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 0 6 558
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 0 1 2 3 5
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates 0 0 0 76 0 0 0 218
Bayesian Indirect Inference and the ABC of GMM 0 0 0 103 0 0 1 214
Bounding quantile demand functions using revealed preference inequalities 0 0 0 187 0 0 2 333
Closed-form approximations of moments and densities of continuous-time Markov models 0 0 1 1 0 0 3 4
Diffusion Copulas: Identification and Estimation 0 2 2 37 0 3 3 118
Diffusion Copulas: Identification and Estimation 0 0 0 6 0 3 3 18
Diffusion Copulas: Identification and Estimation 0 0 0 23 0 0 0 24
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 1 3 3 49
Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments 0 0 0 244 0 1 3 646
Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood 0 0 0 189 2 2 2 400
Estimation of Stochastic Volatility Models by Nonparametric Filtering 0 0 0 314 0 0 2 583
Estimation of partial differential equations with applications in finance 0 0 0 11 0 1 3 89
Estimation of stochastic volatility models by nonparametric filtering 0 1 3 3 0 1 5 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 3 0 0 1 21
Identification of a class of index models: A topological approach 0 0 0 32 0 0 0 27
Indirect Likelihood Inference 0 0 0 23 0 0 0 136
Indirect Likelihood Inference 1 1 3 62 3 4 6 334
Indirect Likelihood Inference (revised) 0 1 9 437 2 7 25 962
Indirect likelihood inference 0 0 0 196 0 1 2 520
Individual counterfactuals with multidimensional unobserved heterogeneity 0 0 0 0 0 2 3 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 1 1 29 1 2 3 48
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 0 0 202 0 0 2 456
Nonparametric Detection and Estimation of Structural Change 0 1 1 218 0 1 2 335
Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 70 2 3 11 298
Nonparametric Filtering of the Realised Spot Volatility: A Kernel-based Approach 0 0 0 174 1 2 7 433
Nonparametric IV estimation of shape-invariant Engel curves 0 1 1 318 0 2 3 1,027
Nonparametric Identification and Estimation of Transformation Models 1 1 1 263 1 1 1 575
On Selection of Statistics for Approximate Bayesian Computing or the Method of Simulated Moments 0 0 0 111 0 0 3 266
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 3 369
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 22 0 0 0 88
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models 0 0 0 180 0 0 0 521
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 0 0 1 38
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 0 31 0 0 3 28
Testing Conditional Factor Models 0 0 1 128 1 1 8 391
Testing Conditional Factor Models 0 0 0 312 0 0 0 644
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 125 0 0 1 446
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models 0 0 0 68 0 0 0 90
Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data 0 0 0 129 0 0 2 340
Total Working Papers 2 9 29 5,832 15 43 132 14,431

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 0 2 103
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL 0 0 1 167 0 0 2 371
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models 0 0 1 55 1 2 8 203
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS 0 1 2 86 1 2 5 243
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models 1 1 3 76 3 4 13 292
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates 1 1 2 72 1 1 4 211
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 4 185
Control Functions and Simultaneous Equations Methods 0 0 0 146 2 2 7 434
Diffusion copulas: Identification and estimation 0 0 0 4 0 1 2 19
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING 0 0 1 66 3 5 11 213
Estimation of dynamic latent variable models using simulated non‐parametric moments 0 0 1 63 1 2 6 198
Estimation of dynamic models with nonparametric simulated maximum likelihood 0 1 3 125 1 4 9 425
Estimation of partial differential equations with applications in finance 0 0 1 263 2 4 11 1,113
Higher-order properties of approximate estimators 0 1 5 54 3 6 21 266
Identification of a class of index models: A topological approach 0 0 0 4 1 1 1 12
Likelihood-based inference for cointegration with nonlinear error-correction 0 0 2 80 1 1 8 222
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) 0 2 5 134 2 7 14 342
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH 0 0 4 287 0 3 14 569
Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach 0 0 0 99 1 2 3 229
Nonparametric identification and estimation of transformation models 1 1 2 67 2 4 8 228
Non‐parametric detection and estimation of structural change 0 1 8 125 0 2 10 286
On selection of statistics for approximate Bayesian computing (or the method of simulated moments) 0 0 0 30 2 2 6 103
On stationarity and ergodicity of the bilinear model with applications to GARCH models 0 0 0 144 2 4 9 371
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models 0 0 2 125 0 0 2 363
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves 1 2 6 288 2 7 16 734
Semi-nonparametric estimation and misspecification testing of diffusion models 0 0 1 84 0 1 2 269
Semiparametric modelling and estimation (in Russian) 1 1 1 81 3 5 8 186
Solving dynamic discrete choice models using smoothing and sieve methods 0 0 2 13 0 0 4 42
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS 0 0 0 47 0 0 1 147
Testing conditional factor models 1 1 3 285 1 4 16 801
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA 0 0 0 176 0 0 5 328
Total Journal Articles 6 13 57 3,515 35 76 232 10,162

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Statistics updated 2025-03-03