Dennis Kristensen

Aarhus University — Denmark

Mathematics · Physical Sciences

24h-index2.3kcitations98works0.02yr avg
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Research Topics

Statistical Methods and Inference(38), Financial Risk and Volatility Modeling(35), Stochastic processes and financial applications(33), Monetary Policy and Economic Impact(30), Bayesian Methods and Mixture Models(10)

Publications97 total

Estimating State Space Models: Simple Corrections for Finite Sample Bias
SSRN Electronic Journal·2025Open Access
Closed-form approximations of moments and densities of continuous–time Markov models
Journal of Economic Dynamics and Control·2024
Closed-form approximations of moments and densities of continuous-time Markov models
arXiv (Cornell University)·2023Open Access
Closed-Form Approximations of Moments and Densities of Continuous Time Markov Models
SSRN Electronic Journal·2023Open Access
Overview: Implementation of structural dynamic models: Methodology and applications
Journal of Econometrics·2021Open Access
Solving dynamic discrete choice models using smoothing and sieve methods
Journal of Econometrics·2020· 3 citedOpen Access
Diffusion copulas: Identification and estimation
Journal of Econometrics·2020· 1 cited
Identification of a class of index models: A topological approach
Econometrics Journal·2020· 5 citedOpen Access
Diffusion Copulas: Identification and Estimation
arXiv (Cornell University)·2020Open Access
Identification of a class of index models: A topological approach
arXiv (Cornell University)·2020Open Access
Identification of a class of index models: A topological approach
2019· 1 citedOpen Access
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
arXiv (Cornell University)·2019· 3 citedOpen Access
Diffusion Copulas: Identification and Estimation
RePEc: Research Papers in Economics·2018Open Access
Issue of the Annals of Econometrics on Indirect Estimation Methods in Finance and Economics
Journal of Econometrics·2018Open Access
Individual counterfactuals with multidimensional unobserved heterogeneity
2017· 12 citedOpen Access
Higher-order properties of approximate estimators
Journal of Econometrics·2017· 25 citedOpen Access
Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)
Journal of Empirical Finance·2016· 16 citedOpen Access
Children and young people with perinatal HIV in Europe: epidemiological situation in 2014 and implications for the future
Zurich Open Repository and Archive (University of Zurich)·2016· 11 citedOpen Access
Bayesian Indirect Inference and the ABC of GMM
arXiv (Cornell University)·2015· 3 citedOpen Access
On selection of statistics for approximate Bayesian computing (or the method of simulated moments)
Computational Statistics & Data Analysis·2015· 10 citedOpen Access
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Frequent Co-authors

Richard Blundell(6), Anders Rahbek(6), Michael Creel(6), Rosa L. Matzkin(4), Andrew Ang(3), Oliver Linton(3), Bernard Salanié(3), Xiaohong Chen(2), Heejoon Han(2), Shin Kanaya(2), Yongseok Shin(2), Pierre‐André Chiappori(1), Ivana Komunjer(1), Antonio Mele(1), Arianna Agosto(1), Giuseppe Cavaliere(1), Ali Judd(1), Intira Jeannie Collins(1), Sara Lodi(1), Ashley Olson(1)