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 3 3 475
A semiparametric single-factor model of the term structure 0 0 0 1 0 1 1 36
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models 0 0 0 145 2 3 3 192
Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models 0 0 0 193 0 0 2 560
Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates 0 0 0 105 0 2 2 322
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 0 3 6 9 12
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 76 1 5 5 223
Bayesian Indirect Inference and the ABC of GMM 0 0 1 104 2 5 6 220
Bounding quantile demand functions using revealed preference inequalities 0 0 0 187 2 6 8 341
Closed-form approximations of moments and densities of continuous-time Markov models 0 0 0 1 1 1 2 6
Diffusion Copulas: Identification and Estimation 0 0 0 6 1 3 5 21
Diffusion Copulas: Identification and Estimation 0 0 0 23 1 6 6 30
Diffusion Copulas: Identification and Estimation 0 0 1 37 3 5 8 124
Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 28 2 6 8 136
Estimation in two classes of semiparametric diffusion models 0 1 1 3 2 5 9 55
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 0 244 2 5 11 656
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 0 0 1 190 2 4 10 408
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 0 314 0 2 4 587
Estimation of partial differential equations with applications in finance 0 0 1 12 1 2 6 94
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 3 1 2 2 8
Estimation of stochastic volatility models by nonparametric filtering 0 0 0 25 2 5 6 55
Higher Order Improvements for Approximate Estimators 0 0 0 133 2 3 4 317
Higher-order properties of approximate estimators 0 0 0 175 3 6 6 360
Higher-order properties of approximate estimators 0 0 0 1 1 4 4 10
Identification of a class of index models: A topological approach 0 0 1 4 3 5 7 28
Identification of a class of index models: A topological approach 0 0 0 32 2 4 6 33
Indirect Likelihood Inference 0 0 0 23 2 4 4 140
Indirect Likelihood Inference 0 0 4 65 0 2 11 341
Indirect Likelihood Inference (revised) 0 1 7 443 2 8 25 982
Indirect likelihood inference 0 0 0 196 0 1 2 521
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 0 2 8 11 13
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 39 3 7 7 74
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 0 29 0 4 5 52
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 2 8 10 466
Nonparametric Detection and Estimation of Structural Change 0 0 0 218 1 3 4 339
Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 1 71 0 4 12 308
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 0 0 0 174 1 5 11 442
Nonparametric IV estimation of shape-invariant Engel curves 0 0 1 319 2 3 6 1,033
Nonparametric Identification and Estimation of Transformation Models 0 0 1 263 3 4 6 580
On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments 0 0 0 111 0 2 3 269
Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models 0 0 0 52 0 1 2 181
SNM Guide 0 1 1 130 1 6 8 376
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 180 0 3 3 524
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 22 5 7 7 95
Semiparametric Modelling and Estimation: A Selective Overview 0 1 1 209 1 3 4 331
Solving Dynamic Discrete Choice Models Using Smoothing and Sieve Methods 0 0 0 16 0 6 8 46
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 0 31 1 9 9 37
Testing Conditional Factor Models 0 0 0 128 1 4 7 397
Testing Conditional Factor Models 0 0 0 312 3 4 4 648
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 0 2 2 448
Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data 0 0 0 129 2 5 7 347
Total Working Papers 0 4 22 5,850 72 213 322 14,720

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 2 301
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution 0 0 1 39 2 2 7 110
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 0 167 0 3 3 374
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models 0 0 1 56 2 4 8 209
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 0 2 3 78 0 2 9 297
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 0 0 4 75 1 6 18 228
Asymptotics of the QMLE for Non-Linear ARCH Models 0 0 0 149 2 3 8 363
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 3 3 7 9
Control Functions and Simultaneous Equations Methods 0 0 2 148 0 0 10 442
Diffusion copulas: Identification and estimation 0 0 1 5 0 1 2 21
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 1 1 5 71 2 6 17 226
Estimation of dynamic latent variable models using simulated non‐parametric moments 0 0 0 63 4 5 7 203
Estimation of dynamic models with nonparametric simulated maximum likelihood 1 1 2 127 4 12 18 440
Estimation of partial differential equations with applications in finance 0 0 3 266 1 1 14 1,124
Higher-order properties of approximate estimators 0 0 0 54 4 4 16 278
Identification of a class of index models: A topological approach 0 0 0 4 2 6 9 20
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 3 136 1 5 15 354
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 0 1 288 1 6 10 578
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 99 0 2 4 232
Nonparametric identification and estimation of transformation models 0 0 2 68 0 5 16 242
Non‐parametric detection and estimation of structural change 0 0 1 126 1 2 7 293
On selection of statistics for approximate Bayesian computing (or the method of simulated moments) 0 0 0 30 7 8 12 113
On stationarity and ergodicity of the bilinear model with applications to GARCH models 0 0 0 144 0 0 4 373
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models 0 1 1 126 1 2 5 368
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 0 1 3 290 2 5 16 746
Semi-nonparametric estimation and misspecification testing of diffusion models 0 1 3 87 0 2 7 276
Semiparametric modelling and estimation (in Russian) 0 1 4 84 0 2 11 193
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 1 14 5 7 10 52
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 1 2 4 151
Testing conditional factor models 0 2 7 291 2 8 22 821
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 0 0 1 177 2 4 7 335
Total Journal Articles 2 11 53 3,560 51 122 315 10,429

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Statistics updated 2026-01-09