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Christensen, Bent Jesper's
Scholarly Papers
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Total
Downloads
1,650 |
Total
Citations
82 |
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1.
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Hansen, Charlotte Strunk
Platinum Grove Asset Management L.P. Prabhala, Nagpurnanand R.
University of Maryland - Robert H. Smith School of Business Christensen, Bent Jesper
University of Aarhus - Department of Economics
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299
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12
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Implied volatility; S&P 100 index options; Market efficiency; Overlapping data
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2.
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Busch, Thomas
CREATES Christensen, Bent Jesper
University of Aarhus - Department of Economics Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics
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275
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13
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Bipower variation, HAR, Heterogeneous Autoregressive Model, implied volatility, jumps, options, realized volatility, VecHAR, volatility forecasting
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3.
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics
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244
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8
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Asymptotic distribution theory, Financial options, High-frequency data, Long memory, Long-run relation, Narrow band least squares
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4.
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Posch, Olaf
Universität Hamburg, Department of Economics van der Wel, Michel
Erasmus University Rotterdam
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13 Mar 11
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Last Revised:
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12 Jun 11
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134
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1
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Structural estimation, AK-Vasicek model, Martingale estimating function
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5.
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Jensen, Thomas Elgaard
affiliation not provided to SSRN Mølgaard, Rune
University of Aarhus
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128
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1
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Electricity, forward prices, market power
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6.
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Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics Zhu, Jie
University of Aarhus - School of Economics and Management
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Posted:
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22 Jun 08
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Last Revised:
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06 Aug 08
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123
(115,655)
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4
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics Zhu, Jie
University of Aarhus - School of Economics and Management
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54
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4
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FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics Zhu, Jie
University of Aarhus - School of Economics and Management
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69
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FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback
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7.
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Approximate Distributions in Essentially Linear Models
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Versions (2)
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An, Mark Yuying
Federal National Mortgage Association (Fannie Mae) Christensen, Bent Jesper
University of Aarhus - Department of Economics Kiefer, Nicholas M.
Cornell University
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Posted:
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12 Mar 99
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Last Revised:
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16 Nov 99
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121
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An, Mark Yuying
Federal National Mortgage Association (Fannie Mae) Christensen, Bent Jesper
University of Aarhus - Department of Economics Kiefer, Nicholas M.
Cornell University
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83
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An, Mark Yuying
Federal National Mortgage Association (Fannie Mae) Christensen, Bent Jesper
University of Aarhus - Department of Economics Kiefer, Nicholas M.
Cornell University
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38
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8.
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Christensen, Bent Jesper
University of Aarhus - Department of Economics van der Wel, Michel
Erasmus University Rotterdam
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26 Mar 10
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Last Revised:
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15 Mar 11
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81
(155,023)
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Arbitrage, Bond Aging Effect, Dynamic Factor Model, Macroeconomic Conditioning Variables, Nonlinear Drift Restriction, State Space Model, Time-Varying Risk Premia, Yield Curve Model
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9.
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Dahl, Christian M.
University of Aarhus - CREATES, School of Economics and Management Iglesias, Emma M.
Michigan State University
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73
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1
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Efficiency bound, GARCH-M model, Profile likelihood, Risk-return relation, Semiparametric inference
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10.
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Andreasen, Martin M.
CREATES, Aarhus University Christensen, Bent Jesper
University of Aarhus - Department of Economics
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09 Mar 10
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Last Revised:
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26 Apr 11
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62
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2
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Bond data, GMM, Non-linear filtering, Non-linear least squares, SMM
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11.
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Santucci de Magistris, Paolo
University of Aarhus - CREATES
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44
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5
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Common level shifts, fractional cointegration, fractional VECM, implied volatility, long memory, options, realized volatility
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12.
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Sorensen, Michael
University of Copenhagen - Institute for Mathematical Sciences
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35
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4
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optimal estimating function, generalized method of moments, conditional moment restrictions, dynamic models, optimal instruments, martingale estimating function, specification test
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13.
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Bjork, Tomas
Stockholm School of Economics - Department of Finance Christensen, Bent Jesper
University of Aarhus - Department of Economics
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31
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31
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14.
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Christensen, Bent Jesper
University of Aarhus - Department of Economics Nielsen, Morten Ørregaard
Queen's University (Canada) - Department of Economics
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Asymptotic distribution theory, high-frequency data, long memory, semiparametric methods, stationary fractional cointegration
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