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Dennis Kristensen

University College London

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Gower Street

London WC1E 6BT, WC1E 6BT

United Kingdom

http://www.ucl.ac.uk/economics/

Cemmap (Centre for Microdata Methods and Practice)

Research Associate

7 Ridgmount Street

London WC1E 7AE, WC1E 7 AE

United Kingdom

  • University College London

    • Email
    • Tel: +44 (0)20 7679 5846

  • Cemmap (Centre for Microdata Methods and Practice)

SCHOLARLY PAPERS

23

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5,229

TOTAL CITATIONS
Rank 4,672

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Top 4,672

in Total Papers Citations

174

Scholarly Papers (23)

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1.

Testing Conditional Factor Models

Downloads 1,309 (38,481)
Citation 63

Testing Conditional Factor Models

AFA 2010 Atlanta Meetings Paper
Number of pages: 47 Posted: 04 Mar 2009
Andrew Ang and Dennis Kristensen
Columbia University and University College London
Downloads 621 (105,503)
Citation 6

Abstract:

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Nonparametric estimator, time-varying beta, conditional alpha, book-to-market premium, momentum effect

Testing Conditional Factor Models

Netspar Discussion Paper No. 01/2011-030
Number of pages: 63 Posted: 19 Apr 2011
Andrew Ang and Dennis Kristensen
Columbia University and University College London
Downloads 553 (122,678)
Citation 1

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Testing Conditional Factor Models

NBER Working Paper No. w17561
Number of pages: 59 Posted: 04 Nov 2011 Last Revised: 26 Jun 2023
Andrew Ang and Dennis Kristensen
Columbia University and University College London
Downloads 135 (541,724)
Citation 56

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2.

Geometric Ergodicity of a Class of Markov Chains with Applications to Time Series Models

Number of pages: 40 Posted: 03 Nov 2005
Dennis Kristensen
University College London
Downloads 357 (208,972)

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Markov chain, geometric ergodicity, mixing, moments, GARCH, bilinear model

3.

A Closed-Form Estimator for the Garch(1,1)-Model

Number of pages: 11 Posted: 24 Jan 2005
Dennis Kristensen and Oliver B. Linton
University College London and University of Cambridge
Downloads 346 (216,367)
Citation 2

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Autocovariance, Exact, Volatility

4.

Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach

Downloads 341 (219,135)
Citation 18

Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach

Number of pages: 31 Posted: 04 Feb 2008
Dennis Kristensen
University College London
Downloads 251 (301,322)
Citation 4

Abstract:

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realised volatility, spot volatility, kernel estimation, nonparametric

Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach

CREATES Research Paper No. 2007-2
Number of pages: 33 Posted: 20 Jun 2008
Dennis Kristensen
University College London
Downloads 90 (749,143)
Citation 14

Abstract:

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Diffusion, in-fill asymptotics, kernel estimation, nonparametric, spot volatility, realised volatility

5.

Estimation of Partial Differential Equations with Applications in Finance

Number of pages: 52 Posted: 15 Jun 2004
Dennis Kristensen
University College London
Downloads 327 (229,652)
Citation 2

Abstract:

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derivative pricing, estimation, partial differential equations, nonparametric, semiparametric, stochastic differential equations

6.

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach

Downloads 0 (242,568)

Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach

Journal of Financial Econometrics, Vol. 2, No. 2, pp. 251-289, 2004
Posted: 29 Feb 2008
Andrew Jeffrey, Dennis Kristensen, Oliver B. Linton, Thong Nguyen and Peter C. B. Phillips
Yale School of Management, University College London, University of Cambridge, AlphaSimplex Group and University of Auckland Business School

Abstract:

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continuous-time estimation, dynamic panel data model, Heath-Jarrow-Morton model, measurement errors, nonparametric

7.

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Downloads 308 (245,173)
Citation 18

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Number of pages: 36 Posted: 01 Mar 2006
Dennis Kristensen and Yongseok Shin
University College London and Washington University in St. Louis
Downloads 201 (376,852)
Citation 2

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simulated likelihood, nonparametric, dynamic models, consistency, asymptotic normality

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

CREATES Research Paper 2008-58
Number of pages: 47 Posted: 15 Nov 2008
Dennis Kristensen and Yongseok Shin
University College London and Washington University in St. Louis
Downloads 107 (658,807)
Citation 16

Abstract:

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dynamic models, estimation, kernel density estimation, maximum-likelihood, simulation

8.

Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models

CREATES Research Paper 2009-14
Number of pages: 35 Posted: 07 Apr 2009
Dennis Kristensen and Antonio Mele
University College London and University of Lugano
Downloads 216 (354,560)
Citation 14

Abstract:

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Asset pricing, stochastic volatility, the term-structure of interest rates, closed-form

9.

Estimation of Stochastic Volatility Models by Nonparametric Filtering

Number of pages: 53 Posted: 22 Oct 2010
Dennis Kristensen and Shin Kanaya
University College London and Aarhus University - Department of Economics and Business Economics
Downloads 208 (366,366)
Citation 4

Abstract:

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realized spot volatility, stochastic volatility, kernel estimation, nonparametric, semiparametric

10.

On Stationarity and Ergodicity of the Bilinear Model with Applications to GARCH Models

Number of pages: 15 Posted: 13 Oct 2005
Dennis Kristensen
University College London
Downloads 207 (368,123)

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Bilinear models, GARCH, random coefficient models, strict stationarity.

11.

Asymptotics of the QMLE for General Arch(Q) Models

Number of pages: 37 Posted: 14 Oct 2005
Dennis Kristensen and Anders Rahbek
University College London and University of Copenhagen - Department of Statistics and Operations Research
Downloads 153 (485,678)
Citation 3

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ARCH, QMLE, consistency, asymptotic normality

12.

A Semiparametric Diffusion Model for the Short Term Interest Rate

Number of pages: 30 Posted: 12 Jun 2004
Dennis Kristensen
University College London
Downloads 150 (494,203)

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Bonds, Diffusion model, semiparametric, short term interest rate, term structure

13.

Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-25
Number of pages: 44 Posted: 10 Oct 2010
Dennis Kristensen and Anders Rahbek
University College London and University of Copenhagen - Department of Statistics and Operations Research
Downloads 144 (511,933)
Citation 3

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14.

Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data

Number of pages: 15 Posted: 16 Jun 2008
Dennis Kristensen
University College London
Downloads 141 (521,245)
Citation 12

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Nonparametric estimation, uniform consistency, kernel estimation, density estimation, heterogeneous time series

15.

Semiparametric Modelling and Estimation: A Selective Overview

CREATES Research Paper No. 2009-44
Number of pages: 44 Posted: 04 Oct 2009
Dennis Kristensen
University College London
Downloads 134 (551,165)
Citation 1

Abstract:

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efficiency, kernel estimation, regression, semiparametric, sieve, two-step estimation

16.

Estimation in Two Classes of Semiparametric Diffusion Models

Number of pages: 76 Posted: 15 Jun 2004
Dennis Kristensen
University College London
Downloads 130 (558,171)
Citation 9

Abstract:

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diffusions, maximum-likelihood, nonparametric, semiparametric, stochastic differential equations

17.

Nonparametric Estimation and Misspecification Testing of Diffusion Models

CREATES Research Paper 2007-1
Number of pages: 33 Posted: 20 Jun 2008
Dennis Kristensen
University College London
Downloads 128 (565,439)
Citation 10

Abstract:

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Diffusion, fixed-time distance asymptotics, kernel estimation, misspecification test, nonparametric

18.

Estimating State Space Models: Simple Corrections for Finite Sample Bias

Number of pages: 53 Posted: 07 Aug 2025
Martin M. Andreasen and Dennis Kristensen
CREATES, Aarhus UniversityAarhus University and University College London
Downloads 119 (604,538)

Abstract:

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Dynamic term structure models, Likelihood estimation, Nonlinear state space models, Stability condition, Stochastic volatility models. JEL: C3

19.

Likelihood-Based Inference in Nonlinear Error-Correction Models

CREATES Research Paper No. 2007-38
Number of pages: 44 Posted: 04 Feb 2008
Anders Rahbek and Dennis Kristensen
University of Copenhagen - Department of Statistics and Operations Research and University College London
Downloads 115 (617,542)
Citation 6

Abstract:

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error correction, geometric ergodicity, maximum likelihood, nonlinear

20.

Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments

Number of pages: 43 Posted: 17 Nov 2009
Michael Creel and Dennis Kristensen
Autonomous University of Barcelona and University College London
Downloads 102 (679,608)
Citation 3

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dynamic latent variable models, simulation-based estimation, simulated moments, kernel regression, nonparametric estimation

21.

Pseudo-Maximum Likelihood Estimation in Two Classes of Semiparametric Diffusion Models

CREATES Research Paper No. 2009-41
Number of pages: 49 Posted: 23 Sep 2009
Dennis Kristensen
University College London
Downloads 102 (679,608)
Citation 4

Abstract:

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Diffusion process, fixed-time distance asymptotics, kernel estimation, pseudo-likelihood, semiparametric

22.

Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models

Univ. of Copenhagen Dept. of Economics Discussion Paper No. 10-10
Number of pages: 39 Posted: 22 Mar 2010
Dennis Kristensen
University College London
Downloads 99 (694,528)
Citation 2

Abstract:

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diffusion process, kernel estimation, nonparametric, specification testing, semiparametric, transition density

23.

Closed-Form Approximations of Moments and Densities of Continuous Time Markov Models

Number of pages: 40 Posted: 27 Jul 2023
Dennis Kristensen, Young Jun Lee and Antonio Mele
University College London, Bocconi University and University of Lugano
Downloads 93 (725,554)

Abstract:

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closed-form expansion, jump-diffusion, option pricing, transition density, semi-group