Bent Jesper Christensen

Aarhus University

Professor

Fuglesangs Alle 4

DK-8210 Aarhus V, 8210

Denmark

Aarhus University

Professor

Fuglesangs Alle 4

DK-8210 Aarhus V, 8210

Denmark

Aarhus University

Professor

Fuglesangs Alle 4

DK-8210 Aarhus V, 8210

Denmark

SCHOLARLY PAPERS

17

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Top 17,982

in Total Papers Downloads

3,485

SSRN CITATIONS
Rank 6,352

SSRN RANKINGS

Top 6,352

in Total Papers Citations

114

CROSSREF CITATIONS

98

Scholarly Papers (17)

1.

The Role of Implied Volatility in Forecasting Future Realized Volatility and Jumps in Foreign Exchange, Stock, and Bond Markets

Number of pages: 41 Posted: 23 Jun 2008
Thomas Busch, Bent Jesper Christensen and Morten Ørregaard Nielsen
Danske Markets, Aarhus University and Queen's University - Department of Economics
Downloads 428 (85,031)
Citation 64

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Bipower variation, HAR, Heterogeneous Autoregressive Model, implied volatility, jumps, options, realized volatility, VecHAR, volatility forecasting

2.

The SR Approach: A New Estimation Procedure for Non-Linear and Non-Gaussian Dynamic Term Structure Models

Number of pages: 70 Posted: 09 Mar 2010 Last Revised: 05 Aug 2014
Martin M. Andreasen and Bent Jesper Christensen
Aarhus University and Aarhus University
Downloads 405 (90,737)
Citation 5

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Bond data, GMM, Non-linear filtering, Non-linear least squares, SMM

Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data

Journal of Econometrics, 194:1, 2016, PDF includes Web Appendix
Number of pages: 106 Posted: 13 Mar 2011 Last Revised: 17 Dec 2016
Bent Jesper Christensen, Olaf Posch and Michel van der Wel
Aarhus University, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 325 (115,552)
Citation 3

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Structural estimation, AK-Vasicek model, Martingale estimating function

Estimating Dynamic Equilibrium Models Using Mixed Frequency Macro and Financial Data

CESifo Working Paper Series No. 5030
Number of pages: 66 Posted: 04 Nov 2014
Bent Jesper Christensen, Olaf Posch and Michel van der Wel
Aarhus University, Universität Hamburg, Department of Economics and Erasmus University Rotterdam
Downloads 33 (567,205)
Citation 2

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structural estimation, AK-Vasicek model, Martingale estimating function

4.

The Telescoping Overlap Problem in Options Data

Number of pages: 42 Posted: 20 Dec 2001
Charlotte Strunk Hansen, Nagpurnanand Prabhala and Bent Jesper Christensen
Platinum Grove Asset Management L.P., The Johns Hopkins Carey Business School and Aarhus University
Downloads 354 (105,780)

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Implied volatility; S&P 100 index options; Market efficiency; Overlapping data

5.

Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation

University of Aarhus Working Paper No. 2001-4
Number of pages: 34 Posted: 16 Aug 2001
Bent Jesper Christensen and Morten Ørregaard Nielsen
Aarhus University and Queen's University - Department of Economics
Downloads 271 (140,799)
Citation 6

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Asymptotic distribution theory, Financial options, High-frequency data, Long memory, Long-run relation, Narrow band least squares

6.

An Asset Pricing Approach to Testing General Term Structure Models

Number of pages: 78 Posted: 26 Mar 2010 Last Revised: 24 May 2018
Bent Jesper Christensen and Michel van der Wel
Aarhus University and Erasmus University Rotterdam
Downloads 239 (159,507)
Citation 1

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Arbitrage, Bond Aging Effect, Dynamic Factor Model, Macroeconomic Conditioning Variables, Nonlinear Drift Restriction, State Space Model, Time-Varying Risk Premia, Yield Curve Model

7.

Targeting predictors in random forest regression

Number of pages: 44 Posted: 28 Apr 2020 Last Revised: 29 Oct 2020
Daniel Borup, Bent Jesper Christensen, Nicolaj Mühlbach and Mikkel Slot Nielsen
Aarhus University, CREATES, DFI, Aarhus University, Massachusetts Institute of Technology and Columbia University
Downloads 230 (165,498)
Citation 2

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Random Forests, LASSO, High-Dimensional Forecasting, Weak Predictors, Targeted Predictors

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

Number of pages: 19 Posted: 22 Jun 2008
Bent Jesper Christensen, Morten Ørregaard Nielsen and Jie Zhu
Aarhus University, Queen's University - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 112 (303,158)
Citation 3

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FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback

Long Memory in Stock Market Volatility and the Volatility-in-Mean Effect: The FIEGARCH-M Model

CREATES Research Paper No. 2007-10
Number of pages: 19 Posted: 24 Jun 2008
Bent Jesper Christensen, Morten Ørregaard Nielsen and Jie Zhu
Aarhus University, Queen's University - Department of Economics and University of Aarhus - School of Economics and Management
Downloads 102 (323,670)
Citation 6

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FIEGARCH, financial leverage, GARCH, long memory, risk-return tradeoff, stock returns, volatility feedback

9.

Predictive Regressions under Arbitrary Persistence and Stock Return Predictability

Number of pages: 75 Posted: 22 Mar 2021
Daniel Borup, Bent Jesper Christensen and Yunus Emre Ergemen
Aarhus University, CREATES, DFI, Aarhus University and Aarhus University
Downloads 211 (179,603)

Abstract:

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Stock return predictability, predictive regressions, persistence, panel data, factor structure

10.

Market Power in Power Markets: Evidence from Forward Prices of Electricity

CREATES Research Paper No. 2007-30
Number of pages: 59 Posted: 23 Jun 2008
Bent Jesper Christensen, Thomas Elgaard Jensen and Rune Mølgaard
Aarhus University, affiliation not provided to SSRN and Aarhus University
Downloads 200 (188,766)
Citation 5

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Electricity, forward prices, market power

11.

Dynamic Global Currency Hedging

Number of pages: 62 Posted: 19 Jan 2016 Last Revised: 16 Nov 2018
Bent Jesper Christensen and Rasmus Tangsgaard Varneskov
Aarhus University and Copenhagen Business School - Department of Finance
Downloads 190 (197,684)
Citation 3

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Currency Hedging, Foreign Exchange Rates, High-frequency Data, Infill Asymptotics, Mean-Variance Analyis, Quadratic Covariation, Realized Currency Beta

Approximate Distributions in Essentially Linear Models

Centre for Labour Market and Social Research Working Paper No. 98-008
Number of pages: 24 Posted: 16 Nov 1999
Mark Yuying An, Bent Jesper Christensen and Nicholas M. Kiefer
Federal National Mortgage Association (Fannie Mae), Aarhus University and Cornell University
Downloads 91 (348,696)

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Approximate Distributions in Essentially Linear Models

Duke Economics Working Paper No. 98-10
Number of pages: 24 Posted: 12 Mar 1999
Mark Yuying An, Bent Jesper Christensen and Nicholas M. Kiefer
Federal National Mortgage Association (Fannie Mae), Aarhus University and Cornell University
Downloads 44 (509,529)

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13.

Semiparametric Inference in a GARCH-in-Mean Model

CREATES Research Paper No. 2008-46
Number of pages: 49 Posted: 02 Sep 2008
Bent Jesper Christensen, Christian M. Dahl and Emma M. Iglesias
Aarhus University, Department of Business and Economics and Michigan State University
Downloads 93 (341,164)
Citation 5

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Efficiency bound, GARCH-M model, Profile likelihood, Risk-return relation, Semiparametric inference

14.

Level Shifts in Volatility and the Implied-Realized Volatility Relation

Number of pages: 40 Posted: 17 Oct 2010
Bent Jesper Christensen and Paolo Santucci de Magistris
Aarhus University and Aarhus University - CREATES
Downloads 71 (400,096)
Citation 45

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Common level shifts, fractional cointegration, fractional VECM, implied volatility, long memory, options, realized volatility

15.

Optimal Inference in Dynamic Models with Conditional Moment Restrictions

CREATES Research Paper No. 2008-51
Number of pages: 41 Posted: 11 Sep 2008
Bent Jesper Christensen and Michael Sorensen
Aarhus University and University of Copenhagen - Institute for Mathematical Sciences
Downloads 53 (462,183)
Citation 5

Abstract:

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optimal estimating function, generalized method of moments, conditional moment restrictions, dynamic models, optimal instruments, martingale estimating function, specification test

16.

Interest Rate Dynamics and Consistent Forward Rate Curves

Number of pages: 26 Posted: 03 Jun 2004
Tomas Bjork and Bent Jesper Christensen
Stockholm School of Economics - Swedish House of Finance and Aarhus University
Downloads 33 (553,634)
Citation 8
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17.

Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting

Posted: 28 Jan 2005
Bent Jesper Christensen and Morten Ørregaard Nielsen
Aarhus University and Queen's University - Department of Economics

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Asymptotic distribution theory, high-frequency data, long memory, semiparametric methods, stationary fractional cointegration