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 7 11 18 490
A semiparametric single-factor model of the term structure 0 0 0 1 1 1 6 41
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models 0 0 0 145 0 2 8 197
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 0 193 1 3 6 565
Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates 0 0 0 105 3 3 14 334
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 0 3 3 13 18
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 76 3 5 11 229
Bayesian Indirect Inference and the ABC of GMM 0 0 0 104 0 2 9 224
Bounding quantile demand functions using revealed preference inequalities 0 0 0 187 3 5 14 347
Closed-form approximations of moments and densities of continuous-time Markov models 0 0 0 1 3 3 9 13
Diffusion Copulas: Identification and Estimation 0 0 0 37 7 9 18 136
Diffusion Copulas: Identification and Estimation 0 0 0 6 1 9 19 37
Diffusion Copulas: Identification and Estimation 0 0 0 23 2 2 12 36
Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 28 4 6 20 148
Estimation in two classes of semiparametric diffusion models 0 0 1 3 7 8 18 67
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 0 244 4 5 16 662
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 0 0 1 190 1 3 17 417
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 0 314 1 1 5 588
Estimation of partial differential equations with applications in finance 0 0 1 12 3 4 12 102
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 3 1 1 5 11
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 25 2 3 10 59
Higher Order Improvements for Approximate Estimators 0 0 0 133 1 1 7 320
Higher-order properties of approximate estimators 0 0 0 175 1 3 12 366
Higher-order properties of approximate estimators 0 0 0 1 1 2 12 18
Identification of a class of index models: A topological approach 0 0 0 32 1 1 8 36
Identification of a class of index models: A topological approach 0 0 1 4 2 3 13 34
Indirect Likelihood Inference 0 0 3 65 2 3 12 347
Indirect Likelihood Inference 0 0 0 23 1 1 7 143
Indirect Likelihood Inference (revised) 1 1 4 444 6 8 29 997
Indirect likelihood inference 0 0 0 196 1 2 4 524
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 39 0 0 11 78
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 0 1 6 30 34
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 3 8 11 341
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models 0 0 0 29 3 17 25 73
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 2 3 14 471
Nonparametric Detection and Estimation of Structural Change 1 1 1 219 3 5 11 346
Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 1 71 3 8 27 325
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 0 0 0 174 3 8 19 453
Nonparametric IV estimation of shape-invariant Engel curves 0 0 1 319 1 4 16 1,043
Nonparametric Identification and Estimation of Transformation Models 0 0 0 263 1 2 16 591
On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments 0 0 0 111 0 1 5 271
Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 52 2 2 5 184
SNM Guide 0 0 1 130 1 3 15 385
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 22 1 2 12 100
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 180 2 8 19 540
Semiparametric Modelling and Estimation: A Selective Overview 0 0 1 209 1 2 9 336
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods 0 0 0 16 1 2 12 50
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 0 31 1 5 15 43
Testing Conditional Factor Models 0 0 0 128 0 1 9 400
Testing Conditional Factor Models 0 0 0 312 5 7 16 660
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 2 5 8 98
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 1 3 7 453
Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data 0 0 0 129 3 4 12 352
Total Working Papers 2 2 16 5,852 113 219 688 15,133

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 1 1 9 308
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 0 2 40 3 6 16 120
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 0 167 1 2 7 378
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models 0 0 1 57 1 2 13 218
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 1 87 2 2 8 251
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 0 0 2 78 4 8 16 309
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 0 0 3 75 3 9 28 240
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 2 4 18 373
Bounding quantile demand functions using revealed preference inequalities 0 0 0 59 0 1 10 195
Closed-form approximations of moments and densities of continuous–time Markov models 0 0 1 1 3 3 12 15
Control Functions and Simultaneous Equations Methods 1 1 3 149 2 3 11 446
Diffusion copulas: Identification and estimation 0 0 1 5 1 3 8 27
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 1 2 6 73 1 5 21 236
Estimation of dynamic latent variable models using simulated non‐parametric moments 0 0 1 64 4 7 19 217
Estimation of dynamic models with nonparametric simulated maximum likelihood 0 0 2 127 2 7 25 450
Estimation of partial differential equations with applications in finance 0 0 2 266 6 13 32 1,146
Higher-order properties of approximate estimators 0 0 0 54 2 4 18 284
Identification of a class of index models: A topological approach 0 0 0 4 0 2 10 22
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 0 81 6 12 18 241
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 2 136 7 9 27 370
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 0 1 288 1 2 13 582
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 99 0 1 5 234
Nonparametric identification and estimation of transformation models 0 0 1 68 2 9 32 260
Non‐parametric detection and estimation of structural change 0 0 0 126 1 4 12 299
On selection of statistics for approximate Bayesian computing (or the method of simulated moments) 0 0 0 30 2 3 23 127
On stationarity and ergodicity of the bilinear model with applications to GARCH models 0 0 0 144 6 13 15 386
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models 0 0 1 126 5 12 24 387
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 0 0 1 290 2 11 24 761
Semi-nonparametric estimation and misspecification testing of diffusion models 0 1 4 88 0 1 10 280
Semiparametric modelling and estimation (in Russian) 0 0 3 84 0 2 14 200
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 1 14 3 9 24 67
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 2 4 11 158
Testing conditional factor models 0 0 5 291 5 11 30 836
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 0 0 1 177 0 4 14 343
Total Journal Articles 2 4 45 3,567 80 189 577 10,766

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Statistics updated 2026-05-06