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

1141

Citations

RESEARCH PRODUCTION:

34

Articles

53

Papers

EDITOR:

2

Series edited

RESEARCH ACTIVITY:

   21 years (2003 - 2024). See details.
   Cites by year: 54
   Journals where Dennis Kristensen has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 51 (4.28 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pkr127
   Updated: 2025-04-19    RAS profile: 2025-03-17    
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Relations with other researchers

Works with:

Schjerning, Bertel (2)

Hadri, Kaddour (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)

De Rock, Bram (25)

Cherchye, Laurens (25)

Demuynck, Thomas (24)

Chen, Xiaohong (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)

Rahbek, Anders (16)

Andersen, Torben (16)

Creel, Michael (13)

Main data

Production by document typearticlepaper2003200420052006200720082009201020112012201320142015201620172018201920202021202220232024051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published20032004200520062007200820092010201120122013201420152016201720182019202020212022202320240255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received2004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year20032004200520062007200820092010201120122013201420152016201720182019202020212022202320240100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 16Most cited documents1234567891011121314151617180100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20130820130920131020131120131220140120140220140320140420140520140620140720140820140920141020141120141220150120150220150320150420150520150620150720150820150920151020151120151220160120160220160320160420160520160620160720160820160920161020161120161220170120170220170320170420170520170620170720170820170920171020171120171220180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250120250220250320250401020h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Dennis Kristensen has published?

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

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)

Year  ↓Title of citing document  ↓
2024Adaptive, Rate-Optimal Testing in Instrumental Variables Models. (2020). Chen, Xiaohong ; Breunig, Christoph. In: Papers. RePEc:arx:papers:2006.09587.

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2024Adversarial Estimation of Riesz Representers. (2020). Syrgkanis, Vasilis ; Singh, Rahul ; Newey, Whitney ; Chernozhukov, Victor. In: Papers. RePEc:arx:papers:2101.00009.

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2024Continuous permanent unobserved heterogeneity in dynamic discrete choice models. (2022). Bunting, Jackson. In: Papers. RePEc:arx:papers:2202.03960.

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2025Penalized Sieve Estimation of Structural Models. (2022). Sang, Peijun ; Luo, Yao. In: Papers. RePEc:arx:papers:2204.13488.

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2024Beta-Sorted Portfolios. (2022). Wang, Weining ; Crump, Richard K ; Cattaneo, Matias D. In: Papers. RePEc:arx:papers:2208.10974.

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2025Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2024One-step nonparametric instrumental regression using smoothing splines. (2023). Lavergne, Pascal ; Lapenta, Elia ; Beyhum, Jad. In: Papers. RePEc:arx:papers:2307.14867.

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2024Uniform Inference for Nonlinear Endogenous Treatment Effects with High-Dimensional Covariates. (2023). Zhang, Cun-Hui ; Mei, Ziwei ; Guo, Zijian ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2310.08063.

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2024Data-Driven Fixed-Point Tuning for Truncated Realized Variations. (2023). Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B ; Han, Yuchen. In: Papers. RePEc:arx:papers:2311.00905.

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

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

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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.

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2024.

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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.

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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.

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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.

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

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

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

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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.

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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.

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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.

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

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

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

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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

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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.

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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.

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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.

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Dennis Kristensen is editor of

Journal  ↓  ↓
The Econometrics Journal
Econometrics Journal

Works by Dennis Kristensen:

Year  ↓Title  ↓Type  ↓Cited  ↓
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]		paper83
2010NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH.(2010) In: Econometric Theory.
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This paper has nother version. Agregated cites: 83		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]		paper49
2009UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA.(2009) In: Econometric Theory.
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This paper has nother version. Agregated cites: 49		article
2008Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood In: CREATES Research Papers.
[Full Text][Citation analysis]		paper37
2012Estimation of dynamic models with nonparametric simulated maximum likelihood.(2012) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 37		article
2009Testing Conditional Factor Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper93
2012Testing conditional factor models.(2012) In: Journal of Financial Economics.
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2011Testing Conditional Factor Models.(2011) In: NBER Working Papers.
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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.
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This paper has nother version. Agregated cites: 22		article
2009Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models In: CREATES Research Papers.
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2010Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models.(2010) In: Journal of Econometrics.
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2009Semiparametric Modelling and Estimation: A Selective Overview In: CREATES Research Papers.
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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.
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2010Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models.(2010) In: Discussion Papers.
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2010Estimation of Stochastic Volatility Models by Nonparametric Filtering In: CREATES Research Papers.
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.() In: .
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2016ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING.(2016) In: Econometric Theory.
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2015Estimation of stochastic volatility models by nonparametric filtering.(2015) In: CeMMAP working papers.
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This paper has nother version. Agregated cites: 34		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.
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2010Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models.(2010) In: Discussion Papers.
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2011Nonparametric Detection and Estimation of Structural Change In: CREATES Research Papers.
[Full Text][Citation analysis]		paper29
2012Non‐parametric detection and estimation of structural change.(2012) In: Econometrics Journal.
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2012Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates In: CREATES Research Papers.
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.() In: .
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2013Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates.(2013) In: CeMMAP working papers.
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2014Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates.(2014) In: Journal of Business & Economic Statistics.
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2014ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models In: CREATES Research Papers.
[Full Text][Citation analysis]		paper19
2015ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models.(2015) In: Journal of Empirical Finance.
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2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
[Full Text][Citation analysis]		paper35
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
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2018Diffusion Copulas: Identification and Estimation In: CREATES Research Papers.
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2020Diffusion Copulas: Identification and Estimation.(2020) In: Papers.
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2021Diffusion copulas: Identification and estimation.(2021) In: Journal of Econometrics.
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2018Diffusion Copulas: Identification and Estimation.(2018) In: Research Papers.
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2013Control Functions and Simultaneous Equations Methods In: American Economic Review.
[Full Text][Citation analysis]		article11
2023Local 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]		paper4
2021Solving dynamic discrete choice models using smoothing and sieve methods.(2021) In: Journal of Econometrics.
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2019Solving dynamic discrete choice models using smoothing and sieve methods.(2019) In: CeMMAP working papers.
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2020Identification of a class of index models: A topological approach In: Papers.
[Full Text][Citation analysis]		paper3
2019Identification of a class of index models: A topological approach.(2019) In: CeMMAP working papers.
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2021Identification of a class of index models: A topological approach.(2021) In: The Econometrics Journal.
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2023Closed-form approximations of moments and densities of continuous-time Markov models In: Papers.
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2024Closed-form approximations of moments and densities of continuous–time Markov models.(2024) In: Journal of Economic Dynamics and Control.
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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.
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2009SNM Guide In: UFAE and IAE Working Papers.
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2011Indirect likelihood inference In: UFAE and IAE Working Papers.
[Full Text][Citation analysis]		paper10
2015Indirect Likelihood Inference.(2015) In: Working Papers.
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2011Indirect Likelihood Inference.(2011) In: Dynare Working Papers.
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2013Indirect Likelihood Inference (revised) In: UFAE and IAE Working Papers.
[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.
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In: .
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2017Higher-order properties of approximate estimators.(2017) In: Journal of Econometrics.
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2013Higher-order properties of approximate estimators.(2013) In: CeMMAP working papers.
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In: .
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2017Individual counterfactuals with multidimensional unobserved heterogeneity.(2017) In: CeMMAP working papers.
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2009On stationarity and ergodicity of the bilinear model with applications to GARCH models In: Journal of Time Series Analysis.
[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.
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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]		article266
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.
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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]		article83
2011Bounding quantile demand functions using revealed preference inequalities.(2011) In: CeMMAP working papers.
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2015Nonparametric identification and estimation of transformation models In: Journal of Econometrics.
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2011Nonparametric Identification and Estimation of Transformation Models.(2011) In: CAM Working Papers.
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2004Estimation in two classes of semiparametric diffusion models In: LSE Research Online Documents on Economics.
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.() In: .
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2004A semiparametric single-factor model of the term structure In: LSE Research Online Documents on Economics.
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.() In: .
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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.
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