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Information about:
Bent Jesper Christensen

Personal Details | Affiliation | Works
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Personal Details

First Name: Bent Jesper
Middle Name:
Last Name: Christensen
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RePEc Short-ID: pch701

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Homepage:
Postal Address: School of Economics and Management Aarhus University Bartholins Allé 10, Building 1322 DK-8000 Aarhus C Denmark
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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. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2008. "The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets," Working Papers 1181, Queen's University, Department of Economics. [Downloadable!]
    Other versions:

  2. Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, School of Economics and Management, University of Aarhus. [Downloadable!]

  3. Bent Jesper Christensen & Michael Sørensen, 2008. "Optimal inference in dynamic models with conditional moment restrictions," CREATES Research Papers 2008-51, School of Economics and Management, University of Aarhus. [Downloadable!]

  4. Bent Jesper Christensen & Morten Ørregaard Nielsen & Jie Zhu, 2007. "Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model," CREATES Research Papers 2007-10, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:

  5. Bent Jesper Christensen & Thomas Elgaard Jensen & Rune Mølgaard, 2007. "Market Power in Power Markets: Evidence from Forward Prices of Electricity," CREATES Research Papers 2007-30, School of Economics and Management, University of Aarhus. [Downloadable!]

  6. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers 2007-03, School of Economics and Management, University of Aarhus. [Downloadable!]
    Published as:

  7. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2006. "The Information Content of Treasury Bond Options Concerning Future Volatility and Price Jumps," Working Papers 1188, Queen's University, Department of Economics. [Downloadable!]

  8. Lykke E. Andersen & Bent Jesper Christensen, 2006. "Labor Mobility in Bolivia: On-the-job Search Behavior of Private and Public Sector Employees," Development Research Working Paper Series 01/2006, Institute for Advanced Development Studies. [Downloadable!]

  9. Thomas Busch & Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "Forecasting Exchange Rate Volatility in the Presence of Jumps," Working Papers 1187, Queen's University, Department of Economics. [Downloadable!]

  10. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2005. "The Implied-Realized Volatility Relation with Jumps in Underlying Asset Prices," Working Papers 1186, Queen's University, Department of Economics. [Downloadable!]

  11. Lykke E. Andersen & Bent Jesper Christensen & Oscar Molina, 2005. "The Impact of Aid on Recipient Behavior: A Micro-Level Dynamic Analysis of Remittances, Schooling, Work, Consumption, Investment and Social Mobility in Nicaragua," Development Research Working Paper Series 02/2005, Institute for Advanced Development Studies. [Downloadable!]

  12. Lykke E. Andersen & Bent Jesper Christensen & Claudia Delgadillo, 2005. "Movilidad Laboral en Bolivia: Una Comparación entre Empleados del Sector Público y Privado," Development Research Working Paper Series 01/2005, Institute for Advanced Development Studies. [Downloadable!]

  13. Christensen, Bent Jesper & Raahauge, Peter, 2004. "Latent Utility Shocks in a Structural Empirical Asset Pricing Model," Working Papers 2004-7, Copenhagen Business School, Department of Finance. [Downloadable!]

  14. Bent Jesper Christensen & Rasmus Lentz & Dale T. Mortensen & George R. Neumann & Axel Werwatz, 2003. "On the Job Search and the Wage Distribution," CAM Working Papers 2004-09, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
    Other versions:
    Published as:

  15. Bent Jesper Christensen & Nicholas Kiefer, 2000. "Panel Data, Local Cuts, and Orthogeodesic Models," Econometric Society World Congress 2000 Contributed Papers 1108, Econometric Society. [Downloadable!]
    Other versions:

  16. Christensen, B.J. & Gupta, N.D., 1999. "The Effects of Pension System on Retirement and Government Finances: Predictions Using Danish Data on Married Couples," Papers 99-1, Aarhus School of Business - Department of Economics.

  17. An, M.Y. & Christensen, B.J. & Gupta, N.D., 1999. "A Bivariate Duration Model of the Joint Retirement Decisions of Married Couples," Papers 99-10, Centre for Labour Market and Social Research, Danmark-.

  18. Bunzel, H. & Christensen, B.J. & Kiefer, N.M. & Korsholm, L., 1999. "Equilibrium Search with Human Capital Accumulation," Papers 99-11, Centre for Labour Market and Social Research, Danmark-.

  19. Christensen, B.J. & Jensen, P. & Nielsen, M.S. & Poulsen, K. & Rosholm, M., 1999. "The Equilibrium Search Model with Productivity Dispersion and Structural Unemployment: an Application to Danish Data," Papers 99-12, Centre for Labour Market and Social Research, Danmark-.

  20. An, M.Y. & Christensen, B.J. & Kiefer, N.M., 1998. "Approximate Distributions in Essentially Linear Models," Papers 98-08, Centre for Labour Market and Social Research, Danmark-.
    Other versions:

  21. Christensen, B.J. & Kiefer, N.M., 1990. "The Exact Likelihood Function For An Empirical Job Search Model," Papers 9017, Tilburg - Center for Economic Research.

  22. Henning Bunzel & Bent J. Christensen & Nicholas M. Kiefer & Lars Korsholm, . "The Asset Pricing Approach to the Rate of Return to Human Capital: An Equilibrium Search Framework for Denmark," Management Working Papers 1999-17, School of Economics and Management, University of Aarhus. [Downloadable!]

  23. Henning Bunzel & Bent Jesper Christensen & Niels Haldrup & Svend Hylleberg & Viggo Hoest & Peter Jensen & Allan Wurtz, . "Udviklingslinier i Oekonometrien," Economics Working Papers 1998-15, School of Economics and Management, University of Aarhus. [Downloadable!]

  24. Bent Jesper Christensen & Nicholas M. Kiefer, . "Financial Panel Data, Local Cuts, and Orthogeodesic Models," Management Working Papers 1999-9, School of Economics and Management, University of Aarhus. [Downloadable!]

  25. Bent Jesper Christensen & Morten Ø. Nielsen, . "Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data," Economics Working Papers 2001-4, School of Economics and Management, University of Aarhus. [Downloadable!]

  26. Bent Jesper Christensen & Nicholas M. Kiefer, . "Simulated Moment Methods for Empirical Equivalent Martingale Measures," Management Working Papers 1999-5, School of Economics and Management, University of Aarhus. [Downloadable!]

  27. Bent Jesper Christensen & Tomas Björk, . "Interest Rate Dynamics and Consistent Forward Rate Curves," Management Working Papers 1999-4, School of Economics and Management, University of Aarhus. [Downloadable!]
    Other versions:

  28. H. Bunzel & B.J. Christensen & P. Jensen & N.M. Kiefer & L. Korsholm & L. Muus & G.R. Neumann & Michael Rosholm, . "Investment in Human Capital versus Differences in Company Productivity Levels: Specification and Estimation of Equilibrium Search Models for Denmark," Management Working Papers 1999-15, School of Economics and Management, University of Aarhus. [Downloadable!]

  29. Bent Jesper Christensen & Peter Jensen & Michael Svarer & Kim Poulsen & Michael Rosholm, . "Public Finance Effects in an Equilibrium Search Model with Differences in Company Productivity Levels: An Application to Danish Data," Management Working Papers 1999-12, School of Economics and Management, University of Aarhus. [Downloadable!]

Articles

  1. Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, 05. [Downloadable!] (restricted)
    Other versions:

  2. Christensen, Bent Jesper & Nielsen, Morten Orregaard, 2006. "Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting," Journal of Econometrics, Elsevier, vol. 133(1), pages 343-371, July. [Downloadable!] (restricted)

  3. Bent Jesper Christensen & Rasmus Lentz & Dale T. Mortensen & George R. Neumann & Axel Werwatz, 2005. "On-the-Job Search and the Wage Distribution," Journal of Labor Economics, University of Chicago Press, vol. 23(1), pages 31-58, January. [Downloadable!]
    Other versions:

  4. Bent Jesper Christensen & Nabanita Datta Gupta & John Rust, 2004. "Special issue on the econometrics of social insurance," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(6), pages 647-648. [Downloadable!]

  5. Mark Y. An & Bent Jesper Christensen & Nabanita Datta Gupta, 2004. "Multivariate mixed proportional hazard modelling of the joint retirement of married couples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(6), pages 687-704. [Downloadable!]

  6. Bent Jesper Christensen & Charlotte Strunk Hansen, 2002. "New evidence on the implied-realized volatility relation," European Journal of Finance, Taylor and Francis Journals, vol. 8(2), pages 187-205, June. [Downloadable!] (restricted)

  7. H. Bunzel & B. J. Christensen & P. Jensen & N. M. Kiefer & L. Korsholm & L. Muus & G. R. Neumann & M. Rosholm, 2001. "Specification and Estimation of Equilibrium Search Models," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 4(1), pages 90-126, January. [Downloadable!] (restricted)

  8. Bjork, Tomas & Christensen, Bent Jesper & Gombani, Andrea, 1998. "Some system theoretic aspects of interest rate theory," Insurance: Mathematics and Economics, Elsevier, vol. 22(1), pages 17-23, May. [Downloadable!] (restricted)

  9. Christensen, B. J. & Prabhala, N. R., 1998. "The relation between implied and realized volatility1," Journal of Financial Economics, Elsevier, vol. 50(2), pages 125-150, November. [Downloadable!] (restricted)

  10. Christensen, Bent Jesper & Kiefer, Nicholas M., 1997. "Inference in non-linear panel models with partially missing observations The case of the equilibrium search model," Journal of Econometrics, Elsevier, vol. 79(2), pages 201-219, August. [Downloadable!] (restricted)

  11. Christensen, Bent Jesper & Kiefer, Nicholas M, 1994. "Measurement Error in the Prototypal Job-Search Model," Journal of Labor Economics, University of Chicago Press, vol. 12(4), pages 618-39, October. [Downloadable!] (restricted)

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-COM: Industrial Competition (1) 2008-06-27
  2. NEP-ECM: Econometrics (5) 2008-06-27 2008-06-27 2008-09-05 2008-09-29 2008-10-21 Author is listed
  3. NEP-ENE: Energy Economics (1) 2008-06-27
  4. NEP-ETS: Econometric Time Series (4) 2008-06-27 2008-06-27 2008-09-05 2008-09-29 Author is listed
  5. NEP-FMK: Financial Markets (3) 2006-07-02 2008-06-27 2008-06-27 Author is listed
  6. NEP-FOR: Forecasting (3) 2006-07-02 2008-06-27 2008-10-21 Author is listed
  7. NEP-IND: Industrial Organization (1) 2008-06-27
  8. NEP-LAB: Labour Economics (2) 2004-09-05 2007-03-03
  9. NEP-MIC: Microeconomics (1) 2008-06-27
  10. NEP-MST: Market Microstructure (2) 2008-06-27 2008-10-21
  11. NEP-UPT: Utility Models & Prospect Theory (1) 2006-07-02
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This page was last updated on 2009-11-15.

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