Dennis Kristensen : Citation Profile

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

1172

Citations

RESEARCH PRODUCTION:

34

Articles

53

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   22 years (2003 - 2025). See details.
   Cites by year: 53
   Journals where Dennis Kristensen has often published
   Relations with other researchers
   Recent citing documents: 81.    Total self citations: 51 (4.17 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pkr127
   Updated: 2025-12-20    RAS profile: 2025-03-17    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Hadri, Kaddour (2)

Schjerning, Bertel (2)

Fosgerau, Mogens (2)

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

Is cited by:

LINTON, OLIVER (34)

Cherchye, Laurens (25)

De Rock, Bram (25)

Chen, Xiaohong (24)

Demuynck, Thomas (24)

de Paula, Aureo (17)

Cavaliere, Giuseppe (16)

Li, Degui (15)

Chernozhukov, Victor (15)

Pendakur, Krishna (14)

Rahbek, Anders (14)

Cites to:

Newey, Whitney (57)

Chen, Xiaohong (48)

Blundell, Richard (36)

Hansen, Lars (26)

Phillips, Peter (23)

LINTON, OLIVER (20)

Andrews, Donald (19)

Bollerslev, Tim (17)

Andersen, Torben (16)

Rahbek, Anders (16)

Gallant, A. (14)

Main data

Where Dennis Kristensen has published?

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

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Centre for Microdata Methods and Practice, Institute for Fiscal Studies8
Papers / arXiv.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 (2025 and 2024)

YearTitle of citing document
2024Purchases for Family: Heterogeneity of Demand Responses to Changes in Price and Expenditure. (2024). Nakashima, Yasuhiro ; Nakatani, Tomoaki ; Utsunomiya, Ryo. In: IAAE 2024 Conference, August 2-7, 2024, New Delhi, India. RePEc:ags:cfcp15:344311.

Full description at Econpapers || Download paper

2024Purchases for Family: Heterogeneity of Demand Responses to Changes in Price and Expenditure. (2024). Nakatani, Tomoaki ; Utsunomiya, Ryo ; Nakashima, Yasuhiro. In: IAAE 2024 Conference, August 2-7, 2024, New Delhi, India. RePEc:ags:iaae24:344311.

Full description at Econpapers || Download paper

2024Adaptive, Rate-Optimal Hypothesis Testing in Nonparametric IV Models. (2024). Chen, Xiaohong ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2006.09587.

Full description at Econpapers || Download paper

2024Adversarial Estimation of Riesz Representers. (2024). Newey, Whitney ; Chernozhukov, Victor ; Syrgkanis, Vasilis ; Singh, Rahul. In: Papers. RePEc:arx:papers:2101.00009.

Full description at Econpapers || Download paper

2025Normalizations and misspecification in skill formation models. (2022). Freyberger, Joachim. In: Papers. RePEc:arx:papers:2104.00473.

Full description at Econpapers || Download paper

2025Continuous permanent unobserved heterogeneity in dynamic discrete choice models. (2024). Bunting, Jackson. In: Papers. RePEc:arx:papers:2202.03960.

Full description at Econpapers || Download paper

2025Optimal Decision Rules when Payoffs are Partially Identified. (2023). Schorfheide, Frank ; Christensen, Timothy ; Moon, Hyungsik Roger. In: Papers. RePEc:arx:papers:2204.11748.

Full description at Econpapers || Download paper

2025Efficient Estimation of Structural Models via Sieves. (2025). Luo, Yao ; Sang, Peijun. In: Papers. RePEc:arx:papers:2204.13488.

Full description at Econpapers || Download paper

2024Beta-Sorted Portfolios. (2024). Crump, Richard ; Cattaneo, Matias ; Wang, Weining. In: Papers. RePEc:arx:papers:2208.10974.

Full description at Econpapers || Download paper

2025Cointegration with Occasionally Binding Constraints. (2025). Wycherley, Sam ; Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

Full description at Econpapers || Download paper

2024One-step smoothing splines instrumental regression. (2024). Lavergne, Pascal ; Beyhum, Jad ; Lapenta, Elia. In: Papers. RePEc:arx:papers:2307.14867.

Full description at Econpapers || Download paper

2024Inference for Nonlinear Endogenous Treatment Effects Accounting for High-Dimensional Covariate Complexity. (2024). Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang ; Zhang, Cun-Hui. In: Papers. RePEc:arx:papers:2310.08063.

Full description at Econpapers || Download paper

2024Data-driven fixed-point tuning for truncated realized variations. (2024). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2311.00905.

Full description at Econpapers || Download paper

2025Short-Term Asymptotics of Volatility Skew and Curvature Based on Cumulants. (2025). Cheng, Xue. In: Papers. RePEc:arx:papers:2401.03776.

Full description at Econpapers || Download paper

2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

Full description at Econpapers || Download paper

2024Dynamic Programming: Finite States. (2024). Sargent, Thomas ; Stachurski, John. In: Papers. RePEc:arx:papers:2401.10473.

Full description at Econpapers || Download paper

2025Local Identification in Instrumental Variable Multivariate Quantile Regression Models. (2024). Kono, Haruki. In: Papers. RePEc:arx:papers:2401.11422.

Full description at Econpapers || Download paper

2024Functional Spatial Autoregressive Models. (2024). Hoshino, Tadao. In: Papers. RePEc:arx:papers:2402.14763.

Full description at Econpapers || Download paper

2024Common Trends and Long-Run Identification in Nonlinear Structural VARs. (2024). Mavroeidis, Sophocles ; Duffy, James A. In: Papers. RePEc:arx:papers:2404.05349.

Full description at Econpapers || Download paper

2025Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression. (2025). Nishi, Mikihito. In: Papers. RePEc:arx:papers:2406.14046.

Full description at Econpapers || Download paper

2025Cross-sectional Dependence in Idiosyncratic Volatility. (2024). Tewou, Kokouvi ; Kalnina, Ilze. In: Papers. RePEc:arx:papers:2408.13437.

Full description at Econpapers || Download paper

2024A new GARCH model with a deterministic time-varying intercept. (2024). Teräsvirta, Timo ; Terasvirta, Timo ; Back, Alexander ; Ahlgren, Niklas. In: Papers. RePEc:arx:papers:2410.03239.

Full description at Econpapers || Download paper

2024Semiparametric Bayesian Inference for a Conditional Moment Equality Model. (2024). Walker, Christopher D. In: Papers. RePEc:arx:papers:2410.16017.

Full description at Econpapers || Download paper

2025Identification and Inference in General Bunching Designs. (2025). Song, Myunghyun. In: Papers. RePEc:arx:papers:2411.03625.

Full description at Econpapers || Download paper

2025EASI Drugs in the Streets of Colombia: Modeling Heterogeneous and Endogenous Drug Preferences. (2025). Ram, Andr'Es ; Montoya-Bland, Santiago. In: Papers. RePEc:arx:papers:2503.20100.

Full description at Econpapers || Download paper

2025Policy Learning with $\alpha$-Expected Welfare. (2025). Xu, Gaoqian ; Qi, Yuan ; Fan, Yanqin. In: Papers. RePEc:arx:papers:2505.00256.

Full description at Econpapers || Download paper

2025Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps. (2025). Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B ; Zhou, Tianwei. In: Papers. RePEc:arx:papers:2510.14285.

Full description at Econpapers || Download paper

2025On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944.

Full description at Econpapers || Download paper

2024Statistical inference for GQARCH‐Itô‐jumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638.

Full description at Econpapers || Download paper

2024Testing for jumps with robust spot volatility estimators. (2024). Sun, Yucheng. In: Statistica Neerlandica. RePEc:bla:stanee:v:78:y:2024:i:1:p:79-104.

Full description at Econpapers || Download paper

2025Measuring child poverty in rural China: Evidence from households with left-behind and non-left-behind children. (2025). Yu, Yangcheng ; Li, Shi ; Chen, Yuanyuan. In: China Economic Review. RePEc:eee:chieco:v:90:y:2025:i:c:s1043951x25000124.

Full description at Econpapers || Download paper

2024Conditional-mean multiplicative operator models for count time series. (2024). Zhu, Fukang ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:191:y:2024:i:c:s0167947323001962.

Full description at Econpapers || Download paper

2024Functional coefficient cointegration models with Box–Cox transformation. (2024). Tu, Yundong ; Lin, Yingqian. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523004986.

Full description at Econpapers || Download paper

2025A new class of Z-valued INAR(1) models with application to mutual fund flows. (2025). Kang, Yao ; Zhang, Yuqing ; Wang, Shuhui ; Zhao, Zhiwen. In: Economics Letters. RePEc:eee:ecolet:v:252:y:2025:i:c:s0165176525001764.

Full description at Econpapers || Download paper

2024Optimal nonparametric range-based volatility estimation. (2024). Bollerslev, Tim ; Li, Qiyuan. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646.

Full description at Econpapers || Download paper

2024Nonparametric Gini-Frisch bounds. (2024). Chalak, Karim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002762.

Full description at Econpapers || Download paper

2024Tail behavior of ACD models and consequences for likelihood-based estimation. (2024). Cavaliere, Giuseppe ; Mikosch, Thomas ; Vilandt, Frederik ; Rahbek, Anders. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003299.

Full description at Econpapers || Download paper

2024Nonparametric estimation of stochastic frontier models with weak separability. (2024). Centorrino, Samuele ; Parmeter, Christopher F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003573.

Full description at Econpapers || Download paper

2024Semiparametric Bayesian estimation of dynamic discrete choice models. (2024). Shimizu, Kenichi ; Norets, Andriy. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003585.

Full description at Econpapers || Download paper

2024Sieve bootstrap inference for linear time-varying coefficient models. (2024). Lin, Yicong ; Friedrich, Marina. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622001701.

Full description at Econpapers || Download paper

2024Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Mykland, Per A ; Zhang, Lan ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x.

Full description at Econpapers || Download paper

2024Time-varying forecast combination for factor-augmented regressions with smooth structural changes. (2024). Hong, Yongmiao ; Chen, Qitong ; Li, Haiqi. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000393.

Full description at Econpapers || Download paper

2024Maximum likelihood estimation of latent Markov models using closed-form approximations. (2024). Ait-Sahalia, Yacine ; Xu, Chen. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:2:s0304407620303389.

Full description at Econpapers || Download paper

2024Better the devil you know: Improved forecasts from imperfect models. (2024). Oh, Dong Hwan ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001131.

Full description at Econpapers || Download paper

2024An unbounded intensity model for point processes. (2024). Kolokolov, Aleksey ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001854.

Full description at Econpapers || Download paper

2024Latent utility and permutation invariance: A revealed preference approach. (2024). Rehbeck, John ; Allen, Roy. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001891.

Full description at Econpapers || Download paper

2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

Full description at Econpapers || Download paper

2024Estimating and testing for smooth structural changes in moment condition models. (2024). Li, Haiqi ; Zhou, Jin ; Hong, Yongmiao. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002471.

Full description at Econpapers || Download paper

2025Unconditional quantile partial effects via conditional quantile regression. (2025). Montes-Rojas, Gabriel ; Galvao, Antonio ; Alejo, Javier ; Martinez-Iriarte, Julian. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pa:s0304407624000241.

Full description at Econpapers || Download paper

2025Cross-sectional dependence in idiosyncratic volatility. (2025). Kalnina, Ilze ; Tewou, Kokouvi. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000570.

Full description at Econpapers || Download paper

2025Faster estimation of dynamic discrete choice models using index invertibility. (2025). Bunting, Jackson ; Ura, Takuya. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s0304407625000582.

Full description at Econpapers || Download paper

2024Estimation of Large Dynamic Covariance Matrices: A Selective Review. (2024). Li, Degui. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:16-30.

Full description at Econpapers || Download paper

2025Sparse simulation-based estimator built on quantiles. (2025). Petrella, Lea ; Bernardi, Mauro ; Stolfi, Paola. In: Econometrics and Statistics. RePEc:eee:ecosta:v:34:y:2025:i:c:p:32-43.

Full description at Econpapers || Download paper

2024Local predictability of stock returns and cash flows. (2024). Chen, LI ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000203.

Full description at Econpapers || Download paper

2025A system of time-varying models for predictive regressions. (2025). Yan, Yayi ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:82:y:2025:i:c:s0927539825000441.

Full description at Econpapers || Download paper

2024Welfare implications of a tax on electricity: A semi-parametric specification of the incomplete EASI demand system. (2024). Ramírez Hassan, Andrés ; Ramirezhassan, Andres ; Lopez-Vera, Alejandro. In: Energy Economics. RePEc:eee:eneeco:v:131:y:2024:i:c:s0140988324000975.

Full description at Econpapers || Download paper

2024Option pricing under market makers inventory risk: A case study of China. (2024). Deng, Zhijian ; Yao, Yuhang. In: Finance Research Letters. RePEc:eee:finlet:v:66:y:2024:i:c:s1544612324006469.

Full description at Econpapers || Download paper

2024Bayesian forecasting in economics and finance: A modern review. (2024). Maheu, John ; Huber, Florian ; Koop, Gary ; Martin, Gael M ; Nibbering, Didier ; Frazier, David T ; Panagiotelis, Anastasios ; Maneesoonthorn, Worapree ; Loaiza-Maya, Ruben. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:811-839.

Full description at Econpapers || Download paper

2024Properties of the reconciled distributions for Gaussian and count forecasts. (2024). Giudici, Paolo ; Zambon, Lorenzo ; Corani, Giorgio ; Agosto, Arianna. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1438-1448.

Full description at Econpapers || Download paper

2025ABC-based forecasting in misspecified state space models. (2025). Loaiza-Maya, Rubn ; Weerasinghe, Chaya ; Frazier, David T ; Martin, Gael M. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:270-289.

Full description at Econpapers || Download paper

2024Calibration and validation of macroeconomic simulation models by statistical causal search. (2024). Pallante, Gianluca ; Moneta, Alessio ; Martinoli, Mario. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:228:y:2024:i:c:s0167268124004001.

Full description at Econpapers || Download paper

2024Doubly multiplicative error models with long- and short-run components. (2024). Gallo, Giampiero ; Amendola, Alessandra ; Candila, V ; Cipollini, F. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123002768.

Full description at Econpapers || Download paper

2024Does Engels law work in central and Eastern European countries? The role of aspirations in determining food expenditures. (2024). Olipra, Jakub. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:71:y:2024:i:c:p:26-34.

Full description at Econpapers || Download paper

2024Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil. (2024). Marçal, Emerson ; Simes, Oscar Rodrigues ; Maral, Emerson. In: Textos para discussão. RePEc:fgv:eesptd:571.

Full description at Econpapers || Download paper

2024Factor Selection and Structural Breaks. (2024). Smith, Simon ; Chib, Siddhartha. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-37.

Full description at Econpapers || Download paper

2025Modeling economies of scope in joint production: Convex regression of input distance function. (2025). Kuosmanen, Timo ; Dai, Sheng. In: Journal of Productivity Analysis. RePEc:kap:jproda:v:63:y:2025:i:1:d:10.1007_s11123-024-00739-x.

Full description at Econpapers || Download paper

2024Macroprudential Policies and Credit Volatility. (2024). Carbonari, Lorenzo ; Trovato, Giovanni ; Petracchi, Cosimo ; Farcomeni, Alessio. In: Working Paper series. RePEc:rim:rimwps:24-16.

Full description at Econpapers || Download paper

2025On uniform consistency of nonparametric estimators smoothed by the gamma kernel. (2025). Hirukawa, Masayuki ; Funke, Benedikt. In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:77:y:2025:i:3:d:10.1007_s10463-024-00923-8.

Full description at Econpapers || Download paper

2024The power of news data in forecasting tail risk: evidence from China. (2024). Ma, Yong ; Yan, LU ; Pan, Dongtao. In: Empirical Economics. RePEc:spr:empeco:v:67:y:2024:i:6:d:10.1007_s00181-024-02620-0.

Full description at Econpapers || Download paper

2025Does the Kyoto Protocol have a structural impact on the environmental Kuznets curve? An application of the varying coefficient model. (2025). Chen, Wan-Jiun ; Wang, Chien-Ho ; Chu, Chi-Yang. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:2:d:10.1007_s00181-024-02655-3.

Full description at Econpapers || Download paper

2025Crypto market betas: the limits of predictability and hedging. (2025). Weber, Thomas ; Sila, Jan ; Krištoufek, Ladislav ; Kristoufek, Ladislav ; Mark, Michael. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00777-w.

Full description at Econpapers || Download paper

2024On the existence of stationary threshold bilinear processes. (2024). Cavicchioli, Maddalena ; Zemmouri, Imane ; Ghezal, Ahmed. In: Statistical Papers. RePEc:spr:stpapr:v:65:y:2024:i:6:d:10.1007_s00362-024-01539-z.

Full description at Econpapers || Download paper

2025Estimation and specification test for diffusion models with stochastic volatility. (2025). Gonzlez-Manteiga, W ; Febrero-Bande, M ; Lpez-Prez, A. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:2:d:10.1007_s00362-024-01652-z.

Full description at Econpapers || Download paper

2025Observations concerning the estimation of Heston’s stochastic volatility model using HF data. (2025). Schmid, Manuel ; Rockinger, Michael ; Okhrin, Ostap. In: Statistical Papers. RePEc:spr:stpapr:v:66:y:2025:i:4:d:10.1007_s00362-025-01710-0.

Full description at Econpapers || Download paper

2024Generalized Optimization Algorithms for Complex Objective Functions. (2024). Seri, Raffaello ; Martinoli, Mario ; Corsi, Fulvio. In: LEM Papers Series. RePEc:ssa:lemwps:2024/18.

Full description at Econpapers || Download paper

2025Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices. (2025). Marijnen, Niels ; Dalderop, Jeroen ; Boswijk, Peter H. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20250022.

Full description at Econpapers || Download paper

2025Gaussian Transforms Modeling and the Estimation of Distributional Regression Functions. (2025). Spady, Richard H ; Stouli, Sami. In: Econometrica. RePEc:wly:emetrp:v:93:y:2025:i:5:p:1885-1913.

Full description at Econpapers || Download paper

2024REGULARIZED GMM FOR TIME‐VARYING MODELS WITH APPLICATIONS TO ASSET PRICING. (2024). Hong, Yongmiao ; Feng, Guanhao ; Cui, Liyuan. In: International Economic Review. RePEc:wly:iecrev:v:65:y:2024:i:2:p:851-883.

Full description at Econpapers || Download paper

2025Is illiquidity priced in an international factor pricing model? A dynamic panel data application with robust IV. (2025). Racicot, Franoiseric ; Rentz, William F ; Thoret, Raymond. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:1:p:282-314.

Full description at Econpapers || Download paper

2024Partial identification and inference in duration models with endogenous censoring. (2024). Sakaguchi, Shosei. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:2:p:308-326.

Full description at Econpapers || Download paper

2024Changes in the span of systematic risk exposures. (2024). Liao, Yuan ; Todorov, Viktor. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:3:p:817-847.

Full description at Econpapers || Download paper

Dennis Kristensen is editor of

Journal
The Econometrics Journal
Econometrics Journal

Works by Dennis Kristensen:

YearTitleTypeCited
2007Nonparametric Estimation and Misspecification Testing of Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2007Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper87
2010NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH.(2010) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87		article
2007Likelihood-Based Inference in Nonlinear Error-Correction Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2008Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data In: CREATES Research Papers.
[Full Text][Citation analysis]		paper51
2009UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA.(2009) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51		article
2008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood In: CREATES Research Papers.
[Full Text][Citation analysis]		paper39
2012Estimation of dynamic models with nonparametric simulated maximum likelihood.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		article
2009Testing Conditional Factor Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper100
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 100		article
2011Testing Conditional Factor Models.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 100		paper
2009Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper22
2011Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models.(2011) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 22		article
2009Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper11
2010Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		article
2009Semiparametric Modelling and Estimation: A Selective Overview In: CREATES Research Papers.
[Full Text][Citation analysis]		paper1
2010Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper7
2011Semi-nonparametric estimation and misspecification testing of diffusion models.(2011) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2010Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2010Estimation of Stochastic Volatility Models by Nonparametric Filtering In: CREATES Research Papers.
[Full Text][Citation analysis]		paper37
2015Estimation of stochastic volatility models by nonparametric filtering.(2015) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2016ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING.(2016) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		article
2015Estimation of stochastic volatility models by nonparametric filtering.(2015) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper14
2013TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS.(2013) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models.(2010) In: Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2011Nonparametric Detection and Estimation of Structural Change In: CREATES Research Papers.
[Full Text][Citation analysis]		paper30
2012Non‐parametric detection and estimation of structural change.(2012) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		article
2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates In: CREATES Research Papers.
[Full Text][Citation analysis]		paper47
2013Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates.(2013) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		paper
2013Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates.(2013) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		paper
2014Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates.(2014) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 47		article
2014ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper20
2015ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models.(2015) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		article
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
[Full Text][Citation analysis]		paper36
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 36		article
2018Diffusion Copulas: Identification and Estimation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2020Diffusion Copulas: Identification and Estimation.(2020) In: Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2021Diffusion copulas: Identification and estimation.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2018Diffusion Copulas: Identification and Estimation.(2018) In: Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2013Control Functions and Simultaneous Equations Methods In: American Economic Review.
[Full Text][Citation analysis]		article11
2025Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models In: Papers.
[Full Text][Citation analysis]		paper2
2020Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods In: Papers.
[Full Text][Citation analysis]		paper5
2021Solving dynamic discrete choice models using smoothing and sieve methods.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		article
2019Solving dynamic discrete choice models using smoothing and sieve methods.(2019) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2020Identification of a class of index models: A topological approach In: Papers.
[Full Text][Citation analysis]		paper3
2019Identification of a class of index models: A topological approach.(2019) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2021Identification of a class of index models: A topological approach.(2021) In: The Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2023Closed-form approximations of moments and densities of continuous-time Markov models In: Papers.
[Full Text][Citation analysis]		paper0
2024Closed-form approximations of moments and densities of continuous–time Markov models.(2024) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2009Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper13
2012Estimation of dynamic latent variable models using simulated non‐parametric moments.(2012) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2009SNM Guide In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper0
2011Indirect likelihood inference In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper10
2015Indirect Likelihood Inference.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2011Indirect Likelihood Inference.(2011) In: Dynare Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2013Indirect Likelihood Inference (revised) In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper8
2015On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper6
2016On selection of statistics for approximate Bayesian computing (or the method of simulated moments).(2016) In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2013Higher-order properties of approximate estimators In: CeMMAP working papers.
[Full Text][Citation analysis]		paper14
2017Higher-order properties of approximate estimators.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		article
2013Higher-order properties of approximate estimators.(2013) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2017Individual counterfactuals with multidimensional unobserved heterogeneity In: CeMMAP working papers.
[Full Text][Citation analysis]		paper12
2017Individual counterfactuals with multidimensional unobserved heterogeneity.(2017) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2009On stationarity and ergodicity of the bilinear model with applications to GARCH models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article16
2009Asymptotics of the QMLE for Non-Linear ARCH Models In: Journal of Time Series Econometrics.
[Full Text][Citation analysis]		article9
200303.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation In: Econometric Theory.
[Full Text][Citation analysis]		article1
200403.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution In: Econometric Theory.
[Full Text][Citation analysis]		article16
2005ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS In: Econometric Theory.
[Full Text][Citation analysis]		article23
2006A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL In: Econometric Theory.
[Full Text][Citation analysis]		article30
2007Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves In: Econometrica.
[Full Text][Citation analysis]		article272
2008Estimation of partial differential equations with applications in finance In: Journal of Econometrics.
[Full Text][Citation analysis]		article7
2004Estimation of partial differential equations with applications in finance.(2004) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2010Likelihood-based inference for cointegration with nonlinear error-correction In: Journal of Econometrics.
[Full Text][Citation analysis]		article12
2014Bounding quantile demand functions using revealed preference inequalities In: Journal of Econometrics.
[Full Text][Citation analysis]		article86
2011Bounding quantile demand functions using revealed preference inequalities.(2011) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 86		paper
2015Nonparametric identification and estimation of transformation models In: Journal of Econometrics.
[Full Text][Citation analysis]		article43
2011Nonparametric Identification and Estimation of Transformation Models.(2011) In: CAM Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 43		paper
2004Estimation in two classes of semiparametric diffusion models In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper6
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2004A semiparametric single-factor model of the term structure In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper2
.() In: .
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2003Nonparametric IV estimation of shape-invariant Engel curves In: CeMMAP working papers.
[Full Text][Citation analysis]		paper39
2010Higher Order Improvements for Approximate Estimators In: CAM Working Papers.
[Full Text][Citation analysis]		paper4
2016Bayesian Indirect Inference and the ABC of GMM In: Monash Econometrics and Business Statistics Working Papers.
[Full Text][Citation analysis]		paper3
2004Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article11
2009Semiparametric modelling and estimation (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 20 2025. Contact: CitEc Team