Dennis Kristensen : Citation Profile

Are you Dennis Kristensen?

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

16

H index

25

i10 index

1013

Citations

RESEARCH PRODUCTION:

32

Articles

50

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   18 years (2003 - 2021). See details.
   Cites by year: 56
   Journals where Dennis Kristensen has often published
   Relations with other researchers
   Recent citing documents: 156.    Total self citations: 49 (4.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pkr127
   Updated: 2023-05-27    RAS profile: 2023-03-20    
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Relations with other researchers

Works with:

Hadri, Kaddour (4)

Schjerning, Bertel (3)

Fosgerau, Mogens (2)

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

Is cited by:

LINTON, OLIVER (27)

De Rock, Bram (25)

Cherchye, Laurens (25)

Demuynck, Thomas (24)

Chen, Xiaohong (24)

Chernozhukov, Victor (15)

Cavaliere, Giuseppe (14)

Rahbek, Anders (14)

de Paula, Aureo (13)

Su, Liangjun (13)

Sakemoto, Ryuta (12)

Cites to:

Newey, Whitney (58)

Chen, Xiaohong (42)

Blundell, Richard (36)

Hansen, Lars (24)

Phillips, Peter (23)

LINTON, OLIVER (20)

Andrews, Donald (19)

Bollerslev, Tim (17)

Rahbek, Anders (16)

Van Keilegom, Ingrid (13)

Andersen, Torben (13)

Main data

Where Dennis Kristensen has published?

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

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies8
CeMMAP working papers / Institute for Fiscal Studies4
Papers / arXiv.org4
Discussion Papers / University of Copenhagen. Department of Economics2
CAM Working Papers / University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics2

Recent works citing Dennis Kristensen (2022 and 2021)

YearTitle of citing document
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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2021Are unobservables separable?. (2020). FLORENS, Jean-Pierre ; Babii, Andrii. In: Papers. RePEc:arx:papers:1705.01654.

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2022Identification 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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2022Nonparametric Instrumental Variables Estimation Under Misspecification. (2019). Deaner, Ben. In: Papers. RePEc:arx:papers:1901.01241.

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2023A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2023Identifying 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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2023Adaptive, 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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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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2021Nonclassical Measurement Error in the Outcome Variable. (2020). Martin, Stephan ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2009.12665.

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2022Empirical likelihood and uniform convergence rates for dyadic kernel density estimation. (2020). Tan, Bing Yang ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2010.08838.

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2021Consumer Theory with Non-Parametric Taste Uncertainty and Individual Heterogeneity. (2020). Gouri, Christian ; Dobronyi, Christopher. In: Papers. RePEc:arx:papers:2010.13937.

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2022Empirical 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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2022Adaptive 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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2022Normalizations and misspecification in skill formation models. (2021). Freyberger, Joachim. In: Papers. RePEc:arx:papers:2104.00473.

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2022Minimax 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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2022Performance 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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2021Two Sample Unconditional Quantile Effect. (2021). Li, Tong ; Inoue, Atsushi ; Xu, QI. In: Papers. RePEc:arx:papers:2105.09445.

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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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2022Variational Bayes in State Space Models: Inferential and Predictive Accuracy. (2022). Loaiza Maya, Rubén ; Martin, Gael M ; Loaiza-Maya, Ruben ; Frazier, David T. In: Papers. RePEc:arx:papers:2106.12262.

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2023Inference 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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2022On Well-posedness and Minimax Optimal Rates of Nonparametric Q-function Estimation in Off-policy Evaluation. (2022). Qi, Zhengling ; Chen, Xiaohong. In: Papers. RePEc:arx:papers:2201.06169.

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2022Continuous permanent unobserved heterogeneity in dynamic discrete choice models. (2022). Bunting, Jackson. In: Papers. RePEc:arx:papers:2202.03960.

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2022Fast Simulation-Based Bayesian Estimation of Heterogeneous and Representative Agent Models using Normalizing Flow Neural Networks. (2022). Fen, Cameron. In: Papers. RePEc:arx:papers:2203.06537.

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2022Nonparametric Identification of Differentiated Products Demand Using Micro Data. (2022). Haile, Philip A ; Berry, Steven T. In: Papers. RePEc:arx:papers:2204.06637.

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2023Optimal Discrete Decisions when Payoffs are Partially Identified. (2022). Schorfheide, Frank ; Moon, Hyungsik Roger ; Christensen, Timothy. In: Papers. RePEc:arx:papers:2204.11748.

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2022Penalized Sieve Estimation of Structural Models. (2022). Sang, Peijun ; Luo, Yao. In: Papers. RePEc:arx:papers:2204.13488.

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2022Time-Varying Poisson Autoregression. (2022). Cavaliere, Giuseppe ; de Angelis, Luca ; D'Innocenzo, Enzo ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2207.11003.

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2022The Econometrics of Financial Duration Modeling. (2022). Cavaliere, Giuseppe ; Vilandt, Frederik ; Rahbek, Anders ; Mikosch, Thomas. In: Papers. RePEc:arx:papers:2208.02098.

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2022Debiased Inference on Identified Linear Functionals of Underidentified Nuisances via Penalized Minimax Estimation. (2022). Mao, Xiaojie ; Kallus, Nathan. In: Papers. RePEc:arx:papers:2208.08291.

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2022Asymptotic Normality for the Fourier spot volatility estimator in the presence of microstructure noise. (2022). Toscano, Giacomo ; Mariotti, Tommaso ; Mancino, Maria Elvira. In: Papers. RePEc:arx:papers:2209.08967.

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2022Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2022Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2023Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary. (2023). Rahbek, Anders ; Nielsen, Heino Bohn. In: Papers. RePEc:arx:papers:2302.02867.

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2023Minimax Instrumental Variable Regression and $L_2$ Convergence Guarantees without Identification or Closedness. (2023). Newey, Whitney ; Mao, Xiaojie ; Kallus, Nathan ; Bennett, Andrew ; Uehara, Masatoshi ; Syrgkanis, Vasilis. In: Papers. RePEc:arx:papers:2302.05404.

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2023.

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2022Using maximum simulated likelihood methods to overcome left censoring: Dynamic event history models of heart attack risk in New Zealand. (2022). Gorgens, Tue ; Lee, Sang Hyeok. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:1:p:348-376.

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2022Modelling clusters of corporate defaults: Regime?switching models significantly reduce the contagion source. (2022). Maruotti, Antonello ; Bulla, Jan ; Berentsen, Geir D ; Stove, Brd. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:698-722.

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2021Necessary and sufficient conditions for the identifiability of observation?driven models. (2021). Sim, Tepmony ; Roueff, Franois ; Douc, Randal. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:2:p:140-160.

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2021Asymptotic theory for QMLE for the real?time GARCH(1,1) model. (2021). Wu, Wei Biao ; Smetanina, Ekaterina. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:752-776.

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2021The Welfare Implications of Unobserved Heterogeneity. (2021). Tsiaplias, Sarantis. In: Review of Income and Wealth. RePEc:bla:revinw:v:67:y:2021:i:4:p:1029-1051.

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2022Uniform convergence rates for nonparametric estimators smoothed by the beta kernel. (2022). Prokhorov, Artem ; Murtazashvili, Irina ; Hirukawa, Masayuki. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:49:y:2022:i:3:p:1353-1382.

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2021Consumption Peer Effects and Utility Needs in India. (2018). Pendakur, Krishna ; Lewbel, Arthur ; Qu, XI ; Norris, Samuel. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:958.

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2022A Generalized Non-Parametric Instrumental Variable-Control Function Approach to Estimation in Nonlinear Settings. (2022). Amil, Petrin . In: Journal of Econometric Methods. RePEc:bpj:jecome:v:11:y:2022:i:1:p:91-125:n:5.

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2022Time-Varying Linear Transformation Models with Fixed Effects and Endogeneity for Short Panels. (2022). Muris, Chris ; Botosaru, Irene ; Sokullu, Senay. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:22/756.

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2022Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data. (2022). Wang, H ; Linton, O ; Bu, R. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2218.

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2022.

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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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2022The Performance of Socially Responsible Investments: A Meta-Analysis. (2022). Yuksel, Gul ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9724.

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2021OLS Estimation of the Intra-Household Distribution of Expenditure. (2021). Wolf, Alexander ; Pendakur, Krishna ; Lechene, Valerie. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15955.

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2021Adaptive, Rate-Optimal Hypothesis Testing in Nonparametric IV Models. (2021). Chen, Xiaohong ; Breunig, Christoph. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2238r.

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2021Foundations of Demand Estimation. (2021). Haile, Philip A ; Berry, Steven T. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2301.

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2021Efficient Estimation of Average Derivatives in NPIV Models: Simulation Comparisons of Neural Network Estimators. (2021). Tamer, Elie ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2319.

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2023Nonparametric Models in Consumer Behaviour. (2023). De Rock, Bram ; Cherchye, Laurens ; Vermeulen, Frederic. In: Working Papers ECARES. RePEc:eca:wpaper:2013/356680.

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2022On MCMC sampling in self-exciting integer-valued threshold time series models. (2022). Dong, Xiaogang ; Zhang, Qingqing ; Yu, Xinyang ; Yang, Kai. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:169:y:2022:i:c:s0167947321002449.

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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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2023Estimation of heuristic switching in behavioral macroeconomic models. (2023). Sacht, Stephen ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002883.

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2022Does systematic risk change when markets close? An analysis using stocks’ beta. (2022). Insana, Alessandra. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000281.

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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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2022Injectivity and the law of demand. (2022). Allen, Roy. In: Economics Letters. RePEc:eee:ecolet:v:215:y:2022:i:c:s0165176522001252.

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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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2022Identification of nonparametric monotonic regression models with continuous nonclassical measurement errors. (2022). Schennach, Susanne ; Shiu, Ji-Liang ; Hu, Yingyao. In: Journal of Econometrics. RePEc:eee:econom:v:226:y:2022:i:2:p:269-294.

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2022Testing capital asset pricing models using functional-coefficient panel data models with cross-sectional dependence. (2022). Xu, Qiuhua ; Fang, Ying ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:114-133.

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2022Occupation density estimation for noisy high-frequency data. (2022). Bollerslev, Tim ; Li, Jia ; Zhang, Congshan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:189-211.

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2022Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models. (2022). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:241-263.

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2022The drift burst hypothesis. (2022). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:2:p:461-497.

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2022Sieve IV estimation of cross-sectional interaction models with nonparametric endogenous effect. (2022). Hoshino, Tadao. In: Journal of Econometrics. RePEc:eee:econom:v:229:y:2022:i:2:p:263-275.

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2023Efficient closed-form estimation of large spatial autoregressions. (2023). Gupta, Abhimanyu. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:148-167.

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2023Identification of time-varying transformation models with fixed effects, with an application to unobserved heterogeneity in resource shares. (2023). Botosaru, Irene ; Pendakur, Krishna ; Muris, Chris. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:576-597.

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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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2021Choosing the frequency of volatility components within the Double Asymmetric GARCH–MIDAS–X model. (2021). Gallo, Giampiero ; Amendola, Alessandra ; Candila, Vincenzo. In: Econometrics and Statistics. RePEc:eee:ecosta:v:20:y:2021:i:c:p:12-28.

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2023Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38.

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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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2022Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. (2022). Hambuckers, J ; Ulm, M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:125-148.

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2022A closed-form estimator for the Markov switching in mean model. (2022). Shi, Yanlin. In: Finance Research Letters. RePEc:eee:finlet:v:44:y:2022:i:c:s1544612321001884.

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2022Managers as knowledge carriers – Explaining firms’ internationalization success with manager mobility. (2022). Yalcin, Erdal ; Sala, Davide ; Parrotta, Pierpaolo ; Meinen, Philipp. In: Journal of International Economics. RePEc:eee:inecon:v:138:y:2022:i:c:s0022199622000654.

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2021Long- and short-run components of factor betas: Implications for stock pricing. (2021). Christiansen, Charlotte ; Wang, Weining ; Hou, Ai Jun ; Asgharian, Hossein. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001281.

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2021The conditional volatility premium on currency portfolios. (2021). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s104244312100130x.

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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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202130 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial. (2021). Ruiz, Esther ; Pea, Daniel ; Escribano, Alvaro. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1333-1337.

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2021Semiparametric time series models driven by latent factor. (2021). Ombao, Hernando ; de Souza, Fernando ; Barreto-Souza, Wagner ; de Oliveira, Gisele. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1463-1479.

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

Dennis Kristensen is editor of

Journal
The Econometrics Journal
Econometrics Journal

Works by Dennis Kristensen:

YearTitleTypeCited
2007Nonparametric Estimation and Misspecification Testing of Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2007Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper74
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: 74		article
2007Likelihood-Based Inference in Nonlinear Error-Correction Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2008Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data In: CREATES Research Papers.
[Full Text][Citation analysis]		paper47
2009UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA.(2009) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		article
2008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood In: CREATES Research Papers.
[Full Text][Citation analysis]		paper35
2012Estimation of dynamic models with nonparametric simulated maximum likelihood.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		article
2009Testing Conditional Factor Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper76
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 76		article
2011Testing Conditional Factor Models.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		paper
2009Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper19
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: 19		article
2009Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper1
2010Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper28
.() In: .
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This paper has another version. Agregated cites: 28		paper
2016ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING.(2016) In: Econometric Theory.
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This paper has another version. Agregated cites: 28		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: 28		paper
2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper13
2013TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS.(2013) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		article
2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2011Nonparametric Detection and Estimation of Structural Change In: CREATES Research Papers.
[Full Text][Citation analysis]		paper26
2012Non?parametric detection and estimation of structural change.(2012) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		article
2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates In: CREATES Research Papers.
[Full Text][Citation analysis]		paper40
.() In: .
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This paper has another version. Agregated cites: 40		paper
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: 40		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: 40		article
2014ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper17
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: 17		article
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
[Full Text][Citation analysis]		paper24
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		article
2018Diffusion Copulas: Identification and Estimation In: CREATES Research Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article10
2019Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models In: Papers.
[Full Text][Citation analysis]		paper2
2020Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods In: Papers.
[Full Text][Citation analysis]		paper2
2021Solving dynamic discrete choice models using smoothing and sieve methods.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		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: 2		paper
2020Identification of a class of index models: A topological approach In: Papers.
[Full Text][Citation analysis]		paper1
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: 1		paper
2009Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper11
2012Estimation of dynamic latent variable models using simulated non?parametric moments.(2012) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2009SNM Guide In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper0
2011Indirect likelihood inference In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper10
Indirect Likelihood Inference.() In: Working Papers.
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This paper has another version. Agregated cites: 10		paper
2011Indirect Likelihood Inference.(2011) In: Dynare Working Papers.
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This paper has another version. Agregated cites: 10		paper
2013Indirect Likelihood Inference (revised) In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper8
2015On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper6
2016On selection of statistics for approximate Bayesian computing (or the method of simulated moments).(2016) In: Computational Statistics & Data Analysis.
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In: .
[Full Text][Citation analysis]		paper13
2017Higher-order properties of approximate estimators.(2017) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 13		article
2013Higher-order properties of approximate estimators.(2013) In: CeMMAP working papers.
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In: .
[Full Text][Citation analysis]		paper8
2017Individual counterfactuals with multidimensional unobserved heterogeneity.(2017) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 8		paper
2009On stationarity and ergodicity of the bilinear model with applications to GARCH models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article14
2009Asymptotics of the QMLE for Non-Linear ARCH Models In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article9
200303.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation In: Econometric Theory.
[Full Text][Citation analysis]		article1
200403.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution In: Econometric Theory.
[Full Text][Citation analysis]		article16
2005ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article23
2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article29
2007Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves In: Econometrica.
[Full Text][Citation analysis]		article242
2008Estimation of partial differential equations with applications in finance In: Journal of Econometrics.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article9
2014Bounding quantile demand functions using revealed preference inequalities In: Journal of Econometrics.
[Full Text][Citation analysis]		article75
2011Bounding quantile demand functions using revealed preference inequalities.(2011) In: CeMMAP working papers.
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This paper has another version. Agregated cites: 75		paper
2015Nonparametric identification and estimation of transformation models In: Journal of Econometrics.
[Full Text][Citation analysis]		article34
2011Nonparametric Identification and Estimation of Transformation Models.(2011) In: CAM Working Papers.
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This paper has another version. Agregated cites: 34		paper
2004Estimation in two classes of semiparametric diffusion models In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper5
2004A semiparametric single-factor model of the term structure In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
2003Nonparametric IV estimation of shape-invariant Engel curves In: CeMMAP working papers.
[Full Text][Citation analysis]		paper39
2010Higher Order Improvements for Approximate Estimators In: CAM Working Papers.
[Full Text][Citation analysis]		paper4
2016Bayesian Indirect Inference and the ABC of GMM In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper3
2004Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
2009Semiparametric modelling and estimation (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0

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