Bent Jesper Christensen

Professor

Bent Jesper Christensen

Profile

Professor
Member of the Econometrics Section

Education: PhD Economics, Cornell university, 1990
Position: Professor, 1997
Research Secretaries: Solveig Nygaard Sørensen and Bodil Krog

Bent Jesper Christensen is Professor at the Department of Economics and Business Economics. He received his PhD in Economics from Cornell University, New York, in 1990. He studied at Aarhus University 1982 – 86. He has held appointments at Cornell University (1993 – 94), Harvard University (2006 – 2007), and New York University (1989 – 1995). His primary research and teaching interests are in economic modelling and inference, including econometrics, finance, labor, macroeconomics, and strategy, particularly the pricing of stocks, bonds, and options, volatility forecasting, long memory and fractional time series, structural inference in frictional models of labor and productivity, dynamic programming and strategic models, globalization, and financial crises. He is director of the Center for Analytical Finance (CAF). His recent PhD level textbook with Nicholas M. Kiefer, Cornell University, titled Economic Modeling and Inference, is published by Princeton University Press, 2009, see http://press.princeton.edu/titles/8903.html

Teaching Interests

  • Econometrics
  • Finance
  • Labor
  • Macroeconomics
  • Strategy

Research Interests

  • Asset Pricing & Allocation, Derivative Pricing, and Term Structure Analysis
  • Search, Matching, Frictions, Unemployment, and Productivity
  • Structural Econometrics, and Inference in Dynamic Programming & Strategic Models
  • Long Memory, Fractional Cointegration, and Volatility Forecasting
  • Globalization, Financial Crises, and International Flows

Selected Publications

  • B.J. Christensen and N.R. Prabhala (1998): The Relation Between Implied and Realized Volatility. Journal of Financial Economics, 1998, pp. 125-150.
  • B.J. Christensen and T. Björk (1999): Interest Rate Dynamics and Consistent Forward Rate Curves. Mathematical Finance, Vol 9, pp. 323-348. Reprinted in The New Interest Rate Models, ed. Lane Hughston. London: Risk Books, 2000, pp. 313-332. ISBN: 1-899-332-87-9.
  • B.J. Christensen and M.Y. An and N. Datta Gupta (2004): Multivariate Mixed Proportional Hazard Modelling of the Joint Retirement of Married Couples. Journal of Applied Econometrics, Vol. 19, 2004, pp. 687-704.
  • B.J. Christensen, R. Lentz, D.T. Mortensen, G.R. Neumann and A. Werwatz (2005): On the Job Search and the Wage Distribution. Journal of Labor Economics, Vol. 23, pp. 31-58.
  • B.J. Christensen and M. Nielsen (2006): Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting. Journal of Econometrics, Vol 133, pp. 343-371.
  • B.J. Christensen and M.Ø. Nielsen (2007): The Effect of Long Memory in Volatility on Stock Market Fluctuations. Review of Economics and Statistics, Vol 89, pp. 684-700.
  • B.J. Christensen and N.M. Kiefer (2009): Economic Modeling and Inference. Princeton, N.J.: Princeton University Press, 488 pages. ISBN13: 987-0-691-12059-1. Seehttp://press.princeton.edu/titles/8903.html

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