Research Staff
Dennis Kristensen
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.
Selected Publications
We establish nonparametric identification in a class of so-called index models using a novel approach that […]
We propose to combine smoothing, simulations and sieve approximations to solve for either the integrated or […]
New nonparametric methods that identify and estimate counterfactuals for individuals, when each is characterized by a […]
A two-step estimation method of stochastic volatility models is proposed: In the first step, we nonparametrically […]
Previous version
This paper derives sufficient conditions for nonparametric transformation models to be identified and develops estimators of […]
A two-step estimation method of stochastic volatility models is proposed: In the first step, we nonparametrically […]
Latest version
We develop novel methods for estimation and filtering of continuous-time models with stochastic volatility and jumps […]
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 […]
Previous version
This paper develops a new approach to the estimation of consumer demand models with unobserved heterogeneity […]