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 2 2 2 474
A semiparametric single-factor model of the term structure 0 0 0 1 1 1 1 36
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models 0 0 0 145 1 1 1 190
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 0 193 0 1 2 560
Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates 0 0 0 105 1 2 2 322
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 0 3 3 6 9
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 76 0 4 4 222
Bayesian Indirect Inference and the ABC of GMM 0 0 1 104 2 3 4 218
Bounding quantile demand functions using revealed preference inequalities 0 0 0 187 4 4 6 339
Closed-form approximations of moments and densities of continuous-time Markov models 0 0 0 1 0 0 1 5
Diffusion Copulas: Identification and Estimation 0 0 0 23 4 5 5 29
Diffusion Copulas: Identification and Estimation 0 0 0 6 1 2 5 20
Diffusion Copulas: Identification and Estimation 0 0 2 37 1 2 6 121
Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 28 4 4 6 134
Estimation in two classes of semiparametric diffusion models 1 1 1 3 2 3 7 53
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 0 244 2 3 9 654
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 0 0 1 190 2 2 8 406
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 0 314 1 2 4 587
Estimation of partial differential equations with applications in finance 0 0 1 12 1 2 5 93
Estimation of stochastic volatility models by nonparametric filtering 0 0 1 3 1 1 2 7
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 25 3 3 4 53
Higher Order Improvements for Approximate Estimators 0 0 0 133 0 2 2 315
Higher-order properties of approximate estimators 0 0 0 1 0 3 3 9
Higher-order properties of approximate estimators 0 0 0 175 2 3 3 357
Identification of a class of index models: A topological approach 0 0 1 4 2 2 4 25
Identification of a class of index models: A topological approach 0 0 0 32 2 2 4 31
Indirect Likelihood Inference 0 0 0 23 2 2 2 138
Indirect Likelihood Inference 0 0 4 65 1 2 11 341
Indirect Likelihood Inference (revised) 1 2 7 443 4 7 25 980
Indirect likelihood inference 0 0 0 196 1 1 2 521
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 0 6 6 9 11
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 39 3 4 4 71
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 4 4 6 52
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 1 7 8 464
Nonparametric Detection and Estimation of Structural Change 0 0 1 218 1 2 4 338
Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 1 71 1 5 13 308
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 0 0 0 174 4 5 10 441
Nonparametric IV estimation of shape-invariant Engel curves 0 0 2 319 1 1 6 1,031
Nonparametric Identification and Estimation of Transformation Models 0 0 1 263 1 1 3 577
On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments 0 0 0 111 2 2 3 269
Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 52 1 1 2 181
SNM Guide 0 1 1 130 2 5 7 375
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 22 0 2 2 90
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 180 0 3 3 524
Semiparametric Modelling and Estimation: A Selective Overview 1 1 1 209 2 3 3 330
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods 0 0 0 16 2 6 8 46
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 0 31 2 8 8 36
Testing Conditional Factor Models 0 0 0 128 2 3 6 396
Testing Conditional Factor Models 0 0 0 312 1 1 1 645
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 1 1 91
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 1 2 2 448
Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data 0 0 0 129 1 3 5 345
Total Working Papers 3 5 27 5,850 88 149 260 14,648

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 1 300
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 0 1 39 0 0 5 108
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 0 167 2 3 3 374
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models 0 0 1 56 2 2 6 207
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 2 87 0 1 5 246
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 2 2 3 78 2 2 9 297
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 0 0 4 75 1 6 17 227
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 1 3 6 361
Bounding quantile demand functions using revealed preference inequalities 0 0 0 59 0 1 2 187
Closed-form approximations of moments and densities of continuous–time Markov models 0 0 1 1 0 0 6 6
Control Functions and Simultaneous Equations Methods 0 1 2 148 0 2 10 442
Diffusion copulas: Identification and estimation 0 0 1 5 0 1 3 21
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 0 2 4 70 2 6 16 224
Estimation of dynamic latent variable models using simulated non‐parametric moments 0 0 0 63 1 1 3 199
Estimation of dynamic models with nonparametric simulated maximum likelihood 0 0 2 126 8 8 15 436
Estimation of partial differential equations with applications in finance 0 0 3 266 0 3 14 1,123
Higher-order properties of approximate estimators 0 0 1 54 0 2 14 274
Identification of a class of index models: A topological approach 0 0 0 4 4 4 7 18
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 1 81 0 0 3 224
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 1 4 136 1 7 18 353
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 0 1 288 4 5 11 577
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 99 1 2 5 232
Nonparametric identification and estimation of transformation models 0 0 2 68 3 6 18 242
Non‐parametric detection and estimation of structural change 0 0 2 126 1 1 8 292
On selection of statistics for approximate Bayesian computing (or the method of simulated moments) 0 0 0 30 1 2 5 106
On stationarity and ergodicity of the bilinear model with applications to GARCH models 0 0 0 144 0 1 6 373
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models 1 1 1 126 1 2 4 367
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 0 1 4 290 1 5 17 744
Semi-nonparametric estimation and misspecification testing of diffusion models 0 3 3 87 1 4 8 276
Semiparametric modelling and estimation (in Russian) 1 2 4 84 2 5 12 193
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 1 14 2 3 5 47
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 1 1 3 150
Testing conditional factor models 2 2 7 291 5 7 22 819
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 0 0 1 177 2 2 5 333
Total Journal Articles 6 15 56 3,558 50 99 292 10,378

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Statistics updated 2025-12-06