Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff. (2020). Linton, Oliver ; Hong, Seok Young . In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:389-424.

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2020Predicting the long-term stock market volatility: A GARCH-MIDAS model with variable selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:36-49.

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2020The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US. (2020). Soytas, Mehmet ; Kocaarslan, Baris. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304220.

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2020Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

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2020Volatility persistence in the Russian stock market. (2020). Gil-Alana, Luis ; Caporale, Guglielmo Maria ; Tripathy, Trilochan. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231830624x.

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2020The memory of stock return volatility: Asset pricing implications. (2020). Sibbertsen, Philipp ; Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s138641811830140x.

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2020The agency costs of on-the-job search. (2020). Schumacher, Heiner ; Herbold, Daniel. In: Games and Economic Behavior. RePEc:eee:gamebe:v:121:y:2020:i:c:p:435-452.

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2020Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

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2020Volatility and dynamic currency hedging. (2020). McDonald, Judith Ann ; Min, Hong-Ghi ; Cho, Jae-Beom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s104244311930321x.

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2020Variance risk premium in a small open economy with volatile capital flows: The case of Korea. (2020). Yun, Jaeho. In: International Review of Economics & Finance. RePEc:eee:reveco:v:65:y:2020:i:c:p:105-125.

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2020CBOE VIX and Jump-GARCH option pricing models. (2020). Yoon, Sun-Joong. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:839-859.

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2021Nonlinearity in stock returns: Do risk aversion, investor sentiment and, monetary policy shocks matter?. (2021). Slim, Skander ; Boughrara, Adel ; Dahmene, Meriam. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:676-699.

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2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Lyocsa, Tefan ; Plihal, Toma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

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2020Asymmetric network connectedness of fears. (2020). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia ; Barunik, Jozef. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108199.

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2020Connecting Silos : On linking macroeconomics and finance, and the role of econometrics therein. (2020). van der Wel, M. In: ERIM Inaugural Address Series Research in Management. RePEc:ems:euriar:124748.

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2020The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

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2021Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?. (2021). Smutka, Luboš ; Prochazka, Petr ; Wielechowski, Micha ; Czech, Katarzyna ; Kotyza, Pavel. In: Agriculture. RePEc:gam:jagris:v:11:y:2021:i:2:p:93-:d:484771.

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2020Volatility Transmission across Financial Markets: A Semiparametric Analysis. (2020). Sibbertsen, Philipp ; Mboya, Mwasi ; Kolaiti, Theoplasti. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:160-:d:389105.

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2021An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options. (2021). Hassan, Kamrul ; Hoque, Ariful ; Le, Thi . In: Journal of Open Innovation: Technology, Market, and Complexity. RePEc:gam:joitmc:v:7:y:2021:i:1:p:23-:d:477544.

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2020Do We Need Stochastic Volatility and Generalised Autoregressive Conditional Heteroscedasticity? Comparing Squared End-Of-Day Returns on FTSE. (2020). McAleer, Michael ; Allen, David. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:12-:d:315296.

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2020Deep Arbitrage-Free Learning in a Generalized HJM Framework via Arbitrage-Regularization. (2020). Hyndman, Cody ; Kratsios, Anastasis. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:40-:d:349565.

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2020Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions. (2020). Rahman, Sanzidur ; Sriboonchitta, Songsak ; Qi, Yang ; Song, Quanrui ; Liu, Jianxu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4000-:d:357862.

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2020Predictability of OTC Option Volatility for Future Stock Volatility. (2020). Park, Yuen Jung ; Kim, Jungmu. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:12:p:5200-:d:376450.

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2021The Impact of Cooperative Membership on Fish Farm Households’ Income: The Case of Ghana. (2021). Asante, Dennis ; Fosu, Prince ; Chandio, Abbas Ali ; Ding, Zhao ; Addai, Bismark ; Agbenyo, Wonder ; Jiang, Yuansheng ; Ansah, Stephen ; Twumasi, Martinson Ankrah ; Ntim-Amo, Gideon ; Korankye, Bright Asiamah ; Danquah, Frank Osei ; Siaw, Anthony. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1059-:d:483994.

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2020Measuring Macroeconomic Convergence and Divergence within EMU Using Long Memory. (2020). Sibbertsen, Philipp ; Dräger, Lena ; Drager, Lena. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-675.

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2020Career Consequences of Firm Heterogeneity for Young Workers: First Job and Firm Size. (2020). Arellano-Bover, Jaime. In: IZA Discussion Papers. RePEc:iza:izadps:dp12969.

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2020More Than One Red Herring? Heterogeneous Effects of Ageing on Healthcare Utilisation. (2020). Costa-Font, Joan ; Vilaplana-Prieto, Cristina ; costa -Font, Joan . In: IZA Discussion Papers. RePEc:iza:izadps:dp13228.

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2020.

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2020Public finances in the EU-27: Are they sustainable?. (2020). Cuestas, Juan ; Sauci, Laura ; Gil-Alana, Luis A. In: Empirica. RePEc:kap:empiri:v:47:y:2020:i:1:d:10.1007_s10663-018-9411-0.

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2020Insider Share-Pledging and Equity Risk. (2020). Anderson, Ronald ; Puleo, Michael. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:58:y:2020:i:1:d:10.1007_s10693-020-00332-x.

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2020Another look at the implied and realised volatility relation: a copula-based approach. (2020). Pérez-Rodríguez, Jorge ; Perez-Rodriguez, Jorge V. In: Risk Management. RePEc:pal:risman:v:22:y:2020:i:1:d:10.1057_s41283-019-00054-y.

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2020Health care expenditure in the last five years of life is driven by morbidity, not age: A national study of spending trajectories in Danish decedents over age 65. (2020). Westendorp, Rudi ; Trompet, Stella ; Mortensen, Laust Hvas ; Hansen, Anne Vinkel. In: PLOS ONE. RePEc:plo:pone00:0244061.

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2020OPEC News and Jumps in the Oil Market. (2020). Yoon, Seong-Min ; Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202053.

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2020The arbitrage-free generalized Nelson–Siegel term structure model: Does a good in-sample fit imply better out-of-sample forecasts?. (2020). Waliullah, . In: Empirical Economics. RePEc:spr:empeco:v:59:y:2020:i:3:d:10.1007_s00181-019-01710-8.

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2020The term structure of implied costs of equity capital. (2020). Callen, Jeffrey L ; Lyle, Matthew R. In: Review of Accounting Studies. RePEc:spr:reaccs:v:25:y:2020:i:1:d:10.1007_s11142-019-09513-z.

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2020Predicting the Long-term Stock Market Volatility: A GARCH-MIDAS Model with Variable Selection. (2020). Lee, Tae Hwy ; Su, Zhi ; Fang, Tong. In: Working Papers. RePEc:ucr:wpaper:202009.

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2020Insight into stagnating adult life expectancy: Analyzing cause of death patterns across socioeconomic groups. (2020). , Carsten ; Kjargaard, Soren ; Kallestruplamb, Malene. In: Health Economics. RePEc:wly:hlthec:v:29:y:2020:i:12:p:1728-1743.

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2020‘More than one red herring? Heterogeneous effects of ageing on health care utilisation. (2020). Costa-Font, Joan ; Vilaplanaprieto, Cristina ; Costafont, Joan. In: Health Economics. RePEc:wly:hlthec:v:29:y:2020:i:s1:p:8-29.

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2020The informativeness of estimation moments. (2020). Jørgensen, Thomas ; Honore, BO ; de Paula, Aureo ; Jorgensen, Thomas. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:35:y:2020:i:7:p:797-813.

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2020Is implied volatility more informative for forecasting realized volatility: An international perspective. (2020). Zhang, Yaojie ; Wei, YU ; Liang, Chao. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:8:p:1253-1276.

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2020Forecasting bitcoin volatility: Evidence from the options market. (2020). Baur, Dirk G ; Hoang, Lai T. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1584-1602.

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2020What do we know about individual equity options?. (2020). Verousis, Thanos ; Bernales, Alejandro ; Zhang, Mengyu ; Voukelatos, Nikolaos. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:1:p:67-91.

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2020Uncertainty and the volatility forecasting power of option‐implied volatility. (2020). Jeon, Byoung Hyun ; Kim, Jun Sik ; Seo, Sung Won. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1109-1126.

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2020Volatility forecasts embedded in the prices of crude‐oil options. (2020). Tsiaras, Leonidas ; Gilder, Dudley . In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1127-1159.

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2020A competing risks model with time‐varying heterogeneity and simultaneous failure. (2020). Liu, Ruixuan. In: Quantitative Economics. RePEc:wly:quante:v:11:y:2020:i:2:p:535-577.

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2020Impact of Expected Shortfall Approach on Capital Requirement Under Basel. (2020). Siu, Yam Wing. In: Review of Pacific Basin Financial Markets and Policies (RPBFMP). RePEc:wsi:rpbfmp:v:22:y:2020:i:04:n:s0219091519500255.

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2020Implied Volatility Duration: A measure for the timing of uncertainty resolution. (2020). Weber, Rudiger ; Thimme, Julian ; Schlag, Christian. In: SAFE Working Paper Series. RePEc:zbw:safewp:265.

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Bent Jesper Christensen has edited the books:


YearTitleTypeCited

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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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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2007The Effect of Long Memory in Volatility on Stock Market Fluctuations In: CREATES Research Papers.
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paper30
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations.(2007) In: The Review of Economics and Statistics.
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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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paper134
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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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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2007Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model In: CREATES Research Papers.
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paper42
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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2009Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model.(2009) In: Working Paper.
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2007Market Power in Power Markets: Evidence from Forward Prices of Electricity In: CREATES Research Papers.
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2008Semiparametric Inference in a GARCH-in-Mean Model In: CREATES Research Papers.
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2012Semiparametric inference in a GARCH-in-mean model.(2012) In: Journal of Econometrics.
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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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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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2010The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model In: CREATES Research Papers.
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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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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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2011Estimating Dynamic Equilibrium Models using Macro and Financial Data In: CREATES Research Papers.
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2012The impact of financial crises on the risk-return tradeoff and the leverage effect In: CREATES Research Papers.
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2015The impact of financial crises on the risk–return tradeoff and the leverage effect.(2015) In: Economic Modelling.
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2012The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect.(2012) In: Working Paper.
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2013A unified framework for testing in the linear regression model under unknown order of fractional integration In: CREATES Research Papers.
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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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