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 0 1 1 4 6
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 76 0 0 0 218
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 1 2 3 335
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 0 23 0 0 0 24
Diffusion Copulas: Identification and Estimation 0 0 2 37 0 1 4 119
Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 28 1 2 2 130
Estimation in two classes of semiparametric diffusion models 0 0 0 2 1 1 4 50
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 0 244 2 5 6 651
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 0 0 1 190 1 3 6 404
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 0 314 2 2 3 585
Estimation of partial differential equations with applications in finance 1 1 1 12 1 1 4 91
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 25 1 1 1 50
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 0 1 0 0 1 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 1 4 0 1 3 23
Identification of a class of index models: A topological approach 0 0 0 32 0 1 2 29
Indirect Likelihood Inference 0 0 0 23 0 0 0 136
Indirect Likelihood Inference 1 2 5 65 1 2 10 339
Indirect Likelihood Inference (revised) 0 1 8 441 2 4 23 973
Indirect likelihood inference 0 0 0 196 0 0 1 520
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 39 0 0 0 67
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 0 0 1 3 5
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 0 1 3 336
Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 1 71 0 3 11 303
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 0 0 0 174 0 1 6 436
Nonparametric IV estimation of shape-invariant Engel curves 1 1 2 319 2 3 6 1,030
Nonparametric Identification and Estimation of Transformation Models 0 0 1 263 1 1 2 576
On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments 0 0 0 111 1 1 2 267
Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 52 0 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 22 0 0 0 88
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 180 0 0 0 521
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 1 1 2 40
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 0 31 0 0 1 28
Testing Conditional Factor Models 0 0 1 128 1 1 8 393
Testing Conditional Factor Models 0 0 0 312 0 0 0 644
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 2 2 342
Total Working Papers 3 5 29 5,845 21 44 145 14,499

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 1 1 1 39 2 4 5 108
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 6 205
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 1 3 87 0 2 6 245
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 0 0 1 76 1 2 10 295
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 0 0 4 75 0 3 13 221
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 0 3 3 358
Bounding quantile demand functions using revealed preference inequalities 0 0 0 59 1 1 2 186
Closed-form approximations of moments and densities of continuous–time Markov models 1 1 1 1 1 3 6 6
Control Functions and Simultaneous Equations Methods 1 1 1 147 2 3 9 440
Diffusion copulas: Identification and estimation 0 0 1 5 0 0 2 20
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 0 1 2 68 1 3 10 218
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 0 4 126 0 2 10 428
Estimation of partial differential equations with applications in finance 1 2 3 266 1 6 14 1,120
Higher-order properties of approximate estimators 0 0 2 54 0 3 19 272
Identification of a class of index models: A topological approach 0 0 0 4 1 2 3 14
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 1 81 0 1 4 224
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 1 5 135 0 2 16 346
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 1 1 288 0 3 8 572
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 99 0 1 4 230
Nonparametric identification and estimation of transformation models 1 1 2 68 2 7 12 236
Non‐parametric detection and estimation of structural change 0 0 2 126 1 2 8 291
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 0 1 3 365
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 0 0 5 289 0 1 16 739
Semi-nonparametric estimation and misspecification testing of diffusion models 0 0 1 84 1 2 5 272
Semiparametric modelling and estimation (in Russian) 1 1 2 82 1 2 9 188
Solving dynamic discrete choice models using smoothing and sieve methods 1 1 2 14 1 1 3 44
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 0 1 2 149
Testing conditional factor models 0 0 6 289 2 3 17 812
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 1 1 1 177 1 2 4 331
Total Journal Articles 8 13 55 3,543 19 67 248 10,279

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Statistics updated 2025-09-05