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 0 2 10 92
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 3 9 11 582
A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS 0 1 2 37 0 1 18 19
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 1 4 41 0 2 20 109
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 1 4 0 2 12 25
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 4 0 1 12 33
A spectral EM algorithm for dynamic factor models 2 23 23 23 0 6 6 6
A spectral EM algorithm for dynamic factor models 1 2 24 32 3 5 21 36
A unifying approach to the empirical evaluation of asset pricing models 0 0 1 48 0 0 8 104
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 2 10 1,123
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 3 7 364
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 20 3 6 11 67
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 1 3 7 917
Conditional means of time series processes and time series processes for conditional means 0 0 0 11 1 5 9 57
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 1 12 392
Constrained Indirect Inference Estimation 0 0 2 98 0 0 4 262
Constrained indirect inference estimation 0 0 0 1 0 0 3 6
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 0 11 62
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 48 0 1 11 125
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 1 2 55 0 3 16 80
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 1 41 1 4 16 88
Did the EMS Reduce the Cost of Capital? 0 0 0 110 0 0 4 481
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 2 27 0 1 13 95
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 3 7 71
Duality in mean-variance frontiers with conditioning information 0 1 1 75 0 1 6 243
Dynamic Specification Tests for Static Factor Models 0 0 1 64 1 1 15 212
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 0 142 0 1 11 398
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 1 85 0 0 11 327
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 144 0 5 9 386
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 1 0 0 3 6
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION 0 1 4 33 2 8 28 55
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 3 10 445
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 1 6 0 1 9 11
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 52 1 2 8 19
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 2 4 260
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 0 193 0 0 14 548
IS A NORMAL COPULA THE RIGHT COPULA? 1 1 4 12 1 2 16 17
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 5 7 21 821
Identification, estimation and testing of conditionally heteroskedastic factor models 0 2 3 28 2 5 16 74
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 1 1 0 0 6 6
Is a normal copula the right copula? 0 0 4 33 2 3 12 19
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 33 2 6 11 117
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 2 12 1,412
Least Squares Predictions and Mean-Variance Analysis 0 0 0 230 0 0 4 1,081
Least Squares Predictions and Mean-Variance Analysis 0 0 4 172 1 2 14 719
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 1 1 6 223
Likelihood-based estimation of latent generalised ARCH structures 0 1 1 2 0 1 4 8
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 109 0 0 5 279
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 158 0 0 14 453
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 10 1 2 10 80
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 1 6 8 559
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 1 5 7 216
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 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 1 1 2 325 1 3 14 684
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 2 8 14 1,247
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 1 615 0 2 5 1,014
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 0 3 6 11
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 1 2 3 53 2 4 14 163
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 0 0 1 33 0 4 16 24
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 42 1 1 17 172
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 1 1 0 1 6 6
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 59 0 3 11 239
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 3 7 219
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 1 2 81 0 3 7 260
Pricing Options on Assets with Predictable White Noise Returns 0 2 3 136 0 5 10 622
Quadratic Arch Models 0 0 0 1 1 4 16 825
Risk and Return in the Spanish Stock Market 0 0 0 278 1 1 2 1,149
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 1 1 55 2 5 16 127
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 0 4 14 493
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 2 5 226
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 1 1 60 1 2 6 275
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 0 6 18 335
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 2 2 45 19 32 40 161
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 0 1 46 1 6 22 78
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 1 60 1 2 27 207
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 16 0 0 6 85
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 94 10 23 26 229
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 64 18 31 34 214
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 4 9 329
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 2 6 643
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 5 543
UNDERIDENTIFICATION? 0 0 0 61 2 3 17 163
Underidentification? 0 1 3 258 0 6 28 1,015
Underidentification? 0 1 3 66 2 6 19 263
VALUATION OF VIX DERIVATIVES 2 5 8 81 2 6 28 215
VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION 0 0 1 10 1 8 17 24
Valuation of VIX Derivatives 0 0 0 21 1 5 10 80
Valuation of vix derivatives 0 0 0 12 1 3 12 83
Volatility-related exchange traded assets: an econometric investigation 0 1 4 53 0 6 12 22
Volatiltiy and Links Between National Stock Markets 1 1 13 349 3 6 41 986
Total Working Papers 9 54 144 5,566 105 341 1,122 27,627
2 registered items for which data could not be found


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 7 11 2 8 32 47
A comparison of mean-variance efficiency tests 0 0 7 88 1 1 28 371
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 1 3 7 535
Comment 0 0 1 5 0 0 6 14
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 0 0 4 4
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 5 313
Constrained Indirect Estimation 0 0 1 69 0 4 12 254
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 0 6 396
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 1 22 0 1 5 106
Duality in mean-variance frontiers with conditioning information 0 1 1 1 1 6 6 6
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 1 6 681
Factor representing portfolios in large asset markets 0 1 2 47 0 3 10 141
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 5 6 23 523 40 48 103 1,520
Identification, estimation and testing of conditionally heteroskedastic factor models 2 6 12 120 4 10 29 251
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 0 1 9 92
Least Squares Predictions and Mean-Variance Analysis 0 0 2 179 0 0 7 734
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 2 170 0 0 10 591
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 1 89 0 1 8 226
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 2 8 16 715
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 193 1 1 4 783
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 1 4 25
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 0 2 5 31
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 1 51 0 1 7 186
Neglected serial correlation tests in UCARIMA models 0 0 0 0 3 4 9 9
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 5 202
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 1 4 10 1,174
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 1 2 30 0 1 18 127
Quadratic ARCH Models 0 0 9 432 2 7 32 1,068
Risk and return in the Spanish stock market: some evidence from individual assets 0 1 1 37 0 3 7 130
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 1 8 181
Sequential estimation of shape parameters in multivariate dynamic models 0 0 5 35 1 3 28 144
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 1 24 0 1 16 96
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 1 3 26 1 3 19 88
Testing for GARCH effects: a one-sided approach 0 1 2 168 0 1 6 475
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 2 2
The econometrics of mean-variance efficiency tests: a survey 0 0 2 106 1 5 18 369
The econometrics of the stock market I: rationality tests 0 0 1 138 0 2 8 332
The econometrics of the stock market II: asset pricing 0 0 0 193 0 2 3 506
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 3 6 492
Underidentification? 0 1 4 33 0 5 23 141
Unobserved component time series models with Arch disturbances 0 2 10 599 2 8 28 995
Valuation of VIX derivatives 0 1 4 39 0 2 10 128
Volatility and Links between National Stock Markets 4 5 18 1,004 10 18 75 2,545
Total Journal Articles 11 28 123 4,918 73 174 660 17,226


Statistics updated 2016-12-03