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 1 9 20 492
A semiparametric single-factor model of the term structure 0 1 1 2 1 4 9 44
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models 0 0 0 145 0 1 9 198
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 0 193 0 1 6 565
Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates 0 0 0 105 0 3 14 334
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 0 0 3 13 18
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 76 0 3 11 229
Bayesian Indirect Inference and the ABC of GMM 0 0 0 104 0 0 9 224
Bounding quantile demand functions using revealed preference inequalities 0 0 0 187 0 3 13 347
Closed-form approximations of moments and densities of continuous-time Markov models 0 0 0 1 0 3 8 13
Diffusion Copulas: Identification and Estimation 0 0 0 6 0 1 19 37
Diffusion Copulas: Identification and Estimation 0 0 0 37 0 7 17 136
Diffusion Copulas: Identification and Estimation 0 0 0 23 1 3 13 37
Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 28 0 4 19 148
Estimation in two classes of semiparametric diffusion models 0 0 1 3 1 10 21 70
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 0 244 0 7 16 665
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 0 0 0 190 0 2 16 418
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 0 314 0 2 6 589
Estimation of partial differential equations with applications in finance 0 0 1 12 0 3 12 102
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 3 0 2 6 12
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 25 0 2 10 59
Higher Order Improvements for Approximate Estimators 0 0 0 133 0 2 8 321
Higher-order properties of approximate estimators 0 0 0 175 0 1 12 366
Higher-order properties of approximate estimators 0 0 0 1 0 1 12 18
Identification of a class of index models: A topological approach 0 0 0 4 0 2 12 34
Identification of a class of index models: A topological approach 0 0 0 32 0 1 8 36
Indirect Likelihood Inference 0 0 0 23 2 4 10 146
Indirect Likelihood Inference 0 0 1 65 0 2 9 347
Indirect Likelihood Inference (revised) 0 1 4 444 0 7 29 998
Indirect likelihood inference 0 0 0 196 1 2 5 525
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 0 1 3 32 36
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 39 1 2 13 80
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 0 4 12 342
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models 0 0 0 29 0 3 25 73
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 2 14 471
Nonparametric Detection and Estimation of Structural Change 0 1 1 219 1 5 13 348
Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 71 0 3 23 325
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 0 0 0 174 0 3 18 453
Nonparametric IV estimation of shape-invariant Engel curves 0 0 1 319 1 3 18 1,045
Nonparametric Identification and Estimation of Transformation Models 0 0 0 263 0 1 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 2 5 184
SNM Guide 0 0 1 130 0 2 16 386
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 22 0 1 12 100
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 180 0 3 20 541
Semiparametric Modelling and Estimation: A Selective Overview 0 0 1 209 3 5 13 340
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods 0 0 0 16 0 3 13 52
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 0 31 0 1 15 43
Testing Conditional Factor Models 1 1 1 129 1 1 9 401
Testing Conditional Factor Models 0 0 0 312 0 5 16 660
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 2 8 454
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 2 8 98
Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data 0 0 0 129 1 5 14 354
Total Working Papers 1 4 13 5,854 16 156 710 15,176

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 10 309
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 0 2 40 1 4 17 121
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 0 167 1 3 9 380
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models 0 0 1 57 0 1 13 218
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 1 87 0 3 9 252
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 0 0 2 78 0 4 16 309
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 0 0 0 75 1 4 23 241
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 3 5 19 376
Bounding quantile demand functions using revealed preference inequalities 0 1 1 60 1 2 12 197
Closed-form approximations of moments and densities of continuous–time Markov models 0 0 1 1 0 3 10 15
Control Functions and Simultaneous Equations Methods 0 1 3 149 0 2 8 446
Diffusion copulas: Identification and estimation 0 0 0 5 0 2 8 28
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 0 1 5 73 0 2 20 237
Estimation of dynamic latent variable models using simulated non‐parametric moments 0 0 1 64 0 5 20 218
Estimation of dynamic models with nonparametric simulated maximum likelihood 1 1 2 128 4 8 30 456
Estimation of partial differential equations with applications in finance 0 0 2 266 0 6 31 1,146
Higher-order properties of approximate estimators 0 0 0 54 1 4 16 286
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 0 6 18 241
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 1 136 1 8 26 371
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 0 0 288 0 1 11 582
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 99 2 2 7 236
Nonparametric identification and estimation of transformation models 0 0 1 68 0 5 30 263
Non‐parametric detection and estimation of structural change 0 0 0 126 0 1 9 299
On selection of statistics for approximate Bayesian computing (or the method of simulated moments) 0 0 0 30 0 3 24 128
On stationarity and ergodicity of the bilinear model with applications to GARCH models 0 0 0 144 1 7 15 387
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models 0 0 1 126 0 6 24 388
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 0 0 1 290 0 2 23 761
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 5 26 69
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 0 2 10 158
Testing conditional factor models 0 0 2 291 1 7 29 838
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 0 0 1 177 1 3 17 346
Total Journal Articles 1 4 36 3,569 20 119 572 10,805

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Statistics updated 2026-07-10