Articles with public access mandates - Dennis KristensenLearn more
Available somewhere: 17
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
H Han, D Kristensen
Journal of Economics and Business Statistics 32 (3), 416-429, 2014
Mandates: Danish Council for Independent Research, UK Economic and Social Research …
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
A Agosto, G Cavaliere, D Kristensen, A Rahbek
Journal of Empirical Finance 38, 640-663, 2016
Mandates: Danish Council for Independent Research, Danish National Research Foundation …
Bounding quantile demand functions using revealed preference inequalities
R Blundell, D Kristensen, R Matzkin
Journal of Econometrics 179 (2), 112–127, 2014
Mandates: Danish Council for Independent Research, UK Economic and Social Research …
Estimation of stochastic volatility models by nonparametric filtering
S Kanaya, D Kristensen
Econometric Theory 32 (4), 861-916, 2016
Mandates: US National Science Foundation, Danish National Research Foundation
Nonparametric identification and estimation of transformation models
PA Chiappori, I Komunjer, D Kristensen
Journal of Econometrics 188 (1), 22–39, 2015
Mandates: Danish National Research Foundation, UK Economic and Social Research Council …
Higher-order properties of approximate estimators
D Kristensen, B Salanié
Journal of Econometrics 198 (2), 189-208, 2017
Mandates: US National Science Foundation, Danish National Research Foundation, UK …
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models
M Creel, D Kristensen
Journal of Empirical Finance 31, 85-108, 2015
Mandates: Danish National Research Foundation, UK Economic and Social Research Council …
Control functions and simultaneous equations methods
R Blundell, D Kristensen, RL Matzkin
American Economic Review 103 (3), 563-69, 2013
Mandates: Danish National Research Foundation
Testing and inference in nonlinear cointegrating vector error correction models
D Kristensen, A Rahbek
Econometric Theory 29 (6), 1238-1288, 2013
Mandates: Danish Council for Independent Research, Danish National Research Foundation
Solving dynamic discrete choice models using smoothing and sieve methods
D Kristensen, PK Mogensen, JM Moon, B Schjerning
Journal of Econometrics 223 (2), 328-360, 2021
Mandates: Danish Council for Independent Research, Innovation Fund Denmark
Estimation of dynamic latent variable models using simulated nonparametric moments
M Creel, D Kristensen
Econometrics Journal 15 (3), 490–515, 2012
Mandates: Government of Spain
Individual counterfactuals with multidimensional unobserved heterogeneity
RW Blundell, D Kristensen, RL Matzkin
cemmap working paper, 2017
Mandates: US National Science Foundation, UK Economic and Social Research Council …
Bayesian Indirect Inference and the ABC of GMM
M Creel, J Gao, H Hong, D Kristensen
arXiv preprint arXiv:1512.07385 2, 2015
Mandates: Australian Research Council, Government of Spain
On selection of statistics for approximate Bayesian computing (or the method of simulated moments)
M Creel, D Kristensen
Computational Statistics & Data Analysis 100, 99-114, 2016
Mandates: Danish National Research Foundation, UK Economic and Social Research Council …
Semiparametric multiplicative GARCH-X model: Adopting economic variables to explain volatility
H Han, D Kristensen
Toulouse, France: Toulouse School of Economics, 2015
Mandates: Danish National Research Foundation, UK Economic and Social Research Council …
Identification of a Class of Index Models: A Topological Approach
D Kristensen, M Fosgerau
Econometrics Journal, 2020
Mandates: European Commission
Fast Estimation of Dynamic Structural Models with unobserved heterogeneity
J Druedahl, TH Jørgensen, D Kristensen
Mandates: Danish Council for Independent Research
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