Dennis Kristensen : Citation Profile


Are you Dennis Kristensen?

University College London (UCL) (90% share)
Aarhus Universitet (5% share)
Centre for Microdata Methods and Practice (CEMMAP) (5% share)

15

H index

21

i10 index

765

Citations

RESEARCH PRODUCTION:

33

Articles

48

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   18 years (2003 - 2021). See details.
   Cites by year: 42
   Journals where Dennis Kristensen has often published
   Relations with other researchers
   Recent citing documents: 111.    Total self citations: 40 (4.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pkr127
   Updated: 2021-11-28    RAS profile: 2021-11-08    
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Relations with other researchers


Works with:

Hadri, Kaddour (4)

Schjerning, Bertel (3)

Fosgerau, Mogens (3)

Creel, Michael (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Dennis Kristensen.

Is cited by:

Chen, Xiaohong (24)

Cherchye, Laurens (22)

De Rock, Bram (22)

Demuynck, Thomas (22)

LINTON, OLIVER (20)

Su, Liangjun (13)

Rahbek, Anders (12)

Vermeulen, Frederic (11)

Chernozhukov, Victor (11)

Simoni, Anna (10)

Li, Degui (10)

Cites to:

Newey, Whitney (39)

Chen, Xiaohong (34)

Blundell, Richard (23)

Phillips, Peter (21)

Rahbek, Anders (15)

Andrews, Donald (14)

LINTON, OLIVER (14)

Saikkonen, Pentti (13)

Matzkin, Rosa (13)

Ait-Sahalia, Yacine (11)

Bollerslev, Tim (11)

Main data


Where Dennis Kristensen has published?


Journals with more than one article published# docs
Journal of Econometrics10
Econometric Theory8
Econometrics Journal2
Journal of Empirical Finance2
Journal of Financial Economics2

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies8
Papers / arXiv.org4
CAM Working Papers / University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics2
Discussion Papers / University of Copenhagen. Department of Economics2

Recent works citing Dennis Kristensen (2021 and 2020)


YearTitle of citing document
2020Inherent effects of corruption on the erosion of political trust in developing countries:Evidence from Ghana. (2020). Doko Tchatoka, Firmin ; Pullbeck, Julia. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-01.

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2021Convergence of the risk for nonparametric IV quantile regression and nonparametric IV regression with full independence. (2015). Dunker, Fabian. In: Papers. RePEc:arx:papers:1511.03977.

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2021Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2020Varying Random Coefficient Models. (2019). hoderlein, stefan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1804.03110.

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2020Ill-posed Estimation in High-Dimensional Models with Instrumental Variables. (2018). Simoni, Anna ; Mammen, Enno ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1806.00666.

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2020Nonparametric Regression with Selectively Missing Covariates. (2018). Haan, Peter ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1810.00411.

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2020Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287.

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2021Identification of semiparametric discrete outcome models with bounded covariates. (2018). Kashaev, Nail. In: Papers. RePEc:arx:papers:1811.05555.

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2021Limits to Arbitrage in Markets with Stochastic Settlement Latency. (2018). Hautsch, Nikolaus ; Voigt, Stefan ; Scheuch, Christoph. In: Papers. RePEc:arx:papers:1812.00595.

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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2020Identifying Network Ties from Panel Data: Theory and an Application to Tax Competition. (2019). de Paula, Aureo ; Rasul, Imran ; Souza, Pedro. In: Papers. RePEc:arx:papers:1910.07452.

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2021A General Framework for Inference on Shape Restrictions. (2019). Seo, Juwon ; Fang, Zheng. In: Papers. RePEc:arx:papers:1910.07689.

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2020Dual IV: A Single Stage Instrumental Variable Regression. (2019). Raj, Anant ; Lee, Si Kai ; Mehrjou, Arash ; Muandet, Krikamol. In: Papers. RePEc:arx:papers:1910.12358.

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2020Doubly Multiplicative Error Models with Long- and Short-run Components. (2020). Amendola, Alessandra ; Gallo, Giampiero M ; Cipollini, Fabrizio ; Candila, Vincenzo. In: Papers. RePEc:arx:papers:2006.03458.

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2020Minimax Estimation of Conditional Moment Models. (2020). Syrgkanis, Vasilis ; MacKey, Lester ; Lewis, Greg ; Dikkala, Nishanth. In: Papers. RePEc:arx:papers:2006.07201.

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2020Adaptive, Rate-Optimal Testing in Instrumental Variables Models. (2020). Chen, Xiaohong ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2006.09587.

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2021Intertemporal Collective Household Models: Identification in Short Panels with Unobserved Heterogeneity in Resource Shares. (2020). Botosaru, Irene ; Pendakur, Krishna ; Muris, Chris. In: Papers. RePEc:arx:papers:2008.05507.

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2021Efficient closed-form estimation of large spatial autoregressions. (2020). Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:2008.12395.

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2020Counterfactual and Welfare Analysis with an Approximate Model. (2020). Rehbeck, John ; Allen, Roy. In: Papers. RePEc:arx:papers:2009.03379.

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2021Price formation and optimal trading in intraday electricity markets. (2020). Tinsi, Laura ; Tankov, Peter. In: Papers. RePEc:arx:papers:2009.04786.

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2020Recent Developments on Factor Models and its Applications in Econometric Learning. (2020). Fan, Jianqing ; Liao, Yuan. In: Papers. RePEc:arx:papers:2009.10103.

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2021Nonclassical Measurement Error in the Outcome Variable. (2020). Martin, Stephan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2009.12665.

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2020Heteroscedasticity test of high-frequency data with jumps and microstructure noise. (2020). Liu, Zhi ; Zhang, Chuanhai. In: Papers. RePEc:arx:papers:2010.07659.

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2020Time-varying Forecast Combination for High-Dimensional Data. (2020). Maung, Kenwin ; Chen, Bin. In: Papers. RePEc:arx:papers:2010.10435.

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2020Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

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2021Empirical Decomposition of the IV-OLS Gap with Heterogeneous and Nonlinear Effects. (2021). Ishimaru, Shoya. In: Papers. RePEc:arx:papers:2101.04346.

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2021Adaptive Estimation of Quadratic Functionals in Nonparametric Instrumental Variable Models. (2021). Chen, Xiaohong ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2101.12282.

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2021Normalizations and misspecification in skill formation models. (2021). Freyberger, Joachim. In: Papers. RePEc:arx:papers:2104.00473.

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2021Minimax Kernel Machine Learning for a Class of Doubly Robust Functionals. (2021). Tchetgen, Eric Tchetgen ; Shpitser, Ilya ; Ying, Andrew ; Ghassami, Amiremad. In: Papers. RePEc:arx:papers:2104.02929.

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2021Performance of Empirical Risk Minimization for Linear Regression with Dependent Data. (2021). Brownlees, Christian ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2104.12127.

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2021Specification tests for GARCH processes. (2021). Rahbek, Anders ; Perera, Indeewara ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2105.14081.

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2021Inference for Low-Rank Models. (2021). Zhu, Yinchu ; Liao, Yuan ; Hansen, Christian ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2107.02602.

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2021Semi-parametric estimation of the EASI model: Welfare implications of taxes identifying clusters due to unobserved preference heterogeneity. (2021). L'Opez-Vera, Alejandro ; Ram, Andr'Es. In: Papers. RePEc:arx:papers:2109.07646.

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2021Nonparametric Welfare Analysis for Discrete Choice: Levels and Differences of Individual and Social Welfare. (2021). Capéau, Bart ; Maes, Sebastiaan ; de Sadeleer, Liebrecht ; Capeau, Bart. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9071.

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2020Adaptative predictability of stock market returns. (2020). Veiga, Helena ; Lopes, Maria Helena ; Casas, Maria Isabel ; Mao, Xiuping. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:31648.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2021Estimation of agent-based models using Bayesian deep learning approach of BayesFlow. (2021). Shiono, Takashi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000178.

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2021Hermite expansion of transition densities and European option prices for multivariate diffusions with jumps. (2021). Yang, Nian ; Wan, Xiangwei. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s016518892100018x.

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2021Mixed-frequency SV model for stock volatility and macroeconomics. (2021). Zheng, Tingguo ; Shang, Yuhuang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:462-472.

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2021Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208.

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2020Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.

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2020Inference in heavy-tailed vector error correction models. (2020). Ling, Shiqing ; Qingling, Shi ; She, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:433-450.

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2020Semiparametric estimation of a censored regression model with endogeneity. (2020). Wang, Qian ; Chen, Songnian. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:239-256.

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2020Estimation for double-nonlinear cointegration. (2020). Yao, Qiwei ; Tu, Yundong ; Lin, Yingqian. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:175-191.

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2020High-frequency factor models and regressions. (2020). Kalnina, Ilze ; Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:86-105.

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2020Nonparametric analysis of a duration model with stochastic unobserved heterogeneity. (2020). Botosaru, Irene. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:112-139.

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2020A coupled component DCS-EGARCH model for intraday and overnight volatility. (2020). Wu, Jianbin ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:176-201.

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2020Ill-posed estimation in high-dimensional models with instrumental variables. (2020). Simoni, Anna ; Breunig, Christoph ; Mammen, Enno. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:1:p:171-200.

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2021Optimal Linear Instrumental Variables Approximations. (2021). Escanciano, Juan Carlos ; Li, Wei. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:223-246.

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2021Robust and optimal estimation for partially linear instrumental variables models with partial identification. (2021). Chen, Qihui. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:368-380.

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2021Varying random coefficient models. (2021). Breunig, Christoph. In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:2:p:381-408.

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2021Closed-form implied volatility surfaces for stochastic volatility models with jumps. (2021). Xu, Chen ; Li, Chenxu ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:364-392.

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2021BLP estimation using Laplace transformation and overlapping simulation draws. (2021). Li, Jessie ; Hong, Han. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:56-72.

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2021Nonparametric estimation of jump diffusion models. (2021). Wang, Bin ; Park, Joon Y. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:688-715.

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2021Control variables, discrete instruments, and identification of structural functions. (2021). Stouli, Sami ; Newey, Whitney. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:73-88.

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2021Indirect inference for locally stationary models. (2021). Koo, Bonsoo ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:1-27.

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2021Efficient estimation and filtering for multivariate jump–diffusions. (2021). Schwenkler, Gustavo ; Guay, Franois. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:251-275.

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2021Nonparametric regression with selectively missing covariates. (2021). Haan, Peter ; Breunig, Christoph. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:1:p:28-52.

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2021Semiparametric estimation of dynamic discrete choice models. (2021). Xu, Haiqing ; Shum, Matthew ; Buchholz, Nicholas. In: Journal of Econometrics. RePEc:eee:econom:v:223:y:2021:i:2:p:312-327.

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2021Simple estimators and inference for higher-order stochastic volatility models. (2021). Dufour, Jean-Marie ; Ahsan, Md Nazmul. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:181-197.

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2021Sieve estimation of option-implied state price density. (2021). Qu, Zhongjun ; Lu, Junwen. In: Journal of Econometrics. RePEc:eee:econom:v:224:y:2021:i:1:p:88-112.

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2021Nonparametric Instrumental Variable Estimation of Binary Response Models with Continuous Endogenous Regressors. (2021). Centorrino, Samuele ; FLORENS, Jean-Pierre. In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:35-63.

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2020Equilibrium homophily in networks. (2020). Boucher, Vincent. In: European Economic Review. RePEc:eee:eecrev:v:123:y:2020:i:c:s0014292120300027.

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2021The complete Gaussian kernel in the multi-factor Heston model: Option pricing and implied volatility applications. (2021). Iori, Giulia ; Ouellette, Michelle S ; Tedeschi, Gabriele ; Recchioni, Maria Cristina. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:1:p:336-360.

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2021Improved inference for fund alphas using high-dimensional cross-sectional tests. (2021). Yan, Yayi ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:57-81.

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2021The uncertainty in extreme risk forecasts from covariate-augmented volatility models. (2021). Hoga, Yannick. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:675-686.

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2021Monetary policy’s rising FX impact in the era of ultra-low rates. (2021). Ferrari, Massimo ; Schrimpf, Andreas ; Kearns, Jonathan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s037842662100100x.

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2020Optimal kernel estimation of spot volatility of stochastic differential equations. (2020). Li, Cheng ; Figueroa-Lopez, Jose E. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:8:p:4693-4720.

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2020Edgeworth corrections for spot volatility estimator. (2020). Liu, Zhi ; He, Lidan. In: Statistics & Probability Letters. RePEc:eee:stapro:v:164:y:2020:i:c:s0167715220301127.

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2021Identification in a fully nonparametric transformation model with heteroscedasticity. (2021). Kloodt, Nick. In: Statistics & Probability Letters. RePEc:eee:stapro:v:170:y:2021:i:c:s0167715220303217.

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2021Better the Devil You Know: Improved Forecasts from Imperfect Models. (2021). Patton, Andrew J ; Oh, Dong Hwan. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-71.

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2021Inference Using Simulated Neural Moments. (2021). Creel, Michael . In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:4:p:35-:d:642591.

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2020A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics. (2020). Giudici, Paolo ; Agosto, Arianna. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:77-:d:385126.

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2021Intrahousehold Resource Allocation and Individual Poverty: Assessing Collective Model Predictions against Direct Evidence on Sharing. (2021). Tiberti, Luca ; Lacroix, Guy ; Bargain, Olivier. In: Bordeaux Economics Working Papers. RePEc:grt:bdxewp:2021-11.

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2020Inconsistency transmission and variance reduction in two-stage quantile regression. (2020). MULLER, Christophe ; Kim, Tae-Hwan. In: Post-Print. RePEc:hal:journl:hal-02084505.

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2020Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets. (2020). Gruet, Pierre ; Feron, Olivier. In: Working Papers. RePEc:hal:wpaper:hal-02880824.

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2020Intertemporal Collective Household Models: Identification in Short Panels with Unobserved Heterogeneity in Resource Shares. (2020). Pendakur, Krishna ; Muris, Chris ; Botosaru, Irene. In: CeMMAP working papers. RePEc:ifs:cemmap:26/20.

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2021Intrahousehold Resource Allocation and Individual Poverty: Assessing Collective Model Predictions against Direct Evidence on Sharing. (2021). Tiberti, Luca ; Lacroix, Guy ; Bargain, Olivier. In: IZA Discussion Papers. RePEc:iza:izadps:dp14406.

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2020Testing Capital Asset Pricing Models using Functional-Coefficient Panel Data Models with Cross-Sectional Dependence. (2020). Xu, Qiuhua ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202009.

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2020A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network. (2020). Liu, Xiyuan ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202017.

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2020A Perturbation Method to Optimize the Parameters of Autoregressive Conditional Heteroscedasticity Model. (2020). Zhang, Chiping ; Feng, Xuejie. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09919-6.

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2020THE WEALTH OF PARENTS: TRENDS OVER TIME IN ASSORTATIVE MATING BASED ON PARENTAL HEALTH. (2019). Cavaliere, Giuseppe ; Rahbek, Anders. In: Discussion Papers. RePEc:kud:kuiedp:1903.

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2021Specification tests for GARCH processes. (2021). Cavaliere, Giuseppe ; Rahbek, Anders ; Perera, Indeewara. In: Discussion Papers. RePEc:kud:kuiedp:2106.

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2020Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models. (2020). Bu, Ruijun ; Wang, Bin ; Kim, Jihyun. In: Working Papers. RePEc:liv:livedp:202021.

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2020Intertemporal Collective Household Models: Identification in Short Panels with Unobserved Heterogeneity in Resource Shares. (2020). Muris, Chris ; Botosaru, Irene ; Pendakur, Krishna. In: Department of Economics Working Papers. RePEc:mcm:deptwp:2020-09.

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2020Indirect Inference for Locally Stationary Models. (2020). Koo, Bonsoo ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-30.

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2020A Poisson autoregressive model to understand COVID-19 contagion dynamics. (2020). Giudici, Paolo ; Agosto, Arianna. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0185.

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2020Estimation of Firm-Level Productivity in the Presence of Exports: Evidence from Chinas Manufacturing. (2020). Malikov, Emir ; Kumbhakar, Subal ; Zhao, Shunan. In: MPRA Paper. RePEc:pra:mprapa:98077.

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2020The Conditional Risk and Return Trade-Off on Currency Portfolios. (2020). Sakemoto, Ryuta ; Byrne, Joseph ; Joseph, Byrne. In: MPRA Paper. RePEc:pra:mprapa:99497.

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2021Structural breaks in cointegration models. (2021). Skrobotov, Anton. In: Applied Econometrics. RePEc:ris:apltrx:0429.

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2021Relationships among US S&P500 Stock Index, its Futures and NASDAQ Index Futures with Volatility Spillover and Jump Diffusion: Modeling and Hedging Performance. (2021). Lin, Yu-Cheng ; Liu, Hsiang-Hsi. In: Bulletin of Applied Economics. RePEc:rmk:rmkbae:v:8:y:2021:i:1:p:121-148.

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2020Income and food Engel curves in Rwanda: a household microdata analysis. (2020). Nsabimana, Aimable ; Ngabitsinze, Jean Chrysostome ; Surry, Yves ; Swain, Ranjula Bali. In: Agricultural and Food Economics. RePEc:spr:agfoec:v:8:y:2020:i:1:d:10.1186_s40100-020-00154-4.

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2020Semiparametric M-estimation with non-smooth criterion functions. (2020). van Keilegom, Ingrid ; VanKeilegom, Ingrid ; Delsol, Laurent . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:72:y:2020:i:2:d:10.1007_s10463-018-0700-y.

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2020Self-excited hysteretic negative binomial autoregression. (2020). Liu, Mengya ; Zhu, Fukang. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:104:y:2020:i:3:d:10.1007_s10182-019-00360-6.

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2021The long memory HEAVY process: modeling and forecasting financial volatility. (2021). Christopoulos, A ; Yfanti, S ; Karanasos, M. In: Annals of Operations Research. RePEc:spr:annopr:v:306:y:2021:i:1:d:10.1007_s10479-019-03493-8.

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2020COVID-19 contagion and digital finance. (2020). Agosto, Arianna ; Giudici, Paolo. In: Digital Finance. RePEc:spr:digfin:v:2:y:2020:i:1:d:10.1007_s42521-020-00021-3.

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2021On cointegration and cryptocurrency dynamics. (2021). Keilbar, Georg ; Zhang, Yanfen. In: Digital Finance. RePEc:spr:digfin:v:3:y:2021:i:1:d:10.1007_s42521-021-00027-5.

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2020Optimal iterative threshold-kernel estimation of jump diffusion processes. (2020). Figueroa-Lopez, Jose E ; Nisen, Jeffrey ; Li, Cheng. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:3:d:10.1007_s11203-020-09211-7.

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2021Financial contagion through space-time point processes. (2021). Agosto, Arianna ; Chiodi, Marcello ; Adelfio, Giada ; Giudici, Paolo. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:30:y:2021:i:2:d:10.1007_s10260-020-00538-2.

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2020Estimating change points in nonparametric time series regression models. (2020). Mohr, Maria ; Selk, Leonie. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:4:d:10.1007_s00362-020-01162-8.

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2020A bivariate integer-valued bilinear autoregressive model with random coefficients. (2020). Bakouch, Hassan S ; Popovi, Predrag M. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:5:d:10.1007_s00362-018-1005-1.

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

Dennis Kristensen is editor of


Journal
Econometrics Journal
Econometrics Journal

Works by Dennis Kristensen:


YearTitleTypeCited
2007Nonparametric Estimation and Misspecification Testing of Diffusion Models In: CREATES Research Papers.
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paper3
2007Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach In: CREATES Research Papers.
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paper55
2010NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH.(2010) In: Econometric Theory.
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This paper has another version. Agregated cites: 55
article
2007Likelihood-Based Inference in Nonlinear Error-Correction Models In: CREATES Research Papers.
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paper2
2008Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data In: CREATES Research Papers.
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paper35
2009UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA.(2009) In: Econometric Theory.
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This paper has another version. Agregated cites: 35
article
2008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood In: CREATES Research Papers.
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paper30
2012Estimation of dynamic models with nonparametric simulated maximum likelihood.(2012) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 30
article
2009Testing Conditional Factor Models In: CREATES Research Papers.
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paper58
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 58
article
2011Testing Conditional Factor Models.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 58
paper
2009Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models In: CREATES Research Papers.
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paper17
2011Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models.(2011) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 17
article
2009Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models In: CREATES Research Papers.
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paper10
2010Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models.(2010) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 10
article
2009Semiparametric Modelling and Estimation: A Selective Overview In: CREATES Research Papers.
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paper1
2010Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models In: CREATES Research Papers.
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paper6
2011Semi-nonparametric estimation and misspecification testing of diffusion models.(2011) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 6
article
2010Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models.(2010) In: Discussion Papers.
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This paper has another version. Agregated cites: 6
paper
2010Estimation of Stochastic Volatility Models by Nonparametric Filtering In: CREATES Research Papers.
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paper24
2016ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING.(2016) In: Econometric Theory.
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This paper has another version. Agregated cites: 24
article
2015Estimation of stochastic volatility models by nonparametric filtering.(2015) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 24
paper
2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models In: CREATES Research Papers.
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paper8
2013TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS.(2013) In: Econometric Theory.
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This paper has another version. Agregated cites: 8
article
2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models.(2010) In: Discussion Papers.
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This paper has another version. Agregated cites: 8
paper
2011Nonparametric Detection and Estimation of Structural Change In: CREATES Research Papers.
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paper16
2012Non‐parametric detection and estimation of structural change.(2012) In: Econometrics Journal.
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This paper has another version. Agregated cites: 16
article
2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates In: CREATES Research Papers.
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paper28
2013Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates.(2013) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 28
paper
2014Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates.(2014) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 28
article
2014ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models In: CREATES Research Papers.
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paper13
2015ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models.(2015) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 13
article
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
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paper15
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 15
article
2018Diffusion Copulas: Identification and Estimation In: CREATES Research Papers.
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paper0
2020Diffusion Copulas: Identification and Estimation.(2020) In: Papers.
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This paper has another version. Agregated cites: 0
paper
2021Diffusion copulas: Identification and estimation.(2021) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 0
article
2018Diffusion Copulas: Identification and Estimation.(2018) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2013Control Functions and Simultaneous Equations Methods In: American Economic Review.
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article5
2019Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models In: Papers.
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paper2
2020Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods In: Papers.
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paper0
2021Solving dynamic discrete choice models using smoothing and sieve methods.(2021) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 0
article
2019Solving dynamic discrete choice models using smoothing and sieve methods.(2019) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 0
paper
2020Identification of a class of index models: A topological approach In: Papers.
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paper0
2019Identification of a class of index models: A topological approach.(2019) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 0
paper
2021Identification of a class of index models: A topological approach.(2021) In: Econometrics Journal.
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This paper has another version. Agregated cites: 0
article
2009Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments In: UFAE and IAE Working Papers.
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paper10
2012Estimation of dynamic latent variable models using simulated non‐parametric moments.(2012) In: Econometrics Journal.
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This paper has another version. Agregated cites: 10
article
2009SNM Guide In: UFAE and IAE Working Papers.
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paper0
2011Indirect likelihood inference In: UFAE and IAE Working Papers.
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paper4
Indirect Likelihood Inference.() In: Working Papers.
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This paper has another version. Agregated cites: 4
paper
2011Indirect Likelihood Inference.(2011) In: Dynare Working Papers.
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This paper has another version. Agregated cites: 4
paper
2013Indirect Likelihood Inference (revised) In: UFAE and IAE Working Papers.
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paper5
2015On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments In: UFAE and IAE Working Papers.
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paper5
2016On selection of statistics for approximate Bayesian computing (or the method of simulated moments).(2016) In: Computational Statistics & Data Analysis.
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This paper has another version. Agregated cites: 5
article
2009On stationarity and ergodicity of the bilinear model with applications to GARCH models In: Journal of Time Series Analysis.
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article14
2009Asymptotics of the QMLE for Non-Linear ARCH Models In: Journal of Time Series Econometrics.
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article9
200303.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation In: Econometric Theory.
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article1
200403.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution In: Econometric Theory.
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article13
2005ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS In: Econometric Theory.
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article23
2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL In: Econometric Theory.
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article27
2007Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves In: Econometrica.
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article178
2008Estimation of partial differential equations with applications in finance In: Journal of Econometrics.
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article4
2004Estimation of partial differential equations with applications in finance.(2004) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 4
paper
2010Likelihood-based inference for cointegration with nonlinear error-correction In: Journal of Econometrics.
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article5
2014Bounding quantile demand functions using revealed preference inequalities In: Journal of Econometrics.
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article48
2011Bounding quantile demand functions using revealed preference inequalities.(2011) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 48
paper
2015Nonparametric identification and estimation of transformation models In: Journal of Econometrics.
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article25
2011Nonparametric Identification and Estimation of Transformation Models.(2011) In: CAM Working Papers.
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This paper has another version. Agregated cites: 25
paper
2017Higher-order properties of approximate estimators In: Journal of Econometrics.
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article7
2013Higher-order properties of approximate estimators.(2013) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 7
paper
2004Estimation in two classes of semiparametric diffusion models In: LSE Research Online Documents on Economics.
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paper6
2004Estimation in Two Classes of Semiparametric Diffusion Models.(2004) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 6
paper
2004A semiparametric single-factor model of the term structure In: LSE Research Online Documents on Economics.
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paper0
2004A Semiparametric Single-Factor Model of the Term Structure.(2004) In: FMG Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2003Nonparametric IV estimation of shape-invariant Engel curves In: CeMMAP working papers.
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paper37
2017Individual counterfactuals with multidimensional unobserved heterogeneity In: CeMMAP working papers.
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paper2
2010Higher Order Improvements for Approximate Estimators In: CAM Working Papers.
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paper1
2016Bayesian Indirect Inference and the ABC of GMM In: Monash Econometrics and Business Statistics Working Papers.
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paper3
2004Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach In: Journal of Financial Econometrics.
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article10
2009Semiparametric modelling and estimation (in Russian) In: Quantile.
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article0

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