Bent Jesper Christensen : Citation Profile


Are you Bent Jesper Christensen?

Aarhus Universitet (50% share)
Aarhus Universitet (50% share)

17

H index

24

i10 index

1598

Citations

RESEARCH PRODUCTION:

36

Articles

55

Papers

3

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   33 years (1990 - 2023). See details.
   Cites by year: 48
   Journals where Bent Jesper Christensen has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 38 (2.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch701
   Updated: 2024-01-16    RAS profile: 2023-12-21    
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Relations with other researchers


Works with:

Parra-Alvarez, Juan (3)

Datta Gupta, Nabanita (2)

Santucci de Magistris, Paolo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bent Jesper Christensen.

Is cited by:

Degiannakis, Stavros (22)

Filis, George (18)

Baruník, Jozef (16)

DE TRUCHIS, Gilles (15)

Gautier, Pieter (14)

Diebold, Francis (14)

Nielsen, Morten (12)

Hornstein, Andreas (11)

Santucci de Magistris, Paolo (11)

Leschinski, Christian (11)

Rudebusch, Glenn (11)

Cites to:

Bollerslev, Tim (63)

Andersen, Torben (58)

Diebold, Francis (49)

Nielsen, Morten (37)

Campbell, John (20)

Postel-Vinay, Fabien (20)

Newey, Whitney (18)

Robin, Jean-Marc (16)

Engle, Robert (15)

Johansen, Soren (14)

Blundell, Richard (14)

Main data


Where Bent Jesper Christensen has published?


Journals with more than one article published# docs
Journal of Econometrics7
Insurance: Mathematics and Economics3
Journal of Financial Economics2
Journal of Labor Economics2
Mathematical Finance2
Journal of Applied Econometrics2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University6
Post-Print / HAL2
NBER Working Papers / National Bureau of Economic Research, Inc2

Recent works citing Bent Jesper Christensen (2024 and 2023)


YearTitle of citing document
2023.

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2023Active labour market policies for the long-term unemployed: New evidence from causal machine learning. (2021). Goller, Daniel ; Wolff, Joachim ; Lechner, Michael ; Harrer, Tamara. In: Papers. RePEc:arx:papers:2106.10141.

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2023Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer. (2022). Havrylenko, Yevhen ; Zagst, Rudi ; Hinken, Maria. In: Papers. RePEc:arx:papers:2203.04053.

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2023Cost-efficient Payoffs under Model Ambiguity. (2022). Vanduffel, Steven ; Lux, Thibaut ; Junike, Gero ; Bernard, Carole. In: Papers. RePEc:arx:papers:2207.02948.

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2023Realized recurrent conditional heteroskedasticity model for volatility modelling. (2023). Kohn, Robert ; Tran, Minh-Ngoc ; Wang, Chao ; Liu, Chen. In: Papers. RePEc:arx:papers:2302.08002.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, Edoardo ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2305.12192.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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2023Machine learning advances for time series forecasting. (2023). Mendes, Eduardo F ; Medeiros, Marcelo C ; Masini, Ricardo P. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:76-111.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2023Volatility jumps and the classification of monetary policy announcements. (2023). Gallo, Giampiero ; Otranto, E ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202306.

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2023Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS. (2023). Qabhobho, Thobekile. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-25.

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2023Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility. (2023). Lovreta, Lidija ; Forte, Santiago. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119922001900.

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2023Monetary policy and the term structure of inflation expectations with information frictions. (2023). McNeil, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002913.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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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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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Forecasting European stock volatility: The role of the UK. (2023). Gu, Chen ; Gao, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002442.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Spreading of cross-market volatility information: Evidence from multiplex network analysis of volatility spillovers. (2023). Foglia, Matteo ; Xie, Chi ; Zhu, You ; Zhou, Yang ; Wang, Gang-Jin ; Gong, Jue. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:83:y:2023:i:c:s104244312300001x.

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2023Forecasting crude oil market volatility using variable selection and common factor. (2023). Wang, Yudong ; Wahab, M. I. M., ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:486-502.

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2023What explains different rates of nursing home admissions? Comparing the United States to Denmark and the Netherlands. (2023). Skinner, Jonathan ; Gortz, Mette ; van Doorslaer, Eddy ; Bakx, Pieter ; Bom, Judith. In: The Journal of the Economics of Ageing. RePEc:eee:joecag:v:25:y:2023:i:c:s2212828x23000166.

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2023Returns to on-the-job search and wage dispersion. (2023). Teulings, Coen ; Gottfries, Axel. In: Labour Economics. RePEc:eee:labeco:v:80:y:2023:i:c:s0927537122001828.

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2023Expectation formation and learning in the labour market with on-the-job search and Nash bargaining. (2023). Zaharieva, Anna ; Damdinsuren, Erdenebulgan. In: Labour Economics. RePEc:eee:labeco:v:81:y:2023:i:c:s0927537122002019.

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2023Strategic referrals and on-the-job search equilibrium. (2023). Moon, Ji-Woong. In: Journal of Monetary Economics. RePEc:eee:moneco:v:134:y:2023:i:c:p:135-151.

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2023Investor sentiment based on scaled PCA method: A powerful predictor of realized volatility in the Chinese stock market. (2023). Yu, Changrui ; Zhang, Cheng ; Gong, Xiaomin ; Song, Ziyu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:528-545.

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2023Air quality index and the Chinese stock market volatility: Evidence from both market and sector indices. (2023). Liang, Chao ; Duc, Toan Luu ; Lu, Xinjie ; Shen, Lihua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:84:y:2023:i:c:p:224-239.

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2023Options-based systemic risk, financial distress, and macroeconomic downturns. (2023). Tunaru, Radu ; Bevilacqua, Mattia ; Vioto, Davide. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:119289.

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2023.

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2023GARMA, HAR and Rules of Thumb for Modelling Realized Volatility. (2023). Allen, David ; Peiris, Shelton. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:10:p:179-:d:1260782.

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2023Implied Volatility Changes and Corporate Bond Returns. (2023). Zhan, Xintong ; Xiao, Xiao ; Goyal, Amit ; Cao, Jie. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1375-1397.

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2023Wage-Specific Search Intensity. (2023). Rendon, Silvio. In: IZA Discussion Papers. RePEc:iza:izadps:dp15971.

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2023Family Affair? Long-Term Economic and Mental Effects of Spousal Cancer. (2023). Böckerman, Petri ; Vaalavuo, Maria ; Salokangas, Henri ; Kortelainen, Mika ; Bockerman, Petri. In: IZA Discussion Papers. RePEc:iza:izadps:dp16005.

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2023Duration Dependence in Finding a Job: Applications, Interviews, and Job Offers. (2023). Lalive, Rafael ; Zuchuat, Jeremy ; Zweimuller, Josef ; Pesaresi, Lorenzo ; Osikominu, Aderonke. In: IZA Discussion Papers. RePEc:iza:izadps:dp16602.

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2023A comparison of multi-factor term structure models for interbank rates. (2023). Tunaru, Diana ; Fabozzi, Francesco A. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01147-2.

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2023Access to Financial Services and Its Impact on Household Income: Evidence from Rural Ghana. (2023). Jiang, Yuansheng ; Siaw, Anthony ; Asiedu-Ayeh, Love Offeibea ; Zheng, Hongyun ; Twumasi, Martinson Ankrah. In: The European Journal of Development Research. RePEc:pal:eurjdr:v:35:y:2023:i:4:d:10.1057_s41287-022-00544-y.

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2023Volatility or higher moments: Which is more important in return density forecasts of stochastic volatility model?. (2023). Zhao, Ran ; Zhang, Zehua ; Li, Chenxing. In: MPRA Paper. RePEc:pra:mprapa:118459.

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2023Bequest Motives and the Social Security Notch. (). Kok, Kegon Teng ; Lee, Siha. In: Review of Economic Dynamics. RePEc:red:issued:22-78.

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2023Measuring macroeconomic convergence and divergence within EMU using long memory. (2023). Kolaiti, Theoplasti ; Drager, Lena ; Sibbertsen, Philipp. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:5:d:10.1007_s00181-023-02426-6.

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2023In memoriam: Tomas Björk (1947–2021). (2023). Gaspar, Raquel ; Khapko, Mariana. In: Finance and Stochastics. RePEc:spr:finsto:v:27:y:2023:i:4:d:10.1007_s00780-023-00511-3.

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2023Trading volume and realized volatility forecasting: Evidence from the China stock market. (2023). Lee, Chien-Chiang ; Choo, Weichong ; Liu, Min. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:1:p:76-100.

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2023Forecasting term structure of the Japanese bond yields in the presence of a liquidity trap. (2023). Zheng, Zhongxi ; Zhang, Zhaoyong ; Wu, Junxiang ; Tsui, Albert K. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1205-1227.

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2023Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi Salah ; Park, Donghyun ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:4:p:455-479.

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Bent Jesper Christensen has edited the books:


YearTitleTypeCited

Works by Bent Jesper Christensen:


YearTitleTypeCited
2001Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data In: Economics Working Papers.
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paper92
2006Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting.(2006) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 92
article
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations In: CREATES Research Papers.
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paper46
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations.(2007) In: The Review of Economics and Statistics.
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This paper has nother version. Agregated cites: 46
article
2007The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets In: CREATES Research Papers.
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paper175
2011The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets.(2011) In: Journal of Econometrics.
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article
2008The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets.(2008) In: Working Paper.
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paper
2007Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model In: CREATES Research Papers.
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paper47
2010Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model.(2010) In: Journal of Empirical Finance.
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article
2009Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model.(2009) In: Working Paper.
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paper
2007Market Power in Power Markets: Evidence from Forward Prices of Electricity In: CREATES Research Papers.
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paper7
2008Semiparametric Inference in a GARCH-in-Mean Model In: CREATES Research Papers.
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paper16
2012Semiparametric inference in a GARCH-in-mean model.(2012) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 16
article
2008Optimal inference in dynamic models with conditional moment restrictions In: CREATES Research Papers.
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paper2
2010The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models In: CREATES Research Papers.
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paper2
2010An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses In: CREATES Research Papers.
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paper0
2010The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model In: CREATES Research Papers.
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paper0
2010Level Shifts in Volatility and the Implied-Realized Volatility Relation In: CREATES Research Papers.
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paper7
2011Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach In: CREATES Research Papers.
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paper1
2010The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior In: CREATES Research Papers.
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paper20
2012THE IMPACT OF HEALTH CHANGES ON LABOR SUPPLY: EVIDENCE FROM MERGED DATA ON INDIVIDUAL OBJECTIVE MEDICAL DIAGNOSIS CODES AND EARLY RETIREMENT BEHAVIOR.(2012) In: Health Economics.
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article
2011Estimating Dynamic Equilibrium Models using Macro and Financial Data In: CREATES Research Papers.
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paper5
2012The impact of financial crises on the risk-return tradeoff and the leverage effect In: CREATES Research Papers.
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paper14
2015The impact of financial crises on the risk–return tradeoff and the leverage effect.(2015) In: Economic Modelling.
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article
2012The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect.(2012) In: Working Paper.
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2013A unified framework for testing in the linear regression model under unknown order of fractional integration In: CREATES Research Papers.
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paper0
2013A unified framework for testing in the linear regression model under unknown order of fractional integration.(2013) In: Hannover Economic Papers (HEP).
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paper
2015Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination In: CREATES Research Papers.
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paper8
2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination.(2017) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 8
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2016Dynamic Global Currency Hedging In: CREATES Research Papers.
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2021Dynamic Global Currency Hedging*.(2021) In: The Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 3
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2019Assessing predictive accuracy in panel data models with long-range dependence In: CREATES Research Papers.
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2020Targeting predictors in random forest regression In: CREATES Research Papers.
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paper13
2020Targeting predictors in random forest regression.(2020) In: Papers.
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2023Targeting predictors in random forest regression.(2023) In: International Journal of Forecasting.
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2020Optimal control of investment, premium and deductible for a non-life insurance company In: CREATES Research Papers.
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paper1
2021Optimal control of investment, premium and deductible for a non-life insurance company.(2021) In: Insurance: Mathematics and Economics.
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This paper has nother version. Agregated cites: 1
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2021The incremental information in the yield curve about future interest rate risk In: CREATES Research Papers.
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paper0
2023The incremental information in the yield curve about future interest rate risk.(2023) In: Journal of Banking & Finance.
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2022Estimation of continuous-time linear DSGE models from discrete-time measurements In: CREATES Research Papers.
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paper0
2021Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting In: Journal of the Royal Statistical Society Series A.
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1994EFFICIENCY GAINS IN BETA?PRICING MODELS1 In: Mathematical Finance.
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1999Interest Rate Dynamics and Consistent Forward Rate Curves In: Mathematical Finance.
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article136
1997Interest Rate Dynamics and Consistent Forward Rate Curves.(1997) In: SSE/EFI Working Paper Series in Economics and Finance.
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2011Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors Introduction In: Journal of Time Series Econometrics.
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article0
2001Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion In: Monte Carlo Methods and Applications.
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2014Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data In: CESifo Working Paper Series.
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2016Estimating dynamic equilibrium models using mixed frequency macro and financial data.(2016) In: Journal of Econometrics.
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1991The Exact Likelihood Function for an Empirical Job Search Model In: Econometric Theory.
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1990THE EXACT LIKELIHOOD FUNCTION FOR AN EMPIRICAL JOB SEARCH MODEL..(1990) In: Tilburg - Center for Economic Research.
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1998Approximate Distributions in Essentially Linear Models In: Working Papers.
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1998Approximate Distributions in Essentially Linear Models..(1998) In: Centre for Labour Market and Social Research, Danmark-.
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2000Statistical Manifolds and Separate Inference In: Working Papers.
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2000Panel Data, Local Cuts, and Orthogeodesic Models In: Econometric Society World Congress 2000 Contributed Papers.
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1997Panel Data, Local Cuts, and Orthogeodesic Models..(1997) In: Centre for Labour Market and Social Research, Danmark-.
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2015The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models In: Journal of Econometrics.
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article14
1997Inference in non-linear panel models with partially missing observations The case of the equilibrium search model In: Journal of Econometrics.
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article9
2023Climate, wind energy, and CO2 emissions from energy production in Denmark In: Energy Economics.
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1998Some system theoretic aspects of interest rate theory In: Insurance: Mathematics and Economics.
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article1
2019Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market In: Insurance: Mathematics and Economics.
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article2
2019An asset pricing approach to testing general term structure models In: Journal of Financial Economics.
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1998The relation between implied and realized volatility In: Journal of Financial Economics.
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1999The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: an Application to Danish Data..(1999) In: Centre for Labour Market and Social Research, Danmark-.
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1999Equilibrium Search with Human Capital Accumulation..(1999) In: Centre for Labour Market and Social Research, Danmark-.
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1999The Effects of Pension System on Retirement and Government Finances: Predictions Using Danish Data on Married Couples. In: Aarhus School of Business - Department of Economics.
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paper1
1999A Bivariate Duration Model of the Joint Retirement Decisions of Married Couples. In: Centre for Labour Market and Social Research, Danmark-.
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paper12
2019Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation In: Risks.
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article3
2006Structural Models of Wage and Employment Dynamics In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Structural Models of Wage and Employment Dynamics.(2006) In: Post-Print.
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2017End-Of-Life Medical Spending In Last Twelve Months Of Life Is Lower Than Previously Reported In: Post-Print.
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2017End-Of-Life Medical Spending In Last Twelve Months Of Life Is Lower Than Previously Reported.(2017) In: PSE-Ecole d'économie de Paris (Postprint).
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2004Latent Utility Shocks in a Structural Empirical Asset Pricing Model In: Working Papers.
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2016Medical Spending in Denmark In: Fiscal Studies.
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2004Special issue on the econometrics of social insurance In: Journal of Applied Econometrics.
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article1
2004Multivariate mixed proportional hazard modelling of the joint retirement of married couples In: Journal of Applied Econometrics.
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2003On the Job Search and the Wage Distribution In: CAM Working Papers.
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2005On-the-Job Search and the Wage Distribution.(2005) In: Journal of Labor Economics.
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2000On the job search and the wage distribution.(2000) In: SFB 373 Discussion Papers.
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2022Consumption and Saving after Retirement In: NBER Working Papers.
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2005Forecasting Exchange Rate Volatility In The Presence Of Jumps In: Working Paper.
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2006The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps In: Working Paper.
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2010Wage and Productivity Dispersion: Labor Quality or Rent Sharing? In: 2010 Meeting Papers.
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