University College London
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.
A two-step estimation method of stochastic volatility models is proposed: In the first step, we nonparametrically […]
This paper derives sufficient conditions for nonparametric transformation models to be identified and develops estimators of […]
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps […]
This article investigates the asymptotic properties of the Gaussian quasi-maximum-likelihood estimators (QMLEs) of the GARCH model […]
This paper develops a new approach to the estimation of consumer demand models with unobserved heterogeneity […]
This paper studies a shape-invariant Engel curve system with endogenous total expenditure, in which the shape-invariant […]