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 1 102 0 0 2 470
A semiparametric single-factor model of the term structure 0 0 0 1 0 0 3 35
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models 0 0 0 144 0 0 6 183
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 0 190 1 4 29 544
Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates 0 0 0 102 0 0 10 314
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 1 1 1 75 1 1 4 214
Bayesian Indirect Inference and the ABC of GMM 0 0 4 97 1 2 23 199
Bounding quantile demand functions using revealed preference inequalities 0 0 0 187 2 2 7 328
Diffusion Copulas: Identification and Estimation 1 1 1 35 3 4 10 113
Diffusion Copulas: Identification and Estimation 0 0 0 6 0 0 4 14
Diffusion Copulas: Identification and Estimation 0 0 0 23 0 0 2 19
Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 28 0 0 3 128
Estimation in two classes of semiparametric diffusion models 0 0 0 2 0 0 2 44
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 1 244 0 2 6 638
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 0 0 0 186 1 1 9 394
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 1 313 0 1 5 575
Estimation of partial differential equations with applications in finance 0 0 0 11 0 0 5 83
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 25 0 0 4 49
Higher Order Improvements for Approximate Estimators 0 0 0 131 0 0 2 310
Higher-order properties of approximate estimators 0 0 0 175 0 0 5 353
Identification of a class of index models: A topological approach 0 0 1 3 0 0 5 17
Identification of a class of index models: A topological approach 0 0 2 32 0 1 3 24
Indirect Likelihood Inference 0 0 1 23 0 0 5 132
Indirect Likelihood Inference 1 1 2 59 2 5 17 315
Indirect Likelihood Inference (revised) 1 2 6 418 2 6 20 899
Indirect likelihood inference 0 0 0 196 1 1 4 514
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 2 36 0 1 12 54
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 2 3 6 330
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models 0 0 2 26 1 1 14 35
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 1 6 201 0 3 15 443
Nonparametric Detection and Estimation of Structural Change 0 0 0 215 0 0 2 329
Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 1 70 1 1 8 268
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 1 1 3 166 5 5 21 404
Nonparametric IV estimation of shape-invariant Engel curves 0 0 0 313 1 3 8 1,012
Nonparametric Identification and Estimation of Transformation Models 0 1 1 260 0 1 4 566
On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments 0 0 0 111 0 3 4 262
Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 52 0 0 0 177
SNM Guide 0 0 1 124 2 4 12 358
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 179 0 0 2 520
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 21 0 0 2 86
Semiparametric Modelling and Estimation: A Selective Overview 0 0 1 203 0 0 6 315
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods 0 0 1 15 2 4 11 33
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 4 31 0 4 12 23
Testing Conditional Factor Models 0 0 0 308 0 0 3 638
Testing Conditional Factor Models 0 1 1 122 1 4 8 366
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 1 1 125 1 2 5 443
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 1 2 68 0 1 4 86
Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data 0 1 2 124 1 4 6 328
Total Working Papers 5 12 49 5,729 31 74 360 13,984


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 22 0 0 0 298
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 0 0 35 0 0 3 97
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 1 158 1 1 10 347
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models 0 2 4 46 0 5 18 177
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 2 3 4 78 2 4 10 225
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 0 1 1 66 4 5 15 255
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 1 2 4 60 3 9 26 178
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 1 143 2 4 11 346
Bounding quantile demand functions using revealed preference inequalities 0 0 1 56 1 2 9 167
Control Functions and Simultaneous Equations Methods 2 2 3 141 5 7 17 401
Diffusion copulas: Identification and estimation 0 0 0 0 0 1 9 9
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 0 1 3 54 0 4 15 165
Estimation of dynamic latent variable models using simulated non‐parametric moments 0 0 3 60 0 2 7 186
Estimation of dynamic models with nonparametric simulated maximum likelihood 0 1 3 112 1 4 18 380
Estimation of partial differential equations with applications in finance 0 0 2 255 0 2 11 1,068
Higher-order properties of approximate estimators 0 0 2 37 3 7 25 191
Identification of a class of index models: A topological approach 1 1 2 2 2 2 5 5
Likelihood-based inference for cointegration with nonlinear error-correction 0 1 1 70 0 1 4 201
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 2 6 23 95 2 8 45 258
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 1 6 263 0 1 13 519
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 1 96 1 1 4 214
Nonparametric identification and estimation of transformation models 1 2 6 53 3 5 19 189
Non‐parametric detection and estimation of structural change 0 1 1 107 1 3 11 244
On selection of statistics for approximate Bayesian computing (or the method of simulated moments) 0 0 0 27 0 0 4 85
On stationarity and ergodicity of the bilinear model with applications to GARCH models 0 2 2 141 0 2 5 348
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models 0 0 0 121 0 0 2 357
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 1 1 1 271 4 7 10 685
Semi-nonparametric estimation and misspecification testing of diffusion models 0 0 0 81 2 3 11 259
Semiparametric modelling and estimation (in Russian) 0 0 2 79 0 1 10 165
Solving dynamic discrete choice models using smoothing and sieve methods 1 3 3 3 2 10 16 16
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 2 2 46 0 2 5 142
Testing conditional factor models 2 5 9 249 5 13 37 686
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 0 1 8 161 0 4 20 302
Total Journal Articles 13 38 99 3,188 44 120 425 9,165


Statistics updated 2021-12-05