← All authors Bent Jesper Christensen Economie Publique (per OpenAlex) · ORCID · OpenAlex
43 papers in scope · 43 published · 1 on the econ.EM arXiv · 3,204 citations · h-index 22 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Luca Attolico Philippe Goulet Coulombe Dalibor Stevanović Maxime Leroux Maximilian Goebel Maximilian Göbel Karin Klieber Eduardo Mendes Marcelo C. Medeiros Stéphane Surprenant Ricardo Masini Nicolaj Søndergaard Mühlbach Massimiliano Marcellino Daniel Borup Mattias Villani Oskar Gustafsson Pär Stockhammar Florian Huber Cindy Yu Zhenzhong Wang 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 (1 of 43)
Estimation of continuous-time linear DSGE models from discrete-time measurements
published 2024 · Journal of Econometrics · 3 citations
The incremental information in the yield curve about future interest rate risk
published 2023 · Journal of Banking & Finance
Climate, wind energy, and CO 2 emissions from energy production in Denmark
published 2023 · Energy Economics · 21 citations
with Federico Carlini, Nabanita Datta Gupta, Paolo Santucci de Magistris
published 2022 · International Journal of Forecasting · 183 citations · first circulated 2020
Optimal control of investment, premium and deductible for a non-life insurance company
published 2021 · Insurance Mathematics and Economics · 11 citations
with Juan Carlos Parra-Alvarez, Rafael Serrano
Measuring the Impact of Clean Energy Production on CO2 Abatement in Denmark: Upper Bound Estimation and Forecasting
published 2020 · Journal of the Royal Statistical Society Series A (Statistics in Society) · 8 citations
with Nabanita Datta Gupta, Paolo Santucci de Magistris
Dynamic Global Currency Hedging
published 2020 · Journal of Financial Econometrics · 6 citations · first circulated 2016
with Rasmus T. Varneskov
Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation
published 2019 · Risks · 11 citations
with Søren Asmussen, Julie Thøgersen
Nash equilibrium premium strategies for push–pull competition in a frictional non-life insurance market
published 2019 · Insurance Mathematics and Economics · 18 citations
with Søren Asmussen, Julie Thøgersen
An asset pricing approach to testing general term structure models
published 2019 · Journal of Financial Economics · 12 citations · first circulated 2010
with Michel van der Wel
Assessing predictive accuracy in panel data models with long-range dependence
published 2019 · CREATES Research Papers
no link
End-Of-Life Medical Spending In Last Twelve Months Of Life Is Lower Than Previously Reported
published 2017 · Health Affairs · 148 citations
Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
published 2016 · Journal of Econometrics · 16 citations · first circulated 2015
with Rasmus T. Varneskov
Medical Spending in Denmark
published 2016 · Fiscal Studies · 39 citations
with Mette Gørtz, Malene Kallestrup-Lamb
Estimating dynamic equilibrium models using mixed frequency macro and financial data
published 2016 · Journal of Econometrics · 11 citations · first circulated 2011
with Olaf Posch, Michel van der Wel
The impact of financial crises on the risk–return tradeoff and the leverage effect
published 2015 · Economic Modelling · 43 citations · first circulated 2012
The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models
published 2014 · Journal of Econometrics · 33 citations · first circulated 2011
with Martin Møller Andreasen
Portfolio size as function of the premium: modelling and optimization
published 2013 · Stochastics · 8 citations
with Søren Asmussen, Michael Taksar
THE IMPACT OF HEALTH CHANGES ON LABOR SUPPLY: EVIDENCE FROM MERGED DATA ON INDIVIDUAL OBJECTIVE MEDICAL DIAGNOSIS CODES AND EARLY RETIREMENT BEHAVIOR
published 2012 · Health Economics · 41 citations · first circulated 2010
with Malene Kallestrup-Lamb, Malene Kallestrup Lamb
Semiparametric inference in a GARCH-in-mean model
published 2011 · Journal of Econometrics · 46 citations · first circulated 2008
Periodicity, Non-stationarity, and Forecasting of Economic and Financial Time Series: Editors' Introduction
published 2011 · Journal of Time Series Econometrics · 3 citations
The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
published 2010 · Journal of Econometrics · 319 citations · first circulated 2007
Long memory in stock market volatility and the volatility-in-mean effect: The FIEGARCH-M Model
published 2009 · Journal of Empirical Finance · 61 citations · first circulated 2007
The Effect of Long Memory in Volatility on Stock Market Fluctuations
published 2007 · The Review of Economics and Statistics · 89 citations
Local Whittle Analysis of Stationary Fractional Cointegration and the Implied–Realized Volatility Relation
published 2007 · Journal of Business and Economic Statistics · 51 citations · first circulated 2001
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
published 2005 · Journal of Econometrics · 122 citations
On‐the‐Job Search and the Wage Distribution
published 2005 · Journal of Labor Economics · 229 citations · first circulated 2000
with Rasmus Lentz, Dale T. Mortensen, George R. Neumann, Axel Werwatz, D.T. Mortensen, G. Neumann
Multivariate mixed proportional hazard modelling of the joint retirement of married couples
published 2004 · Journal of Applied Econometrics · 62 citations
with Mark Yuying An, Nabanita Datta Gupta
Special issue on the econometrics of social insurance
published 2004 · Journal of Applied Econometrics · 1 citations
with Nabanita Datta Gupta, John Rust
Financial Risk Modelling and Econometric Inference
published 2003 · Acta Applicandae Mathematicae · 1 citations
New evidence on the implied-realized volatility relation
published 2002 · European Journal of Finance · 95 citations
with Charlotte Strunk Hansen
Further Evidence on the Risk-Return Relationship
published 2002 · Indian Journal of Medical Sciences · 49 citations
with Yakov Amihud, Haim Mendelson, Jesper Lindgaard Christensen
no link
Specification and Estimation of Equilibrium Search Models
published 2001 · Review of Economic Dynamics · 47 citations
with Henning Bunzel, Peter Jensen, Nicholas M. Kiefer, Lars Korsholm, L.T. Muus, George R. Neumann, Michael Rosholm
Panel Data, Local Cuts and Orthogeodesic Models
published 2000 · Bernoulli · 49 citations · first circulated 1999
with Nicholas M. Kiefer, Bent Jesper, Christensen Nicholas
Comment on ‘Index Option Pricing Models with Stochastic Volatility and Stochastic Interest Rates’
published 1999 · European Finance Review
Interest Rate Dynamics and Consistent Forward Rate Curves
published 1999 · Mathematical Finance · 80 citations
with Tomas Björk
The relation between implied and realized volatility
published 1998 · Journal of Financial Economics · 1184 citations
with Nagpurnanand Prabhala
Some system theoretic aspects of interest rate theory
published 1998 · Insurance Mathematics and Economics · 10 citations
with Tomas Björk, Andrea Gombani
Inference in non-linear panel models with partially missing observations The case of the equilibrium search model
published 1997 · Journal of Econometrics · 13 citations
with Nicholas M. Kiefer
Measurement Error in the Prototypal Job-Search Model
published 1994 · Journal of Labor Economics · 20 citations
with Nicholas M. Kiefer
EFFICIENCY GAINS IN BETA‐PRICING MODELS 1
published 1994 · Mathematical Finance · 1 citations
Local Cuts and Separate Inference
published 1994 · Scandinavian Journal of Statistics · 22 citations
with Nicholas M. Kiefer
The Exact Likelihood Function for an Empirical Job Search Model
published 1991 · Econometric Theory · 38 citations · first circulated 1990
with Nicholas M. Kiefer
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