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Dennis Kristensen
Dennis Kristensen
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Title
Cited by
Cited by
Year
Semi‐nonparametric IV estimation of shape‐invariant Engel curves
R Blundell, X Chen, D Kristensen
Econometrica 75 (6), 1613-1669, 2007
5752007
Testing conditional factor models
A Ang, D Kristensen
Journal of Financial Economics 106 (1), 132-156, 2012
2472012
Nonparametric filtering of the realized spot volatility: A kernel-based approach
D Kristensen
Econometric Theory 26 (1), 60-93, 2010
2182010
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
H Han, D Kristensen
Journal of Economics and Business Statistics 32 (3), 416-429, 2014
1152014
Bounding quantile demand functions using revealed preference inequalities
R Blundell, D Kristensen, R Matzkin
Journal of Econometrics 179 (2), 112–127, 2014
97*2014
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
A Agosto, G Cavaliere, D Kristensen, A Rahbek
Journal of Empirical Finance 38, 640-663, 2016
962016
Uniform convergence rates of kernel estimators with heterogeneous, dependent data
D Kristensen
Econometric Theory 25 (5), 1433-1445, 2009
902009
Estimation of dynamic models with nonparametric simulated maximum likelihood
D Kristensen, Y Shin
Journal of Econometrics 167 (1), 76–94, 2012
832012
A closed-form estimator for the GARCH(1,1) model
D Kristensen, O Linton
Econometric Theory 22 (2), 323-337, 2006
832006
Estimation of stochastic volatility models by nonparametric filtering
S Kanaya, D Kristensen
Econometric Theory 32 (4), 861-916, 2016
74*2016
Asymptotics of the QMLE for a class of ARCH(q) models
D Kristensen, A Rahbek
Econometric Theory 21 (5), 946-961, 2005
732005
Nonparametric detection and estimation of structural change
D Kristensen
Econometrics Journal 15 (3), 420–461, 2012
672012
Nonparametric identification and estimation of transformation models
PA Chiappori, I Komunjer, D Kristensen
Journal of Econometrics 188 (1), 22–39, 2015
652015
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
D Kristensen, A Mele
Journal of Financial Economics 102 (2), 390–415, 2011
632011
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
D Kristensen
Journal of Econometrics 156 (2), 239-259, 2010
56*2010
Indirect likelihood inference
M Creel, D Kristensen
47*2011
Higher-order properties of approximate estimators
D Kristensen, B Salaniť
Journal of Econometrics 198 (2), 189-208, 2017
45*2017
Semi-nonparametric estimation and misspecification testing of diffusion models
D Kristensen
Journal of Econometrics 164 (2), 382–403, 2011
38*2011
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
M Creel, D Kristensen
Journal of Empirical Finance 31, 85-108, 2015
352015
Control functions and simultaneous equations methods
R Blundell, D Kristensen, RL Matzkin
American Economic Review 103 (3), 563-69, 2013
342013
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Articles 1–20