Dennis Kristensen
Biographic Data
| ID | 8920600 |
|---|---|
| NAME | Dennis Kristensen |
| GIVEN NAMES | Dennis |
| FAMILY NAME | Kristensen |
| SIGNATURE | KRISTENSEN D |
| AFFILIATIONS | Institute for Fiscal Studies |
| ORCID | 0000-0001-9713-1784 |
| VERIFIED | Yes |
| TOTAL WORKS | 2 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 2 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 2014 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 0 |
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time-series models, including discrete-valued ones. We show that the proposed estimators are asymptotically normally distributed under weak conditions. We also provide a precise characterization of the leading bias term due to smoothing. We demonstrate the usefulness of our general results by establishing primitiv…
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 (QMLE’s) of the GARCH model augmented by including an additional explanatory variable—the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as captured by its long-memory parameter dx; in particular, we allow for both stationary and nonstationary covariates. We show that the QMLE’s of the paramete…
No prominent works on this page.
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 (QMLE’s) of the GARCH model augmented by including an additional explanatory variable—the so-called GARCH-X model. The additional covariate is allowed to exhibit any degree of persistence as captured by its long-memory parameter dx; in particular, we allow for both stationary and nonstationary covariates. We show that the QMLE’s of the paramete…
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
We develop a novel asymptotic theory for local polynomial extremum estimators of time-varying parameters in a broad class of nonlinear time-series models, including discrete-valued ones. We show that the proposed estimators are asymptotically normally distributed under weak conditions. We also provide a precise characterization of the leading bias term due to smoothing. We demonstrate the usefulness of our general results by establishing primitiv…
Asymptotic analysis (2 works) · Financial Risk and Volatility Modeling (2 works) · Mathematics (2 works) · Applied Mathematics (1 works) · Applied Mathematics (1 works) · Autoregressive conditional heteroskedasticity (1 works) · Computer Science (1 works) · Covariate (1 works) · Econometrics (1 works) · Estimator (1 works)