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 0 23 1 1 10 90
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 1 3 573
A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS 0 0 36 36 2 4 18 18
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 3 40 2 3 19 107
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 4 1 1 13 32
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 2 3 10 23
A spectral EM algorithm for dynamic factor models 2 4 24 30 3 8 22 31
A unifying approach to the empirical evaluation of asset pricing models 0 0 2 48 1 2 9 104
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 1 1 10 1,121
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 0 5 361
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 20 1 3 6 61
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 1 5 914
Conditional means of time series processes and time series processes for conditional means 0 0 0 11 0 1 5 52
Constrained EMM and Indirect Inference Estimation 0 0 0 0 2 4 12 391
Constrained Indirect Inference Estimation 1 1 2 98 1 1 5 262
Constrained indirect inference estimation 0 0 0 1 0 1 3 6
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 1 11 62
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 48 0 1 11 124
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 0 3 54 2 5 21 77
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 1 1 41 1 2 12 84
Did the EMS Reduce the Cost of Capital? 0 0 0 110 0 1 7 481
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 2 2 27 0 3 12 94
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 0 4 68
Duality in mean-variance frontiers with conditioning information 0 0 0 74 0 1 7 242
Dynamic Specification Tests for Static Factor Models 1 1 2 64 2 5 18 211
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 0 142 1 1 10 397
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 1 85 0 1 12 327
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 144 0 0 5 381
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 1 1 2 3 6
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION 0 0 6 32 2 7 34 47
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 2 3 8 442
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 1 52 1 4 10 17
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 6 6 1 4 10 10
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 4 258
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 0 193 1 2 14 548
IS A NORMAL COPULA THE RIGHT COPULA? 0 0 11 11 1 3 15 15
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 1 18 814
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 3 26 0 1 17 69
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 1 1 1 1 5 6 6
Is a normal copula the right copula? 1 3 33 33 1 2 16 16
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 33 2 2 7 111
Least Squares Predictions and Mean-Variance Analysis 0 0 5 172 0 3 13 717
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 1 2 11 1,410
Least Squares Predictions and Mean-Variance Analysis 0 0 1 230 0 0 5 1,081
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 1 3 10 16
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 52 0 2 6 222
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 109 0 1 5 279
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 1 0 1 4 7
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 158 0 1 17 453
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 1 5 15
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 10 0 1 10 78
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 0 3 553
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 0 3 211
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 1 3 3
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 3 3
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 2 324 0 2 15 681
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 1 9 1,239
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 1 615 0 1 3 1,012
Mean-variance portfolio allocation with a value at risk constraint 0 0 1 2 0 0 4 8
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 1 51 2 4 11 159
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 0 1 1 33 1 4 14 20
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 42 1 2 17 171
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 1 1 1 1 4 5 5
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 59 0 0 9 236
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 1 1 4 216
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 1 80 1 1 5 257
Pricing Options on Assets with Predictable White Noise Returns 0 0 2 134 0 0 12 617
Quadratic Arch Models 0 0 0 1 0 4 17 821
Risk and Return in the Spanish Stock Market 0 0 0 278 0 0 1 1,148
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 0 0 54 1 2 12 122
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 1 1 11 489
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 0 4 224
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 59 0 0 4 273
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 2 3 15 329
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 0 43 0 0 11 129
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 0 1 46 1 7 16 72
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 2 60 2 5 28 205
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 16 1 1 6 85
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 94 0 1 6 206
Testing Uncovered Interest Parity: A Continuous-Time Approach 1 1 1 64 1 3 5 183
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 1 6 325
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 1 6 641
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 0 1 3 541
UNDERIDENTIFICATION? 0 0 3 61 0 2 19 160
Underidentification? 0 1 2 65 0 3 17 257
Underidentification? 0 0 5 257 2 5 34 1,009
VALUATION OF VIX DERIVATIVES 0 0 3 76 1 1 26 209
VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION 0 0 2 10 0 0 11 16
Valuation of VIX Derivatives 0 0 0 21 2 2 7 75
Valuation of vix derivatives 0 0 0 12 0 1 13 80
Volatility-related exchange traded assets: an econometric investigation 1 2 3 52 1 3 10 16
Volatiltiy and Links Between National Stock Markets 3 8 14 348 3 12 56 980
Total Working Papers 10 28 195 5,512 63 187 997 27,317


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 7 11 3 8 29 39
A comparison of mean-variance efficiency tests 0 0 9 88 1 2 35 370
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 1 1 4 532
Comment 1 1 1 5 1 2 6 14
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 0 3 4 4
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 2 6 313
Constrained Indirect Estimation 0 1 1 69 0 2 12 250
Did the EMS Reduce the Cost of Capital? 0 0 0 72 1 2 7 396
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 1 1 22 0 2 4 105
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 1 5 680
Factor representing portfolios in large asset markets 0 1 1 46 0 1 9 138
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 2 4 27 517 4 15 73 1,472
Identification, estimation and testing of conditionally heteroskedastic factor models 1 1 7 114 2 3 25 241
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 0 2 9 91
Least Squares Predictions and Mean-Variance Analysis 0 0 2 179 0 1 7 734
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 6 170 0 0 15 591
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 1 89 1 1 8 225
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 3 8 707
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 1 193 2 2 6 782
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 3 24
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 0 1 3 29
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 50 0 1 9 185
Neglected serial correlation tests in UCARIMA models 0 0 0 0 1 4 5 5
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 4 201
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 0 2 8 1,170
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 1 29 2 5 18 126
Quadratic ARCH Models 0 5 14 432 1 9 34 1,061
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 36 0 2 6 127
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 0 7 180
Sequential estimation of shape parameters in multivariate dynamic models 0 0 8 35 3 4 35 141
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 1 1 1 24 6 7 17 95
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 1 2 3 25 2 5 18 85
Testing for GARCH effects: a one-sided approach 0 0 2 167 0 0 8 474
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 2 2
The econometrics of mean-variance efficiency tests: a survey 1 2 3 106 3 6 17 364
The econometrics of the stock market I: rationality tests 0 0 2 138 0 0 8 330
The econometrics of the stock market II: asset pricing 0 0 0 193 0 0 2 504
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 2 4 489
Underidentification? 0 1 3 32 1 7 22 136
Unobserved component time series models with Arch disturbances 1 4 13 597 2 9 36 987
Valuation of VIX derivatives 0 1 4 38 0 3 11 126
Volatility and Links between National Stock Markets 1 3 18 999 7 19 80 2,527
Total Journal Articles 9 29 137 4,890 46 140 629 17,052
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Statistics updated 2016-09-03