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Dennis Kristensen

Research Associate

Biography

Dennis is a Professor in the Department of Economics at University College London. He joined the IFS Centre for Microdata Methods and Practice (Cemmap) and became a Research Associate of the IFS Centre for the Microeconomic Analysis of Public Policy (CPP) in 2011. His main areas of research include econometric theory, quantitative finance and applied microeconomics.

Selected publications

  

All available outputs

Estimation of stochastic volatility models by nonparametric filtering, August 2016, (with Shin Kanaya ), Econometric Theory, Cambridge University Press, Journal Articles
Estimation of stochastic volatility models by nonparametric filtering, August 2016, (with Shin Kanaya ), Econometric Theory, Cambridge University Press, Journal Articles
Previous version:
Shin Kanaya and Dennis Kristensen March 2015, Estimation of stochastic volatility models by nonparametric filtering, cemmap Working Paper , CWP09/15
Nonparametric identification and estimation of transformation models, June 2015, (with Pierre-André Chiappori Ivana Komunjer ), Journal of Econometrics, Vol. 188, No. 1, pp. 22-39, Elsevier B.V., Journal Articles
Estimation of stochastic volatility models by nonparametric filtering, March 2015, (with Shin Kanaya ), Working Paper, CWP09/15, Institute for Fiscal Studies
Now published:
Shin Kanaya and Dennis Kristensen August 2016, Estimation of stochastic volatility models by nonparametric filtering, Journal Articles Econometric Theory
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models, February 2015, (with Michael Creel ), Journal of Empirical Finance, Vol. 31, pp. 85-108, Elsevier B.V., Journal Articles
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models, August 2014, (with Michael Creel ), External publications, CREATES
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates, July 2014, (with Heejoon Han ), Journal of Business & Economic Statistics, Vol. 32, No. 3, pp. 416-429, Taylor & Francis Online, Journal Articles
Previous version:
Heejoon Han and Dennis Kristensen May 2013, Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates, cemmap Working Paper , CWP18/13
Bounding quantile demand functions using revealed preference inequalities, April 2014, (with Richard Blundell , Rosa Matzkin), Journal of Econometrics, Elsevier, Journal Articles
Previous version:
Richard Blundell, Dennis Kristensen and Rosa Matzkin June 2011, Bounding quantile demand functions using revealed preference inequalities, cemmap Working Paper , CWP21/11
Bounding quantile demand functions using revealed preference inequalities, April 2014, (with Richard Blundell Rosa Matzkin ), Vol. 179, No. 2, pp. 112-127, Elsevier B.V., Journal Articles
New version:
January 2001, Journal of Econometrics, Journal Issue
Bounding quantile demand functions using revealed preference inequalities, April 2014, (with Richard Blundell , Rosa Matzkin), Journal of Econometrics, Vol. 179, No. 2, pp. 112-127, Elsevier B.V., Journal Articles
Higher-order properties of approximate estimators, September 2013, (with Bernard Salanie), Working Paper, CWP45/13, cemmap
Asymptotic theory for the QMLE in GARCH-X models with stationary and non-stationary covariates, May 2013, (with Heejoon Han ), Working Paper, CWP18/13, Institute for Fiscal Studies
Now published:
Control Functions and Simultaneous Equations Methods, May 2013, (with Richard Blundell , Rosa Matzkin), American Economic Review: Papers and Proceedings, American Economic Association, Journal Articles
Multiple goods, multiple tastes and revealed preference, January 2012, (with Richard Blundell , Rosa Matzkin), Conference Papers
Bounding quantile demand functions using revealed preference inequalities, June 2011, (with Richard Blundell , Rosa Matzkin), Working Paper, CWP21/11, IFS
Now published:
Richard Blundell, Dennis Kristensen and Rosa Matzkin April 2014, Bounding quantile demand functions using revealed preference inequalities, Journal Articles Journal of Econometrics
Nonparametric IV estimation of shape-invariant Engel curves, November 2007, (with Richard Blundell Xiaohong Chen ), Econometrica, Vol. 75, No. 6, pp. 1613-1669, Journal Articles
Previous version:
Richard Blundell, Xiaohong Chen and Dennis Kristensen October 2003, Nonparametric IV estimation of shape-invariant Engel curves, cemmap Working Paper , CWP15/03
Nonparametric IV estimation of shape-invariant Engel curves, November 2007, (with Richard Blundell Xiaohong Chen ), Econometrica, Vol. 75, No. 6, pp. 1613-1669, Wiley, Journal Articles
Nonparametric IV estimation of shape-invariant Engel curves, October 2003, (with Richard Blundell Xiaohong Chen ), Working Paper, CWP15/03
Now published:
Richard Blundell, Xiaohong Chen and Dennis Kristensen November 2007, Nonparametric IV estimation of shape-invariant Engel curves, Journal Articles Econometrica , 68 pp.

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