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

19

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3,924

SSRN CITATIONS
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SSRN RANKINGS

Top 6,340

in Total Papers Citations

115

CROSSREF CITATIONS

93

Scholarly Papers (19)

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 461 (88,466)
Citation 64

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, Martin M. Andreasen and Bent Jesper Christensen
Aarhus UniversityCREATES, Aarhus University and Aarhus University
Downloads 413 (100,451)
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 343 (123,094)
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 34 (620,418)
Citation 2

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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 368 (114,608)

Abstract:

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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 289 (148,389)
Citation 2

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

6.

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 271 (158,329)
Citation 6

Abstract:

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

7.

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 249 (172,148)

Abstract:

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

8.

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 247 (173,491)
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

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 112 (338,182)
Citation 3

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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 109 (344,612)
Citation 6

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

10.

Immunization With Consistent Term Structure Dynamics

Number of pages: 112 Posted: 27 Jul 2022
Daniel Borup, Bent Jesper Christensen and Jorge Hansen
Aarhus University, CREATES, DFI, Aarhus University and Aarhus University
Downloads 213 (199,717)

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

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 205 (207,013)
Citation 3

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

12.

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 205 (207,013)
Citation 5

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Electricity, forward prices, market power

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 92 (385,545)

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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 45 (558,619)

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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 96 (372,228)
Citation 2

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

15.

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 Aarhus University - CREATES
Downloads 74 (434,298)
Citation 47

Abstract:

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

16.

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 56 (499,272)
Citation 5

Abstract:

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

17.

Interest Rate Dynamics and Consistent Forward Rate Curves

Number of pages: 26 Posted: 03 Jun 2004
Tomas Bjork and Bent Jesper Christensen
Stockholm School of Economics - Swedish House of Finance and Aarhus University
Downloads 34 (605,788)
Citation 8

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18.

Consumption and Saving after Retirement

NBER Working Paper No. w29826
Number of pages: 33 Posted: 14 Mar 2022 Last Revised: 01 Jul 2022
Bent Jesper Christensen, Malene Kallestrup Lamb and John Kennan
Aarhus University, Aarhus University - CREATES and University of Wisconsin
Downloads 8 (810,467)
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19.

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