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Bent Jesper Christensen

Institution: Aarhus Universitet

Primary Field: Econometrics (weighted toward more recent publications)

First Publication: 1991

Most Recent: 2024

RePEc ID: pch701 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.02: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total Percentile
Last 5 Years 0.00 2.35 1.18 0.00 3.53 73%
Last 10 Years 0.00 7.74 1.18 0.00 8.91 86%
All Time 0.00 23.34 3.45 0.67 27.46 95%

Publication Statistics

Raw Publications 22
Coauthorship-Adjusted Count 16.47

Publications (22)

Year Article Journal Tier Authors
2024 Estimation of continuous-time linear DSGE models from discrete-time measurements Journal of Econometrics A 3
2023 Targeting predictors in random forest regression International Journal of Forecasting B 4
2023 Climate, wind energy, and CO2 emissions from energy production in Denmark Energy Economics A 4
2023 The incremental information in the yield curve about future interest rate risk Journal of Banking & Finance B 3
2019 An asset pricing approach to testing general term structure models Journal of Financial Economics A 2
2017 Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination Journal of Econometrics A 2
2016 Estimating dynamic equilibrium models using mixed frequency macro and financial data Journal of Econometrics A 3
2015 The impact of financial crises on the risk–return tradeoff and the leverage effect Economic Modeling C 3
2015 The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models Journal of Econometrics A 2
2012 Semiparametric inference in a GARCH-in-mean model Journal of Econometrics A 3
2012 The Impact of Health Changes on Labor Supply: Evidence from Merged Data on Individual Objective Medical Diagnosis Codes and Early Retirement Behavior Health Economics B 2
2011 The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets Journal of Econometrics A 3
2010 Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model Journal of Empirical Finance C 3
2007 The Effect of Long Memory in Volatility on Stock Market Fluctuations Review of Economics and Statistics A 2
2006 Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting Journal of Econometrics A 2
2005 On-the-Job Search and the Wage Distribution Journal of Labor Economics A 5
2001 Specification and Estimation of Equilibrium Search Models Review of Economic Dynamics B 8
1999 Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’ Review of Finance B 1
1998 The relation between implied and realized volatility Journal of Financial Economics A 2
1997 Inference in non-linear panel models with partially missing observations The case of the equilibrium search model Journal of Econometrics A 2
1994 Measurement Error in the Prototypal Job-Search Model. Journal of Labor Economics A 2
1991 The Exact Likelihood Function for an Empirical Job Search Model Econometric Theory B 2