Dennis Kristensen

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Richard BlundellUniversity College London and Institute for Fiscal StudiesVerified email at ucl.ac.uk
Anders RahbekProfessor, University of CopenhagenVerified email at econ.ku.dk
Oliver LintonUNIVERSITY OF CAMBRIDGEVerified email at cam.ac.uk
Xiaohong ChenProfessor of Economics, Yale UniversityVerified email at yale.edu
Michael CreelUniversitat Autònoma de Barcelona and Barcelona School of Economics,Verified email at uab.es
Andrew AngBlackRockVerified email at blackrock.com
Pierre-André ChiapporiSteinschneider Professor of Economics, Columbia UniversityVerified email at columbia.edu
Ivana KomunjerProfessor of Economics, Georgetown UniversityVerified email at georgetown.edu
Shin KanayaDepartment of Economics, University of EssexVerified email at essex.ac.uk
Heejoon HanSungkyunkwan UniversityVerified email at skku.edu
Antonio MeleUniversità della Svizzera Italiana (USI) and Swiss Finance InstituteVerified email at usi.ch
Bertel SchjerningDepartment of Economics, University of CopenhagenVerified email at econ.ku.dk
Giuseppe CavaliereUniversity of Bologna and University of ExeterVerified email at unibo.it
Arianna AgostoAssistant Professor, University of PaviaVerified email at unipv.it
Bernard SalanieProfessor of Economics, Columbia UniversityVerified email at columbia.edu
Yongseok ShinDepartment of Economics, Washington University in St. LouisVerified email at wustl.edu
Peter C. B. PhillipsYale UniversityVerified email at yale.edu
Mogens FosgerauProfessor, University of CopenhagenVerified email at econ.ku.dk
Young Jun LeeKorea Institute for International Economic PolicyVerified email at kiep.go.kr
Patrick Kofod MogensenPumas-AIVerified email at pumas.ai

Dennis Kristensen

University College London

Verified email at ucl.ac.uk - Homepage

Econometrics Statistics


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Semi‐nonparametric IV estimation of shape‐invariant Engel curves R Blundell, X Chen, D Kristensen Econometrica 75 (6), 1613-1669, 2007	591	2007
Testing conditional factor models A Ang, D Kristensen Journal of Financial Economics 106 (1), 132-156, 2012	263	2012
Nonparametric filtering of the realized spot volatility: A kernel-based approach D Kristensen Econometric Theory 26 (1), 60-93, 2010	225	2010
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates H Han, D Kristensen Journal of Economics and Business Statistics 32 (3), 416-429, 2014	120	2014
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) A Agosto, G Cavaliere, D Kristensen, A Rahbek Journal of Empirical Finance 38, 640-663, 2016	107	2016
Bounding quantile demand functions using revealed preference inequalities R Blundell, D Kristensen, R Matzkin Journal of Econometrics 179 (2), 112–127, 2014	98*	2014
Uniform convergence rates of kernel estimators with heterogeneous, dependent data D Kristensen Econometric Theory 25 (5), 1433-1445, 2009	97	2009
Estimation of dynamic models with nonparametric simulated maximum likelihood D Kristensen, Y Shin Journal of Econometrics 167 (1), 76–94, 2012	85	2012
A closed-form estimator for the GARCH(1,1) model D Kristensen, O Linton Econometric Theory 22 (2), 323-337, 2006	83	2006
Estimation of stochastic volatility models by nonparametric filtering S Kanaya, D Kristensen Econometric Theory 32 (4), 861-916, 2016	78*	2016
Asymptotics of the QMLE for a class of ARCH(q) models D Kristensen, A Rahbek Econometric Theory 21 (5), 946-961, 2005	72	2005
Nonparametric detection and estimation of structural change D Kristensen Econometrics Journal 15 (3), 420–461, 2012	69	2012
Nonparametric identification and estimation of transformation models PA Chiappori, I Komunjer, D Kristensen Journal of Econometrics 188 (1), 22–39, 2015	67	2015
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models D Kristensen, A Mele Journal of Financial Economics 102 (2), 390–415, 2011	65	2011
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models D Kristensen Journal of Econometrics 156 (2), 239-259, 2010	56*	2010
Indirect likelihood inference M Creel, D Kristensen	47*	2011
Higher-order properties of approximate estimators D Kristensen, B Salanié Journal of Econometrics 198 (2), 189-208, 2017	44*	2017
Semi-nonparametric estimation and misspecification testing of diffusion models D Kristensen Journal of Econometrics 164 (2), 382–403, 2011	39*	2011
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models M Creel, D Kristensen Journal of Empirical Finance 31, 85-108, 2015	37	2015
Control functions and simultaneous equations methods R Blundell, D Kristensen, RL Matzkin American Economic Review 103 (3), 563-69, 2013	36	2013

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