Bent Jesper Christensen

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Morten Ørregaard NielsenDNRF Chair and Professor of Economics, Aarhus UniversityVerified email at econ.au.dk
Nabanita Datta GuptaProfessor of Economics, Aarhus UniversityVerified email at econ.au.dk
Nagpurnanand PrabhalaThe Johns Hopkins Carey Business SchoolVerified email at jhu.edu
Tomas BjörkStockholm School of EconomicsVerified email at hhs.se
Malene Kallestrup-LambAssociate Professor, Deparment of Economics and Business Economics, Aarhus UniversityVerified email at econ.au.dk
Michael RosholmProfessor in economics, Aarhus UniversityVerified email at asb.dk
Jesper BaggerSchool of Economics, University of EdinburghVerified email at ed.ac.uk
Daniel BorupAarhus UniversityVerified email at econ.au.dk
mark yuying anFannie Mae (Federal National Mortgage Association)Verified email at fanniemae.com
Rasmus Lentzeconomics, university of wisconsin madisonVerified email at wisc.edu
Michel van der WelProfessor, Erasmus University RotterdamVerified email at ese.eur.nl
Søren AsmussenProfessor at Department of Mathematics, Aarhus UniversityVerified email at imf.au.dk
Jie Zhu (朱杰)Shanghai UniversityVerified email at t.shu.edu.cn
Mette GørtzUniversity of CopenhagenVerified email at econ.ku.dk
Yakov AmihudNYU-Stern School of BusinessVerified email at stern.nyu.edu
Olaf PoschProfessor of Economics, Universität HamburgVerified email at uni-hamburg.de
Martin M. AndreasenAarhus UniversityVerified email at econ.au.dk
Christian Møller DahlUniversity of Southern DenmarkVerified email at sam.sdu.dk
Emma IglesiasFull Professor, University of A Coruña, ECOBASVerified email at udc.es
Michael SørensenProfessor i matematisk statistik, Københavns UniversitetVerified email at math.ku.dk

Bent Jesper Christensen

Professor of Economics, Aarhus University

Verified email at econ.au.dk

Economics Econometrics Finance Labor Statistics


Title Sort by citations Sort by year Sort by title	Cited by Cited by	Year
The relation between implied and realized volatility BJ Christensen, NR Prabhala Journal of financial economics 50 (2), 125-150, 1998	1603	1998
Interest rate dynamics and consistent forward rate curves T Björk, BJ Christensen Mathematical Finance 9 (4), 323-348, 1999	487	1999
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets T Busch, BJ Christensen, MØ Nielsen Journal of Econometrics 160 (1), 48-57, 2011	422	2011
On-the-job search and the wage distribution BJ Christensen, R Lentz, DT Mortensen, GR Neumann, A Werwatz Journal of Labor Economics 23 (1), 31-58, 2005	344	2005
End-of-life medical spending in last twelve months of life is lower than previously reported EB French, J McCauley, M Aragon, P Bakx, M Chalkley, SH Chen, ... Health Affairs 36 (7), 1211-1217, 2017	196	2017
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting BJ Christensen, MØ Nielsen Journal of Econometrics 133 (1), 343-371, 2006	165	2006
Further evidence on the risk-return relationship Y Amihud, BJ Christensen, H Mendelson Graduate School of Business, Stanford University, 1992	158	1992
New evidence on the implied-realized volatility relation BJ Christensen, CS Hansen The European Journal of Finance 8 (2), 187-205, 2002	144	2002
The effect of long memory in volatility on stock market fluctuations BJ Christensen, MØ Nielsen The Review of Economics and Statistics 89 (4), 684-700, 2007	115	2007
Targeting predictors in random forest regression D Borup, BJ Christensen, NS Mühlbach, MS Nielsen International Journal of Forecasting 39 (2), 841-868, 2023	95	2023
Long memory in stock market volatility and the volatility-in-mean effect: the FIEGARCH-M model BJ Christensen, MØ Nielsen, J Zhu Journal of Empirical Finance 17 (3), 460-470, 2010	87	2010
Multivariate mixed proportional hazard modelling of the joint retirement of married couples MY An, BJ Christensen, ND Gupta Journal of Applied Econometrics 19 (6), 687-704, 2004	86	2004
Specification and estimation of equilibrium search models H Bunzel, BJ Christensen, P Jensen, NM Kiefer, L Korsholm, L Muus, ... Review of Economic Dynamics 4 (1), 90-126, 2001	72	2001
The exact likelihood function for an empirical job search model BJ Christensen, NM Kiefer Econometric Theory 7 (4), 464-486, 1991	65	1991
The impact of health changes on labor supply: evidence from merged data on individual objective medical diagnosis codes and early retirement behavior BJ Christensen, M Kallestrup‐Lamb Health economics 21, 56-100, 2012	64	2012
The impact of financial crises on the risk–return tradeoff and the leverage effect BJ Christensen, MØ Nielsen, J Zhu Economic Modelling 49, 407-418, 2015	56	2015
Semiparametric inference in a GARCH-in-mean model BJ Christensen, CM Dahl, EM Iglesias Journal of Econometrics 167 (2), 458-472, 2012	55	2012
The telescoping overlap problem in options data BJ Christensen, CS Hansen, NR Prabhala Draft Paper, 2001	52	2001
Medical spending in Denmark BJ Christensen, M Gørtz, M Kallestrup‐Lamb Fiscal Studies 37 (3-4), 461-497, 2016	43	2016
Introduction to globalization: Strategies and effects BJ Christensen, C Kowalczyk Globalization: Strategies and Effects, 1-16, 2017	40	2017

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