Department of Economics and Business Economics

Dennis Kristensen

  1. 2021
  2. Published

    Solving dynamic discrete choice models using smoothing and sieve methods. / Kristensen, Dennis; Mogensen, Patrick K.; Moon, Jong Myun; Schjerning, Bertel.

    In: Journal of Econometrics, Vol. 223, No. 2, 08.2021, p. 328-360.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. Published

    Diffusion copulas : Identification and estimation. / Bu, Ruijun; Hadri, Kaddour; Kristensen, Dennis.

    In: Journal of Econometrics, Vol. 221, No. 2, 04.2021, p. 616-643.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  4. Published

    Identification of a class of index models : A topological approach . / Fosgerau, Mogens; Kristensen, Dennis.

    In: Econometrics Journal, Vol. 24, No. 1, 01.2021, p. 121–133.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  5. 2018
  6. Published

    Issue of the Annals of Econometrics on Indirect Estimation Methods in Finance and Economics. / Halbleib, Roxana; Kristensen, Dennis; Renault, Eric; Veredas, David.

    In: Journal of Econometrics, Vol. 205, No. 1, 07.2018, p. 1-5.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperEditorialResearchpeer-review

  7. 2017
  8. Published

    Higher-order properties of approximate estimators. / Kristensen, Dennis; Salanié, Bernard.

    In: Journal of Econometrics, Vol. 198, No. 2, 01.06.2017, p. 189-208.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. 2016
  10. Published

    Estimation of Stochastic Volatility Models by Nonparametric Filtering. / Kanaya, Shin; Kristensen, Dennis.

    In: Econometric Theory, Vol. 32, No. 4, 2016, p. 861-916.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  11. Published

    Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). / Agosto, Arianna; Cavaliere, Guiseppe; Kristensen, Dennis; Rahbæk, Anders.

    In: Journal of Empirical Finance, Vol. 38, Part B, No. September, 2016, p. 640-663.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. Published

    On selection of statistics for approximate Bayesian computing (or the method of simulated moments). / Kristensen, Dennis; Creel, Michael .

    In: Computational Statistics & Data Analysis, Vol. 100, No. August, 2016, p. 99–114.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  13. 2015
  14. Published

    ABC of SV : Limited information likelihood inference in stochastic volatility jump-diffusion models. / Creel, Michael; Kristensen, Dennis.

    In: Journal of Empirical Finance, Vol. 31, 01.03.2015, p. 85-108.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  15. Published

    Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). / Agosto, Arianna; Cavaliere, Guiseppe; Kristensen, Dennis; Rahbek, Anders.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2015.

    Research output: Working paper/Preprint Working paperResearch

  16. 2014
  17. Published

    Bounding quantile demand functions using revealed preference inequalities. / Blundell, Richard; Kristensen, Dennis; Matzkin, Rosa.

    In: Journal of Econometrics, Vol. 179, No. 2, 01.04.2014, p. 112-127.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  18. Published

    Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates. / Han, Heejoon; Kristensen, Dennis.

    In: Journal of Business and Economic Statistics, Vol. 32, No. 3, 2014, p. 416-429.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  19. 2013
  20. Published

    Testing and inference in nonlinear cointegrating vector error correction models. / Kristensen, D.; Rahbek, A.

    In: Econometric Theory, Vol. 29, No. 6, 01.12.2013, p. 1238-1288.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  21. Published

    Control functions and simultaneous equations methods. / Blundell, R.; Kristensen, Dennis; Matzkin, R.L.

    In: American Economic Review, Vol. 103, No. 3, 01.05.2013, p. 563-569.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  22. 2012
  23. Published

    Testing conditional factor models. / Ang, A.; Kristensen, D.

    In: Journal of Financial Economics, Vol. 106, No. 1, 01.10.2012, p. 132-156.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review