Dennis Kristensen

University College London

Reader

Gower Street

London WC1E 6BT, WC1E 6BT

United Kingdom

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

Aarhus University - CREATES

International Fellow

School of Economics and Management

Building 1322, Bartholins Alle 10

DK-8000 Aarhus C

Denmark

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

22

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4,360

SSRN CITATIONS
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Top 4,469

in Total Papers Citations

256

CROSSREF CITATIONS

160

Scholarly Papers (22)

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1.

Testing Conditional Factor Models

Downloads 1,197 (34,367)
Citation 88

Testing Conditional Factor Models

AFA 2010 Atlanta Meetings Paper
Number of pages: 47 Posted: 04 Mar 2009
Andrew Ang, Dennis Kristensen and Dennis Kristensen
BlackRock, Inc and University College London
Downloads 578 (90,568)
Citation 5

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, Dennis Kristensen and Dennis Kristensen
BlackRock, Inc and University College London
Downloads 505 (107,200)
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, Dennis Kristensen and Dennis Kristensen
BlackRock, Inc and University College London
Downloads 114 (462,640)
Citation 53

Abstract:

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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 and Dennis Kristensen
University College London
Downloads 319 (182,583)

Abstract:

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

3.

Estimation of Partial Differential Equations with Applications in Finance

Number of pages: 52 Posted: 15 Jun 2004
Dennis Kristensen and Dennis Kristensen
University College London
Downloads 305 (191,482)
Citation 2

Abstract:

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

4.

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

Downloads 0 (194,265)

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, 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

5.

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

Number of pages: 11 Posted: 24 Jan 2005
Dennis Kristensen, Dennis Kristensen and Oliver B. Linton
University College London and University of Cambridge
Downloads 299 (195,588)
Citation 2

Abstract:

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Autocovariance, Exact, Volatility

6.

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

Downloads 278 (210,876)
Citation 25

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

Number of pages: 31 Posted: 04 Feb 2008
Dennis Kristensen and Dennis Kristensen
University College London
Downloads 208 (278,461)
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 and Dennis Kristensen
University College London
Downloads 70 (635,908)
Citation 14

Abstract:

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

7.

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Downloads 234 (250,110)
Citation 13

Estimation of Dynamic Models with Nonparametric Simulated Maximum Likelihood

Number of pages: 36 Posted: 01 Mar 2006
Dennis Kristensen, Dennis Kristensen and Yongseok Shin
University College London and Washington University in St. Louis
Downloads 154 (366,421)
Citation 2

Abstract:

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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, Dennis Kristensen and Yongseok Shin
University College London and Washington University in St. Louis
Downloads 80 (588,767)
Citation 16

Abstract:

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

8.

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

Number of pages: 15 Posted: 13 Oct 2005
Dennis Kristensen and Dennis Kristensen
University College London
Downloads 188 (306,406)

Abstract:

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

9.

Estimation of Stochastic Volatility Models by Nonparametric Filtering

Number of pages: 53 Posted: 22 Oct 2010
Dennis Kristensen, Dennis Kristensen and Shin Kanaya
University College London and Aarhus University - Department of Economics and Business Economics
Downloads 178 (321,646)
Citation 4

Abstract:

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

10.

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, Dennis Kristensen and Antonio Mele
University College London and University of Lugano
Downloads 169 (336,777)
Citation 13

Abstract:

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

11.

A Semiparametric Diffusion Model for the Short Term Interest Rate

Number of pages: 30 Posted: 12 Jun 2004
Dennis Kristensen and Dennis Kristensen
University College London
Downloads 139 (395,419)

Abstract:

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

12.

Asymptotics of the QMLE for General Arch(Q) Models

Number of pages: 37 Posted: 14 Oct 2005
Dennis Kristensen, Dennis Kristensen and Anders Rahbek
University College London and University of Copenhagen - Department of Statistics and Operations Research
Downloads 130 (416,697)
Citation 3

Abstract:

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ARCH, QMLE, consistency, asymptotic normality

13.

Uniform Convergence Rates of Kernel Estimators with Heterogenous, Dependent Data

Number of pages: 15 Posted: 16 Jun 2008
Dennis Kristensen and Dennis Kristensen
University College London
Downloads 121 (440,091)
Citation 12

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

14.

Semiparametric Modelling and Estimation: A Selective Overview

CREATES Research Paper No. 2009-44
Number of pages: 44 Posted: 04 Oct 2009
Dennis Kristensen and Dennis Kristensen
University College London
Downloads 113 (463,290)
Citation 1

Abstract:

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

15.

Estimation in Two Classes of Semiparametric Diffusion Models

Number of pages: 76 Posted: 15 Jun 2004
Dennis Kristensen and Dennis Kristensen
University College London
Downloads 112 (466,429)
Citation 9

Abstract:

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

16.

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, Dennis Kristensen and Anders Rahbek
University College London and University of Copenhagen - Department of Statistics and Operations Research
Downloads 110 (472,561)
Citation 3

Abstract:

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17.

Nonparametric Estimation and Misspecification Testing of Diffusion Models

CREATES Research Paper 2007-1
Number of pages: 33 Posted: 20 Jun 2008
Dennis Kristensen and Dennis Kristensen
University College London
Downloads 97 (515,769)
Citation 10

Abstract:

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

18.

Likelihood-Based Inference in Nonlinear Error-Correction Models

CREATES Research Paper No. 2007-38
Number of pages: 44 Posted: 04 Feb 2008
Anders Rahbek, Dennis Kristensen and Dennis Kristensen
University of Copenhagen - Department of Statistics and Operations Research and University College London
Downloads 95 (522,904)
Citation 6

Abstract:

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error correction, geometric ergodicity, maximum likelihood, nonlinear

19.

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 and Dennis Kristensen
University College London
Downloads 78 (589,781)
Citation 4

Abstract:

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

20.

Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments

Number of pages: 43 Posted: 17 Nov 2009
Michael Creel, Dennis Kristensen and Dennis Kristensen
Autonomous University of Barcelona and University College London
Downloads 77 (593,979)
Citation 3

Abstract:

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

21.

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 and Dennis Kristensen
University College London
Downloads 68 (635,647)
Citation 2

Abstract:

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

22.

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

Number of pages: 40 Posted: 27 Jul 2023
Dennis Kristensen, Dennis Kristensen, Young Jun Lee and Antonio Mele
University College London, Bocconi University and University of Lugano
Downloads 53 (716,501)

Abstract:

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