Bent Jesper Christensen : Citation Profile

Are you Bent Jesper Christensen?

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

17

H index

24

i10 index

1586

Citations

RESEARCH PRODUCTION:

33

Articles

53

Papers

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   32 years (1990 - 2022). See details.
   Cites by year: 49
   Journals where Bent Jesper Christensen has often published
   Relations with other researchers
   Recent citing documents: 102.    Total self citations: 36 (2.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch701
   Updated: 2023-11-04    RAS profile: 2022-09-06    
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Relations with other researchers

Works with:

Parra-Alvarez, Juan (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)

Rudebusch, Glenn (11)

Lise, Jeremy (11)

Hornstein, Andreas (11)

Caporin, Massimiliano (11)

Cites to:

Bollerslev, Tim (63)

Andersen, Torben (54)

Diebold, Francis (49)

Nielsen, Morten (35)

Postel-Vinay, Fabien (20)

Campbell, John (20)

Newey, Whitney (17)

Robin, Jean-Marc (16)

Engle, Robert (15)

Tauchen, George (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 Applied Econometrics2
Journal of Financial Economics2
Mathematical Finance2
Journal of Labor Economics2

Working Papers Series with more than one paper published# docs
Working Paper / Economics Department, Queen's University6
Post-Print / HAL2

Recent works citing Bent Jesper Christensen (2023 and 2022)

YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

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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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2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235.

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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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2022MULTINATIONALS AND WAGES: EVIDENCE FROM EMPLOYER–EMPLOYEE DATA IN SERBIA. (2022). Kennell, James ; Delevic, Uros . In: Economic Annals. RePEc:beo:journl:v:67:y:2022:i:232:p:49-80.

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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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2022Autoregressive spectral estimates under ignored changes in the mean. (2022). Hosseinkouchack, Mehdi ; Demetrescu, Matei. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:329-340.

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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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2022Retirement Decision of Belgian Couples and the Impact of the Social Security System. (2022). Jousten, Alain ; Cetin, Sefane. In: LIDAM Discussion Papers CORE. RePEc:cor:louvco:2022024.

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2022Robust Testing for Explosive Behavior with Strongly Dependent Errors. (2022). , Peter ; PEter, ; Yu, Jun ; JunYu, ; Lui, Yiu Lim. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2350.

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2022The financial accelerator mechanism: does frequency matter?. (2022). Marcellino, Massimiliano ; Foroni, Claudia ; Gelain, Paolo. In: Working Paper Series. RePEc:ecb:ecbwps:20222637.

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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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2022Bayesian beta regression for bounded responses with unknown supports. (2022). Huang, Xianzheng ; Zhou, Haiming. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:167:y:2022:i:c:s0167947321001791.

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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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2022The driving forces of green bond market volatility and the response of the market to the COVID-19 pandemic. (2022). Liu, Min. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:288-309.

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2022Labour market regimes, technology and rent-sharing in Japan. (2022). Pompei, Fabrizio ; Perugini, Cristiano ; Fukao, Kyoji. In: Economic Modelling. RePEc:eee:ecmode:v:112:y:2022:i:c:s026499932200102x.

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2022The impact of COVID-19 on commodity options market: Evidence from China. (2022). Xu, Hao ; Chen, Jilong. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002395.

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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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2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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2022Testing for parameter instability and structural change in persistent predictive regressions. (2022). Varneskov, Rasmus T ; Andersen, Torben G. In: Journal of Econometrics. RePEc:eee:econom:v:231:y:2022:i:2:p:361-386.

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2022A hybrid stochastic differential reinsurance and investment game with bounded memory. (2022). Zhong, Feimin ; Gao, Rui ; Xiao, Helu ; Zhou, Zhongbao ; Bai, Yanfei. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:2:p:717-737.

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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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2022An oil futures volatility forecast perspective on the selection of high-frequency jump tests. (2022). Ma, Feng ; Lu, Xinjie ; Liao, Yin. In: Energy Economics. RePEc:eee:eneeco:v:116:y:2022:i:c:s014098832200487x.

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2022Long-memory and volatility spillovers across petroleum futures. (2022). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Energy. RePEc:eee:energy:v:243:y:2022:i:c:s0360544221031996.

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2022News-based sentiment and bitcoin volatility. (2022). Sapkota, Niranjan. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001454.

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2022Effects of investor sentiment and country governance on unexpected conditional volatility during the COVID-19 pandemic: Evidence from global stock markets. (2022). Tang, Leilei ; Hsu, Yu-Lin. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001478.

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2022Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market. (2022). Chen, Pengzhan ; Wu, Bin ; Xia, Wenjing ; Ye, Wuyi. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002320.

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2022Can risk-neutral skewness and kurtosis subsume the information content of historical jumps?. (2022). Wu, Tu-Cheng ; Shiu, Yung-Ming ; Pan, Ging-Ginq. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s1386418120300835.

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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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2022Irreversible reinsurance: A singular control approach. (2022). Wong, Hoi Ying ; Park, Kyunghyun ; Yan, Tingjin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:107:y:2022:i:c:p:326-348.

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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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2022Market-consistent valuation of natural catastrophe risk. (2022). Braun, Alexander ; Beer, Simone. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621003010.

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2022Heterogeneity in end of life health care expenditure trajectory profiles. (2022). Rice, Nigel ; Santos, Rita ; Kasteridis, Panagiotis. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:204:y:2022:i:c:p:221-251.

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2022Oil price volatility forecasts: What do investors need to know?. (2022). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s026156062100245x.

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2022Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?. (2022). Maghyereh, Aktham ; Awartani, Basel ; Abdoh, Hussein. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000283.

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2022Joint retirement behaviour and pension reform in the Netherlands. (2022). van Soest, Arthur ; Garcia, Amparo Nagore. In: The Journal of the Economics of Ageing. RePEc:eee:joecag:v:23:y:2022:i:c:s2212828x22000330.

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2022Forecasting crude oil market volatility: A newspaper-based predictor regarding petroleum market volatility. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Song, Yixuan. In: Resources Policy. RePEc:eee:jrpoli:v:79:y:2022:i:c:s0301420722005360.

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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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2022Heterogeneity in economic relationships: Scale dependence through the multivariate fractal regression. (2022). TILFANI, Oussama ; Krištoufek, Ladislav ; Ferreira, Paulo ; el Boukfaoui, My Youssef ; Kristoufek, Ladislav. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:588:y:2022:i:c:s0378437121008037.

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2022Simplified calculations of time correlation functions in non-stationary complex financial systems. (2022). Jiang, Xiong-Fei ; Li, Yan ; Zheng, BO ; Jin, Li-fu ; Zhang, Jiu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008736.

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2022Variation in option implied volatility spread and future stock returns. (2022). Kassa, Haimanot ; Fodor, Andy ; Diavatopoulos, Dean ; Delisle, Jared R. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:83:y:2022:i:c:p:152-160.

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2022How arbitrage-free is the Nelson–Siegel model under stochastic volatility?. (2022). Takamizawa, Hideyuki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:205-223.

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2022Risk-return trade-off in the Australian Securities Exchange: Accounting for overnight effects, realized higher moments, long-run relations, and fractional cointegration. (2022). Gau, Yin-Feng ; Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:384-401.

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2022Singlehanded or joint race? Stock market volatility prediction. (2022). Dong, Dayong ; Wang, Jianqiong ; Ma, Feng ; Lu, Xinjie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:80:y:2022:i:c:p:734-754.

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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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2022Measuring effectiveness in community-based palliative care programs: A systematic review. (2022). Kowalczyk, Monica ; Hughes, Courtney M ; Vernon, Erin. In: Social Science & Medicine. RePEc:eee:socmed:v:296:y:2022:i:c:s027795362200034x.

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2022Asymmetric network connectedness of fears. (2020). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia ; Barunik, Jozef. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:108199.

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2022Unemployment insurance and labour productivity over the business cycle. (2021). Rujiwattanapong, Similan W. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:114314.

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2022The financial accelerator mechanism: does frequency matter?. (2022). Foroni, Claudia ; Gelain, Paolo ; Marcellino, Massimiliano. In: Working Papers. RePEc:fip:fedcwq:94980.

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2022Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?. (2018). LeRoy, Stephen ; Lansing, Kevin ; Ma, Jun. In: Working Paper Series. RePEc:fip:fedfwp:2018-14.

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2022Anatomy of Lifetime Earnings Inequality: Heterogeneity in Job Ladder Risk vs. Human Capital. (2022). Ozkan, Serdar ; Karahan, Fatih ; Song, Jae. In: Working Papers. RePEc:fip:fedlwp:93614.

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2023.

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2022Optimal Control Strategies for the Premium Policy of an Insurance Firm with Jump Diffusion Assets and Stochastic Interest Rate. (2022). Vives, Josep ; Khelfallah, Nabil ; Guerdouh, Dalila. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:3:p:143-:d:772943.

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2022.

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2022Heterogeneity Effect of Corporate Financialization on Total Factor Productivity. (2022). Xu, Shu ; Wang, Hui. In: Sustainability. RePEc:gam:jsusta:v:14:y:2022:i:11:p:6577-:d:825780.

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2022Risk information - normal markets and the COVID-19 pandemic period. (2022). Jacob, Joshy ; Srivastava, Pranjal. In: IIMA Working Papers. RePEc:iim:iimawp:14686.

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2022Tractable Term Structure Models. (2022). Feunou, Bruno ; Lundblad, Christian ; Le, Anh ; Fontaine, Jean-Sebastien. In: Management Science. RePEc:inm:ormnsc:v:68:y:2022:i:11:p:8411-8429.

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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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2022A Comparative Analysis of Parsimonious Yield Curve Models with Focus on the Nelson-Siegel, Svensson and Bliss Versions. (2022). Schurle, Michael ; Paraschiv, Florentina ; Wahlstrom, Ranik Raaen. In: Computational Economics. RePEc:kap:compec:v:59:y:2022:i:3:d:10.1007_s10614-021-10113-w.

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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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2022Special Repo Rates and the Cross-Section of Bond Prices: The Role of the Special Collateral Risk Premium*. (2022). Pancost, Aaron N ; Damico, Stefania. In: Review of Finance. RePEc:oup:revfin:v:26:y:2022:i:1:p:117-162..

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2022Factor momentum, option-implied volatility scaling, and investor sentiment. (2022). Rutanen, Jere ; Kolari, James W ; Grobys, Klaus. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:2:d:10.1057_s41260-021-00229-x.

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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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2022Unemployment Insurance and Labour Productivity over the Business Cycle. (). Rujiwattanapong, Similan. In: Review of Economic Dynamics. RePEc:red:issued:19-66.

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2022Variable selection with group structure: exiting employment at retirement age—a competing risks quantile regression analysis. (2022). Wilke, Ralf ; Shi, Shuolin. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:1:d:10.1007_s00181-020-01918-z.

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2022The common and specific components of inflation expectations across European countries. (2022). Hardle, Wolfgang Karl ; Chen, Shi ; Wang, Weining. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:2:d:10.1007_s00181-021-02027-1.

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2022One last effort. Are high out-of-pocket payments at the end of life a fatality?. (2022). Sevilla-Dedieu, Christine ; Guern, Morgane ; Sirven, Nicolas ; Bell-Aldeghi, Rosalind. In: The European Journal of Health Economics. RePEc:spr:eujhec:v:23:y:2022:i:5:d:10.1007_s10198-021-01401-1.

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2022Looking into the black box of “Medical Innovation”: rising health expenditures by illness type. (2022). Schober, Thomas ; Pruckner, Gerald J ; Lorenz, Normann ; Breyer, Friedrich. In: The European Journal of Health Economics. RePEc:spr:eujhec:v:23:y:2022:i:9:d:10.1007_s10198-022-01447-9.

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2022Employee perception of managers’ attitudes towards older workers is associated with risk of loss of paid work before state pension age: prospective cohort study with register follow-up. (2022). Andersen, Lars L ; Sundstrup, Emil ; Meng, Annette. In: European Journal of Ageing. RePEc:spr:eujoag:v:19:y:2022:i:4:d:10.1007_s10433-022-00720-3.

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2022Distributional effects of technological regime changes: hysteresis, concentration and inequality dynamics. (2022). Hepp, Jasper ; Dawid, Herbert. In: Review of Evolutionary Political Economy. RePEc:spr:revepe:v:3:y:2022:i:1:d:10.1007_s43253-021-00052-5.

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2022How do Workers Learn? Theory and Evidence on the Roots of Lifecycle Human Capital Accumulation. (2022). Vidart, Daniela ; Ma, Xiao ; Nakab, Alejandro. In: Working papers. RePEc:uct:uconnp:2022-11.

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2022Predictive power of implied volatility of structured call warrants: Evidence from Singapore. (2022). Mohamad, Azhar ; Murad, Najmi Ismail ; Hamid, Zarinah ; Sifat, Imtiaz Mohammad. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4412-4430.

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2022Information gains from using short?dated options for measuring and forecasting volatility. (2022). Zhang, Yang ; Todorov, Viktor. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:2:p:368-391.

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2022Making text count: Economic forecasting using newspaper text. (2022). Kapadia, Sujit ; Kapetanios, George ; Redl, Chris ; Turrell, Arthur ; Kalamara, Eleni. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:5:p:896-919.

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2022Moving beyond Volatility Index (VIX): HARnessing the term structure of implied volatility. (2022). Clements, Adam ; Tang, Yusui ; Liao, Yin. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:1:p:86-99.

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2022Forecasting realized volatility of Chinese stock market: A simple but efficient truncated approach. (2022). Wang, Yudong ; Zhang, Yaojie ; He, Mengxi ; Wen, Danyan. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:230-251.

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2022What matters when developing oil price volatility forecasting frameworks?. (2022). Filis, George ; Degiannakis, Stavros ; Delis, Panagiotis. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:2:p:361-382.

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2022Forecasting Bitcoin volatility: A new insight from the threshold regression model. (2022). Wang, Yudong ; Wen, Danyan ; He, Mengxi ; Zhang, Yaojie. In: Journal of Forecasting. RePEc:wly:jforec:v:41:y:2022:i:3:p:633-652.

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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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2022Forecasting realized volatility: New evidence from time?varying jumps in VIX. (2022). Dutta, Anupam ; Das, Debojyoti. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:12:p:2165-2189.

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2022Are option traders more informed than Twitter users? A PVAR analysis. (2022). Zhou, Ivy Z ; Xu, Caihong ; Frino, Alex. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:9:p:1755-1771.

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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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2022Peso problems in the estimation of the C?CAPM. (2022). Schrimpf, Andreas ; Posch, Olaf ; Parra-Alvarez, Juan ; Parraalvarez, Juan Carlos ; Juan Carlos Parra Alvarez, ; Juan Carlos Parra Alvarez, . In: Quantitative Economics. RePEc:wly:quante:v:13:y:2022:i:1:p:259-313.

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

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.
[Full Text][Citation analysis]		paper91
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 another version. Agregated cites: 91		article
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations In: CREATES Research Papers.
[Full Text][Citation analysis]		paper46
2007The Effect of Long Memory in Volatility on Stock Market Fluctuations.(2007) In: The Review of Economics and Statistics.
[Full Text][Citation analysis]
This paper has another 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.
[Full Text][Citation analysis]		paper174
2011The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 174		article
2008The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets.(2008) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 174		paper
2007Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper47
2010Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model.(2010) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		article
2009Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model.(2009) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47		paper
2007Market Power in Power Markets: Evidence from Forward Prices of Electricity In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
2008Semiparametric Inference in a GARCH-in-Mean Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper15
2012Semiparametric inference in a GARCH-in-mean model.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
2008Optimal inference in dynamic models with conditional moment restrictions In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2010The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2010An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2010The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2010Level Shifts in Volatility and the Implied-Realized Volatility Relation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
2011Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach In: CREATES Research Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		article
2011Estimating Dynamic Equilibrium Models using Macro and Financial Data In: CREATES Research Papers.
[Full Text][Citation analysis]		paper5
2012The impact of financial crises on the risk-return tradeoff and the leverage effect In: CREATES Research Papers.
[Full Text][Citation analysis]		paper14
2015The impact of financial crises on the risk–return tradeoff and the leverage effect.(2015) In: Economic Modelling.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		article
2012The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect.(2012) In: Working Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14		paper
2013A unified framework for testing in the linear regression model under unknown order of fractional integration In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2013A unified framework for testing in the linear regression model under unknown order of fractional integration.(2013) In: Hannover Economic Papers (HEP).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2015Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2017Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8		article
2016Dynamic Global Currency Hedging In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2021Dynamic Global Currency Hedging*.(2021) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2019Assessing predictive accuracy in panel data models with long-range dependence In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2020Targeting predictors in random forest regression In: CREATES Research Papers.
[Full Text][Citation analysis]		paper12
2020Targeting predictors in random forest regression.(2020) In: Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		paper
2020Optimal control of investment, premium and deductible for a non-life insurance company In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2021Optimal control of investment, premium and deductible for a non-life insurance company.(2021) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2021The incremental information in the yield curve about future interest rate risk In: CREATES Research Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		article0
1994EFFICIENCY GAINS IN BETA?PRICING MODELS1 In: Mathematical Finance.
[Full Text][Citation analysis]		article0
1999Interest Rate Dynamics and Consistent Forward Rate Curves In: Mathematical Finance.
[Full Text][Citation analysis]		article135
1997Interest Rate Dynamics and Consistent Forward Rate Curves.(1997) In: SSE/EFI Working Paper Series in Economics and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 135		paper
2011Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors Introduction In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article0
2001Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion In: Monte Carlo Methods and Applications.
[Full Text][Citation analysis]		article0
2014Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper12
2016Estimating dynamic equilibrium models using mixed frequency macro and financial data.(2016) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12		article
1991The Exact Likelihood Function for an Empirical Job Search Model In: Econometric Theory.
[Full Text][Citation analysis]		article18
1990THE EXACT LIKELIHOOD FUNCTION FOR AN EMPIRICAL JOB SEARCH MODEL..(1990) In: Tilburg - Center for Economic Research.
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This paper has another version. Agregated cites: 18		paper
1998Approximate Distributions in Essentially Linear Models In: Working Papers.
[Full Text][Citation analysis]		paper3
1998Approximate Distributions in Essentially Linear Models..(1998) In: Centre for Labour Market and Social Research, Danmark-.
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This paper has another version. Agregated cites: 3		paper
2000Statistical Manifolds and Separate Inference In: Working Papers.
[Citation analysis]		paper0
2000Panel Data, Local Cuts, and Orthogeodesic Models In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper4
1997Panel Data, Local Cuts, and Orthogeodesic Models..(1997) In: Centre for Labour Market and Social Research, Danmark-.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
2015The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
1997Inference in non-linear panel models with partially missing observations The case of the equilibrium search model In: Journal of Econometrics.
[Full Text][Citation analysis]		article9
1998Some system theoretic aspects of interest rate theory In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article0
2019Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]		article2
2019An asset pricing approach to testing general term structure models In: Journal of Financial Economics.
[Full Text][Citation analysis]		article2
1998The relation between implied and realized volatility In: Journal of Financial Economics.
[Full Text][Citation analysis]		article451
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.
[Citation analysis]		paper1
1999A Bivariate Duration Model of the Joint Retirement Decisions of Married Couples. In: Centre for Labour Market and Social Research, Danmark-.
[Citation analysis]		paper12
1999Equilibrium Search with Human Capital Accumulation. In: Centre for Labour Market and Social Research, Danmark-.
[Citation analysis]		paper27
1999The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: an Application to Danish Data. In: Centre for Labour Market and Social Research, Danmark-.
[Citation analysis]		paper2
2019Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation In: Risks.
[Full Text][Citation analysis]		article3
2006Structural Models of Wage and Employment Dynamics In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper48
2006Structural Models of Wage and Employment Dynamics.(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 48		paper
2017End-Of-Life Medical Spending In Last Twelve Months Of Life Is Lower Than Previously Reported In: Post-Print.
[Citation analysis]		paper16
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).
[Citation analysis]
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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.
[Full Text][Citation analysis]		article2
2004Special issue on the econometrics of social insurance In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article1
2004Multivariate mixed proportional hazard modelling of the joint retirement of married couples In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article42
2003On the Job Search and the Wage Distribution In: CAM Working Papers.
[Full Text][Citation analysis]		paper175
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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This paper has another version. Agregated cites: 175		paper
2022Consumption and Saving after Retirement In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
1999Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’ In: Review of Finance.
[Full Text][Citation analysis]		article0
2005The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices In: Working Paper.
[Full Text][Citation analysis]		paper2
2005Forecasting Exchange Rate Volatility In The Presence Of Jumps In: Working Paper.
[Full Text][Citation analysis]		paper4
2006The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps In: Working Paper.
[Full Text][Citation analysis]		paper1
2001Specification and Estimation of Equilibrium Search Models In: Review of Economic Dynamics.
[Full Text][Citation analysis]		article29
2010Wage and Productivity Dispersion: Labor Quality or Rent Sharing? In: 2010 Meeting Papers.
[Full Text][Citation analysis]		paper30
2014Wage and Productivity Dispersion: The Roles of Rent Sharing, Labor Quality and Capital Intensity In: 2014 Meeting Papers.
[Full Text][Citation analysis]		paper37
2017Health, Retirement and Consumption In: 2017 Meeting Papers.
[Full Text][Citation analysis]		paper0
2002New evidence on the implied-realized volatility relation In: The European Journal of Finance.
[Full Text][Citation analysis]		article30
1994Measurement Error in the Prototypal Job-Search Model. In: Journal of Labor Economics.
[Full Text][Citation analysis]		article18

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