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

20

i10 index

709

Citations

RESEARCH PRODUCTION:

30

Articles

48

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   17 years (2003 - 2020). See details.
   Cites by year: 41
   Journals where Dennis Kristensen has often published
   Relations with other researchers
   Recent citing documents: 66.    Total self citations: 38 (5.09 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pkr127
   Updated: 2021-03-01    RAS profile: 2020-09-15    
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Relations with other researchers


Works with:

Hadri, Kaddour (3)

Creel, Michael (2)

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:

Chen, Xiaohong (24)

Demuynck, Thomas (22)

De Rock, Bram (22)

Cherchye, Laurens (22)

LINTON, OLIVER (16)

Su, Liangjun (13)

Vermeulen, Frederic (11)

Li, Degui (10)

Simoni, Anna (10)

Francq, Christian (10)

Kanaya, Shin (10)

Cites to:

Newey, Whitney (38)

Chen, Xiaohong (34)

Blundell, Richard (23)

Phillips, Peter (21)

Andrews, Donald (14)

LINTON, OLIVER (14)

Rahbek, Anders (14)

Matzkin, Rosa (13)

Saikkonen, Pentti (13)

Bollerslev, Tim (11)

Ait-Sahalia, Yacine (11)

Main data


Where Dennis Kristensen has published?


Journals with more than one article published# docs
Econometric Theory8
Journal of Econometrics8
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
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 (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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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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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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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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2020Intertemporal 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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2020Efficient 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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2020Price 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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2020Nonclassical 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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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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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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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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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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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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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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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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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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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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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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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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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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2020Asymptotic properties of the QMLE in a log-linear RealGARCH model with Gaussian errors. (2020). Qian, Lianfen ; Xu, Kaihong ; Zhang, Caiya. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1051-8.

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2020Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (2020). Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200004.

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2020Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments. (2020). Wang, Bin ; Park, Joon ; Kim, Jihyun. In: TSE Working Papers. RePEc:tse:wpaper:124234.

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2020Nonparametric identification in nonseparable duration models with unobserved heterogeneity. (2020). Bonev, Petyo. In: Economics Working Paper Series. RePEc:usg:econwp:2020:05.

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2020Realized Semicovariances. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Econometrica. RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551.

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

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2020High-frequency trading during flash crashes: Walk of fame or hall of shame?. (2020). Reno, Roberto ; Pelizzon, Loriana ; Kolokolov, Aleksey ; Christensen, Kim ; Bellia, Mario. In: SAFE Working Paper Series. RePEc:zbw:safewp:270.

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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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paper52
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: 52
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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paper33
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: 33
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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paper55
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 55
article
2011Testing Conditional Factor Models.(2011) In: NBER Working Papers.
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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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article
2009Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models In: CREATES Research Papers.
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paper9
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: 9
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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paper22
2016ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING.(2016) In: Econometric Theory.
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article
2015Estimation of stochastic volatility models by nonparametric filtering.(2015) In: CeMMAP working papers.
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2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models In: CREATES Research Papers.
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paper5
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: 5
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2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models.(2010) In: Discussion Papers.
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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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article
2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates In: CREATES Research Papers.
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paper26
2013Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates.(2013) In: CeMMAP working papers.
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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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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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2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
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2018Diffusion Copulas: Identification and Estimation In: CREATES Research Papers.
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2020Diffusion Copulas: Identification and Estimation.(2020) In: Papers.
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2018Diffusion Copulas: Identification and Estimation.(2018) In: Working Papers.
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2013Control Functions and Simultaneous Equations Methods In: American Economic Review.
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2019Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models In: Papers.
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paper1
2020Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods In: Papers.
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2019Solving dynamic discrete choice models using smoothing and sieve methods.(2019) In: CeMMAP working papers.
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2020Identification of a class of index models: A topological approach In: Papers.
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2019Identification of a class of index models: A topological approach.(2019) In: CeMMAP working papers.
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2009Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments In: UFAE and IAE Working Papers.
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2012Estimation of dynamic latent variable models using simulated non‐parametric moments.(2012) In: Econometrics Journal.
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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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Indirect Likelihood Inference.() In: Working Papers.
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2011Indirect Likelihood Inference.(2011) In: Dynare 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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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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2009On stationarity and ergodicity of the bilinear model with applications to GARCH models In: Journal of Time Series Analysis.
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article13
2009Asymptotics of the QMLE for Non-Linear ARCH Models In: Journal of Time Series Econometrics.
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article9
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