← All authors Dennis Kristensen University College London (from arXiv:2605.06491, 2026) · ORCID · OpenAlex
37 papers in scope · 36 published · 4 on the econ.EM arXiv · 1,901 citations · h-index 20 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Lalit Jain Andriy Norets Jackson Bunting Enoch Hyunwook Kang Hema Yoganarasimhan Hugo Freeman Emerson Melo Peijun Sang Mogens Fosgerau Chen-Wei Hsiang Patrick Kofod Mogensen Andrei Zeleneev Yao Luo Jungjun Choi Ben Deaner Martin Weidner Jushan Bai Serena Ng Kenichi Shimizu James M. Robins Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (5 of 37)
LOCAL POLYNOMIAL ESTIMATION OF TIME-VARYING PARAMETERS IN NONLINEAR MODELS
published 2026 · Econometric Theory · 3 citations
working paper 2026 · arXiv
published 2024 · Journal of Economic Dynamics and Control · 1 citations · first circulated 2023
Overview: Implementation of structural dynamic models: Methodology and applications
published 2021 · Journal of Econometrics
published 2020 · Journal of Econometrics · 3 citations
published 2020 · Journal of Econometrics · 1 citations · first circulated 2018
published 2020 · Econometrics Journal · 5 citations · first circulated 2019
Issue of the Annals of Econometrics on Indirect Estimation Methods in Finance and Economics
published 2018 · Journal of Econometrics
Higher-order properties of approximate estimators
published 2017 · Journal of Econometrics · 25 citations · first circulated 2013
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
published 2016 · Journal of Empirical Finance · 16 citations
On selection of statistics for approximate Bayesian computing (or the method of simulated moments)
published 2015 · Computational Statistics & Data Analysis · 10 citations
with Michael Creel
ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING
published 2015 · Econometric Theory · 64 citations · first circulated 2010
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models
published 2015 · Journal of Empirical Finance · 26 citations · first circulated 2014
with Michael Creel
Nonparametric identification and estimation of transformation models
published 2015 · Journal of Econometrics · 52 citations · first circulated 2011
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates
published 2014 · Journal of Business and Economic Statistics · 92 citations
with Heejoon Han
Bounding quantile demand functions using revealed preference inequalities
published 2014 · Journal of Econometrics · 71 citations
with Richard Blundell, Rosa L. Matzkin
TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
published 2013 · Econometric Theory · 28 citations · first circulated 2010
Control Functions and Simultaneous Equations Methods
published 2013 · American Economic Review · 69 citations
with Richard Blundell, Rosa L. Matzkin
Estimation of dynamic latent variable models using simulated non‐parametric moments
published 2012 · Econometrics Journal · 13 citations · first circulated 2009
with Michael Creel
Non‐parametric detection and estimation of structural change
published 2012 · Econometrics Journal · 51 citations
Testing conditional factor models
published 2012 · Journal of Financial Economics · 211 citations · first circulated 2009
with Andrew Ang
Estimation of dynamic models with nonparametric simulated maximum likelihood
published 2011 · Journal of Econometrics · 61 citations · first circulated 2005
with Yongseok Shin
Semi-nonparametric estimation and misspecification testing of diffusion models
published 2011 · Journal of Econometrics · 18 citations · first circulated 2007
Adding and subtracting Black-Scholes: A new approach to approximating derivative prices in continuous-time models
published 2011 · Journal of Financial Economics · 20 citations · first circulated 2009
Likelihood-based inference for cointegration with nonlinear error-correction
published 2010 · Journal of Econometrics · 36 citations
Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
published 2009 · Journal of Econometrics · 31 citations · first circulated 2004
NONPARAMETRIC FILTERING OF THE REALIZED SPOT VOLATILITY: A KERNEL-BASED APPROACH
published 2009 · Econometric Theory · 193 citations · first circulated 2007
UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA
published 2009 · Econometric Theory · 82 citations · first circulated 2008
Asymptotics of the QMLE for Non-Linear ARCH Models
published 2009 · Journal of Time Series Econometrics · 16 citations
On stationarity and ergodicity of the bilinear model with applications to GARCH models
published 2008 · Journal of Time Series Analysis · 26 citations · first circulated 2005
Estimation of partial differential equations with applications in finance
published 2008 · Journal of Econometrics · 20 citations · first circulated 2004
Semi-Nonparametric IV Estimation of Shape-Invariant Engel Curves
published 2007 · Econometrica · 480 citations · first circulated 2003
Likelihood-Based Inference in Nonlinear Error-Correction Models
published 2007 · CREATES Research Papers · 20 citations
A CLOSED-FORM ESTIMATOR FOR THE GARCH(1,1) MODEL
published 2006 · Econometric Theory · 63 citations · first circulated 2005
ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
published 2005 · Econometric Theory · 72 citations
03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation—Solution
published 2004 · Econometric Theory · 21 citations · first circulated 2003
An alternative GLS-like transformation in regression models with AR(1)-errors
published 2002 · Econometric Theory · 1 citations
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