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 0 0 472
A semiparametric single-factor model of the term structure 0 0 0 1 0 0 0 35
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models 0 0 0 145 0 0 1 189
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 2 193 0 1 6 559
Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates 0 0 0 105 0 0 0 320
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 76 0 0 0 218
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 0 0 0 3 5
Bayesian Indirect Inference and the ABC of GMM 0 1 1 104 0 1 1 215
Bounding quantile demand functions using revealed preference inequalities 0 0 0 187 0 0 1 333
Closed-form approximations of moments and densities of continuous-time Markov models 0 0 0 1 0 0 1 4
Diffusion Copulas: Identification and Estimation 0 0 0 23 0 0 0 24
Diffusion Copulas: Identification and Estimation 0 0 2 37 0 0 3 118
Diffusion Copulas: Identification and Estimation 0 0 0 6 0 0 3 18
Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 28 0 0 0 128
Estimation in two classes of semiparametric diffusion models 0 0 0 2 0 0 3 49
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 0 244 0 0 2 646
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 1 1 1 190 1 1 3 401
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 0 314 0 0 1 583
Estimation of partial differential equations with applications in finance 0 0 0 11 0 1 4 90
Estimation of stochastic volatility models by nonparametric filtering 0 0 1 3 0 0 2 6
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 25 0 0 0 49
Higher Order Improvements for Approximate Estimators 0 0 0 133 0 0 0 313
Higher-order properties of approximate estimators 0 0 0 175 0 0 0 354
Higher-order properties of approximate estimators 0 0 1 1 0 0 2 6
Identification of a class of index models: A topological approach 0 0 0 32 0 1 1 28
Identification of a class of index models: A topological approach 1 1 1 4 1 1 2 22
Indirect Likelihood Inference 1 1 4 63 2 3 9 337
Indirect Likelihood Inference 0 0 0 23 0 0 0 136
Indirect Likelihood Inference (revised) 0 3 8 440 1 7 24 969
Indirect likelihood inference 0 0 0 196 0 0 1 520
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 0 0 0 2 4
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 1 39 0 0 1 67
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 0 0 3 48
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 1 2 457
Nonparametric Detection and Estimation of Structural Change 0 0 1 218 0 0 2 335
Nonparametric Estimation and Misspecification Testing of Diffusion Models 1 1 1 71 2 2 12 300
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 0 0 0 174 1 2 7 435
Nonparametric IV estimation of shape-invariant Engel curves 0 0 1 318 0 0 3 1,027
Nonparametric Identification and Estimation of Transformation Models 0 0 1 263 0 0 1 575
On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments 0 0 0 111 0 0 2 266
Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 52 0 0 0 179
SNM Guide 0 0 1 129 0 1 3 370
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 180 0 0 0 521
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 22 0 0 0 88
Semiparametric Modelling and Estimation: A Selective Overview 0 0 1 208 0 0 2 327
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods 0 0 0 16 1 1 2 39
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 0 31 0 0 2 28
Testing Conditional Factor Models 0 0 0 312 0 0 0 644
Testing Conditional Factor Models 0 0 1 128 1 1 9 392
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 0 0 90
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 0 0 446
Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data 0 0 0 129 0 0 0 340
Total Working Papers 4 8 30 5,840 10 24 126 14,455

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 0 0 299
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 0 1 38 0 1 3 104
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 0 167 0 0 0 371
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models 0 1 2 56 0 2 9 205
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 0 2 86 0 0 5 243
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 0 0 2 76 0 1 12 293
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 3 3 5 75 6 7 11 218
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 0 0 0 355
Bounding quantile demand functions using revealed preference inequalities 0 0 0 59 0 0 1 185
Closed-form approximations of moments and densities of continuous–time Markov models 0 0 0 0 0 0 3 3
Control Functions and Simultaneous Equations Methods 0 0 0 146 2 3 8 437
Diffusion copulas: Identification and estimation 1 1 1 5 1 1 2 20
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 0 1 1 67 0 2 7 215
Estimation of dynamic latent variable models using simulated non‐parametric moments 0 0 1 63 0 0 5 198
Estimation of dynamic models with nonparametric simulated maximum likelihood 1 1 4 126 1 1 10 426
Estimation of partial differential equations with applications in finance 0 1 1 264 0 1 11 1,114
Higher-order properties of approximate estimators 0 0 2 54 3 3 16 269
Identification of a class of index models: A topological approach 0 0 0 4 0 0 1 12
Likelihood-based inference for cointegration with nonlinear error-correction 0 1 2 81 0 1 7 223
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 5 134 1 2 16 344
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 0 4 287 0 0 9 569
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 99 0 0 3 229
Nonparametric identification and estimation of transformation models 0 0 1 67 1 1 6 229
Non‐parametric detection and estimation of structural change 0 1 6 126 2 3 10 289
On selection of statistics for approximate Bayesian computing (or the method of simulated moments) 0 0 0 30 0 1 7 104
On stationarity and ergodicity of the bilinear model with applications to GARCH models 0 0 0 144 0 0 6 371
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models 0 0 1 125 1 1 2 364
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 0 1 6 289 1 4 17 738
Semi-nonparametric estimation and misspecification testing of diffusion models 0 0 1 84 0 1 3 270
Semiparametric modelling and estimation (in Russian) 0 0 1 81 0 0 8 186
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 2 13 0 1 3 43
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 1 1 1 148
Testing conditional factor models 3 4 7 289 3 8 20 809
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 0 0 0 176 0 1 5 329
Total Journal Articles 8 15 58 3,530 23 47 227 10,212

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Statistics updated 2025-06-06