Access Statistics for Dennis Kristensen

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Semiparametric Single-Factor Model of the Term Structure 0 0 0 102 0 0 0 472
A semiparametric single-factor model of the term structure 0 0 0 1 0 0 0 35
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models 0 0 0 145 0 0 1 189
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 1 193 0 0 3 559
Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates 0 0 0 105 0 0 0 320
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 76 0 0 0 218
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 0 0 0 3 5
Bayesian Indirect Inference and the ABC of GMM 0 0 1 104 0 0 1 215
Bounding quantile demand functions using revealed preference inequalities 0 0 0 187 0 1 2 334
Closed-form approximations of moments and densities of continuous-time Markov models 0 0 0 1 0 1 2 5
Diffusion Copulas: Identification and Estimation 0 0 0 6 0 0 3 18
Diffusion Copulas: Identification and Estimation 0 0 2 37 0 1 4 119
Diffusion Copulas: Identification and Estimation 0 0 0 23 0 0 0 24
Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 28 0 1 1 129
Estimation in two classes of semiparametric diffusion models 0 0 0 2 0 0 3 49
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 0 244 0 3 5 649
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 0 1 1 190 1 3 5 403
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 0 314 0 0 1 583
Estimation of partial differential equations with applications in finance 0 0 0 11 0 0 3 90
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 25 0 0 0 49
Estimation of stochastic volatility models by nonparametric filtering 0 0 1 3 0 0 2 6
Higher Order Improvements for Approximate Estimators 0 0 0 133 0 0 0 313
Higher-order properties of approximate estimators 0 0 1 1 0 0 2 6
Higher-order properties of approximate estimators 0 0 0 175 0 0 0 354
Identification of a class of index models: A topological approach 0 0 0 32 1 1 2 29
Identification of a class of index models: A topological approach 0 1 1 4 1 2 3 23
Indirect Likelihood Inference 0 0 0 23 0 0 0 136
Indirect Likelihood Inference 0 2 4 64 0 3 9 338
Indirect Likelihood Inference (revised) 1 1 8 441 2 3 24 971
Indirect likelihood inference 0 0 0 196 0 0 1 520
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 0 1 1 3 5
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 1 39 0 0 1 67
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 0 0 0 330
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models 0 0 1 29 0 0 3 48
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 0 2 457
Nonparametric Detection and Estimation of Structural Change 0 0 1 218 1 1 3 336
Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 1 1 71 1 5 13 303
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 0 0 0 174 1 2 7 436
Nonparametric IV estimation of shape-invariant Engel curves 0 0 1 318 1 1 4 1,028
Nonparametric Identification and Estimation of Transformation Models 0 0 1 263 0 0 1 575
On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments 0 0 0 111 0 0 2 266
Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 52 1 1 1 180
SNM Guide 0 0 0 129 0 0 2 370
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 180 0 0 0 521
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 22 0 0 0 88
Semiparametric Modelling and Estimation: A Selective Overview 0 0 1 208 0 0 2 327
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods 0 0 0 16 0 1 1 39
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 0 31 0 0 2 28
Testing Conditional Factor Models 0 0 0 312 0 0 0 644
Testing Conditional Factor Models 0 0 1 128 0 1 7 392
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 0 0 90
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 0 0 446
Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data 0 0 0 129 1 1 1 341
Total Working Papers 1 6 28 5,842 12 33 135 14,478

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation 0 0 0 23 0 0 0 299
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 0 0 38 2 2 4 106
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 0 167 0 0 0 371
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models 0 0 2 56 0 0 7 205
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 1 1 3 87 2 2 6 245
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 0 0 1 76 1 1 11 294
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 0 3 4 75 3 9 13 221
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 1 3 3 358
Bounding quantile demand functions using revealed preference inequalities 0 0 0 59 0 0 1 185
Closed-form approximations of moments and densities of continuous–time Markov models 0 0 0 0 0 2 5 5
Control Functions and Simultaneous Equations Methods 0 0 0 146 0 3 7 438
Diffusion copulas: Identification and estimation 0 1 1 5 0 1 2 20
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 0 1 2 68 0 2 9 217
Estimation of dynamic latent variable models using simulated non‐parametric moments 0 0 1 63 0 0 5 198
Estimation of dynamic models with nonparametric simulated maximum likelihood 0 1 4 126 2 3 10 428
Estimation of partial differential equations with applications in finance 1 1 2 265 4 5 14 1,119
Higher-order properties of approximate estimators 0 0 2 54 2 6 19 272
Identification of a class of index models: A topological approach 0 0 0 4 0 1 2 13
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 1 81 1 1 4 224
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 1 6 135 1 3 17 346
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 1 2 288 1 3 9 572
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 99 1 1 4 230
Nonparametric identification and estimation of transformation models 0 0 1 67 1 6 11 234
Non‐parametric detection and estimation of structural change 0 0 3 126 0 3 8 290
On selection of statistics for approximate Bayesian computing (or the method of simulated moments) 0 0 0 30 0 0 7 104
On stationarity and ergodicity of the bilinear model with applications to GARCH models 0 0 0 144 0 1 7 372
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models 0 0 1 125 1 2 3 365
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 0 0 5 289 1 2 16 739
Semi-nonparametric estimation and misspecification testing of diffusion models 0 0 1 84 0 1 4 271
Semiparametric modelling and estimation (in Russian) 0 0 1 81 0 1 9 187
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 2 13 0 0 3 43
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 1 2 2 149
Testing conditional factor models 0 3 7 289 1 4 18 810
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 0 0 0 176 1 1 6 330
Total Journal Articles 2 13 52 3,535 27 71 246 10,260

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Statistics updated 2025-08-05