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

27

i10 index

1072

Citations

RESEARCH PRODUCTION:

33

Articles

51

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   20 years (2003 - 2023). See details.
   Cites by year: 53
   Journals where Dennis Kristensen has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 50 (4.46 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pkr127
   Updated: 2024-01-16    RAS profile: 2023-03-20    
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Relations with other researchers


Works with:

Schjerning, Bertel (3)

Fosgerau, Mogens (3)

Hadri, Kaddour (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 (29)

De Rock, Bram (25)

Cherchye, Laurens (25)

Demuynck, Thomas (24)

Chen, Xiaohong (24)

de Paula, Aureo (17)

Chernozhukov, Victor (15)

Cavaliere, Giuseppe (15)

Pendakur, Krishna (14)

Rahbek, Anders (14)

Su, Liangjun (13)

Cites to:

Newey, Whitney (59)

Chen, Xiaohong (46)

Blundell, Richard (36)

Hansen, Lars (26)

Phillips, Peter (23)

LINTON, OLIVER (20)

Andrews, Donald (19)

Bollerslev, Tim (17)

Andersen, Torben (16)

Rahbek, Anders (16)

Van Keilegom, Ingrid (13)

Main data


Where Dennis Kristensen has published?


Journals with more than one article published# docs
Journal of Econometrics10
Econometric Theory8
Journal of Financial Economics2
Journal of Empirical Finance2
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
Papers / arXiv.org5
CeMMAP working papers / Institute for Fiscal Studies4
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 (2024 and 2023)


YearTitle of citing document
2023Limits 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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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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2023Adaptive, Rate-Optimal Testing in Instrumental Variables Models. (2020). Chen, Xiaohong ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2006.09587.

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2023Performance 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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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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2023Continuous permanent unobserved heterogeneity in dynamic discrete choice models. (2022). Bunting, Jackson. In: Papers. RePEc:arx:papers:2202.03960.

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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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2023Debiased 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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2023Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2023Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2023Bayesian 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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2023One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2307.14867.

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2023Uniform Inference for Nonlinear Endogenous Treatment Effects with High-Dimensional Covariates. (2023). Zhang, Cun-Hui ; Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2310.08063.

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2023Data-Driven Fixed-Point Tuning for Truncated Realized Variations. (2023). Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B ; Han, Yuchen. In: Papers. RePEc:arx:papers:2311.00905.

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2023Modeling economies of scope in joint production: Convex regression of input distance function. (2023). Kuosmanen, Timo ; Dai, Sheng. In: Papers. RePEc:arx:papers:2311.11637.

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2023.

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2023.

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2023Pockets of Predictability. (2023). Timmermann, Allan ; Schmidt, Lawrence ; Farmer, Leland E. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341.

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2023.

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2023Nonparametric Identification of Differentiated Products Demand Using Micro Data. (2022). Haile, Philip ; Berry, Steven. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2357.

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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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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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2023Genericity of the completeness condition with constrained instruments. (2023). Loh, Isaac. In: Economics Letters. RePEc:eee:ecolet:v:224:y:2023:i:c:s016517652300023x.

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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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2023Irregular identification of structural models with nonparametric unobserved heterogeneity. (2023). Escanciano, Juan Carlos. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:106-127.

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2023Identification of unobserved distribution factors and preferences in the collective household model. (2023). Hubner, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:301-326.

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2023Bias reduction in spot volatility estimation from options. (2023). Zhang, Yang ; Todorov, Viktor. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:53-81.

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2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

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2023Nonparametric identification and estimation with discrete instruments and regressors. (2023). Loh, Isaac. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1257-1279.

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2023Efficient estimation of average derivatives in NPIV models: Simulation comparisons of neural network estimators. (2023). Tamer, Elie ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1848-1875.

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2023Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications. (2023). Wang, Bin ; Kim, Jihyun ; Bu, Ruijun. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1934-1954.

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2023Prices, profits, proxies, and production. (2023). Aguiar, Victor ; Allen, Roy ; Kashaev, Nail. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:666-693.

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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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2023Bayesian Analysis of ARCH-M model with a dynamic latent variable. (2023). Li, Yuan ; Song, Xinyuan. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:47-62.

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2023Robust trade policy to offset foreign market power. (2023). McCalman, Phillip. In: European Economic Review. RePEc:eee:eecrev:v:154:y:2023:i:c:s0014292123000636.

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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023Stock return predictability and cyclical movements in valuation ratios. (2023). Chen, LI ; Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:36-53.

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2023Electricity price spike clustering: A zero-inflated GARX approach. (2023). Suthaharan, Neyavan ; Lu, YE. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003328.

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2023Exploring style herding by mutual funds. (2023). , Remco ; Santi, Caterina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000306.

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2023More Is Better, Or Not? An Empirical Analysis of Buyer Preferences for Variety on the E-Market. (2023). Sokullu, Senay. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:209:y:2023:i:c:p:450-470.

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2023How responsive are nutrients in India? Some recent evidence. (2023). Jumrani, Jaya. In: Food Policy. RePEc:eee:jfpoli:v:114:y:2023:i:c:s0306919222001488.

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2023Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317.

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2023.

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2023.

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2023Bayesian Forecasting in the 21st Century: A Modern Review. (2023). Maheu, John ; Panagiotelis, Anastasios ; Nibbering, Didier ; Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Frazier, David T ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-1.

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2023ABC-based Forecasting in State Space Models. (2023). Frazier, David T ; Martin, Gael M ; Loaiza-Maya, Ruben ; Weerasinghe, Chaya. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2023-12.

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2023The cross-section of January effect. (2023). Ding, Wenjie ; Cheema, Arbab Khalid ; Wang, Qingwei. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:6:d:10.1057_s41260-023-00324-1.

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2023A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application. (2023). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-023-00894-5.

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2023Modeling the Time Variation in Factor Exposures. (2023). Pynonen, Seppo ; Koutmos, Gregory ; Kolari, James W ; Knif, Johan. In: Journal of Finance and Investment Analysis. RePEc:spt:fininv:v:12:y:2023:i:2:f:12_2_2.

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2023One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: TSE Working Papers. RePEc:tse:wpaper:128467.

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2023Nonparametric Estimates of Demand in the California Health Insurance Exchange. (2023). Yang, Hanbin ; Torgovitsky, Alexander ; Tebaldi, Pietro. In: Econometrica. RePEc:wly:emetrp:v:91:y:2023:i:1:p:107-146.

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2023Short T dynamic panel data models with individual, time and interactive effects. (2023). Pesaran, Mohammad ; Hayakawa, Kazuhiko ; Smith, Vanessa L. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:6:p:940-967.

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2023Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach. (2023). Yang, Xiao Guang ; Cui, Zhenyu ; Ding, Kailin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:217-241.

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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.
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paper3
2007Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach In: CREATES Research Papers.
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paper77
2010NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH.(2010) In: Econometric Theory.
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This paper has nother version. Agregated cites: 77
article
2007Likelihood-Based Inference in Nonlinear Error-Correction Models In: CREATES Research Papers.
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paper3
2008Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data In: CREATES Research Papers.
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paper48
2009UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA.(2009) In: Econometric Theory.
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This paper has nother version. Agregated cites: 48
article
2008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood In: CREATES Research Papers.
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paper35
2012Estimation of dynamic models with nonparametric simulated maximum likelihood.(2012) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 35
article
2009Testing Conditional Factor Models In: CREATES Research Papers.
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paper83
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
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This paper has nother version. Agregated cites: 83
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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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 nother version. Agregated cites: 19
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2009Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models In: CREATES Research Papers.
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paper11
2010Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models.(2010) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 11
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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paper7
2011Semi-nonparametric estimation and misspecification testing of diffusion models.(2011) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 7
article
2010Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models.(2010) In: Discussion Papers.
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This paper has nother version. Agregated cites: 7
paper
2010Estimation of Stochastic Volatility Models by Nonparametric Filtering In: CREATES Research Papers.
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.() In: .
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paper
2016ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING.(2016) In: Econometric Theory.
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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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paper13
2013TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS.(2013) In: Econometric Theory.
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This paper has nother version. Agregated cites: 13
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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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paper26
2012Non?parametric detection and estimation of structural change.(2012) In: Econometrics Journal.
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This paper has nother version. Agregated cites: 26
article
2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates In: CREATES Research Papers.
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.() In: .
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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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2014ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models In: CREATES Research Papers.
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paper18
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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paper29
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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2021Diffusion copulas: Identification and estimation.(2021) In: Journal of Econometrics.
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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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2023Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models In: Papers.
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2020Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods In: Papers.
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2021Solving dynamic discrete choice models using smoothing and sieve methods.(2021) In: Journal of Econometrics.
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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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2021Identification of a class of index models: A topological approach.(2021) In: The Econometrics Journal.
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2023Closed-form approximations of moments and densities of continuous-time Markov models In: 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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paper8
2015On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments In: UFAE and IAE Working Papers.
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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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2017Higher-order properties of approximate estimators.(2017) In: Journal of Econometrics.
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2013Higher-order properties of approximate estimators.(2013) In: CeMMAP working papers.
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In: .
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2017Individual counterfactuals with multidimensional unobserved heterogeneity.(2017) In: CeMMAP working papers.
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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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2009Asymptotics of the QMLE for Non-Linear ARCH Models In: Journal of Time Series Econometrics.
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200303.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation In: Econometric Theory.
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200403.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution In: Econometric Theory.
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2005ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS In: Econometric Theory.
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2011Nonparametric Identification and Estimation of Transformation Models.(2011) In: CAM Working Papers.
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