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Dennis Kristensen

Personal Details

First Name:Dennis
Middle Name:
Last Name:Kristensen
Suffix:
RePEc Short-ID:pkr127
https://sites.google.com/site/econkristensen/
Terminal Degree:2004 Economics Department; London School of Economics (LSE) (from RePEc Genealogy)

Affiliation

(90%) Department of Economics
University College London (UCL)

London, United Kingdom
http://www.ucl.ac.uk/economics/

:

Gower Street, London WC1E 6BT
RePEc:edi:deucluk (more details at EDIRC)

(5%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet

Aarhus, Denmark
http://www.creates.au.dk/

:

Building 1322, DK-8000 Aarhus C
RePEc:edi:creaudk (more details at EDIRC)

(5%) Centre for Microdata Methods and Practice (CEMMAP)

United Kingdom
http://www.cemmap.ac.uk/

: +44 (0)20 7291 4800
+44 (0)20 7323 4780
Institute for Fiscal Studies, 7 Ridgmount Street, London WC1E 7AE
RePEc:edi:cmifsuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Editorship

Working papers

  1. Richard Blundell & Dennis Kristensen & Rosa Matzkin, 2017. "Individual counterfactuals with multidimensional unobserved heterogeneity," CeMMAP working papers CWP60/17, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  2. Michael Creel & Jiti Gao & Han Hong & Dennis Kristensen, 2016. "Bayesian Indirect Inference and the ABC of GMM," Monash Econometrics and Business Statistics Working Papers 1/16, Monash University, Department of Econometrics and Business Statistics.
  3. Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.
  4. Michael Creel & Dennis Kristensen, 2015. "On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments," UFAE and IAE Working Papers 950.15, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 27 Feb 2015.
  5. Michael Creel & Dennis Kristensen, 2014. "ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models," CREATES Research Papers 2014-30, Department of Economics and Business Economics, Aarhus University.
  6. Michael Creel & Dennis Kristensen, 2013. "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers 931.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  7. Dennis Kristensen & Bernard Salanie, 2013. "Higher-order properties of approximate estimators," CeMMAP working papers CWP45/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. 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, Department of Economics and Business Economics, Aarhus University.
  9. Michael Creel & Dennis Kristensen, 2011. "Indirect likelihood inference," UFAE and IAE Working Papers 874.11, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  10. Pierre-Andre Chiappori & Ivana Komunjer & Dennis Kristensen, 2011. "Nonparametric Identification and Estimation of Transformation Models," CAM Working Papers 2011-01, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  11. Richard Blundell & Dennis Kristensen & Rosa Matzkin, 2011. "Bounding quantile demand functions using revealed preference inequalities," CeMMAP working papers CWP21/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  12. Dennis Kristensen, 2011. "Nonparametric Detection and Estimation of Structural Change," CREATES Research Papers 2011-13, Department of Economics and Business Economics, Aarhus University.
  13. Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
  14. Dennis Kristensen & Anders Rahbek, 2010. "Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models," Discussion Papers 10-25, University of Copenhagen. Department of Economics.
  15. Shin Kanaya & Dennis Kristensen, 2010. "Estimation of Stochastic Volatility Models by Nonparametric Filtering," CREATES Research Papers 2010-67, Department of Economics and Business Economics, Aarhus University.
  16. Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," Discussion Papers 10-10, University of Copenhagen. Department of Economics.
  17. Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, Department of Economics and Business Economics, Aarhus University.
  18. 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, Department of Economics and Business Economics, Aarhus University.
  19. Michael Creel & Dennis Kristensen, 2009. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 792.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  20. Dennis Kristensen, 2009. "Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models," CREATES Research Papers 2009-41, Department of Economics and Business Economics, Aarhus University.
  21. Michael Creel & Dennis Kristensen, 2009. "SNM Guide," UFAE and IAE Working Papers 793.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  22. Dennis Kristensen, 2009. "Semiparametric Modelling and Estimation: A Selective Overview," CREATES Research Papers 2009-44, Department of Economics and Business Economics, Aarhus University.
  23. Dennis Kristensen, 2008. "Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data," CREATES Research Papers 2008-37, Department of Economics and Business Economics, Aarhus University.
  24. Dennis Kristensen & Yongseok Shin, 2008. "Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood," CREATES Research Papers 2008-58, Department of Economics and Business Economics, Aarhus University.
  25. Dennis Kristensen & Anders Rahbek, 2007. "Likelihood-Based Inference in Nonlinear Error-Correction Models," CREATES Research Papers 2007-38, Department of Economics and Business Economics, Aarhus University.
  26. Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, Department of Economics and Business Economics, Aarhus University.
  27. Dennis Kristensen, 2007. "Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach," CREATES Research Papers 2007-02, Department of Economics and Business Economics, Aarhus University.
  28. Kristensen, Dennis, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
  29. Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers dp501, Financial Markets Group.
  30. Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
  31. 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.
  32. Ruijun Bu & Kaddour Hadri & Dennis Kristensen, 0608. "Diffusion Copulas: Identification and Estimation," CREATES Research Papers 2018-20, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Kristensen, Dennis & Salanié, Bernard, 2017. "Higher-order properties of approximate estimators," Journal of Econometrics, Elsevier, vol. 198(2), pages 189-208.
  2. Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
  3. Kanaya, Shin & Kristensen, Dennis, 2016. "Estimation Of Stochastic Volatility Models By Nonparametric Filtering," Econometric Theory, Cambridge University Press, vol. 32(04), pages 861-916, August.
  4. Creel, Michael & Kristensen, Dennis, 2016. "On selection of statistics for approximate Bayesian computing (or the method of simulated moments)," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 99-114.
  5. Chiappori, Pierre-André & Komunjer, Ivana & Kristensen, Dennis, 2015. "Nonparametric identification and estimation of transformation models," Journal of Econometrics, Elsevier, vol. 188(1), pages 22-39.
  6. Creel, Michael & Kristensen, Dennis, 2015. "ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 85-108.
  7. Heejoon Han & Dennis Kristensen, 2014. "Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(3), pages 416-429, July.
  8. Blundell, Richard & Kristensen, Dennis & Matzkin, Rosa, 2014. "Bounding quantile demand functions using revealed preference inequalities," Journal of Econometrics, Elsevier, vol. 179(2), pages 112-127.
  9. Kristensen, Dennis & Rahbek, Anders, 2013. "Testing And Inference In Nonlinear Cointegrating Vector Error Correction Models," Econometric Theory, Cambridge University Press, vol. 29(06), pages 1238-1288, December.
  10. Richard Blundell & Dennis Kristensen & Rosa L. Matzkin, 2013. "Control Functions and Simultaneous Equations Methods," American Economic Review, American Economic Association, vol. 103(3), pages 563-569, May.
  11. Dennis Kristensen, 2012. "Non‐parametric detection and estimation of structural change," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 420-461, October.
  12. Michael Creel & Dennis Kristensen, 2012. "Estimation of dynamic latent variable models using simulated non‐parametric moments," Econometrics Journal, Royal Economic Society, vol. 15(3), pages 490-515, October.
  13. Kristensen, Dennis & Shin, Yongseok, 2012. "Estimation of dynamic models with nonparametric simulated maximum likelihood," Journal of Econometrics, Elsevier, vol. 167(1), pages 76-94.
  14. Ang, Andrew & Kristensen, Dennis, 2012. "Testing conditional factor models," Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
  15. Kristensen, Dennis, 2011. "Semi-nonparametric estimation and misspecification testing of diffusion models," Journal of Econometrics, Elsevier, vol. 164(2), pages 382-403, October.
  16. 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, vol. 102(2), pages 390-415.
  17. Kristensen, Dennis, 2010. "Nonparametric Filtering Of The Realized Spot Volatility: A Kernel-Based Approach," Econometric Theory, Cambridge University Press, vol. 26(01), pages 60-93, February.
  18. Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
  19. Kristensen, Dennis & Rahbek, Anders, 2010. "Likelihood-based inference for cointegration with nonlinear error-correction," Journal of Econometrics, Elsevier, vol. 158(1), pages 78-94, September.
  20. 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.
  21. Dennis Kristensen, 2009. "On stationarity and ergodicity of the bilinear model with applications to GARCH models," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(1), pages 125-144, January.
  22. Kristensen Dennis & Rahbek Anders, 2009. "Asymptotics of the QMLE for Non-Linear ARCH Models," Journal of Time Series Econometrics, De Gruyter, vol. 1(1), pages 1-38, April.
  23. Dennis Kristensen, 2009. "Semiparametric modelling and estimation (in Russian)," Quantile, Quantile, issue 7, pages 53-83, September.
  24. Kristensen, Dennis, 2008. "Estimation of partial differential equations with applications in finance," Journal of Econometrics, Elsevier, vol. 144(2), pages 392-408, June.
  25. 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.
  26. 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.
  27. 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.
  28. 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.
  29. 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.
  30. 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.

Editorship

  1. Econometrics Journal, Royal Economic Society.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Distinct Works, Weighted by Simple Impact Factor
  2. Number of Distinct Works, Weighted by Recursive Impact Factor
  3. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  5. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  6. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  7. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  8. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  9. Number of Journal Pages
  10. Number of Journal Pages, Weighted by Simple Impact Factor
  11. Number of Journal Pages, Weighted by Recursive Impact Factor
  12. Number of Journal Pages, Weighted by Number of Authors
  13. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  14. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  15. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  16. Closeness measure in co-authorship network

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 28 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (23) 2008-06-27 2008-11-18 2009-03-14 2009-10-10 2009-11-21 2009-11-21 2010-03-28 2010-05-02 2010-09-03 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 2014-09-25 2015-02-16 2015-02-22 2016-04-04 2018-07-30. Author is listed
  2. NEP-ETS: Econometric Time Series (12) 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 2014-09-25 2015-08-19. Author is listed
  3. NEP-ORE: Operations Research (8) 2008-07-05 2010-05-02 2010-10-23 2012-05-29 2013-06-24 2014-09-25 2015-08-19 2016-04-04. Author is listed
  4. NEP-LTV: Unemployment, Inequality & Poverty (2) 2011-06-18 2013-09-25
  5. NEP-LAM: Central & South America (1) 2013-09-25
  6. NEP-MAC: Macroeconomics (1) 2015-02-16
  7. NEP-NEU: Neuroeconomics (1) 2013-09-25
  8. NEP-SEA: South East Asia (1) 2012-05-29

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