Dennis Kristensen
Dennis Kristensen is an Professor of Economics at University College London. He came from a position as Associate Professor Columbia University since 2006 after being at University of Wisconsin. He obtained the PhD degree in economics from London School of Economics in 2004 after prior studies in mathematical economics at University of Copenhagen. Dennis Kristensens research interests include econometric theory, and financial econometrics. He has published in, amongst others, Econometrica, Econometric Theory, Journal of Econometrics and Journal of Financial Econometrics.
Kristensen, D. & Rahbek, A. (2013). Testing and inference in nonlinear cointegrating vector error correction models. Econometric Theory, 29(6), 1238-1288. https://doi.org/10.1017/S0266466613000054
Kristensen, D. & Creel, M. (2016). On selection of statistics for approximate Bayesian computing (or the method of simulated moments). Computational Statistics & Data Analysis, 100(August), 99–114. https://doi.org/10.1016/j.csda.2015.05.005
Kristensen, D. & Salanié, B. (2017). Higher-order properties of approximate estimators. Journal of Econometrics, 198(2), 189-208. https://doi.org/10.1016/j.jeconom.2016.10.008
Kristensen, D., Mogensen, P. K., Moon, J. M. & Schjerning, B. (2021). Solving dynamic discrete choice models using smoothing and sieve methods. Journal of Econometrics, 223(2), 328-360. https://doi.org/10.1016/j.jeconom.2020.02.007
Kanaya, S. & Kristensen, D. (2016). Estimation of Stochastic Volatility Models by Nonparametric Filtering. Econometric Theory, 32(4), 861-916. Advance online publication. https://doi.org/10.1017/S0266466615000079
Han, H. & Kristensen, D. (2014). Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates. Journal of Business and Economic Statistics, 32(3), 416-429. https://doi.org/10.1080/07350015.2014.897954
Fosgerau, M. & Kristensen, D. (2021). Identification of a class of index models: A topological approach . Econometrics Journal, 24(1), 121–133. https://doi.org/10.1093/ectj/utaa016
Bu, R., Hadri, K. & Kristensen, D. (2021). Diffusion copulas: Identification and estimation. Journal of Econometrics, 221(2), 616-643. https://doi.org/10.1016/j.jeconom.2020.06.004
Blundell, R., Kristensen, D. & Matzkin, R. L. (2013). Control functions and simultaneous equations methods. American Economic Review, 103(3), 563-569. https://doi.org/10.1257/aer.103.3.563
Blundell, R., Kristensen, D. & Matzkin, R. (2014). Bounding quantile demand functions using revealed preference inequalities. Journal of Econometrics, 179(2), 112-127. https://doi.org/10.1016/j.jeconom.2014.01.005
Ang, A. & Kristensen, D. (2012). Testing conditional factor models. Journal of Financial Economics, 106(1), 132-156. https://doi.org/10.1016/j.jfineco.2012.04.008
Agosto, A., Cavaliere, G., Kristensen, D. & Rahbæk, A. (2016). Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). Journal of Empirical Finance, 38, Part B(September), 640-663. Advance online publication. https://doi.org/10.1016/j.jempfin.2016.02.007
