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Kristensen, Dennis's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
2,309 |
Total
Citations
108 |
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1.
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Testing Conditional Factor Models
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Ang, Andrew
Columbia Business School - Finance and Economics Kristensen, Dennis
University of Aarhus - CREATES
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Posted:
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04 Mar 09
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Last Revised:
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04 Nov 11
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568
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17
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Ang, Andrew
Columbia Business School - Finance and Economics Kristensen, Dennis
University of Aarhus - CREATES
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12
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17
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Ang, Andrew
Columbia Business School - Finance and Economics Kristensen, Dennis
University of Aarhus - CREATES
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158
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17
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Ang, Andrew
Columbia Business School - Finance and Economics Kristensen, Dennis
University of Aarhus - CREATES
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398
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17
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Nonparametric estimator, time-varying beta, conditional alpha, book-to-market premium, momentum effect
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2.
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Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach
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Jeffrey , Andrew
Yale School of Management Kristensen, Dennis
University of Aarhus - CREATES Linton, Oliver B.
University of Cambridge Nguyen, Thong
AlphaSimplex Group Phillips, Peter C. B.
Yale University - Cowles Foundation
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Posted:
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29 Feb 08
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Last Revised:
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29 Jul 10
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4
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Jeffrey , Andrew
Yale School of Management Kristensen, Dennis
University of Aarhus - CREATES Linton, Oliver B.
University of Cambridge Nguyen, Thong
AlphaSimplex Group Phillips, Peter C. B.
Yale University - Cowles Foundation
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continuous-time estimation, dynamic panel data model, Heath-Jarrow-Morton model, measurement errors, nonparametric
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3.
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Kristensen, Dennis
University of Aarhus - CREATES
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245
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6
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derivative pricing, estimation, partial differential equations, nonparametric, semiparametric, stochastic differential equations
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4.
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Kristensen, Dennis
University of Aarhus - CREATES
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176
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3
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Markov chain, geometric ergodicity, mixing, moments, GARCH, bilinear model
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5.
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Kristensen, Dennis
University of Aarhus - CREATES Linton, Oliver B.
University of Cambridge
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170
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8
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Autocovariance, Exact, Volatility
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6.
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On Stationarity and Ergodicity of the Bilinear Model with Applications to GARCH Models
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Kristensen, Dennis
University of Aarhus - CREATES
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Posted:
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13 Oct 05
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Last Revised:
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02 Jan 09
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136
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2
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Kristensen, Dennis
University of Aarhus - CREATES
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2
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2
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Kristensen, Dennis
University of Aarhus - CREATES
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134
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2
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Bilinear models, GARCH, random coefficient models, strict stationarity.
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7.
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Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach
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Kristensen, Dennis
University of Aarhus - CREATES
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Posted:
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04 Feb 08
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Last Revised:
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08 Dec 08
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129
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18
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Kristensen, Dennis
University of Aarhus - CREATES
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18
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18
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Diffusion, in-fill asymptotics, kernel estimation, nonparametric, spot volatility, realised volatility
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Kristensen, Dennis
University of Aarhus - CREATES
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111
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18
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realised volatility, spot volatility, kernel estimation, nonparametric
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8.
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Kristensen, Dennis
University of Aarhus - CREATES
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108
(128,104)
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Bonds, Diffusion model, semiparametric, short term interest rate, term structure
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9.
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Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood
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Kristensen, Dennis
University of Aarhus - CREATES Shin, Yongseok
Washington University in Saint Louis
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Posted:
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01 Mar 06
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Last Revised:
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15 Nov 08
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102
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10
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Kristensen, Dennis
University of Aarhus - CREATES Shin, Yongseok
Washington University in Saint Louis
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30
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10
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dynamic models, estimation, kernel density estimation, maximum-likelihood, simulation
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Kristensen, Dennis
University of Aarhus - CREATES Shin, Yongseok
Washington University in Saint Louis
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72
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10
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simulated likelihood, nonparametric, dynamic models, consistency, asymptotic normality
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10.
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Kristensen, Dennis
University of Aarhus - CREATES Kanaya, Shin
University of Aarhus - Department of Economics
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92
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3
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realized spot volatility, stochastic volatility, kernel estimation, nonparametric, semiparametric
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11.
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Kristensen, Dennis
University of Aarhus - CREATES Mele, Antonio
Swiss Finance Institute & University of Lugano
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77
(160,204)
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5
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Asset pricing, stochastic volatility, the term-structure of interest rates, closed-form
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12.
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Kristensen, Dennis
University of Aarhus - CREATES Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
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74
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9
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ARCH, QMLE, consistency, asymptotic normality
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13.
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Kristensen, Dennis
University of Aarhus - CREATES
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68
(172,215)
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9
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diffusions, maximum-likelihood, nonparametric, semiparametric, stochastic differential equations
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14.
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Kristensen, Dennis
University of Aarhus - CREATES
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66
(174,988)
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efficiency, kernel estimation, regression, semiparametric, sieve, two-step estimation
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15.
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Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research Kristensen, Dennis
University of Aarhus - CREATES
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59
(185,488)
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1
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error correction, geometric ergodicity, maximum likelihood, nonlinear
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16.
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Kristensen, Dennis
University of Aarhus - CREATES
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56
(190,317)
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7
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Nonparametric estimation, uniform consistency, kernel estimation, density estimation, heterogeneous time series
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17.
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Kristensen, Dennis
University of Aarhus - CREATES
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44
(211,898)
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1
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Diffusion, fixed-time distance asymptotics, kernel estimation, misspecification test, nonparametric
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18.
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Creel, Michael
Autonomous University of Barcelona Kristensen, Dennis
University of Aarhus - CREATES
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42
(215,922)
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1
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dynamic latent variable models, simulation-based estimation, simulated moments, kernel regression, nonparametric estimation
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19.
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Kristensen, Dennis
University of Aarhus - CREATES Rahbek, Anders
University of Copenhagen - Department of Statistics and Operations Research
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35
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20.
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Kristensen, Dennis
University of Aarhus - CREATES
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31
(240,772)
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1
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diffusion process, kernel estimation, nonparametric, specification testing, semiparametric, transition density
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21.
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Kristensen, Dennis
University of Aarhus - CREATES
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31
(240,772)
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7
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Diffusion process, fixed-time distance asymptotics, kernel estimation, pseudo-likelihood, semiparametric
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22.
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Creel, Michael
Autonomous University of Barcelona Kristensen, Dennis
University of Aarhus - CREATES
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0
(349,480)
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Dynamic latent variable models, Kernel regression, Non‐parametric estimation, Simulation‐based estimation, Simulated moments
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23.
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Kristensen, Dennis
University of Aarhus - CREATES
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0
(349,480)
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1
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Estimation, Generalized likelihood ratio, Locally stationary, Non‐parametric, Structural change, Testing, Time series regression, Time varying
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