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Number of items: 19.
Article
Agosto, A;
Cavaliere, G;
Kristensen, D;
Rahbek, A;
(2016)
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).
Journal of Empirical Finance
, 38
(Part B)
pp. 640-663.
10.1016/j.jempfin.2016.02.007.
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Ang, A;
Kristensen, D;
(2012)
Testing conditional factor models.
Journal of Financial Economics
, 106
(1)
pp. 132-156.
10.1016/j.jfineco.2012.04.008.
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Blundell, R;
Kristensen, D;
Matzkin, R;
(2014)
Bounding quantile demand functions using revealed preference inequalities.
Journal of Econometrics
, 179
(2)
pp. 112-127.
10.1016/j.jeconom.2014.01.005.
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Bu, R;
Hadri, K;
Kristensen, D;
(2021)
Diffusion copulas: Identification and estimation.
Journal of Econometrics
, 221
(2)
pp. 616-643.
10.1016/j.jeconom.2020.06.004.
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Chiappori, P-A;
Komunjer, I;
Kristensen, D;
(2015)
Nonparametric identification and estimation of transformation models.
JOURNAL OF ECONOMETRICS
, 188
(1)
pp. 22-39.
10.1016/j.jeconom.2015.01.001.
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Creel, M;
Kristensen, D;
(2016)
On selection of statistics for approximate Bayesian computing (or the method of simulated moments).
Computational Statistics and Data Analysis
, 100
pp. 99-114.
10.1016/j.csda.2015.05.005.
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Creel, M;
Kristensen, D;
(2015)
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models.
Journal of Empirical Finance
, 31
pp. 85-108.
10.1016/j.jempfin.2015.01.002.
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Creel, M;
Kristensen, D;
(2012)
Estimation of dynamic latent variable models using simulated non-parametric moments.
Econometrics Journal
, 15
(3)
pp. 490-515.
10.1111/j.1368-423X.2012.00387.x.
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Halbleib, R;
Kristensen, D;
Renault, E;
Veredas, D;
(2018)
Issue of the Annals of Econometrics on Indirect Estimation Methods in Finance and Economics.
Journal of Econometrics
, 205
(1)
pp. 1-5.
10.1016/j.jeconom.2018.03.002.
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Han, H;
Kristensen, D;
(2014)
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates.
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
, 32
(3)
416 - 429.
10.1080/07350015.2014.897954.
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Kanaya, S;
Kristensen, D;
(2016)
Estimation of Stochastic Volatility Models by Nonparametric Filtering.
Econometric Theory
, 32
(4)
pp. 861-916.
10.1017/S0266466615000079.
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Keane, Michael;
Kristensen, Dennis;
Iskhakov, Fedor;
Schjerning, Bertel;
(2021)
Overview: Implementation of structural dynamic models: Methodology and applications.
Journal of Econometrics
, 223
(2)
pp. 277-279.
10.1016/j.jeconom.2021.03.009.
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Kristensen, D;
Mogensen, PK;
Moon, JM;
Schjerning, B;
(2021)
Solving dynamic discrete choice models using smoothing and sieve methods.
Journal of Econometrics
, 223
(2)
pp. 328-360.
10.1016/j.jeconom.2020.02.007.
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Kristensen, Dennis;
Lee, Young Jun;
Mele, Antonio;
(2024)
Closed-form approximations of moments and densities of continuous-time Markov models.
Journal of Economic Dynamics and Control
, 168
, Article 104948. 10.1016/j.jedc.2024.104948.
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Kristensen, D;
(2012)
Non-parametric detection and estimation of structural change.
ECONOMETRICS JOURNAL
, 15
(3)
pp. 420-461.
10.1111/j.1368-423X.2012.00378.x.
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Kristensen, D;
Fosgerau, M;
(2020)
Identification of a Class of Index Models: A Topological Approach.
Econometrics Journal
, Article utaa016. 10.1093/ectj/utaa016.
(In press).
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Kristensen, D;
Rahbek, A;
(2013)
Testing and Inference in Nonlinear Cointegrating Vector Error Correction Models.
Econometric Theory
, 29
(6)
1238 - 1288.
10.1017/S0266466613000054.
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Kristensen, D;
Salanié, B;
(2017)
Higher-order properties of approximate estimators.
Journal of Econometrics
, 198
(2)
pp. 189-208.
10.1016/j.jeconom.2016.10.008.
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Kristensen, D;
Shin, Y;
(2012)
Estimation of dynamic models with nonparametric simulated maximum likelihood.
Journal of Econometrics
, 167
(1)
pp. 76-94.
10.1016/j.jeconom.2011.09.042.
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