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Semi-nonparametric estimation and misspecification testing of diffusion models
Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008651700
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Nonparametric detection and estimation of structural change
Kristensen, Dennis - 2011
Persistent link: https://www.econbiz.de/10008986681
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Semiparametric modelling and estimation : a selective overview
Kristensen, Dennis - 2009
Persistent link: https://www.econbiz.de/10003883603
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Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
Kristensen, Dennis - 2009
Persistent link: https://www.econbiz.de/10003878806
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Testing and inference in nonlinear cointegrating vector error correction models
Kristensen, Dennis; Rahbek, Anders - 2010
Persistent link: https://www.econbiz.de/10008663980
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2010
Persistent link: https://www.econbiz.de/10008663983
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ABC of SV : limited information likelihood inference in stochastic volatility jump-diffusion models
Creel, Michael D.; Kristensen, Dennis - 2014
Persistent link: https://www.econbiz.de/10010401691
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Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates
Han, Heejoon; Kristensen, Dennis - 2012
Persistent link: https://www.econbiz.de/10009537600
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Testing conditional factor models
Kristensen, Dennis; Ang, Andrew - 2009
Persistent link: https://www.econbiz.de/10003849517
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Adding and subtracting black-scholes : a new approach to approximating derivative prices in continuous time models
Kristensen, Dennis; Mele, Antonio - 2009
Persistent link: https://www.econbiz.de/10003849531