Access Statistics for Enrique Sentana

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS 0 1 2 23 0 2 11 72
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 0 4 567
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 1 1 5 36 1 1 11 80
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 0 0 4 17
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 2 0 1 1 9
A unifying approach to the empirical evaluation of asset pricing models 0 0 1 37 1 2 19 77
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 2 2 10 1,098
An Index of Co-Movements in Financial Time Series 0 0 0 0 1 1 4 344
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 19 0 0 4 53
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 2 7 26 899
Conditional means of time series processes and time series processes for conditional means 0 0 1 10 2 8 20 44
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 2 11 373
Constrained Indirect Inference Estimation 0 0 1 94 1 1 2 249
Constrained indirect inference estimation 0 0 0 0 1 1 1 1
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 1 8 0 2 7 41
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 3 46 4 5 20 106
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 2 4 46 46 5 10 34 34
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 2 38 1 4 13 65
Did the EMS Reduce the Cost of Capital? 0 1 2 109 1 3 7 466
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 1 25 1 2 6 76
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 6 0 1 10 61
Duality in mean-variance frontiers with conditioning information 0 0 3 73 1 6 26 223
Dynamic Specification Tests for Static Factor Models 0 0 8 61 8 14 54 172
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 1 140 0 1 7 382
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 2 80 1 3 17 301
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 5 143 0 2 18 372
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 0 1 1 1 1
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 1 15 428
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 1 4 252
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 0 190 0 0 10 521
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 2 3 24 787
Identification, estimation and testing of conditionally heteroskedastic factor models 1 2 8 22 1 5 15 47
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 1 4 100 3 9 27 189
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 32 2 5 17 99
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 4 4 21 1,392
Least Squares Predictions and Mean-Variance Analysis 1 1 4 228 1 2 15 1,061
Least Squares Predictions and Mean-Variance Analysis 1 2 8 164 1 4 21 693
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 0 3 4
Likelihood-based estimation of latent generalised ARCH structures 0 0 3 51 1 3 14 212
Likelihood-based estimation of latent generalised ARCH structures 0 1 2 108 1 2 17 270
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 1 1 1 1
Likelihood-based estimation of latent generalised ARCH structures 0 0 4 154 2 4 19 429
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 1 1 4 4
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 1 1 9 1 3 8 51
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 1 3 7 543
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 0 3 202
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 2 2 14 1 6 13 46
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 1 3 7 15
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 2 313 1 1 6 643
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 1 6 32 1,214
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 2 613 1 2 11 1,003
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 0 0 0 0 0
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 1 2 5 48 3 6 22 135
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 0 39 1 5 17 143
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 1 5 80 0 2 42 254
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 58 0 1 12 221
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 57 1 2 11 205
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 4 77 1 4 16 240
Pricing Options on Assets with Predictable White Noise Returns 1 1 3 131 4 6 11 598
Quadratic Arch Models 0 0 0 1 0 5 27 777
Risk and Return in the Spanish Stock Market 0 0 3 278 0 1 7 1,146
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 1 2 7 52 1 5 24 96
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 1 2 125 0 3 6 474
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 1 43 0 1 5 214
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 2 58 1 6 20 256
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 2 9 78 6 14 42 279
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 0 40 2 3 13 107
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 0 8 41 3 5 32 43
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 3 7 56 1 7 27 157
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 1 15 2 3 14 73
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 59 0 2 20 166
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 92 0 3 16 196
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 1 2 7 315
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 1 1 4 631
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 0 3 10 530
UNDERIDENTIFICATION? 0 0 4 53 0 2 14 124
Underidentification? 0 1 11 61 4 9 62 193
Underidentification? 0 1 8 248 1 10 45 952
VALUATION OF VIX DERIVATIVES 0 1 7 65 3 9 28 155
Valuation of VIX Derivatives 0 0 1 19 0 1 7 61
Valuation of vix derivatives 0 1 6 9 0 2 28 45
Volatiltiy and Links Between National Stock Markets 1 3 13 318 5 13 44 865
Total Working Papers 10 36 233 5,206 102 287 1,295 25,940


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparison of mean-variance efficiency tests 0 2 11 71 6 15 46 295
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 1 3 13 519
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 2 8 306
Constrained Indirect Estimation 1 2 3 63 1 4 11 222
Constrained Indirect Estimation 0 0 0 0 0 0 1 1
Did the EMS Reduce the Cost of Capital? 0 0 1 72 1 1 4 384
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 1 6 18 0 2 29 86
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 83 0 1 5 671
Factor representing portfolios in large asset markets 0 1 4 40 1 3 10 122
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 2 10 36 442 7 33 113 1,275
Identification, estimation and testing of conditionally heteroskedastic factor models 0 3 12 98 1 7 32 201
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 1 6 30 2 4 15 69
Least Squares Predictions and Mean-Variance Analysis 1 2 9 174 1 3 13 720
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 5 159 0 1 14 567
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 81 1 1 9 205
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 3 3 10 675
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 1 1 192 0 2 4 774
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 1 19
Multivariate Regression with Unequal Number of Observations—Solution 0 0 1 10 0 0 2 21
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 4 44 0 3 20 165
Nota sobre la inclusión en el sistema de precios en un modelo de Leontief de dos regímenes de imposición indirecta sobre el consumo 0 0 0 29 0 1 2 196
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 1 2 202 0 2 11 1,153
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 26 0 1 11 103
Quadratic ARCH Models 1 9 44 387 4 21 93 948
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 3 36 0 0 6 119
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 1 4 41 1 2 8 165
Sequential estimation of shape parameters in multivariate dynamic models 5 8 14 14 11 20 36 36
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 1 3 11 18 2 4 35 64
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 3 19 1 3 14 54
Testing for GARCH effects: a one-sided approach 2 3 9 161 4 6 27 452
The Likelihood Function of Conditionally Heteroskedastic Factor Models 1 1 3 3 2 2 7 9
The econometrics of mean-variance efficiency tests: a survey 0 0 6 101 4 6 39 323
The econometrics of the stock market I: rationality tests 0 0 2 135 1 1 6 317
The econometrics of the stock market II: asset pricing 0 0 6 192 1 7 34 488
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 12 484
Underidentification? 1 1 13 21 2 6 55 78
Unobserved component time series models with Arch disturbances 3 7 22 570 5 14 50 923
Valuation of VIX derivatives 1 3 9 9 4 18 40 40
Volatility and Links between National Stock Markets 6 8 45 936 16 31 173 2,286
Total Journal Articles 26 69 295 4,484 83 233 1,019 15,535


Statistics updated 2014-04-04