Dennis Kristensen
Dennis Kristensen
Verified email at ucl.ac.uk - Homepage
TitleCited byYear
Semi‐nonparametric IV estimation of shape‐invariant Engel curves
R Blundell, X Chen, D Kristensen
Econometrica 75 (6), 1613-1669, 2007
4272007
Testing conditional factor models
A Ang, D Kristensen
Journal of Financial Economics 106 (1), 132-156, 2012
1602012
Nonparametric filtering of the realized spot volatility: A kernel-based approach
D Kristensen
Econometric Theory 26 (1), 60-93, 2010
1352010
Bounding quantile demand functions using revealed preference inequalities
R Blundell, D Kristensen, R Matzkin
Journal of Econometrics 179 (2), 112–127, 2014
70*2014
A closed-form estimator for the GARCH(1,1) model
D Kristensen, O Linton
Econometric Theory 22 (2), 323-337, 2006
682006
Estimation of dynamic models with nonparametric simulated maximum likelihood
D Kristensen, Y Shin
Journal of Econometrics 167 (1), 76–94, 2012
662012
Asymptotics of the QMLE for a class of ARCH(q) models
D Kristensen, A Rahbek
Econometric Theory 21 (5), 946-961, 2005
662005
Uniform convergence rates of kernel estimators with heterogeneous, dependent data
D Kristensen
Econometric Theory 25 (5), 1433-1445, 2009
642009
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
H Han, D Kristensen
Journal of Economics and Business Statistics 32 (3), 416-429, 2014
602014
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
D Kristensen
Journal of Econometrics 156 (2), 239-259, 2010
49*2010
Nonparametric detection and estimation of structural change
D Kristensen
Econometrics Journal 15 (3), 420–461, 2012
452012
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
D Kristensen, A Mele
Journal of Financial Economics 102 (2), 390–415, 2011
442011
Estimation of stochastic volatility models by nonparametric filtering
S Kanaya, D Kristensen
Econometric Theory 32 (4), 861-916, 2016
43*2016
Indirect likelihood inference
M Creel, D Kristensen
37*2011
Nonparametric identification and estimation of transformation models
PA Chiappori, I Komunjer, D Kristensen
Journal of Econometrics 188 (1), 22–39, 2015
342015
Higher-order properties of approximate estimators
D Kristensen, B Salanié
Journal of econometrics 198 (2), 189-208, 2017
30*2017
Semi-nonparametric estimation and misspecification testing of diffusion models
D Kristensen
Journal of Econometrics 164 (2), 382–403, 2011
29*2011
Uniform ergodicity of a class of Markov chains with applications to time series models
D Kristensen
Manuscript, Department of Economics, Columbia University, 2008
29*2008
On stationarity and ergodicity of the bilinear model with applications to GARCH models
D Kristensen
Journal of Time Series Analysis 30 (1), 125-144, 2009
282009
Nonparametric estimation of a multifactor Heath-Jarrow-Morton model: An integrated approach
A Jeffrey, D Kristensen, O Linton, T Nguyen, PCB Phillips
Journal of Financial Econometrics 2 (2), 251-289, 2004
272004
The system can't perform the operation now. Try again later.
Articles 1–20