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 0 2 23 1 2 12 77
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 1 2 3 569
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 5 37 0 0 9 81
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 0 0 1 17
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 2 0 0 2 10
A unifying approach to the empirical evaluation of asset pricing models 0 0 2 39 0 1 15 85
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 3 6 12 1,107
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 2 7 348
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 1 1 1 20 1 1 2 54
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 2 16 905
Conditional means of time series processes and time series processes for conditional means 0 0 1 11 0 1 16 47
Constrained EMM and Indirect Inference Estimation 0 0 0 0 1 3 7 377
Constrained Indirect Inference Estimation 1 1 2 95 1 3 6 253
Constrained indirect inference estimation 1 1 1 1 1 1 3 3
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 1 7 45
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 2 46 0 0 10 106
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 1 11 49 1 4 27 42
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 2 39 2 2 11 69
Did the EMS Reduce the Cost of Capital? 0 0 2 109 0 0 7 468
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 1 25 0 1 7 79
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 6 0 0 3 61
Duality in mean-variance frontiers with conditioning information 0 0 3 73 0 1 23 227
Dynamic Specification Tests for Static Factor Models 0 0 1 61 0 2 35 180
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 1 1 141 0 1 5 383
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 1 3 82 0 2 9 305
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 1 143 0 1 6 373
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 0 1 1 2 2
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 1 12 429
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 1 4 253
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 1 191 0 1 8 525
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 1 8 791
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 4 23 0 2 11 51
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 1 2 101 1 2 22 195
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 32 0 0 10 101
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 1 9 1,395
Least Squares Predictions and Mean-Variance Analysis 0 0 2 228 2 2 12 1,066
Least Squares Predictions and Mean-Variance Analysis 0 0 7 164 0 0 13 696
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 0 0 4
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 51 0 1 8 215
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 108 0 0 10 272
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 0 1 1
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 155 0 0 10 431
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 1 3 5
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 2 10 2 3 9 56
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 1 5 545
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 1 2 203
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 2 14 0 1 10 47
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 0 1 5 16
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 2 2 315 3 5 7 648
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 3 4 29 1,223
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 2 613 1 1 10 1,006
Mean-variance portfolio allocation with a value at risk constraint 0 1 1 1 0 1 1 1
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 4 49 0 1 14 140
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 40 1 1 12 150
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 6 82 1 2 18 259
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 58 0 2 5 223
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 57 0 2 7 209
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 1 77 1 1 12 244
Pricing Options on Assets with Predictable White Noise Returns 0 0 2 131 2 2 12 601
Quadratic Arch Models 0 0 0 1 2 4 29 793
Risk and Return in the Spanish Stock Market 0 0 1 278 0 0 3 1,147
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 1 8 54 0 1 20 104
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 2 125 1 1 7 476
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 0 3 215
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 58 1 3 14 259
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 6 80 2 6 40 297
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 1 1 41 0 3 9 111
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 0 3 42 2 2 17 48
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 5 56 0 1 22 164
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 1 15 1 2 9 77
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 59 0 1 8 170
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 1 2 93 0 1 11 198
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 2 7 318
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 1 1 3 632
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 2 3 11 537
UNDERIDENTIFICATION? 0 1 5 54 1 3 13 129
Underidentification? 0 1 6 62 2 8 62 217
Underidentification? 0 0 6 248 1 1 29 955
VALUATION OF VIX DERIVATIVES 1 2 7 69 1 3 29 165
Valuation of VIX Derivatives 0 0 1 20 0 1 4 63
Valuation of vix derivatives 0 1 4 10 0 5 18 52
Volatiltiy and Links Between National Stock Markets 1 5 18 327 3 13 54 892
Total Working Papers 5 23 158 5,256 50 147 984 26,293


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 0 10 76 1 5 46 314
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 1 12 525
Comment 0 0 0 0 0 1 1 1
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 4 306
Constrained Indirect Estimation 0 0 4 64 0 1 12 226
Constrained Indirect Estimation 0 0 0 0 0 1 2 3
Did the EMS Reduce the Cost of Capital? 0 0 1 72 1 1 4 386
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 1 5 21 0 1 18 95
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 83 0 0 4 672
Factor representing portfolios in large asset markets 0 1 6 43 0 1 9 125
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 3 5 42 463 7 16 113 1,326
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 9 100 0 1 24 207
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 3 7 35 2 5 16 78
Least Squares Predictions and Mean-Variance Analysis 0 0 5 174 0 1 10 722
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 1 2 161 0 1 6 570
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 1 3 84 0 2 8 210
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 8 17 687
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 1 192 0 0 2 774
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 1 1 5 47 2 3 13 171
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 0 1 196
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 1 202 0 2 9 1,158
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 26 0 1 5 104
Quadratic ARCH Models 4 7 36 402 5 16 88 992
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 3 36 0 1 5 120
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 3 42 0 0 11 172
Sequential estimation of shape parameters in multivariate dynamic models 1 2 20 20 2 9 67 67
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 3 8 23 0 4 21 72
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 1 2 20 0 2 15 61
Testing for GARCH effects: a one-sided approach 0 0 4 162 2 3 23 462
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 2 3 0 0 7 10
The econometrics of mean-variance efficiency tests: a survey 0 0 1 101 2 3 25 332
The econometrics of the stock market I: rationality tests 0 0 2 135 0 0 4 318
The econometrics of the stock market II: asset pricing 0 0 3 193 1 4 27 497
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 1 4 485
Underidentification? 0 1 11 24 4 7 50 99
Unobserved component time series models with Arch disturbances 0 2 18 577 0 3 35 934
Valuation of VIX derivatives 1 4 14 17 3 11 54 67
Volatility and Links between National Stock Markets 2 7 38 956 6 22 147 2,361
Total Journal Articles 13 40 267 4,600 39 138 922 15,945


Statistics updated 2014-10-03