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 1 23 1 2 9 78
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 1 2 569
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 3 37 0 0 5 81
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 1 1 1 18
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 2 1 1 3 11
A unifying approach to the empirical evaluation of asset pricing models 2 3 5 42 2 3 14 88
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 1 4 12 1,108
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 2 7 350
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 1 1 20 0 2 2 55
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 0 14 905
Conditional means of time series processes and time series processes for conditional means 0 0 1 11 0 0 13 47
Constrained EMM and Indirect Inference Estimation 0 0 0 0 1 2 7 378
Constrained Indirect Inference Estimation 0 1 1 95 0 1 5 253
Constrained indirect inference estimation 0 1 1 1 0 1 3 3
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 0 7 45
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 46 1 1 6 107
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 1 1 9 50 4 7 27 48
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 1 39 0 2 8 69
Did the EMS Reduce the Cost of Capital? 0 0 1 109 0 0 5 468
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 25 0 0 5 79
Duality in Mean-Variance Frontiers with Conditioning Information 1 1 1 7 2 2 3 63
Duality in mean-variance frontiers with conditioning information 0 0 0 73 0 0 11 227
Dynamic Specification Tests for Static Factor Models 0 0 0 61 1 2 27 182
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 1 141 1 2 5 385
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 1 3 83 4 6 13 311
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 143 0 0 4 373
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 0 0 1 2 2
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 0 9 429
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 2 253
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 1 191 0 0 5 525
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 0 7 791
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 3 23 0 1 11 52
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 2 101 1 2 18 196
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 1 1 33 0 1 9 102
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 1 1 9 1,396
Least Squares Predictions and Mean-Variance Analysis 0 0 1 228 0 5 11 1,069
Least Squares Predictions and Mean-Variance Analysis 0 1 7 165 2 5 16 701
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 1 1 5
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 51 0 0 6 215
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 108 0 1 5 273
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 1 8 432
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 1 1 3 6
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 2 10 1 3 9 57
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 1 1 6 546
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 2 4 205
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 2 14 0 0 7 47
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 0 0 4 16
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 2 315 0 3 7 648
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 3 6 21 1,226
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 613 1 2 7 1,007
Mean-variance portfolio allocation with a value at risk constraint 0 0 1 1 0 0 1 1
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 3 49 0 0 12 140
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 40 0 2 13 151
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 4 82 1 2 10 260
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 58 0 0 3 223
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 57 0 0 6 209
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 1 77 0 1 10 244
Pricing Options on Assets with Predictable White Noise Returns 0 0 1 131 0 2 9 601
Quadratic Arch Models 0 0 0 1 2 5 26 796
Risk and Return in the Spanish Stock Market 0 0 0 278 0 0 2 1,147
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 0 4 54 1 2 15 106
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 1 125 0 1 5 476
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 2 2 4 217
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 58 2 4 12 262
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 4 80 3 7 39 302
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 1 1 2 42 3 4 11 115
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 1 2 43 0 3 11 49
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 4 56 0 1 17 165
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 1 1 16 0 2 9 78
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 59 0 0 6 170
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 2 93 0 0 9 198
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 5 318
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 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 0 2 10 537
UNDERIDENTIFICATION? 0 0 2 54 0 1 8 129
Underidentification? 0 0 3 62 1 7 44 222
Underidentification? 0 1 3 249 0 3 16 957
VALUATION OF VIX DERIVATIVES 0 1 6 69 0 3 27 167
Valuation of VIX Derivatives 0 0 1 20 0 1 4 64
Valuation of vix derivatives 0 0 2 10 0 0 10 52
Volatiltiy and Links Between National Stock Markets 1 2 15 328 3 8 52 897
Total Working Papers 6 18 115 5,269 49 143 815 26,386


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 1 1 9 77 5 7 46 320
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 0 10 525
Comment 0 2 2 2 0 3 4 4
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 3 306
Constrained Indirect Estimation 2 3 6 67 4 5 14 231
Constrained Indirect Estimation 0 0 0 0 0 0 2 3
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 1 3 386
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 5 21 0 3 17 98
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 83 0 0 2 672
Factor representing portfolios in large asset markets 0 0 4 43 0 0 7 125
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 4 10 39 470 9 23 103 1,342
Identification, estimation and testing of conditionally heteroskedastic factor models 1 1 6 101 1 1 14 208
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 2 7 36 0 3 14 79
Least Squares Predictions and Mean-Variance Analysis 1 1 5 175 1 1 8 723
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 2 161 1 1 5 571
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 3 84 0 0 7 210
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 2 4 18 690
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 0 19
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 10 0 0 1 21
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 1 2 5 48 1 3 11 172
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 0 7 1,158
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 26 1 1 4 105
Quadratic ARCH Models 2 8 31 406 3 12 76 999
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 36 0 0 1 120
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 3 42 0 0 10 172
Sequential estimation of shape parameters in multivariate dynamic models 0 2 20 21 1 7 66 72
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 8 23 0 2 17 74
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 2 20 0 1 13 62
Testing for GARCH effects: a one-sided approach 0 0 4 162 0 2 17 462
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 1 3 0 0 3 10
The econometrics of mean-variance efficiency tests: a survey 1 1 1 102 4 8 22 338
The econometrics of the stock market I: rationality tests 0 0 0 135 2 2 4 320
The econometrics of the stock market II: asset pricing 0 0 1 193 2 5 21 501
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 2 485
Underidentification? 0 0 5 24 0 6 32 101
Unobserved component time series models with Arch disturbances 0 1 15 578 1 3 29 937
Valuation of VIX derivatives 5 10 21 26 12 26 70 90
Volatility and Links between National Stock Markets 0 6 36 960 6 22 139 2,377
Total Journal Articles 18 50 243 4,637 56 152 825 16,058


Statistics updated 2014-12-03