Bent Jesper Christensen

Aarhus University

Professor

Fuglesangs Alle 4

DK-8210 Aarhus V, 8210

Denmark

Aarhus University

Professor

Fuglesangs Alle 4

DK-8210 Aarhus V, 8210

Denmark

Aarhus University

Professor

Fuglesangs Alle 4

DK-8210 Aarhus V, 8210

Denmark

SCHOLARLY PAPERS

21

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4,754

SSRN CITATIONS
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Top 8,323

in Total Papers Citations

152

CROSSREF CITATIONS

48

Scholarly Papers (21)

1.

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Number of pages: 41 Posted: 23 Jun 2008
Thomas Busch, Thomas Busch, Bent Jesper Christensen and Morten Ørregaard Nielsen
CREATESDanske Markets, Aarhus University and Aarhus University - Department of Economics and Business Economics
Downloads 538 (96,175)
Citation 75

Abstract:

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Bipower variation, HAR, Heterogeneous Autoregressive Model, implied volatility, jumps, options, realized volatility, VecHAR, volatility forecasting

2.

The SR Approach: A New Estimation Procedure for Non-Linear and Non-Gaussian Dynamic Term Structure Models

Number of pages: 70 Posted: 09 Mar 2010 Last Revised: 05 Aug 2014
Martin M. Andreasen and Bent Jesper Christensen
CREATES, Aarhus UniversityAarhus University and Aarhus University
Downloads 456 (116,886)
Citation 5

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Bond data, GMM, Non-linear filtering, Non-linear least squares, SMM

Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data

Journal of Econometrics, 194:1, 2016, PDF includes Web Appendix
Number of pages: 106 Posted: 13 Mar 2011 Last Revised: 17 Dec 2016
Bent Jesper Christensen, Olaf Posch and Michel van der Wel
Aarhus University, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 373 (146,076)
Citation 3

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Structural estimation, AK-Vasicek model, Martingale estimating function

Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data

CESifo Working Paper Series No. 5030
Number of pages: 66 Posted: 04 Nov 2014
Bent Jesper Christensen, Olaf Posch and Michel van der Wel
Aarhus University, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 68 (616,722)
Citation 3

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structural estimation, AK-Vasicek model, Martingale estimating function

4.

The Telescoping Overlap Problem in Options Data

Number of pages: 42 Posted: 20 Dec 2001
Charlotte Strunk Hansen, Nagpurnanand Prabhala and Bent Jesper Christensen
Platinum Grove Asset Management L.P., The Johns Hopkins Carey Business School and Aarhus University
Downloads 394 (138,488)

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Implied volatility; S&P 100 index options; Market efficiency; Overlapping data

5.

Targeting predictors in random forest regression

International Journal of Forecasting, Forthcoming
Number of pages: 44 Posted: 28 Apr 2020 Last Revised: 19 May 2022
Daniel Borup, Bent Jesper Christensen, Nicolaj Mühlbach and Mikkel Slot Nielsen
Aarhus University, CREATES, DFI, Aarhus University, Massachusetts Institute of Technology and Columbia University
Downloads 379 (144,613)
Citation 2

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Random Forests, LASSO, High-Dimensional Forecasting, Weak Predictors, Targeted Predictors

6.

Predictive Regressions under Arbitrary Persistence and Stock Return Predictability

Number of pages: 85 Posted: 22 Mar 2021 Last Revised: 02 Jun 2022
Daniel Borup, Bent Jesper Christensen and Yunus Emre Ergemen
Aarhus University, CREATES, DFI, Aarhus University and Aarhus University
Downloads 333 (166,707)

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Stock return predictability, predictive regressions, persistence, panel data, factor structure

7.

An Asset Pricing Approach to Testing General Term Structure Models

Number of pages: 78 Posted: 26 Mar 2010 Last Revised: 24 May 2018
Bent Jesper Christensen and Michel van der Wel
Aarhus University and Erasmus University Rotterdam
Downloads 295 (189,479)
Citation 1

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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

8.

Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation

University of Aarhus Working Paper No. 2001-4
Number of pages: 34 Posted: 16 Aug 2001
Bent Jesper Christensen and Morten Ørregaard Nielsen
Aarhus University and Aarhus University - Department of Economics and Business Economics
Downloads 287 (195,002)
Citation 6

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Asymptotic distribution theory, Financial options, High-frequency data, Long memory, Long-run relation, Narrow band least squares

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Number of pages: 19 Posted: 22 Jun 2008
Bent Jesper Christensen, Morten Ørregaard Nielsen and Jie Zhu
Aarhus University, Aarhus University - Department of Economics and Business Economics and University of Aarhus - School of Economics and Management
Downloads 145 (365,588)
Citation 4

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FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

CREATES Research Paper No. 2007-10
Number of pages: 19 Posted: 24 Jun 2008
Bent Jesper Christensen, Morten Ørregaard Nielsen and Jie Zhu
Aarhus University, Aarhus University - Department of Economics and Business Economics and University of Aarhus - School of Economics and Management
Downloads 139 (378,177)
Citation 6

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FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback

10.

Market Power in Power Markets: Evidence from Forward Prices of Electricity

CREATES Research Paper No. 2007-30
Number of pages: 59 Posted: 23 Jun 2008
Bent Jesper Christensen, Thomas Elgaard Jensen and Rune Mølgaard
Aarhus University, affiliation not provided to SSRN and Aarhus University
Downloads 263 (212,980)
Citation 5

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Electricity, forward prices, market power

11.

Dynamic Global Currency Hedging

Number of pages: 62 Posted: 19 Jan 2016 Last Revised: 16 Nov 2018
Bent Jesper Christensen and Rasmus Tangsgaard Varneskov
Aarhus University and Copenhagen Business School - Department of Finance
Downloads 254 (220,440)
Citation 4

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Currency Hedging, Foreign Exchange Rates, High-frequency Data, Infill Asymptotics, Mean-Variance Analyis, Quadratic Covariation, Realized Currency Beta

12.

Immunization With Consistent Term Structure Dynamics

Number of pages: 107 Posted: 27 Jul 2022 Last Revised: 22 Dec 2022
Daniel Borup, Bent Jesper Christensen and Jorge Wolfgang Hansen
Aarhus University, CREATES, DFI, Aarhus University and Aarhus University - Department of Economics and Business Economics
Downloads 240 (233,125)

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Hedging, generalized duration, bond portfolio, dynamic consistency, parsimonious yield curve

Approximate Distributions in Essentially Linear Models

Centre for Labour Market and Social Research Working Paper No. 98-008
Number of pages: 24 Posted: 16 Nov 1999
Mark Yuying An, Bent Jesper Christensen and Nicholas M. Kiefer
Federal National Mortgage Association (Fannie Mae), Aarhus University and Cornell University
Downloads 109 (456,469)

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Approximate Distributions in Essentially Linear Models

Duke Economics Working Paper No. 98-10
Number of pages: 24 Posted: 12 Mar 1999
Mark Yuying An, Bent Jesper Christensen and Nicholas M. Kiefer
Federal National Mortgage Association (Fannie Mae), Aarhus University and Cornell University
Downloads 62 (648,201)

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14.

Semiparametric Inference in a GARCH-in-Mean Model

CREATES Research Paper No. 2008-46
Number of pages: 49 Posted: 02 Sep 2008
Bent Jesper Christensen, Christian M. Dahl and Emma M. Iglesias
Aarhus University, Department of Business and Economics and Michigan State University
Downloads 133 (390,724)
Citation 5

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Efficiency bound, GARCH-M model, Profile likelihood, Risk-return relation, Semiparametric inference

15.

Optimal Inference in Dynamic Models with Conditional Moment Restrictions

CREATES Research Paper No. 2008-51
Number of pages: 41 Posted: 11 Sep 2008
Bent Jesper Christensen and Michael Sorensen
Aarhus University and University of Copenhagen - Institute for Mathematical Sciences
Downloads 101 (479,174)
Citation 6

Abstract:

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optimal estimating function, generalized method of moments, conditional moment restrictions, dynamic models, optimal instruments, martingale estimating function, specification test

16.

Level Shifts in Volatility and the Implied-Realized Volatility Relation

Number of pages: 40 Posted: 17 Oct 2010
Bent Jesper Christensen and Paolo Santucci de Magistris
Aarhus University and Luiss University of Rome
Downloads 97 (492,255)
Citation 75

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Common level shifts, fractional cointegration, fractional VECM, implied volatility, long memory, options, realized volatility

17.

Trade Policy Uncertainty and Corporate Policy

Number of pages: 60 Posted: 14 Sep 2022
Bent Jesper Christensen and Einar C. Kjenstad
Aarhus University and affiliation not provided to SSRN
Downloads 46 (729,540)

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Corporate policy, trade policy uncertainty, leverage, cash holdings, employment.

18.

Intermittency and the Potential of Wind Energy for CO2 Abatement

Number of pages: 65 Posted: 02 Oct 2023
Dipartimento di Economia e Finanza, Aarhus University, Department of Economics and Business, Aarhus University and Luiss Guido Carli University
Downloads 26 (883,325)

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Intermittency; climate; CO2 emissions; green energy; fractional cointegration

19.

Consumption and Saving after Retirement

NBER Working Paper No. w29826
Number of pages: 33 Posted: 14 Mar 2022 Last Revised: 01 Jul 2023
Bent Jesper Christensen, Malene Kallestrup Lamb and John Kennan
Aarhus University, Aarhus University and University of Wisconsin
Downloads 13 (1,010,050)

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20.

Long-Term Care in Denmark

NBER Working Paper No. w31889
Number of pages: 43 Posted: 20 Nov 2023
Mette Gørtz, Bent Jesper Christensen and Nabanita Datta Gupta
University of Copenhagen, Department of Economics, Aarhus University and Department of Economics and Business, Aarhus University
Downloads 3 (1,095,441)
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21.

Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting

Posted: 28 Jan 2005
Bent Jesper Christensen and Morten Ørregaard Nielsen
Aarhus University and Aarhus University - Department of Economics and Business Economics

Abstract:

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Asymptotic distribution theory, high-frequency data, long memory, semiparametric methods, stationary fractional cointegration