Dennis Kristensen

2.3k total citations
51 papers, 1.3k citations indexed

About

Dennis Kristensen is a scholar working on Finance, Statistics and Probability and General Economics, Econometrics and Finance. According to data from OpenAlex, Dennis Kristensen has authored 51 papers receiving a total of 1.3k indexed citations (citations by other indexed papers that have themselves been cited), including 34 papers in Finance, 24 papers in Statistics and Probability and 18 papers in General Economics, Econometrics and Finance. Recurrent topics in Dennis Kristensen's work include Financial Risk and Volatility Modeling (27 papers), Statistical Methods and Inference (22 papers) and Monetary Policy and Economic Impact (18 papers). Dennis Kristensen is often cited by papers focused on Financial Risk and Volatility Modeling (27 papers), Statistical Methods and Inference (22 papers) and Monetary Policy and Economic Impact (18 papers). Dennis Kristensen collaborates with scholars based in United Kingdom, Denmark and United States. Dennis Kristensen's co-authors include Richard Blundell, Andrew Ang, Xiaohong Chen, Anders Rahbek, Heejoon Han, Rosa L. Matzkin, Oliver Linton, Yongseok Shin, Michael Creel and Pierre‐André Chiappori and has published in prestigious journals such as Journal of Financial Economics, American Economic Review and Econometrica.

In The Last Decade

Dennis Kristensen

48 papers receiving 1.2k citations

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name h Career Trend Papers Cites
Dennis Kristensen United Kingdom 18 773 584 428 395 85 51 1.3k
Yuichi Kitamura United States 19 393 0.5× 521 0.9× 399 0.9× 698 1.8× 135 1.6× 55 1.6k
Yoon‐Jae Whang South Korea 17 536 0.7× 881 1.5× 342 0.8× 332 0.8× 152 1.8× 46 1.4k
Katsumi Shimotsu Canada 14 721 0.9× 1.0k 1.8× 491 1.1× 170 0.4× 104 1.2× 29 1.4k
Oliver B. Linton United Kingdom 15 330 0.4× 450 0.8× 180 0.4× 504 1.3× 132 1.6× 93 1.1k
Ulrich K. Müller United States 20 530 0.7× 767 1.3× 734 1.7× 448 1.1× 112 1.3× 45 1.4k
Miguel A. Delgado Spain 18 280 0.4× 685 1.2× 578 1.4× 426 1.1× 87 1.0× 46 1.3k
Juan Carlos Escanciano United States 20 709 0.9× 661 1.1× 386 0.9× 523 1.3× 136 1.6× 63 1.3k
Anders Rahbek Denmark 21 1.1k 1.4× 1.1k 1.8× 1.0k 2.4× 448 1.1× 97 1.1× 76 1.8k
Ching‐Fan Chung United States 13 536 0.7× 729 1.2× 407 1.0× 95 0.2× 53 0.6× 27 974
Michael J. Stutzer United States 17 1.0k 1.3× 908 1.6× 336 0.8× 216 0.5× 223 2.6× 49 1.7k

Countries citing papers authored by Dennis Kristensen

Since Specialization
Citations

This map shows the geographic impact of Dennis Kristensen's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Dennis Kristensen with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Dennis Kristensen more than expected).

Fields of papers citing papers by Dennis Kristensen

Since Specialization
Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Dennis Kristensen. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Dennis Kristensen. The network helps show where Dennis Kristensen may publish in the future.

Co-authorship network of co-authors of Dennis Kristensen

This figure shows the co-authorship network connecting the top 25 collaborators of Dennis Kristensen. A scholar is included among the top collaborators of Dennis Kristensen based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Dennis Kristensen. Dennis Kristensen is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

20 of 20 papers shown
1.
Kristensen, Dennis, Young Jun Lee, & Antonio Mele. (2024). Closed-form approximations of moments and densities of continuous–time Markov models. Journal of Economic Dynamics and Control. 168. 104948–104948.
2.
Bu, Ruijun, Kaddour Hadri, & Dennis Kristensen. (2020). Diffusion copulas: Identification and estimation. Journal of Econometrics. 221(2). 616–643.
3.
Kristensen, Dennis & Bernard Salanié. (2017). Higher-order properties of approximate estimators. Journal of Econometrics. 198(2). 189–208. 9 indexed citations
4.
Kristensen, Dennis, et al.. (2015). ESTIMATION OF STOCHASTIC VOLATILITY MODELS BY NONPARAMETRIC FILTERING. Econometric Theory. 32(4). 861–916. 28 indexed citations
5.
Chiappori, Pierre‐André, Ivana Komunjer, & Dennis Kristensen. (2015). Nonparametric identification and estimation of transformation models. Journal of Econometrics. 188(1). 22–39. 22 indexed citations
6.
Blundell, Richard, Dennis Kristensen, & Rosa L. Matzkin. (2013). Control Functions and Simultaneous Equations Methods. American Economic Review. 103(3). 563–569. 49 indexed citations
7.
Creel, Michael & Dennis Kristensen. (2012). Estimation of dynamic latent variable models using simulated non‐parametric moments. Econometrics Journal. 15(3). 490–515. 6 indexed citations
8.
Ang, Andrew & Dennis Kristensen. (2012). Testing conditional factor models. Journal of Financial Economics. 106(1). 132–156. 139 indexed citations
9.
Kristensen, Dennis. (2012). Non‐parametric detection and estimation of structural change. Econometrics Journal. 15(3). 420–461. 32 indexed citations
10.
Kristensen, Dennis. (2011). Semi-nonparametric estimation and misspecification testing of diffusion models. Journal of Econometrics. 164(2). 382–403. 10 indexed citations
11.
Kristensen, Dennis & Anders Rahbek. (2010). Likelihood-based inference for cointegration with nonlinear error-correction. Journal of Econometrics. 158(1). 78–94. 20 indexed citations
12.
Kristensen, Dennis. (2010). Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models. SSRN Electronic Journal. 7 indexed citations
13.
Kristensen, Dennis & Anders Rahbek. (2009). Asymptotics of the QMLE for Non-Linear ARCH Models. Research at the University of Copenhagen (University of Copenhagen). 1(1). 12 indexed citations
14.
Kristensen, Dennis & Antonio Mele. (2009). Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models. SSRN Electronic Journal. 11 indexed citations
15.
Kristensen, Dennis & Anders Rahbek. (2007). Likelihood-Based Inference in Nonlinear Error- Correction Models. RePEc: Research Papers in Economics. 4 indexed citations
16.
Kristensen, Dennis. (2007). Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach. SSRN Electronic Journal. 9 indexed citations
17.
Rahbek, Anders & Dennis Kristensen. (2007). Likelihood-Based Inference in Nonlinear Error-Correction Models. SSRN Electronic Journal. 16 indexed citations
18.
Kristensen, Dennis. (2007). Nonparametric Filtering of the Realised Spot Volatility: A Kernel-Based Approach. SSRN Electronic Journal. 21 indexed citations
19.
Kristensen, Dennis & Oliver Linton. (2003). 03.5.2. Consistent Standard Errors for Target Variance Approach to GARCH Estimation. Econometric Theory. 19(5). 879–880. 7 indexed citations
20.
Linton, Oliver, Dennis Kristensen, & Geert Dhaene. (2002). An alternative GLS-like transformation in regression models with AR(1)-errors. Econometric Theory. 18(4). 1 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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