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Dennis Kristensen

University College London
Verified email at ucl.ac.uk
Cited by 546

Semi‐Nonparametric IV Estimation of Shape‐Invariant Engel Curves

[PDF] from ucl.ac.uk
Full text - MIT Libraries
R Blundell, X Chen… - Econometrica, 2007 - Wiley Online Library
This paper studies a shape-invariant Engel curve system with endogenous total
expenditure, in which the shape-invariant specification involves a common shift parameter
for each demographic group in a pooled system of nonparametric Engel curves. We focus ...
Cited by 138 - Related articles - BL Direct - All 39 versions

Nonparametric filtering of the realized spot volatility: a kernel-based approach

[PDF] from au.dk
Full text - MIT Libraries
D Kristensen - Econometric Theory, 2010 - Cambridge Univ Press
A kernel weighted version of the standard realized integrated volatility estimator is proposed.
By different choices of the kernel and bandwidth, the measure allows us to focus on specific
characteristics of the volatility process. In particular, as the bandwidth vanishes, an ...
Cited by 48 - Related articles - All 24 versions

Asymptotics of the QMLE for a class of ARCH (q) models

[PDF] from ku.dk
Full text - MIT Libraries
D Kristensen… - Econometric Theory, 2005 - Cambridge Univ Press
Abstract Strong consistency and asymptotic normality are established for the quasi-
maximum likelihood estimator for a class of ARCH (q) models. The conditions are that the
ARCH process is geometrically ergodic with a moment of arbitrarily small order. ...
Cited by 32 - Related articles - Library Search - BL Direct - All 21 versions

NOTES AND PROBLEMS A CLOSED-FORM ESTIMATOR FOR THE GARCH (1, 1) MODEL

[PDF] from unalmed.edu.co
D Kristensen… - Econometric Theory, 2006 - Cambridge Univ Press
We propose a closed-form estimator for the linear GARCH~ 1, 1! model+ The estimator has
the advantage over the often used quasi-maximum likelihood estimator~ QMLE! that it can
be easily implemented and does not require the use of any numerical optimization ...
Cited by 28 - Related articles - Get it from MIT Libraries - BL Direct - All 20 versions

Uniform convergence rates of kernel estimators with heterogeneous, dependent data

Full text - MIT Libraries
D Kristensen - Econometric Theory, 2009 - Cambridge Univ Press
The main uniform convergence results of Hansen (2008, Econometric Theory 24, 726–748)
are generalized in two directions: Data are allowed to (a) be heterogeneously dependent
and (b) depend on a (possibly unbounded) parameter. These results are useful in ...
Cited by 24 - Related articles - All 12 versions

Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models

[PDF] from 130.225.1.7
Full text - MIT Libraries
D Kristensen - Journal of Econometrics, 2010 - Elsevier
Two classes of semiparametric diffusion models are considered, where either the drift or the
diffusion term is parameterized, while the other term is left unspecified. We propose a
pseudo-maximum likelihood estimator (PMLE) of the parametric component that ...
Cited by 20 - Related articles - All 14 versions

Estimation of dynamic models with nonparametric simulated maximum likelihood

[PDF] from wustl.edu
D Kristensen… - Journal of Econometrics, 2011 - Elsevier
We propose an easy-to-implement simulated maximum likelihood estimator for dynamic
models where no closed-form representation of the likelihood function is available. Our
method can handle any simulable model without latent dynamics. Using simulated ...
Cited by 18 - Related articles - Get it from MIT Libraries - All 23 versions

Estimation of stochastic volatility models by nonparametric filtering

S Kanaya… - CREATES Research Papers, 2010 - ideas.repec.org
A two-step estimation method of stochastic volatility models is proposed: In the first step, we
estimate the (unobserved) instantaneous volatility process using the estimator of Kristensen
(2010, Econometric Theory 26). In the second step, standard estimation methods for fully ...
Cited by 16 - Related articles - Cached - All 4 versions

Nonparametric estimation of a multifactor Heath-Jarrow-Morton model: An integrated approach

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A Jeffrey, D Kristensen, O Linton… - Journal of Financial …, 2004 - Oxford Univ Press
Abstract We propose a new nonparametric estimator for the volatility structure of the zero-
coupon yield curve inside the Heath-Jarrow-Morton framework. The estimator incorporates
cross-sectional restrictions along the maturity dimension, and also allows for ...
Cited by 13 - Related articles - Library Search - BL Direct - All 31 versions

Nonparametric estimation and misspecification testing of diffusion models

[PDF] from au.dk
D Kristensen - Manuscript, Columbia University, 2008 - papers.ssrn.com
Abstract: A nonparametric kernel estimator of the drift (diffusion) term in a diffusion model are
developed given a preliminary parametric estimator of the diffusion (drift) term. Under
regularity conditions, rates of convergence and asymptotic normality of the nonparametric ...
Cited by 12 - Related articles - All 11 versions

Estimation of dynamic latent variable models using simulated nonparametric moments

[PDF] from csic.es
M Creel, D Kristensen - Manuscript, Department of Economics, …, 2009 - papers.ssrn.com
ABSTRACT. Given a model that can be simulated, conditional moments at a trial parameter
value can be calculated with high accuracy by applying kernel smoothing methods to a long
simulation. With such conditional moments in hand, standard method of moments ...
Cited by 9 - Related articles - All 26 versions

[CITATION] Semiparametric Engel Curves with Endogenous Expenditure

R Blundell, X Chen… - Econometrica, 2003
Cited by 8 - Related articles - Get it from MIT Libraries

03.5. 2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution

Full text - MIT Libraries
D Kristensen… - Econometric Theory, 2004 - Cambridge Univ Press
In vector form the disturbances can be written as u Zm m Zl ln, where Zm IN iT, IN is an
identity of dimension T, and iN is a vector of ones dimension N, Zl iN IT, m is of dimension N
1, l is of dimension T 1, and n is of dimension NT 1+ In general, if D@ X1, X2# then PD ...
Cited by 8 - Related articles - BL Direct - All 8 versions

Estimation of partial differential equations with applications in finance

Full text - MIT Libraries
D Kristensen - Journal of Econometrics, 2008 - Elsevier
Linear parabolic partial differential equations (PDE's) and diffusion models are closely
linked through the celebrated Feynman–Kac representation of solutions to PDE's. In asset
pricing theory, this leads to the representation of derivative prices as solutions to PDE's. ...
Cited by 8 - Related articles - All 10 versions

A semiparametric single-factor model of the term structure

[PDF] from lse.ac.uk
D Kristensen - 2004 - eprints.lse.ac.uk
We propose a semiparametric single-factor diffusion model for the term structure of interest
rate. The This model is highly flexible and encompasses most parametric single-factor
models proposed in the literature. We fit the semiparametric model to a proxy of the ...
Cited by 7 - Related articles - Library Search - BL Direct - All 12 versions

Likelihood-based inference for cointegration with nonlinear error-correction

Full text - MIT Libraries
D Kristensen… - Journal of Econometrics, 2010 - Elsevier
We consider a class of nonlinear vector error correction models where the transfer function
(or loadings) of the stationary relationships is nonlinear. This includes in particular the
smooth transition models. A general representation theorem is given which establishes ...
Cited by 6 - Related articles - All 8 versions

Asymptotics of the QMLE for non-linear ARCH models

Full text - MIT Libraries
D Kristensen… - Journal of Time Series Econometrics, 2009 - degruyter.com
Asymptotic properties of the quasi-maximum likelihood estimator (QMLE) for non-linear
ARCH (q) models--including for example Asymmetric Power ARCH and log-ARCH--are
derived. Strong consistency is established under the assumptions that the ARCH process ...
Cited by 5 - Related articles - All 10 versions

[PDF] Nonparametric identification and estimation of transformation models

[PDF] from ucsd.edu
PA Chiappori, I Komunjer… - 2010 - econ.ucsd.edu
Abstract. This paper derives sufficient conditions for nonparametric transformation models to
be identified and develops estimators of the identified components. Our nonparametric
identification result is global, and is derived under conditions that are substantially weaker ...
Cited by 2 - Related articles - View as HTML - All 6 versions

[PDF] Stochastic Demand and Revealed PreFerence

[PDF] from ucl.ac.uk
R Blundell, D Kristensen… - 2009 - homepages.ucl.ac.uk
Abstract This paper develops new techniques for the estimation and testing of stochastic
consumer demand models. Particular attention is given to nonseparable unoberserved
heterogeneity. The objective is to elicit demand responses from consumer expenditure ...
Cited by 2 - Related articles - View as HTML - All 19 versions

Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models

[PDF] from au.dk
D Kristensen… - Journal of financial economics, 2011 - Elsevier
We develop a new approach to approximating asset prices in the context of continuous-time
models. For any pricing model that lacks a closed-form solution, we provide a closed-form
approximate solution, which relies on the expansion of the intractable model around an “ ...
Cited by 3 - Related articles - Get it from MIT Libraries - All 25 versions

Semi-nonparametric estimation and misspecification testing of diffusion models

[PDF] from ku.dk
D Kristensen - Journal of Econometrics, 2011 - Elsevier
Novel transition-based misspecification tests of semiparametric and fully parametric
univariate diffusion models based on the estimators developed in [Kristensen, D., 2010.
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models. ...
Cited by 2 - Related articles - Get it from MIT Libraries - All 10 versions

[PDF] Modelling the Short% Term Interest Rate: A Semiparametric Approach

[PDF] from 89.96.248.67
D Kristensen - Man'uscript, Columbia University, 2006 - 89.96.248.67
Abstract We propose two classes of semiparametric single'factor diffusion models for the
term structure of interest rate. The models are highly flexible and encompass any parametric
single'factor model proposed in the literature. We estimate a specific semiparametric ...
Cited by 2 - Related articles - All 2 versions

Semiparametric Modelling and Estimation: A Selective Overview

[PDF] from au.dk
D Kristensen - 2009 - papers.ssrn.com
Abstract: Semiparametric models are characterized by a finite-and infinite-dimensional
(functional) component. As such they allow for added flexibility over fully parametric models,
and at the same time estimators of parametric components can be developed that exhibit ...
Cited by 1 - Related articles - All 10 versions

[PDF] Optimal Sampling and Bandwidth Selection for Nonparametric Kernel Estimators of Diffusion Processes

[PDF] from indiana.edu
S Kanaya… - Manuscript, Department of Economics, …, 2010 - indiana.edu
Abstract This paper considers sampling schemes and bandwidth choices for kernel $ based
nonparametric estimators of continuous $ time diffusion processes. Given the process is
observed discretely over [0, T] with T & (, we analyze mean $ squared error (MSE) ...
Cited by 1 - Related articles - View as HTML - All 3 versions

[PDF] Estimation of Hidden Markov Models with Nonparametric Simulated Maximum Likelihood

[PDF] from eea-esem.com
D Kristensen… - Manuscript, Department of Economics, …, 2006 - eea-esem.com
Abstract We propose a nonparametric simulated maximum likelihood estimation (NPSMLE)
with built-in nonlinear filtering. By recursively approximating the unknown conditional
densities, our method enables a maximum likelihood estimation of general dynamic ...
Cited by 1 - Related articles - View as HTML - All 3 versions

[PDF] Bounding quantile demand functions using revealed preference inequalities

[PDF] from cemmap.ac.uk
R Blundell, D Kristensen… - CeMMAP working papers, 2011 - cemmap.ac.uk
Abstract This paper develops a new technique for the estimation of consumer demand
models with unob& served heterogeneity subject to revealed preference inequality
restrictions. Particular attention is given to nonseparable heterogeneity. The inequality ...
Cited by 2 - Related articles - View as HTML - All 5 versions

Indirect likelihood inference

[PDF] from csic.es
M Creel, D Kristensen - 2011 - handle.digital.csic.es
Given a sample from a fully specified parametric model, let Zn be a given finite-dimensional
statistic-for example, an initial estimator or a set of sample moments. We propose to (re-)
estimate the parameters of the model by maximizing the likelihood of Zn. We call this the ...
Cited by 1 - Related articles - All 20 versions

Nonparametric Detection and Estimation of Structural Change

D Kristensen - 2011 - ideas.repec.org
We propose a nonparametric approach to the estimation and testing of structural change in
time series regression models. Under the null of a given set of the coefficients being
constant, we develop estimators of both the nonparametric and parametric components. ...
Cited by 1 - Related articles - Cached - All 5 versions

[CITATION] ECON 715# ECONOMETRIC METHODS LECTURE NOTES

D Kristensen - 2007
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Estimation of Stochastic Volatility Models by Nonparametric Filtering

[PDF] from au.dk
D Kristensen… - 2010 - papers.ssrn.com
Abstract: A two-step estimation method of stochastic volatility models is proposed: In the first
step, we estimate the (unobserved) instantaneous volatility process using the estimator of
Kristensen (2010, Econometric Theory 26). In the second step, standard estimation ...
Related articles - All 6 versions

[CITATION] Non-parametric estimation of multi-factor Heath Jarrow Morton term structure models

Full text - MIT Libraries
A Jeffrey, D Kristensen, O Linton… - Journal of financial …, 2004 - eprints.lse.ac.uk
Cached - All 4 versions

[PDF] Maximum Likelihood Estimation in a Class of Semiparametric Diffusion Model

[PDF] from ceu.hu
D Kristensen - 2002 - ceu.hu
Abstract In this paper we propose a method for maximum-likelihood estimation of an ergodic
diffusion when only the drift or diffusion term is specified. The method is based on the
functional relationship between the drift, diffusion and the invariant density. The properties ...
Related articles - View as HTML - All 2 versions

[CITATION] Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Asset Prices Models¤

D Kristensen… - 2005
Related articles

[PDF] EFFicient Estimation and Testing in Unit Root Models with Heteroskedasticiy oF Unknown Form

[PDF] from wisc.edu
D Kristensen… - 2005 - ssc.wisc.edu
Abstract In this paper, we consider an estimator that explores the second order properties of
the error term in unit root test, which is not treated explicitly in the original ADF test or only
treated in parametric Maximum Likelihood framework. The difference of this paper from ...
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A Semiparametric Diffusion Model for the Short Term Interest Rate

D Kristensen - 2004 - papers.ssrn.com
Abstract: We propose a semiparametric single-factor diffusion model for the term structure of
interest rate. The model is highly flexible and encompasses most parametric single-factor
models proposed in the literature. We fit the semiparametric model to a proxy of the ...
Related articles - All 2 versions

Semiparametric modelling and estimation (in Russian)

D Kristensen - Quantile, 2009 - ideas.repec.org
Semiparametric models are characterized by a finite-and infinite-dimensional (functional)
component. As such they allow for added flexibility over fully parametric models, and at the
same time estimators of parametric components can be developed that exhibit standard ...
Cached - All 4 versions

03.5. 2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation

Full text - MIT Libraries
D Kristensen… - Econometric Theory, 2003 - Cambridge Univ Press
In a recent paper Engle and Sheppard (2001) have used a “target variance” approach to
estimate a class of multivariate generalized autoregressive conditional heteroskedasticity
(GARCH) models. The question we pose here is how to derive the asymptotic distribution ...
Related articles - BL Direct - All 8 versions

[PDF] Estimation in a Class of Semiparametric Diffusion Models

[PDF] from phdfinance.dk
D Kristensen - 2003 - phdfinance.dk
Abstract In this paper we propose a method for estimation of an ergodic diffusion when only
the drift or diffusion term is specified. The method is based on the functional relationship
between the drift, diffusion and the invariant density. The properties of the estimator are ...
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