Dennis Kristensen
Names
| first: |
Dennis |
| last: |
Kristensen |
Identifer
Contact
Affiliations
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Centre for Microdata Methods and Practice (CEMMAP) (weight: 5%)
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University College London (UCL)
/ Department of Economics (weight: 90%)
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Aarhus Universitet
/ Institut for Økonomi
/ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 5%)
Research profile
author of:
- Nonparametric Estimation and Misspecification Testing of Diffusion Models (RePEc:aah:create:2007-01)
by Dennis Kristensen - Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach (RePEc:aah:create:2007-02)
by Dennis Kristensen - Likelihood-Based Inference in Nonlinear Error-Correction Models (RePEc:aah:create:2007-38)
by Dennis Kristensen & Anders Rahbek - Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data (RePEc:aah:create:2008-37)
by Dennis Kristensen - Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood (RePEc:aah:create:2008-58)
by Dennis Kristensen & Yongseok Shin - Testing Conditional Factor Models (RePEc:aah:create:2009-09)
by Dennis Kristensen & Andrew Ang - Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models (RePEc:aah:create:2009-14)
by Dennis Kristensen & Antonio Mele - Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models (RePEc:aah:create:2009-41)
by Dennis Kristensen - Semiparametric Modelling and Estimation: A Selective Overview (RePEc:aah:create:2009-44)
by Dennis Kristensen - Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models (RePEc:aah:create:2010-43)
by Dennis Kristensen - Estimation of Stochastic Volatility Models by Nonparametric Filtering (RePEc:aah:create:2010-67)
by Shin Kanaya & Dennis Kristensen - Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models (RePEc:aah:create:2010-68)
by Dennis Kristensen & Anders Rahbek - Nonparametric Detection and Estimation of Structural Change (RePEc:aah:create:2011-13)
by Dennis Kristensen - Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates (RePEc:aah:create:2012-25)
by Heejoon Han & Dennis Kristensen - ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models (RePEc:aah:create:2014-30)
by Michael Creel & Dennis Kristensen - Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) (RePEc:aah:create:2015-11)
by Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek - Diffusion Copulas: Identification and Estimation (RePEc:aah:create:2018-20)
by Ruijun Bu & Kaddour Hadri & Dennis Kristensen - Control Functions and Simultaneous Equations Methods (RePEc:aea:aecrev:v:103:y:2013:i:3:p:563-69)
by Richard Blundell & Dennis Kristensen & Rosa L. Matzkin - Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models (RePEc:arx:papers:1904.05209)
by Dennis Kristensen & Young Jun Lee - Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods (RePEc:arx:papers:1904.05232)
by Dennis Kristensen & Patrick K. Mogensen & Jong Myun Moon & Bertel Schjerning - Identification of a class of index models: A topological approach (RePEc:arx:papers:2004.07900)
by Mogens Fosgerau & Dennis Kristensen - Diffusion Copulas: Identification and Estimation (RePEc:arx:papers:2005.03513)
by Ruijun Bu & Kaddour Hadri & Dennis Kristensen - Closed-form approximations of moments and densities of continuous-time Markov models (RePEc:arx:papers:2308.09009)
by Dennis Kristensen & Young Jun Lee & Antonio Mele - Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments (RePEc:aub:autbar:792.09)
by Michael Creel & Dennis Kristensen - SNM Guide (RePEc:aub:autbar:793.09)
by Michael Creel & Dennis Kristensen - Indirect likelihood inference (RePEc:aub:autbar:874.11)
by Michael Creel & Dennis Kristensen - Indirect Likelihood Inference (revised) (RePEc:aub:autbar:931.13)
by Michael Creel & Dennis Kristensen - On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments (RePEc:aub:autbar:950.15)
by Michael Creel & Dennis Kristensen - Estimation of stochastic volatility models by nonparametric filtering (RePEc:azt:cemmap:09/15)
by Shin Kanaya & Dennis Kristensen - Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates (RePEc:azt:cemmap:18/13)
by Heejoon Han & Dennis Kristensen - Higher-order properties of approximate estimators (RePEc:azt:cemmap:45/13)
by Dennis Kristensen & Bernard Salanie - Individual counterfactuals with multidimensional unobserved heterogeneity (RePEc:azt:cemmap:60/17)
by Richard Blundell & Dennis Kristensen & Rosa Matzkin - Indirect Likelihood Inference (RePEc:bge:wpaper:558)
by Michael Creel & Dennis Kristensen - On stationarity and ergodicity of the bilinear model with applications to GARCH models (RePEc:bla:jtsera:v:30:y:2009:i:1:p:125-144)
by Dennis Kristensen - Asymptotics of the QMLE for Non-Linear ARCH Models (RePEc:bpj:jtsmet:v:1:y:2009:i:1:n:2)
by Kristensen Dennis & Rahbek Anders - Indirect Likelihood Inference (RePEc:cpm:dynare:008)
by Creel, Michael & Kristensen, Dennis - 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation (RePEc:cup:etheor:v:19:y:2003:i:05:p:879-880_22)
by Kristensen, Dennis & Linton, Oliver - 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution (RePEc:cup:etheor:v:20:y:2004:i:05:p:990-993_22)
by Kristensen, Dennis & Linton, Oliver - ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS (RePEc:cup:etheor:v:21:y:2005:i:05:p:946-961_05)
by Kristensen, Dennis & Rahbek, Anders - A Closed-Form Estimator For The Garch(1,1) Model (RePEc:cup:etheor:v:22:y:2006:i:02:p:323-337_06)
by Kristensen, Dennis & Linton, Oliver - Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data (RePEc:cup:etheor:v:25:y:2009:i:05:p:1433-1445_09)
by Kristensen, Dennis - Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach (RePEc:cup:etheor:v:26:y:2010:i:01:p:60-93_09)
by Kristensen, Dennis - Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models (RePEc:cup:etheor:v:29:y:2013:i:06:p:1238-1288_00)
by Kristensen, Dennis & Rahbek, Anders - Estimation Of Stochastic Volatility Models By Nonparametric Filtering (RePEc:cup:etheor:v:32:y:2016:i:04:p:861-916_00)
by Kanaya, Shin & Kristensen, Dennis - Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves (RePEc:ecm:emetrp:v:75:y:2007:i:6:p:1613-1669)
by Richard Blundell & Xiaohong Chen & Dennis Kristensen - On selection of statistics for approximate Bayesian computing (or the method of simulated moments) (RePEc:eee:csdana:v:100:y:2016:i:c:p:99-114)
by Creel, Michael & Kristensen, Dennis - Estimation of partial differential equations with applications in finance (RePEc:eee:econom:v:144:y:2008:i:2:p:392-408)
by Kristensen, Dennis - Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models (RePEc:eee:econom:v:156:y:2010:i:2:p:239-259)
by Kristensen, Dennis - Likelihood-based inference for cointegration with nonlinear error-correction (RePEc:eee:econom:v:158:y:2010:i:1:p:78-94)
by Kristensen, Dennis & Rahbek, Anders - Semi-nonparametric estimation and misspecification testing of diffusion models (RePEc:eee:econom:v:164:y:2011:i:2:p:382-403)
by Kristensen, Dennis - Estimation of dynamic models with nonparametric simulated maximum likelihood (RePEc:eee:econom:v:167:y:2012:i:1:p:76-94)
by Kristensen, Dennis & Shin, Yongseok - Bounding quantile demand functions using revealed preference inequalities (RePEc:eee:econom:v:179:y:2014:i:2:p:112-127)
by Blundell, Richard & Kristensen, Dennis & Matzkin, Rosa - Nonparametric identification and estimation of transformation models (RePEc:eee:econom:v:188:y:2015:i:1:p:22-39)
by Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis - Higher-order properties of approximate estimators (RePEc:eee:econom:v:198:y:2017:i:2:p:189-208)
by Kristensen, Dennis & Salanié, Bernard - Diffusion copulas: Identification and estimation (RePEc:eee:econom:v:221:y:2021:i:2:p:616-643)
by Bu, Ruijun & Hadri, Kaddour & Kristensen, Dennis - Solving dynamic discrete choice models using smoothing and sieve methods (RePEc:eee:econom:v:223:y:2021:i:2:p:328-360)
by Kristensen, Dennis & Mogensen, Patrick K. & Moon, Jong Myun & Schjerning, Bertel - ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models (RePEc:eee:empfin:v:31:y:2015:i:c:p:85-108)
by Creel, Michael & Kristensen, Dennis - Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) (RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663)
by Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders - Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models (RePEc:eee:jfinec:v:102:y:2011:i:2:p:390-415)
by Kristensen, Dennis & Mele, Antonio - Testing conditional factor models (RePEc:eee:jfinec:v:106:y:2012:i:1:p:132-156)
by Ang, Andrew & Kristensen, Dennis - Estimation of partial differential equations with applications in finance (RePEc:ehl:lserod:24738)
by Kristensen, Dennis - Estimation in two classes of semiparametric diffusion models (RePEc:ehl:lserod:24739)
by Kristensen, Dennis - A semiparametric single-factor model of the term structure (RePEc:ehl:lserod:24741)
by Kristensen, Dennis - Estimation in Two Classes of Semiparametric Diffusion Models (RePEc:fmg:fmgdps:dp500)
by Dennis Kristensen - A Semiparametric Single-Factor Model of the Term Structure (RePEc:fmg:fmgdps:dp501)
by Dennis Kristensen - Estimation of stochastic volatility models by nonparametric filtering (RePEc:ifs:cemmap:09/15)
by Shin Kanaya & Dennis Kristensen - Nonparametric IV estimation of shape-invariant Engel curves (RePEc:ifs:cemmap:15/03)
by Richard Blundell & Xiaohong Chen & Dennis Kristensen - Solving dynamic discrete choice models using smoothing and sieve methods (RePEc:ifs:cemmap:15/19)
by Dennis Kristensen & Patrick K. Mogensen & Jong-Myun Moon & Bertel Schjerning - Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates (RePEc:ifs:cemmap:18/13)
by Heejoon Han & Dennis Kristensen - Bounding quantile demand functions using revealed preference inequalities (RePEc:ifs:cemmap:21/11)
by Richard Blundell & Dennis Kristensen & Rosa Matzkin - Higher-order properties of approximate estimators (RePEc:ifs:cemmap:45/13)
by Dennis Kristensen & Bernard Salanie - Identification of a class of index models: A topological approach (RePEc:ifs:cemmap:52/19)
by Mogens Fosgerau & Dennis Kristensen - Individual counterfactuals with multidimensional unobserved heterogeneity (RePEc:ifs:cemmap:60/17)
by Richard Blundell & Dennis Kristensen & Rosa Matzkin - Higher Order Improvements for Approximate Estimators (RePEc:kud:kuieca:2010_04)
by Dennis Kristensen & Bernard Salanié - Nonparametric Identification and Estimation of Transformation Models (RePEc:kud:kuieca:2011_01)
by Pierre-Andre Chiappori & Ivana Komunjer & Dennis Kristensen - Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models (RePEc:kud:kuiedp:1010)
by Dennis Kristensen - Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models (RePEc:kud:kuiedp:1025)
by Dennis Kristensen & Anders Rahbek - Diffusion Copulas: Identification and Estimation (RePEc:liv:livedp:20184)
by Ruijun Bu & Kaddour Hadri & Dennis Kristensen - Bayesian Indirect Inference and the ABC of GMM (RePEc:msh:ebswps:2016-1)
by Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen - Testing Conditional Factor Models (RePEc:nbr:nberwo:17561)
by Andrew Ang & Dennis Kristensen - The Econometrics Journal (RePEc:oup:emjrnl)
from Royal Economic Society as editor - Identification of a class of index models: A topological approach (RePEc:oup:emjrnl:v:24:y:2021:i:1:p:121-133.)
by Mogens Fosgerau & Dennis Kristensen - Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach (RePEc:oup:jfinec:v:2:y:2004:i:2:p:251-289)
by Andrew Jeffrey - Semiparametric modelling and estimation (in Russian) (RePEc:qnt:quantl:y:2009:i:7:p:53-83)
by Dennis Kristensen - Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates (RePEc:taf:jnlbes:v:32:y:2014:i:3:p:416-429)
by Heejoon Han & Dennis Kristensen - Econometrics Journal (RePEc:wly:emjrnl)
from Royal Economic Society as editor - Non‐parametric detection and estimation of structural change (RePEc:wly:emjrnl:v:15:y:2012:i:3:p:420-461)
by Dennis Kristensen - Estimation of dynamic latent variable models using simulated non‐parametric moments (RePEc:wly:emjrnl:v:15:y:2012:i:3:p:490-515)
by Michael Creel & Dennis Kristensen