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 4 9 11 483
A semiparametric single-factor model of the term structure 0 0 0 1 0 4 5 40
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models 0 0 0 145 2 7 8 197
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 0 193 1 3 5 563
Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates 0 0 0 105 0 9 11 331
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 0 0 6 10 15
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 76 2 4 8 226
Bayesian Indirect Inference and the ABC of GMM 0 0 1 104 0 4 8 222
Bounding quantile demand functions using revealed preference inequalities 0 0 0 187 1 4 10 343
Closed-form approximations of moments and densities of continuous-time Markov models 0 0 0 1 0 5 6 10
Diffusion Copulas: Identification and Estimation 0 0 0 37 2 8 11 129
Diffusion Copulas: Identification and Estimation 0 0 0 6 8 16 18 36
Diffusion Copulas: Identification and Estimation 0 0 0 23 0 5 10 34
Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 28 2 10 16 144
Estimation in two classes of semiparametric diffusion models 0 0 1 3 1 7 11 60
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 0 244 0 3 11 657
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 0 0 1 190 1 9 15 415
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 0 314 0 0 4 587
Estimation of partial differential equations with applications in finance 0 0 1 12 0 5 9 98
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 25 1 4 8 57
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 3 0 3 4 10
Higher Order Improvements for Approximate Estimators 0 0 0 133 0 4 6 319
Higher-order properties of approximate estimators 0 0 0 1 1 8 11 17
Higher-order properties of approximate estimators 0 0 0 175 2 8 11 365
Identification of a class of index models: A topological approach 0 0 0 32 0 4 8 35
Identification of a class of index models: A topological approach 0 0 1 4 1 7 11 32
Indirect Likelihood Inference 0 0 3 65 0 3 10 344
Indirect Likelihood Inference 0 0 0 23 0 4 6 142
Indirect Likelihood Inference (revised) 0 0 6 443 1 10 28 990
Indirect likelihood inference 0 0 0 196 1 2 3 523
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 39 0 7 11 78
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 0 3 20 27 31
Likelihood-Based Inference in Nonlinear Error-Correction Models 0 0 0 151 4 7 7 337
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models 0 0 0 29 12 16 20 68
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 1 5 13 469
Nonparametric Detection and Estimation of Structural Change 0 0 0 218 1 4 7 342
Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 1 71 4 13 23 321
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 0 0 0 174 2 6 14 447
Nonparametric IV estimation of shape-invariant Engel curves 0 0 1 319 1 9 13 1,040
Nonparametric Identification and Estimation of Transformation Models 0 0 0 263 1 13 15 590
On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments 0 0 0 111 0 1 4 270
Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 52 0 1 3 182
SNM Guide 0 0 1 130 2 9 15 384
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 180 5 13 16 537
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 22 0 8 10 98
Semiparametric Modelling and Estimation: A Selective Overview 0 0 1 209 1 5 8 335
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods 0 0 0 16 0 2 10 48
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 0 31 1 3 11 39
Testing Conditional Factor Models 0 0 0 312 2 10 11 655
Testing Conditional Factor Models 0 0 0 128 1 4 9 400
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 3 5 6 96
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 1 3 5 451
Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data 0 0 0 129 1 4 9 349
Total Working Papers 0 0 18 5,850 77 343 560 14,991

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 0 7 8 307
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 1 2 40 2 8 13 116
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 0 167 1 3 6 377
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models 0 1 2 57 1 10 14 217
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 1 87 0 3 6 249
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 0 0 2 78 2 6 11 303
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 0 0 3 75 4 8 24 235
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 0 8 14 369
Bounding quantile demand functions using revealed preference inequalities 0 0 0 59 0 7 9 194
Closed-form approximations of moments and densities of continuous–time Markov models 0 0 1 1 0 6 9 12
Control Functions and Simultaneous Equations Methods 0 0 2 148 1 2 10 444
Diffusion copulas: Identification and estimation 0 0 1 5 1 4 6 25
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 1 2 6 72 4 11 22 235
Estimation of dynamic latent variable models using simulated non‐parametric moments 0 1 1 64 2 13 14 212
Estimation of dynamic models with nonparametric simulated maximum likelihood 0 1 2 127 4 11 22 447
Estimation of partial differential equations with applications in finance 0 0 3 266 7 17 27 1,140
Higher-order properties of approximate estimators 0 0 0 54 1 7 15 281
Identification of a class of index models: A topological approach 0 0 0 4 2 4 10 22
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 1 81 5 10 12 234
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 2 136 0 8 19 361
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 0 1 288 0 3 11 580
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 99 0 1 4 233
Nonparametric identification and estimation of transformation models 0 0 1 68 6 15 29 257
Non‐parametric detection and estimation of structural change 0 0 1 126 2 5 11 297
On selection of statistics for approximate Bayesian computing (or the method of simulated moments) 0 0 0 30 1 19 22 125
On stationarity and ergodicity of the bilinear model with applications to GARCH models 0 0 0 144 3 3 5 376
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models 0 0 1 126 5 13 17 380
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 0 0 2 290 8 14 24 758
Semi-nonparametric estimation and misspecification testing of diffusion models 1 1 4 88 1 4 11 280
Semiparametric modelling and estimation (in Russian) 0 0 3 84 2 7 14 200
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 1 14 3 14 19 61
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 2 6 9 156
Testing conditional factor models 0 0 6 291 3 9 27 828
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 0 0 1 177 2 8 13 341
Total Journal Articles 2 7 50 3,565 75 274 487 10,652

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Statistics updated 2026-03-04