Bent Jesper Christensen

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Affiliations

• Aarhus Universitet / Institut for Økonomi (weight: 50%)
  • EDIRC entry
  • location:
• Aarhus Universitet / Institut for Økonomi / Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 50%)
  • EDIRC entry
  • location:

Research profile

author of:

• Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data (RePEc:aah:aarhec:2001-4)
  by Bent Jesper Christensen & Morten Ø. Nielsen
• The Effect of Long Memory in Volatility on Stock Market Fluctuations (RePEc:aah:create:2007-03)
  by Bent Jesper Christensen & Morten Ørregaard Nielsen
• The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets (RePEc:aah:create:2007-09)
  by Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen
• Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model (RePEc:aah:create:2007-10)
  by Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu
• Market Power in Power Markets: Evidence from Forward Prices of Electricity (RePEc:aah:create:2007-30)
  by Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard
• Semiparametric Inference in a GARCH-in-Mean Model (RePEc:aah:create:2008-46)
  by Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias
• Optimal inference in dynamic models with conditional moment restrictions (RePEc:aah:create:2008-51)
  by Bent Jesper Christensen & Michael Sørensen
• The SR Approach: a new Estimation Method for Non-Linear and Non-Gaussian Dynamic Term Structure Models (RePEc:aah:create:2010-12)
  by Martin M. Andreasen & Bent Jesper Christensen
• An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses (RePEc:aah:create:2010-14)
  by Bent Jesper Christensen & Michel van der Wel
• The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model (RePEc:aah:create:2010-50)
  by Bent Jesper Christensen & Petra Posedel
• Level Shifts in Volatility and the Implied-Realized Volatility Relation (RePEc:aah:create:2010-60)
  by Bent Jesper Christensen & Paolo Santucci de Magistris
• Latent Integrated Stochastic Volatility, Realized Volatility, and Implied Volatility: A State Space Approach (RePEc:aah:create:2010-61)
  by Christian Bach & Bent Jesper Christensen
• The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior (RePEc:aah:create:2010-62)
  by Bent Jesper Christensen & Malene Kallestrup Lamb
• Estimating Dynamic Equilibrium Models using Macro and Financial Data (RePEc:aah:create:2011-21)
  by Bent Jesper Christensen & Olaf Posch & Michel van der Wel
• The impact of financial crises on the risk-return tradeoff and the leverage effect (RePEc:aah:create:2012-19)
  by Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu
• A unified framework for testing in the linear regression model under unknown order of fractional integration (RePEc:aah:create:2013-35)
  by Bent Jesper Christensen & Robinson Kruse & Philipp Sibbertsen
• Medium Band Least Squares Estimation of Fractional Cointegration in the Presence of Low-Frequency Contamination (RePEc:aah:create:2015-25)
  by Bent Jesper Christensen & Rasmus T. Varneskov
• Dynamic Global Currency Hedging (RePEc:aah:create:2016-03)
  by Bent Jesper Christensen & Rasmus T. Varneskov
• Assessing predictive accuracy in panel data models with long-range dependence (RePEc:aah:create:2019-04)
  by Daniel Borup & Bent Jesper Christensen & Yunus Emre Ergemen
• Targeting predictors in random forest regression (RePEc:aah:create:2020-03)
  by Daniel Borup & Bent Jesper Christensen & Nicolaj N. Mühlbach & Mikkel S. Nielsen
• Optimal control of investment, premium and deductible for a non-life insurance company (RePEc:aah:create:2020-11)
  by Bent Jesper Christensen & Juan Carlos Parra-Alvarez & Rafael Serrano
• The incremental information in the yield curve about future interest rate risk (RePEc:aah:create:2021-11)
  by Bent Jesper Christensen & Mads Markvart Kjær & Bezirgen Veliyev
• Estimation of continuous-time linear DSGE models from discrete-time measurements (RePEc:aah:create:2022-12)
  by Bent Jesper Christensen & Luca Neri & Juan Carlos Parra-Alvarez
• Unknown item RePEc:ags:quedwp:273658 (paper)
• Unknown item RePEc:ags:quedwp:273663 (paper)
• Unknown item RePEc:ags:quedwp:273664 (paper)
• Unknown item RePEc:ags:quedwp:273665 (paper)
• Unknown item RePEc:ags:quedwp:273693 (paper)
• Unknown item RePEc:ags:quedwp:274615 (paper)
• Targeting predictors in random forest regression (RePEc:arx:papers:2004.01411)
  by Daniel Borup & Bent Jesper Christensen & Nicolaj N{o}rgaard Muhlbach & Mikkel Slot Nielsen
• Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting (RePEc:bla:jorssa:v:184:y:2021:i:1:p:118-149)
  by Bent Jesper Christensen & Nabanita Datta Gupta & Paolo Santucci de Magistris
• Efficiency Gains In Beta‐Pricing Models1 (RePEc:bla:mathfi:v:4:y:1994:i:2:p:143-154)
  by Bent Jesper Christensen
• Interest Rate Dynamics and Consistent Forward Rate Curves (RePEc:bla:mathfi:v:9:y:1999:i:4:p:323-348)
  by Tomas Björk & Bent Jesper Christensen
• Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction (RePEc:bpj:jtsmet:v:3:y:2011:i:1:n:1)
  by Bollerslev Tim & Christensen Bent Jesper & Haldrup Niels & Lunde Asger
• Monte Carlo Improvement of Estimates of the Mean-Reverting Constant Elasticity of Variance Interest Rate Diffusion (RePEc:bpj:mcmeap:v:7:y:2001:i:1-2:p:111-124:n:3)
  by Christensen Bent Jesper & Poulsen Rolf
• Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data (RePEc:ces:ceswps:_5030)
  by Bent Jesper Christensen & Olaf Posch & Michel van der Wel
• The Exact Likelihood Function for an Empirical Job Search Model (RePEc:cup:etheor:v:7:y:1991:i:04:p:464-486_00)
  by Christensen, Bent Jesper & Kiefer, Nicholas M.
• Approximate Distributions in Essentially Linear Models (RePEc:duk:dukeec:98-10)
  by An, Mark Y. & Christensen, Bent Jesper & Kiefer, Nicholas M.
• Statistical Manifolds and Separate Inference (RePEc:ecl:corcae:00-05)
  by Christensen, Bent J. & Kiefer, Nicholas M.
• Panel Data, Local Cuts, and Orthogeodesic Models (RePEc:ecm:wc2000:1108)
  by Bent Jesper Christensen & Nicholas Kiefer
• The impact of financial crises on the risk–return tradeoff and the leverage effect (RePEc:eee:ecmode:v:49:y:2015:i:c:p:407-418)
  by Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting (RePEc:eee:econom:v:133:y:2006:i:1:p:343-371)
  by Christensen, Bent Jesper & Nielsen, Morten Orregaard
• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets (RePEc:eee:econom:v:160:y:2011:i:1:p:48-57)
  by Busch, Thomas & Christensen, Bent Jesper & Nielsen, Morten Ørregaard
• Semiparametric inference in a GARCH-in-mean model (RePEc:eee:econom:v:167:y:2012:i:2:p:458-472)
  by Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M.
• The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models (RePEc:eee:econom:v:184:y:2015:i:2:p:420-451)
  by Andreasen, Martin M. & Christensen, Bent Jesper
• Estimating dynamic equilibrium models using mixed frequency macro and financial data (RePEc:eee:econom:v:194:y:2016:i:1:p:116-137)
  by Christensen, Bent Jesper & Posch, Olaf & van der Wel, Michel
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination (RePEc:eee:econom:v:197:y:2017:i:2:p:218-244)
  by Christensen, Bent Jesper & Varneskov, Rasmus Tangsgaard
• Inference in non-linear panel models with partially missing observations The case of the equilibrium search model (RePEc:eee:econom:v:79:y:1997:i:2:p:201-219)
  by Christensen, Bent Jesper & Kiefer, Nicholas M.
• Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model (RePEc:eee:empfin:v:17:y:2010:i:3:p:460-470)
  by Christensen, Bent Jesper & Nielsen, Morten Ørregaard & Zhu, Jie
• Climate, wind energy, and CO2 emissions from energy production in Denmark (RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003195)
  by Carlini, Federico & Christensen, Bent Jesper & Datta Gupta, Nabanita & Santucci de Magistris, Paolo
• Optimal control of investment, premium and deductible for a non-life insurance company (RePEc:eee:insuma:v:101:y:2021:i:pb:p:384-405)
  by Christensen, Bent Jesper & Parra-Alvarez, Juan Carlos & Serrano, Rafael
• Some system theoretic aspects of interest rate theory (RePEc:eee:insuma:v:22:y:1998:i:1:p:17-23)
  by Bjork, Tomas & Christensen, Bent Jesper & Gombani, Andrea
• Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market (RePEc:eee:insuma:v:87:y:2019:i:c:p:92-100)
  by Asmussen, Søren & Christensen, Bent Jesper & Thøgersen, Julie
• Targeting predictors in random forest regression (RePEc:eee:intfor:v:39:y:2023:i:2:p:841-868)
  by Borup, Daniel & Christensen, Bent Jesper & Mühlbach, Nicolaj Søndergaard & Nielsen, Mikkel Slot
• The incremental information in the yield curve about future interest rate risk (RePEc:eee:jbfina:v:155:y:2023:i:c:s0378426623001711)
  by Christensen, Bent Jesper & Kjær, Mads Markvart & Veliyev, Bezirgen
• An asset pricing approach to testing general term structure models (RePEc:eee:jfinec:v:134:y:2019:i:1:p:165-191)
  by Christensen, Bent Jesper & van der Wel, Michel
• The relation between implied and realized volatility (RePEc:eee:jfinec:v:50:y:1998:i:2:p:125-150)
  by Christensen, B. J. & Prabhala, N. R.
• Identification and Inference in Dynamic Programming Models (RePEc:eme:ceazzz:s0573-8555(05)75014-8)
  by Bent J. Christensen & Nicholas M. Kiefer
• The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: An Application to Danish Data (RePEc:eme:ceazzz:s0573-8555(2000)0000243009)
  by Bent Jesper Christensen & Peter Jensen & Michael Svarer Nielsen & Kim Poulsen & Michael Rosholm
• Equilibrium Search with Human Capital Accumulation (RePEc:eme:ceazzz:s0573-8555(2000)0000243010)
  by Henning Bunzel & Bent J. Christensen & Nicholas M. Kiefer & Lars Korsholm
• The Effects of Pension System on Retirement and Government Finances: Predictions Using Danish Data on Married Couples (RePEc:fth:aascbu:99-1)
  by Christensen, B.J. & Gupta, N.D.
• Panel Data, Local Cuts, and Orthogeodesic Models (RePEc:fth:clmsre:97-13)
  by Christensen, B.J. & Kiefer, N.M.
• Approximate Distributions in Essentially Linear Models (RePEc:fth:clmsre:98-08)
  by An, M.Y. & Christensen, B.J. & Kiefer, N.M.
• A Bivariate Duration Model of the Joint Retirement Decisions of Married Couples (RePEc:fth:clmsre:99-10)
  by An, M.Y. & Christensen, B.J. & Gupta, N.D.
• Equilibrium Search with Human Capital Accumulation (RePEc:fth:clmsre:99-11)
  by Bunzel, H. & Christensen, B.J. & Kiefer, N.M. & Korsholm, L.
• The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: an Application to Danish Data (RePEc:fth:clmsre:99-12)
  by Christensen, B.J. & Jensen, P. & Nielsen, M.S. & Poulsen, K. & Rosholm, M.
• The Exact Likelihood Function For An Empirical Job Search Model (RePEc:fth:tilbur:9017)
  by Christensen, B.J. & Kiefer, N.M.
• Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation (RePEc:gam:jrisks:v:7:y:2019:i:2:p:49-:d:227500)
  by Søren Asmussen & Bent Jesper Christensen & Julie Thøgersen
• Structural Models of Wage and Employment Dynamics (RePEc:hal:cesptp:hal-00308804)
  by Henning Bunzel & Bent J. Christensen & Georges R. Neumann & Jean-Marc Robin
• Structural Models of Wage and Employment Dynamics (RePEc:hal:journl:hal-00308804)
  by Henning Bunzel & Bent J. Christensen & Georges R. Neumann & Jean-Marc Robin
• End-Of-Life Medical Spending In Last Twelve Months Of Life Is Lower Than Previously Reported (RePEc:hal:journl:halshs-01631529)
  by Eric French & Jeremy Mccauley & Maria Aragon & Pieter Bakx & Martin Chalkley & Stacey H. Chen & Bent J. Christensen & Hongwei Chuang & Aurelie Côté-Sergent & Mariacristina de Nardi & Elliott Fan & Dam
• End-Of-Life Medical Spending In Last Twelve Months Of Life Is Lower Than Previously Reported (RePEc:hal:pseptp:halshs-01631529)
  by Eric French & Jeremy Mccauley & Maria Aragon & Pieter Bakx & Martin Chalkley & Stacey H. Chen & Bent J. Christensen & Hongwei Chuang & Aurelie Côté-Sergent & Mariacristina de Nardi & Elliott Fan & Dam
• A unified framework for testing in the linear regression model under unknown order of fractional integration (RePEc:han:dpaper:dp-519)
  by Christensen, Bent Jesper & Kruse, Robinson & Sibbertsen, Philipp
• Latent Utility Shocks in a Structural Empirical Asset Pricing Model (RePEc:hhs:cbsfin:2004_007)
  by Christensen, Bent Jesper & Raahauge, Peter
• Interest Rate Dynamics and Consistent Forward Rate Curves (RePEc:hhs:hastef:0209)
  by Björk, Tomas & Christensen, Bent Jesper
• Effekten af pensionsreform på danske ægtepars udtræden af arbejdsmarkedet (RePEc:hhs:jdaecn:0286)
  by Christensen, Bent Jesper & Gupta, Nabanita Datta
• Medical Spending in Denmark (RePEc:ifs:fistud:v:37:y:2016:i::p:461-497)
  by Eric French & Elaine Kelly & Bent Jesper Christensen & Mette Gørtz & Malene Kallestrup‐Lamb
• Special issue on the econometrics of social insurance (RePEc:jae:japmet:v:19:y:2004:i:6:p:647-648)
  by Bent Jesper Christensen & Nabanita Datta Gupta & John Rust
• Multivariate mixed proportional hazard modelling of the joint retirement of married couples (RePEc:jae:japmet:v:19:y:2004:i:6:p:687-704)
  by Mark Y. An & Bent Jesper Christensen & Nabanita Datta Gupta
• On the Job Search and the Wage Distribution (RePEc:kud:kuieca:2004_09)
  by Bent Jesper Christensen & Rasmus Lentz & Dale T. Mortensen & George R. Neumann & Axel Werwatz
• Consumption and Saving after Retirement (RePEc:nbr:nberwo:29826)
  by Bent Jesper Christensen & Malene Kallestrup-Lamb & John Kennan
• Long-term Care in Denmark (RePEc:nbr:nberwo:31889)
  by Mette Gørtz & Bent Jesper Christensen & Nabanita Datta Gupta
• Dynamic Global Currency Hedging
  [Arbitrage in the Foreign Exchange Market: Turning on the Microscope] (RePEc:oup:jfinec:v:19:y:2021:i:1:p:97-127.)
  by Bent Jesper Christensen & Rasmus Tangsgaard Varneskov
• Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’ (RePEc:oup:revfin:v:3:y:1999:i:3:p:311-317.)
  by Bent Jesper Christensen
• The Role Of Implied Volatility In Forecasting Future Realized Volatility And Jumps In Foreign Exchange, Stock, And Bond Markets (RePEc:qed:wpaper:1181)
  by Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch
• The Implied-realized Volatility Relation With Jumps In Underlying Asset Prices (RePEc:qed:wpaper:1186)
  by Bent Jesper Christensen & Morten Ø. Nielsen
• Forecasting Exchange Rate Volatility In The Presence Of Jumps (RePEc:qed:wpaper:1187)
  by Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch
• The Information Content Of Treasury Bond Options Concerning Future Volatility And Price Jumps (RePEc:qed:wpaper:1188)
  by Bent Jesper Christensen & Morten Ø. Nielsen & Thomas Busch
• Long Memory In Stock Market Volatility And The Volatility-in-mean Effect: The Fiegarch-m Model (RePEc:qed:wpaper:1207)
  by Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen
• The Impact Of Financial Crises On The Risk-return Tradeoff And The Leverage Effect (RePEc:qed:wpaper:1295)
  by Bent Jesper Christensen & Jie Zhu & Morten Ø. Nielsen
• Specification and Estimation of Equilibrium Search Models (RePEc:red:issued:v:4:y:2001:i:1:p:90-126)
  by H. Bunzel & Bent Jesper Christensen & Peter Jensen & Nicholas Kiefer & L. Korsholm & L. Muus & G. R. Neumann & Michael Rosholm
• Wage and Productivity Dispersion: Labor Quality or Rent Sharing? (RePEc:red:sed010:758)
  by Dale T. Mortensen & Bent Jesper Christensen & Jesper Bagger
• Wage and Productivity Dispersion: The Roles of Rent Sharing, Labor Quality and Capital Intensity (RePEc:red:sed014:473)
  by Bent Christensen & Jesper Bagger
• Health, Retirement and Consumption (RePEc:red:sed017:1156)
  by Malene Kallestrup-Lamb & John Kennan & Bent Jesper Christensen
• Globalization (RePEc:spr:sprbok:978-3-662-49502-5)
  by None
• New evidence on the implied-realized volatility relation (RePEc:taf:eurjfi:v:8:y:2002:i:2:p:187-205)
  by Bent Jesper Christensen & Charlotte Strunk Hansen
• The Effect of Long Memory in Volatility on Stock Market Fluctuations (RePEc:tpr:restat:v:89:y:2007:i:4:p:684-700)
  by Bent Jesper Christensen & Morten Ørregaard Nielsen
• Measurement Error in the Prototypal Job-Search Model (RePEc:ucp:jlabec:v:12:y:1994:i:4:p:618-39)
  by Christensen, Bent Jesper & Kiefer, Nicholas M
• On-the-Job Search and the Wage Distribution (RePEc:ucp:jlabec:v:23:y:2005:i:1:p:31-58)
  by Bent Jesper Christensen & Rasmus Lentz & Dale T. Mortensen & George R. Neumann & Axel Werwatz
• The Impact Of Health Changes On Labor Supply: Evidence From Merged Data On Individual Objective Medical Diagnosis Codes And Early Retirement Behavior (RePEc:wly:hlthec:v:21:y:2012:i:s1:p:56-100)
  by Bent Jesper Christensen & Malene Kallestrup‐Lamb
• On the job search and the wage distribution (RePEc:zbw:sfb373:2000108)
  by Christensen, Bent Jesper & Mortensen, Dale & Neumann, George R. & Werwatz, Axel