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Information about:
Dennis Kristensen

Personal Details | Affiliation | Works
This is information that was supplied by Dennis Kristensen in registering through RePEc. If you are Dennis Kristensen , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

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

Email:
Homepage: http://www.columbia.edu/~dk2313/
Postal Address:
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Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, School of Economics and Management, University of Aarhus. [Downloadable!]

  2. 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. [Downloadable!]

  3. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, School of Economics and Management, University of Aarhus. [Downloadable!]

  4. 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. [Downloadable!]

  5. 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. [Downloadable!]
    Published as:

  6. 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. [Downloadable!]

  7. 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. [Downloadable!]

  8. Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, School of Economics and Management, University of Aarhus. [Downloadable!]

  9. 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. [Downloadable!]

  10. Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers dp501, Financial Markets Group. [Downloadable!] (restricted)

  11. Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group. [Downloadable!] (restricted)

  12. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2003. "Nonparametric IV estimation of shape-invariant Engel curves," CeMMAP working papers CWP15/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]

Articles

  1. Kristensen, Dennis, 2009. "Uniform Convergence Rates Of Kernel Estimators With Heterogeneous Dependent Data," Econometric Theory, Cambridge University Press, vol. 25(05), pages 1433-1445, October. [Downloadable!]
    Other versions:

  2. Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September. [Downloadable!]

  3. Dennis Kristensen, 2009. "On stationarity and ergodicity of the bilinear model with applications to GARCH models," Journal of Time Series Analysis, Blackwell Publishing, vol. 30(1), pages 125-144, 01. [Downloadable!] (restricted)

  4. Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June. [Downloadable!] (restricted)

  5. Richard Blundell & Xiaohong Chen & Dennis Kristensen, 2007. "Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves," Econometrica, Econometric Society, vol. 75(6), pages 1613-1669, November. [Downloadable!] (restricted)

  6. Kristensen, Dennis & Linton, Oliver, 2006. "A Closed-Form Estimator For The Garch(1,1) Model," Econometric Theory, Cambridge University Press, vol. 22(02), pages 323-337, April. [Downloadable!]

  7. Kristensen, Dennis & Rahbek, Anders, 2005. "ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS," Econometric Theory, Cambridge University Press, vol. 21(05), pages 946-961, October. [Downloadable!]

  8. Kristensen, Dennis & Linton, Oliver, 2004. "03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Solution," Econometric Theory, Cambridge University Press, vol. 20(05), pages 990-993, October. [Downloadable!]

  9. Andrew Jeffrey, 2004. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Journal of Financial Econometrics, Oxford University Press, vol. 2(2), pages 251-289. [Downloadable!] (restricted)

  10. Kristensen, Dennis & Linton, Oliver, 2003. "03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation," Econometric Theory, Cambridge University Press, vol. 19(05), pages 879-880, October. [Downloadable!]

  11. RePEc:bep:jtsmet:1:2009:1:2 is not listed on IDEAS

NEP Fields

5 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (4) 2008-06-27 2008-11-18 2009-03-14 2009-10-10 Author is listed
  2. NEP-ETS: Econometric Time Series (4) 2008-06-27 2008-07-05 2008-11-18 2009-03-14 Author is listed
  3. NEP-ORE: Operations Research (1) 2008-07-05
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This page was last updated on 2009-11-8.

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