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 2 20 492
A semiparametric single-factor model of the term structure 0 1 1 2 0 3 9 44
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models 0 0 0 145 1 2 10 199
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 0 193 0 0 6 565
Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates 0 0 0 105 0 0 14 334
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 0 1 1 14 19
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 76 1 1 12 230
Bayesian Indirect Inference and the ABC of GMM 0 0 0 104 1 1 10 225
Bounding quantile demand functions using revealed preference inequalities 0 0 0 187 0 0 13 347
Closed-form approximations of moments and densities of continuous-time Markov models 0 0 0 1 0 0 8 13
Diffusion Copulas: Identification and Estimation 0 0 0 6 0 0 19 37
Diffusion Copulas: Identification and Estimation 0 0 0 23 0 1 13 37
Diffusion Copulas: Identification and Estimation 0 0 0 37 2 2 19 138
Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 28 0 0 19 148
Estimation in two classes of semiparametric diffusion models 0 0 1 3 0 3 21 70
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 0 244 0 3 16 665
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 0 0 0 190 0 1 15 418
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 0 314 1 2 7 590
Estimation of partial differential equations with applications in finance 0 0 1 12 0 0 12 102
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 25 0 0 10 59
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 3 0 1 6 12
Higher Order Improvements for Approximate Estimators 0 0 0 133 0 1 8 321
Higher-order properties of approximate estimators 0 0 0 1 1 1 13 19
Higher-order properties of approximate estimators 0 0 0 175 3 3 15 369
Identification of a class of index models: A topological approach 0 0 0 4 1 1 12 35
Identification of a class of index models: A topological approach 0 0 0 32 0 0 7 36
Indirect Likelihood Inference 0 0 0 23 0 3 10 146
Indirect Likelihood Inference 1 1 2 66 1 1 10 348
Indirect Likelihood Inference (revised) 0 0 3 444 0 1 27 998
Indirect likelihood inference 0 0 0 196 0 1 5 525
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 39 0 2 13 80
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 0 0 2 31 36
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 3 4 15 345
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models 0 0 0 29 0 0 25 73
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 0 14 471
Nonparametric Detection and Estimation of Structural Change 0 0 1 219 1 3 13 349
Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 71 0 0 22 325
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 0 0 0 174 0 0 17 453
Nonparametric IV estimation of shape-invariant Engel curves 0 0 1 319 0 2 17 1,045
Nonparametric Identification and Estimation of Transformation Models 0 0 0 263 0 0 16 591
On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments 0 0 0 111 0 0 5 271
Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 52 0 0 4 184
SNM Guide 0 0 1 130 0 1 16 386
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 180 0 1 20 541
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 22 0 0 12 100
Semiparametric Modelling and Estimation: A Selective Overview 0 0 1 209 0 4 13 340
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods 0 0 0 16 0 2 13 52
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 0 31 0 0 15 43
Testing Conditional Factor Models 0 0 0 312 0 0 16 660
Testing Conditional Factor Models 0 1 1 129 0 1 9 401
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 1 8 454
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 0 8 98
Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data 0 0 0 129 0 2 13 354
Total Working Papers 1 3 13 5,855 17 60 715 15,193

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 2 11 310
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 0 2 40 1 2 16 122
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 0 167 0 2 9 380
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models 0 0 1 57 0 0 13 218
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 0 87 0 1 7 252
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 1 1 3 79 2 2 17 311
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 0 0 0 75 3 4 23 244
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 1 4 19 377
Bounding quantile demand functions using revealed preference inequalities 1 2 2 61 1 3 13 198
Closed-form approximations of moments and densities of continuous–time Markov models 0 0 1 1 0 0 10 15
Control Functions and Simultaneous Equations Methods 0 0 3 149 0 0 8 446
Diffusion copulas: Identification and estimation 0 0 0 5 0 1 8 28
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 0 0 5 73 0 1 20 237
Estimation of dynamic latent variable models using simulated non‐parametric moments 0 0 1 64 0 1 20 218
Estimation of dynamic models with nonparametric simulated maximum likelihood 0 1 2 128 1 7 29 457
Estimation of partial differential equations with applications in finance 0 0 1 266 0 0 27 1,146
Higher-order properties of approximate estimators 0 0 0 54 0 2 14 286
Identification of a class of index models: A topological approach 0 0 0 4 0 0 9 22
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 0 81 5 5 22 246
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 2 2 3 138 2 3 27 373
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 0 0 288 0 0 10 582
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 99 0 2 6 236
Nonparametric identification and estimation of transformation models 0 0 1 68 0 3 29 263
Non‐parametric detection and estimation of structural change 0 0 0 126 1 1 10 300
On selection of statistics for approximate Bayesian computing (or the method of simulated moments) 0 0 0 30 0 1 24 128
On stationarity and ergodicity of the bilinear model with applications to GARCH models 0 0 0 144 1 2 16 388
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models 0 0 1 126 1 2 24 389
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 0 0 1 290 0 0 22 761
Semi-nonparametric estimation and misspecification testing of diffusion models 0 0 4 88 0 1 10 281
Semiparametric modelling and estimation (in Russian) 0 0 3 84 0 0 13 200
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 1 14 1 3 27 70
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 0 0 9 158
Testing conditional factor models 1 1 3 292 4 6 32 842
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 0 0 1 177 0 3 16 346
Total Journal Articles 5 7 39 3,574 25 64 570 10,830

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Statistics updated 2026-08-07