Research Staff

Dennis Kristensen

Dennis is a Professor in the Department of Economics at University College London. He joined the IFS and UCL 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

Identification of a class of index models: A topological approach

We establish nonparametric identification in a class of so-called index models using a novel approach that […]

Dennis Kristensen, Mogens Fosgerau
15 October 2019 | CWP52/19
Solving dynamic discrete choice models using smoothing and sieve methods

We propose to combine smoothing, simulations and sieve approximations to solve for either the integrated or […]

Bertel Schjerning, Jong-Myun Moon, Patrick K. Mogensen, Dennis Kristensen
3 April 2019 | CWP15/19
Individual counterfactuals with multidimensional unobserved heterogeneity

New nonparametric methods that identify and estimate counterfactuals for individuals, when each is characterized by a […]

Rosa Matzkin, Dennis Kristensen, Richard Blundell
30 December 2017 | CWP60/17
Estimation of stochastic volatility models by nonparametric filtering

A two-step estimation method of stochastic volatility models is proposed: In the first step, we nonparametrically […]

Dennis Kristensen, Shin Kanaya
1 August 2016 | Journal Article

Previous version

Estimation of stochastic volatility models by nonparametric filtering
Dennis Kristensen, Shin Kanaya
5 March 2015 | CWP09/15
Nonparametric identification and estimation of transformation models

This paper derives sufficient conditions for nonparametric transformation models to be identified and develops estimators of […]

Ivana Komunjer, Pierre-André Chiappori, Dennis Kristensen
23 June 2015 | Journal Article
Estimation of stochastic volatility models by nonparametric filtering

A two-step estimation method of stochastic volatility models is proposed: In the first step, we nonparametrically […]

Dennis Kristensen, Shin Kanaya
5 March 2015 | CWP09/15

Latest version

Estimation of stochastic volatility models by nonparametric filtering
Dennis Kristensen, Shin Kanaya
1 August 2016 | Journal Article
ABC of SV: Limited information likelihood inference in stochastic volatility jump-diffusion models

We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps […]

Dennis Kristensen, Michael Creel
7 February 2015 | Journal Article
ABC of SV: Limited Information Likelihood Inference in Stochastic Volatility Jump-Diffusion Models

We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps […]

Dennis Kristensen, Michael Creel
12 August 2014 | External publication
Asymptotic Theory for the QMLE in GARCH-X Models With Stationary and Nonstationary Covariates

This article investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLEs) of the GARCH model […]

Dennis Kristensen, Heejoon Han
28 July 2014 | Journal Article

Previous version

Bounding quantile demand functions using revealed preference inequalities

This paper develops a new approach to the estimation of consumer demand models with unobserved heterogeneity […]

Dennis Kristensen, Richard Blundell, Rosa Matzkin
1 April 2014 | Journal Article

Previous version

Bounding quantile demand functions using revealed preference inequalities
Rosa Matzkin, Dennis Kristensen, Richard Blundell
1 June 2011 | CWP21/11