"Kristensen, Dennis"

Article

Linton, Oliver and Kristensen, Dennis (2006) A closed-form estimator for the GARCH(1,1)-Model. Econometric theory, 22 (2). pp. 323-337. ISSN 0266-4666

Jeffrey, Andrew, Kristensen, Dennis, Linton, Oliver, Nguyen, Thong and Phillips, Peter C. B. (2004) Non-parametric estimation of multi-factor Heath Jarrow Morton term structure models. Journal of financial econometrics, 2 (2). pp. 251-289. ISSN 1479-8409

Monograph

Kristensen, Dennis (2004) Estimation in two classes of semiparametric diffusion models. Discussion paper, 500. Financial Markets Group, London School of Economics and Political Science, London, UK.

Kristensen, Dennis (2004) A semiparametric single-factor model of the term structure. Discussion paper, 501. Financial Markets Group, London School of Economics and Political Science, London, UK.

Kristensen, Dennis (2004) Estimation of partial differential equations with applications in finance. Discussion paper, 499. Financial Markets Group, London School of Economics and Political Science, London, UK.