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Dennis Kristensen

Global rank #1890 97%

Institution: Centre for Microdata Methods

Primary Field: Econometrics (weighted toward more recent publications)

Homepage: https://sites.google.com/site/econkristensen/

First Publication: 2003

Most Recent: 2024

RePEc ID: pkr127 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 1.17 1.68 0.00 4.02
Last 10 Years 0.00 2.18 2.68 0.00 7.04
All Time 0.67 14.58 11.73 0.00 43.57

Publication Statistics

Raw Publications 24
Coauthorship-Adjusted Count 27.09

Publications (24)

Year Article Journal Tier Authors
2024 Closed-form approximations of moments and densities of continuous–time Markov models Journal of Economic Dynamics and Control B 3
2021 Identification of a class of index models: A topological approach The Econometrics Journal B 2
2021 Diffusion copulas: Identification and estimation Journal of Econometrics A 3
2021 Solving dynamic discrete choice models using smoothing and sieve methods Journal of Econometrics A 4
2017 Higher-order properties of approximate estimators Journal of Econometrics A 2
2016 ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING Econometric Theory B 2
2015 Nonparametric identification and estimation of transformation models Journal of Econometrics A 3
2014 Bounding quantile demand functions using revealed preference inequalities Journal of Econometrics A 3
2014 Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates Journal of Business & Economic Statistics A 2
2013 Control Functions and Simultaneous Equations Methods American Economic Review S 3
2013 TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS Econometric Theory B 2
2012 Testing conditional factor models Journal of Financial Economics A 2
2012 Estimation of dynamic models with nonparametric simulated maximum likelihood Journal of Econometrics A 2
2011 Semi-nonparametric estimation and misspecification testing of diffusion models Journal of Econometrics A 1
2011 Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models Journal of Financial Economics A 2
2010 NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH Econometric Theory B 1
2010 Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models Journal of Econometrics A 1
2010 Likelihood-based inference for cointegration with nonlinear error-correction Journal of Econometrics A 2
2009 UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA Econometric Theory B 1
2008 Estimation of partial differential equations with applications in finance Journal of Econometrics A 1
2006 A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL Econometric Theory B 2
2005 ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS Econometric Theory B 2
2004 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution Econometric Theory B 2
2003 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation Econometric Theory B 2