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)

13

H index

18

i10 index

646

Citations

RESEARCH PRODUCTION:

30

Articles

46

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 40
   Journals where Dennis Kristensen has often published
   Relations with other researchers
   Recent citing documents: 110.    Total self citations: 35 (5.14 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pkr127
   Updated: 2020-05-16    RAS profile: 2020-05-04    
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Relations with other researchers


Works with:

Creel, Michael (3)

Kanaya, Shin (2)

Blundell, Richard (2)

Cavaliere, Giuseppe (2)

Han, Heejoon (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)

Demuynck, Thomas (21)

De Rock, Bram (20)

Cherchye, Laurens (20)

LINTON, OLIVER (16)

Su, Liangjun (13)

Kanaya, Shin (10)

Vermeulen, Frederic (10)

Francq, Christian (10)

Li, Degui (10)

hoderlein, stefan (10)

Cites to:

Newey, Whitney (38)

Chen, Xiaohong (36)

Blundell, Richard (22)

Phillips, Peter (22)

Andrews, Donald (14)

Rahbek, Anders (14)

LINTON, OLIVER (14)

Matzkin, Rosa (13)

Saikkonen, Pentti (13)

Ait-Sahalia, Yacine (11)

Shin, Yongseok (11)

Main data


Where Dennis Kristensen has published?


Journals with more than one article published# docs
Journal of Econometrics8
Econometric Theory8
Journal of Financial Economics2
Econometrics Journal2
Journal of Empirical Finance2

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies8
Discussion Papers / University of Copenhagen. Department of Economics2
CAM Working Papers / University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics2
Papers / arXiv.org2

Recent works citing Dennis Kristensen (2020 and 2019)


YearTitle of citing document
2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Pakkanen, Mikko S ; Lunde, Asger ; Bennedsen, Mikkel. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Time-varying coefficient estimation in SURE models. Application to portfolio management. (2017). Ferreira, Eva ; Casas, Isabel ; Orbe, Susan. In: CREATES Research Papers. RePEc:aah:create:2017-33.

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2018Reexamining financial and economic predictability with new estimators of realized variance and variance risk premium. (2018). Veiga, Helena ; Casas, Isabel ; Mao, Xiuping. In: CREATES Research Papers. RePEc:aah:create:2018-10.

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2018Time-varying parameters: New test tailored to applications in finance and macroeconomics. (2018). Davidson, Russell ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-22.

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2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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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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2020Convergence 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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2017Decoupling 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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2018Uniform Inference for Characteristic Effects of Large Continuous-Time Linear Models. (2018). Yang, Xiye ; Liao, Yuan. In: Papers. RePEc:arx:papers:1711.04392.

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2018Matching distributions: Recovery of implied physical densities from option prices. (2018). Talponen, Jarno . In: Papers. RePEc:arx:papers:1803.03996.

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

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2018Closed-form approximations in derivatives pricing: The Kristensen-Mele approach. (2018). Kurz, Michael. In: Papers. RePEc:arx:papers:1804.08904.

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2018Non-Gaussian Stochastic Volatility Model with Jumps via Gibbs Sampler. (2018). Dos, Thiago R ; Rego, Arthur T. In: Papers. RePEc:arx:papers:1809.01501.

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2019Nonparametric Regression with Selectively Missing Covariates. (2018). Haan, Peter ; Breunig, Christoph. In: Papers. RePEc:arx:papers:1810.00411.

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2020Limits 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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2019Nonparametric Instrumental Variables Estimation Under Misspecification. (2019). Deaner, Ben. In: Papers. RePEc:arx:papers:1901.01241.

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

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2019Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions. (2019). Chen, Xiaohong ; Powell, James L ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1902.10100.

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2019Sentiment-Driven Stochastic Volatility Model: A High-Frequency Textual Tool for Economists. (2019). Baruník, Jozef ; Vecer, Jan ; Chen, Cathy Yi-Hsuan ; Barunik, Jozef. In: Papers. RePEc:arx:papers:1906.00059.

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2019Injectivity and the Law of Demand. (2019). Allen, Roy. In: Papers. RePEc:arx:papers:1908.05714.

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2019Discerning Solution Concepts. (2019). Salcedo, Bruno ; Kashaev, Nail. In: Papers. RePEc:arx:papers:1909.09320.

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2019Specification Testing in Nonparametric Instrumental Quantile Regression. (2019). Breunig, Christoph. In: Papers. RePEc:arx:papers:1909.10129.

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2019Goodness-of-Fit Tests based on Series Estimators in Nonparametric Instrumental Regression. (2019). Breunig, Christoph. In: Papers. RePEc:arx:papers:1909.10133.

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

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2019Dual 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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2019The Fourier Transform Method for Volatility Functional Inference by Asynchronous Observations. (2019). Chen, Richard Y. In: Papers. RePEc:arx:papers:1911.02205.

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2019Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure. (2019). Ziegler, Philipp ; Sobotka, Tom'Avs ; Posp, Jan. In: Papers. RePEc:arx:papers:1912.06709.

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2019Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects. (2019). Tuzcuoglu, Kerem. In: Staff Working Papers. RePEc:bca:bocawp:19-16.

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2018The sparse method of simulated quantiles: An application to portfolio optimization. (2018). Stolfi, Paola ; Petrella, Lea ; Bernardi, Mauro. In: Statistica Neerlandica. RePEc:bla:stanee:v:72:y:2018:i:3:p:375-398.

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2019Variance reduction estimation for return models with jumps using gamma asymmetric kernels. (2019). Shengyi, Zhou ; Weijie, Hou ; Yuping, Song. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:5:p:38:n:5.

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2019Efficient Estimation of Nonparametric Regression in The Presence of Dynamic Heteroskedasticity. (2019). LINTON, OLIVER ; Xiao, Z. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1907.

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2019Macro-Financial Linkages in the High-Frequency Domain: The Effects of Uncertainty on Realized Volatility. (2019). Caporale, Guglielmo Maria ; Yfanti, Stavroula ; Karanasos, Menelaos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8000.

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2019Mutually Consistent Revealed Preference Demand Predictions. (2019). Adams, Abigail. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13580.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2019Intersectoral default contagion: A multivariate Poisson autoregression analysis. (2019). Maggi, Mario ; Escribano, Ana. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:376-400.

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2018Estimation of spot volatility with superposed noisy data. (2018). Liu, Qiang ; Wang, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:62-79.

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2017Adaptive estimation of continuous-time regression models using high-frequency data. (2017). Tauchen, George ; Todorov, Viktor ; Li, Jia. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:36-47.

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2018Nonparametric testing for smooth structural changes in panel data models. (2018). Chen, Bin ; Huang, Liquan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:245-267.

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2018Asymptotic inference about predictive accuracy using high frequency data. (2018). Li, Jia ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:223-240.

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2018Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach. (2018). Kim, Soohun ; Skoulakis, Georgios . In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:159-188.

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2018Generalized indirect inference for discrete choice models. (2018). Keane, Michael ; Bruins, Marianne ; Smith, Anthony A ; Duffy, James A. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:177-203.

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2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

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2019Random coefficient continuous systems: Testing for extreme sample path behavior. (2019). Yu, Jun ; Tao, Yubo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:208-237.

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2019A new delta expansion for multivariate diffusions via the Itô-Taylor expansion. (2019). Wan, Xiangwei ; Chen, Nan ; Yang, Nian. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:256-288.

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2019A model-free consistent test for structural change in regression possibly with endogeneity. (2019). Hong, Yongmiao ; Fu, Zhonghao. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:206-242.

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2019Bounding counterfactual demand with unobserved heterogeneity and endogenous expenditures. (2019). Demuynck, Thomas ; Cherchye, Laurens ; de Rock, Bram. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:483-506.

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2019Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions. (2019). Powell, James L ; Pouzo, Demian ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:30-53.

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2019Simulated likelihood estimators for discretely observed jump–diffusions. (2019). Schwenkler, G ; Giesecke, K. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:297-320.

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2019Uniform confidence bands for nonparametric errors-in-variables regression. (2019). Sasaki, Yuya ; Kato, Kengo. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:516-555.

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2017Neural nets for indirect inference. (2017). Creel, Michael . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:36-49.

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2018Spot volatility estimation using the Laplace transform. (2018). Mancino, Maria Elvira ; Recchioni, Maria Cristina ; Curato, Imma Valentina . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:22-43.

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2019Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach. (2019). Funke, Benedikt ; Hirukawa, Masayuki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:156-170.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, H. Peter. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2017The cross-section of consumer lending risk. (2017). Desai, Chintal Ajitbhai . In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:256-282.

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2018Time-varying skills (versus luck) in U.S. active mutual funds and hedge funds. (2018). Cai, Biqing ; Yan, Cheng ; Cheng, Tingting. In: Journal of Empirical Finance. RePEc:eee:empfin:v:49:y:2018:i:c:p:81-106.

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2019Hierarchical GARCH. (2019). Brownlees, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:17-27.

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2019Asset pricing model uncertainty. (2019). Borup, Daniel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:54:y:2019:i:c:p:166-189.

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2019Currency carry trades and the conditional factor model. (2019). Sakemoto, Ryuta. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:198-208.

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2019Estimating beta: Forecast adjustments and the impact of stock characteristics for a broad cross-section. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Simen, Chardin Wese. In: Journal of Financial Markets. RePEc:eee:finmar:v:44:y:2019:i:c:p:91-118.

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2019Approximate Bayesian forecasting. (2019). , Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:2:p:521-539.

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2019An asset pricing approach to testing general term structure models. (2019). van der Wel, Michel ; Christensen, Bent Jesper. In: Journal of Financial Economics. RePEc:eee:jfinec:v:134:y:2019:i:1:p:165-191.

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2017An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns. (2017). Sucarrat, Genaro ; Francq, Christian. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:153:y:2017:i:c:p:16-32.

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2019Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors. (2019). Chaouch, Mohamed. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:170:y:2019:i:c:p:129-148.

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2018Estimating spot volatility in the presence of infinite variation jumps. (2018). Liu, Qiang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:1958-1987.

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2017Asset Co-movements: Features and Challenges. (2017). Gospodinov, Nikolay. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-11.

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2018The Impact of Sovereign Yield Curve Differentials on Value-at-Risk Forecasts for Foreign Exchange Rates. (2018). Fink, Holger ; Port, Henry ; Fuest, Andreas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:84-:d:164655.

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2017Non-parametric news impact curve: a variational approach. (2017). Garcin, Matthieu ; Goulet, Clement . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01244292.

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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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2017A fully non-parametric heteroskedastic model. (2015). Goulet, Clement ; Garcin, Matthieu. In: Post-Print. RePEc:hal:journl:halshs-01244292.

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2018The Bias of Realized Volatility. (2018). Leschinski, Christian ; Becker, Janis. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-642.

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2019Identifying network ties from panel data: theory and an application to tax competition. (2019). Rasul, Imran ; de Paula, Aureo ; Cl, Pedro. In: CeMMAP working papers. RePEc:ifs:cemmap:55/19.

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2019Demand analysis with many prices. (2019). Chernozhukov, Victor ; Newey, Whitney K ; Hausman, Jerry. In: CeMMAP working papers. RePEc:ifs:cemmap:59/19.

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2019Towards a general large sample theory for regularized estimators. (2019). Jansson, Michael ; Pouzo, Demian. In: CeMMAP working papers. RePEc:ifs:cemmap:63/19.

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2019Estimation with Mixed Data Frequencies: A Bias-Correction Approach. (2019). Linton, Oliver ; Ghosh, Anisha. In: CeMMAP working papers. RePEc:ifs:cemmap:65/19.

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2019OLS estimation of the intra-household distribution of consumption. (2019). Wolf, Alexander ; Pendakur, Krishna ; Lechene, Valerie. In: IFS Working Papers. RePEc:ifs:ifsewp:19/19.

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2018The Impact of Language on Socioeconomic Integration of Immigrants. (2018). Zorlu, Aslan ; Hartog, Joop. In: IZA Discussion Papers. RePEc:iza:izadps:dp11485.

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2019Testing Unconfoundedness Assumption Using Auxiliary Variables. (2019). Tang, Shengfang ; Lin, Ming ; Fang, Ying ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:201905.

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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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2019On the Reaction of Stock Market to Monetary Policy Innovations: New Evidence from Nigeria. (2019). Yola, Abdul-Nasir T. In: Academic Journal of Economic Studies. RePEc:khe:scajes:v:5:y:2019:i:2:p:94-98.

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2017TESTING GARCH-X TYPE MODELS. (2017). Rahbek, Anders ; Pedersen, Rasmus Sondergaard. In: Discussion Papers. RePEc:kud:kuiedp:1715.

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2018BOOTSTRAP INFERENCE ON THE BOUNDARY OF THE PARAMETER SPACE WITH APPLICATION TO CONDITIONAL VOLATILITY MODELS. (2018). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Discussion Papers. RePEc:kud:kuiedp:1810.

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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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2017M-Estimation of a Nonparametric Threshold Regression Model. (2017). Su, Liangjun ; Parmeter, Christopher ; Henderson, Daniel. In: Working Papers. RePEc:mia:wpaper:2017-15.

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2017Non-parameteric news impact curve: a variational approach. (2017). Goulet, Clement ; Garcin, Matthieu. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15086rr.

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2018Approximate Bayesian forecasting. (2018). McCabe, Brendan ; Martin, Gael M ; Maneesoonthorn, Worapree ; Frazier, David T. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2018-2.

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2019Demand Analysis with Many Prices. (2019). Newey, Whitney ; Hausman, Jerry ; Chernozhukov, Victor. In: NBER Working Papers. RePEc:nbr:nberwo:26424.

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2019Nonparametric Analysis of Labour Supply Using Random Fields. (2019). Crawford, Ian. In: Economics Papers. RePEc:nuf:econwp:1906.

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2018Asymptotic properties of approximate Bayesian computation. (2018). Frazier, D T ; Rousseau, J ; Robert, C P ; Martin, G M. In: Biometrika. RePEc:oup:biomet:v:105:y:2018:i:3:p:593-607..

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2018An Exponential Chi-Squared QMLE for Log-GARCH Models Via the ARMA Representation. (2018). Francq, Christian ; Sucarrat, Genaro. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:1:p:129-154..

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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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2017The Time-Varying Risk Price of Currency Carry Trades. (2017). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: MPRA Paper. RePEc:pra:mprapa:80788.

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2018Count and duration time series with equal conditional stochastic and mean orders. (2018). Francq, Christian ; Aknouche, Abdelhakim. In: MPRA Paper. RePEc:pra:mprapa:90838.

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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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2019Hierarchical Time Varying Estimation of a Multi Factor Asset Pricing Model. (2019). Kapetanios, George ; Calonaci, Fabio ; Baillie, Richard T. In: Working Papers. RePEc:qmw:qmwecw:879.

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2017Random Coefficient Continuous Systems: Testing for Extreme Sample Path Behaviour. (2017). Yu, Jun ; Tao, Yubo ; Phillips, Peter. In: Economics and Statistics Working Papers. RePEc:ris:smuesw:2017_018.

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2017Uniform Inference for Conditional Factor Models with Instrumental and Idiosyncratic Betas. (2017). Yang, Xiye ; Liao, Yuan. In: Departmental Working Papers. RePEc:rut:rutres:201711.

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2020Income and food Engel curves in Rwanda: a household microdata analysis. (2020). Ngabitsinze, Jean Chrysostome ; Surry, Yves ; Swain, Ranjula Bali ; Nsabimana, Aimable. 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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2019Robustness and sensitivity analyses for stochastic volatility models under uncertain data structure. (2019). Ziegler, Philipp ; Sobotka, Toma ; Pospiil, Jan. In: Empirical Economics. RePEc:spr:empeco:v:57:y:2019:i:6:d:10.1007_s00181-018-1535-3.

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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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2007Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach In: CREATES Research Papers.
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paper44
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: 44
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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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paper29
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: 29
article
2008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood In: CREATES Research Papers.
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paper26
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: 26
article
2009Testing Conditional Factor Models In: CREATES Research Papers.
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paper49
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 49
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2011Testing Conditional Factor Models.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 49
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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paper12
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: 12
article
2009Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models In: CREATES Research Papers.
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paper8
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: 8
article
2009Semiparametric Modelling and Estimation: A Selective Overview In: CREATES Research Papers.
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2010Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models In: CREATES Research Papers.
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paper5
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: 5
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: 5
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2010Estimation of Stochastic Volatility Models by Nonparametric Filtering In: CREATES Research Papers.
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paper20
2016ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING.(2016) In: Econometric Theory.
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This paper has another version. Agregated cites: 20
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: 20
paper
2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models In: CREATES Research Papers.
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paper4
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: 4
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: 4
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2011Nonparametric Detection and Estimation of Structural Change In: CREATES Research Papers.
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paper13
2012Non‐parametric detection and estimation of structural change.(2012) In: Econometrics Journal.
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This paper has another version. Agregated cites: 13
article
2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates In: CREATES Research Papers.
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paper23
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: 23
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: 23
article
2014ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models In: CREATES Research Papers.
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paper11
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: 11
article
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
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paper7
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: 7
article
2018Diffusion Copulas: Identification and Estimation In: CREATES Research Papers.
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paper0
2013Control Functions and Simultaneous Equations Methods In: American Economic Review.
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article2
2019Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models In: Papers.
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paper0
2020Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods In: Papers.
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paper0
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
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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2011Indirect likelihood inference In: UFAE and IAE Working Papers.
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paper2
Indirect Likelihood Inference.() In: Working Papers.
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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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paper4
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: 4
article
2009On stationarity and ergodicity of the bilinear model with applications to GARCH models In: Journal of Time Series Analysis.
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article11
2009Asymptotics of the QMLE for Non-Linear ARCH Models In: Journal of Time Series Econometrics.
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article9
2011Indirect Likelihood Inference In: Dynare Working Papers.
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paper3
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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article21
2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL In: Econometric Theory.
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article23
2007Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves In: Econometrica.
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article156
2008Estimation of partial differential equations with applications in finance In: Journal of Econometrics.
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article3
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: 3
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2010Likelihood-based inference for cointegration with nonlinear error-correction In: Journal of Econometrics.
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article3
2014Bounding quantile demand functions using revealed preference inequalities In: Journal of Econometrics.
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article45
2011Bounding quantile demand functions using revealed preference inequalities.(2011) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 45
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2015Nonparametric identification and estimation of transformation models In: Journal of Econometrics.
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article19
2011Nonparametric Identification and Estimation of Transformation Models.(2011) In: CAM Working Papers.
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This paper has another version. Agregated cites: 19
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2017Higher-order properties of approximate estimators In: Journal of Econometrics.
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article5
2013Higher-order properties of approximate estimators.(2013) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 5
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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
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2004A semiparametric single-factor model of the term structure In: LSE Research Online Documents on Economics.
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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
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2003Nonparametric IV estimation of shape-invariant Engel curves In: CeMMAP working papers.
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paper36
2019Identification of a class of index models: A topological approach In: CeMMAP working papers.
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2017Individual counterfactuals with multidimensional unobserved heterogeneity In: CeMMAP working papers.
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paper1
2010Higher Order Improvements for Approximate Estimators In: CAM Working Papers.
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paper0
2018Diffusion Copulas: Identification and Estimation In: Working Papers.
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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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article9
2009Semiparametric modelling and estimation (in Russian) In: Quantile.
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