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Dennis Kristensen

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Personal Details

First Name: Dennis
Middle Name:
Last Name: Kristensen
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RePEc Short-ID: pkr127

Email:
Homepage: https://sites.google.com/site/econkristensen/
Postal Address:
Phone:

Affiliation

(90%) Department of Economics
University College London (UCL)
Location: London, United Kingdom
Homepage: http://www.ucl.ac.uk/economics/
Email:
Phone:
Fax:
Postal: Gower Street, London WC1E 6BT
Handle: RePEc:edi:deucluk (more details at EDIRC)
(5%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet
Location: Aarhus, Denmark
Homepage: http://www.creates.au.dk/
Email:
Phone:
Fax:
Postal: Building 1322, DK-8000 Aarhus C
Handle: RePEc:edi:creaudk (more details at EDIRC)
(5%) Centre for Microdata Methods and Practice (CEMMAP)
Location: United Kingdom
Homepage: http://www.cemmap.ac.uk/
Email:
Phone: +44 (0)20 7291 4800
Fax: +44 (0)20 7323 4780
Postal: Institute for Fiscal Studies, 7 Ridgmount Street, London WC1E 7AE
Handle: RePEc:edi:cmifsuk (more details at EDIRC)

Works

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Working papers

  1. Michael Creel & Dennis Kristensen, 2013. "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 931.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  2. Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP45/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Heejoon Han & Dennis Kristensen, 2012. "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers 2012-25, School of Economics and Management, University of Aarhus.
  4. Michael Creel & Dennis Kristensen, 2011. "Indirect likelihood inference," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 874.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  5. Dennis Kristensen, 2011. "Nonparametric Detection and Estimation of Structural Change," CREATES Research Papers 2011-13, School of Economics and Management, University of Aarhus.
  6. Pierre-Andre Chiappori & Ivana Komunjer & Dennis Kristensen, 2011. "Nonparametric Identification and Estimation of Transformation Models," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics 2011-01, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  7. Richard Blundell & Dennis Kristensen & Rosa Matzkin, 2011. "Bounding quantile demand functions using revealed preference inequalities," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP21/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, School of Economics and Management, University of Aarhus.
  9. Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  10. Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," Discussion Papers, University of Copenhagen. Department of Economics 10-25, University of Copenhagen. Department of Economics.
  11. Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers, University of Copenhagen. Department of Economics 10-10, University of Copenhagen. Department of Economics.
  12. Michael Creel & Dennis Kristensen, 2009. "SNM Guide," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 793.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  13. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, School of Economics and Management, University of Aarhus.
  14. Michael Creel & Dennis Kristensen, 2009. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC) 792.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  15. Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, School of Economics and Management, University of Aarhus.
  16. Dennis Kristensen & Antonio Mele, 2009. "Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models," CREATES Research Papers 2009-14, School of Economics and Management, University of Aarhus.
  17. Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, School of Economics and Management, University of Aarhus.
  18. Dennis Kristensen, 2008. "Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data," CREATES Research Papers 2008-37, School of Economics and Management, University of Aarhus.
  19. Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, School of Economics and Management, University of Aarhus.
  20. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, School of Economics and Management, University of Aarhus.
  21. Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, School of Economics and Management, University of Aarhus.
  22. Dennis Kristensen, 2007. "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers 2007-02, School of Economics and Management, University of Aarhus.
  23. Dennis Kristensen, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24738, London School of Economics and Political Science, LSE Library.
  24. Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers, Financial Markets Group dp501, Financial Markets Group.
  25. Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers, Financial Markets Group dp500, Financial Markets Group.
  26. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2003. "Nonparametric IV estimation of shape-invariant Engel curves," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP15/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

Articles

  1. Blundell, Richard & Kristensen, Dennis & Matzkin, Rosa, 2014. "Bounding quantile demand functions using revealed preference inequalities," Journal of Econometrics, Elsevier, Elsevier, vol. 179(2), pages 112-127.
  2. Kristensen, Dennis & Rahbek, Anders, 2013. "Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 29(06), pages 1238-1288, December.
  3. Richard Blundell & Dennis Kristensen & Rosa L. Matzkin, 2013. "Control Functions and Simultaneous Equations Methods," American Economic Review, American Economic Association, American Economic Association, vol. 103(3), pages 563-69, May.
  4. Michael Creel & Dennis Kristensen, 2012. "Estimation of dynamic latent variable models using simulated non‐parametric moments," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 15(3), pages 490-515, October.
  5. Dennis Kristensen, 2012. "Non‐parametric detection and estimation of structural change," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 15(3), pages 420-461, October.
  6. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, Elsevier, vol. 167(1), pages 76-94.
  7. Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(1), pages 132-156.
  8. Kristensen, Dennis, 2011. "Semi-nonparametric estimation and misspecification testing of diffusion models," Journal of Econometrics, Elsevier, Elsevier, vol. 164(2), pages 382-403, October.
  9. Kristensen, Dennis & Mele, Antonio, 2011. "Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models," Journal of Financial Economics, Elsevier, Elsevier, vol. 102(2), pages 390-415.
  10. Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, Elsevier, vol. 156(2), pages 239-259, June.
  11. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, Elsevier, vol. 158(1), pages 78-94, September.
  12. Kristensen, Dennis, 2010. "Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 26(01), pages 60-93, February.
  13. Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, Quantile, issue 7, pages 53-83, September.
  14. Kristensen Dennis & Rahbek Anders, 2009. "Asymptotics of the QMLE for Non-Linear ARCH Models," Journal of Time Series Econometrics, De Gruyter, De Gruyter, vol. 1(1), pages 1-38, April.
  15. Kristensen, Dennis, 2009. "Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 25(05), pages 1433-1445, October.
  16. Dennis Kristensen, 2009. "On stationarity and ergodicity of the bilinear model with applications to GARCH models," Journal of Time Series Analysis, Wiley Blackwell, Wiley Blackwell, vol. 30(1), pages 125-144, 01.
  17. Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, Elsevier, vol. 144(2), pages 392-408, June.
  18. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2007. "Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves," Econometrica, Econometric Society, Econometric Society, vol. 75(6), pages 1613-1669, November.
  19. Kristensen, Dennis & Linton, Oliver, 2006. "A Closed-Form Estimator For The Garch(1,1) Model," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 22(02), pages 323-337, April.
  20. Kristensen, Dennis & Rahbek, Anders, 2005. "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 21(05), pages 946-961, October.
  21. Kristensen, Dennis & Linton, Oliver, 2004. "03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 20(05), pages 990-993, October.
  22. Andrew Jeffrey, 2004. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 251-289.
  23. Kristensen, Dennis & Linton, Oliver, 2003. "03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 19(05), pages 879-880, October.

NEP Fields

25 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (19) 2008-06-27 2008-11-18 2009-03-14 2009-10-10 2009-11-21 2009-11-21 2010-03-28 2010-05-02 2010-05-15 2010-09-03 2010-10-23 2010-10-23 2011-02-05 2011-06-11 2011-06-18 2011-11-14 2012-05-29 2013-06-24 2013-09-25. Author is listed
  2. NEP-ETS: Econometric Time Series (10) 2008-06-27 2008-07-05 2008-11-18 2009-03-14 2009-11-21 2010-10-23 2010-10-23 2011-05-07 2012-05-29 2013-06-09. Author is listed
  3. NEP-LAM: Central & South America (1) 2013-09-25
  4. NEP-LTV: Unemployment, Inequality & Poverty (2) 2011-06-18 2013-09-25
  5. NEP-NEU: Neuroeconomics (1) 2013-09-25
  6. NEP-ORE: Operations Research (6) 2008-07-05 2010-05-02 2010-05-15 2010-10-23 2012-05-29 2013-06-24. Author is listed
  7. NEP-SEA: South East Asia (1) 2012-05-29

Statistics

This author is among the top 5% authors according to these criteria:
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  3. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
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  5. Number of Abstract Views in RePEc Services over the past 12 months
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