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 Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 1 1 11 584
A Spectral EM Algorithm for Dynamic Factor Models 1 1 2 38 1 1 6 22
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 41 1 1 7 112
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 1 1 4 7 1 1 9 30
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 1 1 4 35
A spectral EM algorithm for dynamic factor models 1 1 5 33 1 2 15 43
A spectral EM algorithm for dynamic factor models 0 0 21 21 0 4 16 16
A unifying approach to the empirical evaluation of asset pricing models 0 0 0 48 2 2 5 108
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 4 1,124
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 1 7 368
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 1 1 21 0 1 11 71
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 0 3 917
Conditional means of time series processes and time series processes for conditional means 0 0 1 12 0 0 10 62
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 0 5 394
Constrained Indirect Inference Estimation 0 0 2 99 0 0 2 263
Constrained indirect inference estimation 0 0 0 1 1 1 2 8
Did the EMS Reduce the Cost of Capital? 0 0 0 110 1 1 2 483
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 1 1 28 0 2 5 99
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 0 4 72
Duality in mean-variance frontiers with conditioning information 0 0 2 76 0 0 3 245
Dynamic Specification Tests for Dynamic Factor Models 0 0 1 55 1 2 11 86
Dynamic Specification Tests for Static Factor Models 0 1 2 65 0 1 8 217
Dynamic Specification Tests for Static Factor Models 0 0 0 41 0 0 8 91
Empirical Evaluation of Overspecified Asset Pricing Models 4 23 23 23 4 7 7 7
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 1 1 1 86 1 2 3 330
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 1 1 1 145 1 2 9 390
Estimation and testing of dynamic models with generalised hyperbolic innovations 1 1 1 2 1 1 4 9
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 0 6 446
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 0 1 33 1 2 17 62
Fast ML estimation of dynamic bifactor models: an application to European inflation 1 1 1 53 1 1 5 21
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 6 2 4 9 18
Finite Underidentification 1 1 21 21 1 1 4 4
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 1 3 261
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 2 4 14 828
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 2 28 0 0 7 76
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 1 0 0 4 9
Is a Normal Copula the Right Copula? 0 1 2 13 0 3 13 27
Is a normal copula the right copula? 0 0 2 34 0 0 8 23
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 1 34 1 1 14 123
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 1 1 4 1,413
Least Squares Predictions and Mean-Variance Analysis 0 0 0 172 1 1 5 722
Least Squares Predictions and Mean-Variance Analysis 1 1 1 231 2 2 2 1,083
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 2 0 1 7 14
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 1 1 7 286
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 1 1 4 226
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 158 0 0 5 458
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 1 1 12 565
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 0 6 217
Marginalization and contemporaneous aggregation in multivariate GARCH processes 1 1 2 2 1 1 3 6
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 1 1 4
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 2 326 0 0 7 688
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 2 2 13 1,252
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 615 0 0 5 1,017
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 1 2 6 14
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 2 53 1 1 12 169
Neglected Serial Correlation Tests in UCARIMA Models 0 1 1 34 0 1 12 31
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 1 1 2 0 1 6 10
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 1 1 7 222
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 2 82 2 2 8 264
Pricing Options on Assets with Predictable White Noise Returns 0 0 2 136 0 1 10 627
Quadratic Arch Models 0 0 0 1 0 1 10 831
Risk and Return in the Spanish Stock Market 0 0 0 278 0 0 3 1,151
Sequential Estimation of Shape Parameters in Multivariate Dynamic Models 0 0 1 55 0 0 9 130
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 2 2 9 233
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 1 60 1 1 5 278
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 3 4 19 346
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 1 1 1 17 1 1 4 88
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 94 2 2 16 222
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 3 66 1 2 25 207
Tests for Serial Dependence in Static, Non-Gaussian Factor Models 0 0 0 46 0 1 10 81
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 1 5 330
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 0 4 645
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 0 0 2 543
Underidentification? 0 0 4 261 2 5 25 1,032
Underidentification? 0 0 1 66 0 0 7 264
Underidentification? (Resumen) 0 0 0 61 0 0 4 164
Valuation of VIX Derivatives 3 4 19 95 6 10 31 239
Valuation of VIX Derivatives 0 0 0 21 4 6 27 100
Valuation of vix derivatives 0 0 1 13 1 1 11 91
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 10 0 1 12 28
Volatility-related exchange traded assets: an econometric investigation 0 0 2 53 0 0 9 24
Volatiltiy and Links Between National Stock Markets 0 12 30 375 2 24 60 1,037
Total Working Papers 18 56 176 4,925 66 134 734 25,436


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 0 3 14 0 2 19 55
A comparison of mean-variance efficiency tests 0 0 0 88 0 0 3 372
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 0 3 534
Comment 0 0 1 5 0 0 1 14
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 0 1 1 5
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 1 5 317
Constrained Indirect Estimation 0 0 0 69 0 0 6 256
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 0 1 396
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 0 22 0 0 1 106
Duality in mean-variance frontiers with conditioning information 0 2 3 3 0 2 10 10
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 0 1 681
Factor representing portfolios in large asset markets 0 0 2 48 0 0 6 144
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 1 7 24 539 4 20 120 1,588
Identification, estimation and testing of conditionally heteroskedastic factor models 2 4 18 131 4 8 30 269
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 1 1 5 96
Least Squares Predictions and Mean-Variance Analysis 0 0 0 179 0 0 1 735
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 0 0 4 595
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 89 0 0 3 227
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 0 0 12 718
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 193 0 0 2 782
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 1 25
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 0 1 3 32
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 51 0 0 3 188
Neglected serial correlation tests in UCARIMA models 0 0 0 0 0 3 11 15
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 1 202
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 0 0 5 1,175
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 1 2 31 1 2 5 129
Quadratic ARCH Models 0 2 10 442 2 6 28 1,088
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 1 37 0 0 3 130
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 0 2 182
Sequential estimation of shape parameters in multivariate dynamic models 0 0 0 35 1 2 12 150
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 1 24 0 2 12 101
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 1 2 4 28 1 3 11 94
Testing for GARCH effects: a one-sided approach 0 0 1 168 0 0 3 477
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 0 2
The econometrics of mean-variance efficiency tests: a survey 0 0 1 106 1 2 11 372
The econometrics of the stock market I: rationality tests 0 1 1 139 0 1 4 334
The econometrics of the stock market II: asset pricing 0 0 1 194 0 1 4 508
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 3 492
Underidentification? 1 1 2 34 3 5 13 148
Unobserved component time series models with Arch disturbances 1 3 7 603 1 7 21 1,006
Valuation of VIX derivatives 1 1 4 42 1 4 22 148
Volatility and Links between National Stock Markets 2 4 18 1,016 4 14 59 2,579
Total Journal Articles 9 28 105 4,986 25 88 471 17,477


Statistics updated 2017-08-03