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 4 83
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 0 1 571
A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS 0 5 36 36 1 4 4 4
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 0 37 3 4 8 93
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 1 4 2 4 7 25
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 3 0 0 2 13
A spectral EM algorithm for dynamic factor models 1 1 9 9 1 1 16 16
A unifying approach to the empirical evaluation of asset pricing models 0 1 4 48 1 2 8 98
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 5 1,113
An Index of Co-Movements in Financial Time Series 0 0 0 0 1 2 8 359
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 20 0 1 2 57
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 0 4 910
Conditional means of time series processes and time series processes for conditional means 0 0 0 11 0 0 1 48
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 0 2 380
Constrained Indirect Inference Estimation 0 1 2 97 0 1 6 259
Constrained indirect inference estimation 0 0 0 1 0 0 0 3
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 1 3 5 54
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 48 0 1 2 115
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 1 3 53 0 2 14 65
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 0 40 1 2 3 74
Did the EMS Reduce the Cost of Capital? 0 0 0 110 0 1 9 478
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 25 0 0 0 82
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 3 4 67
Duality in mean-variance frontiers with conditioning information 0 0 1 74 2 3 7 239
Dynamic Specification Tests for Static Factor Models 0 0 1 63 0 2 9 197
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 1 142 0 1 3 388
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 0 84 0 2 4 317
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 1 144 0 0 4 377
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 1 1 0 0 1 3
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION 1 2 30 30 1 4 30 30
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 0 4 435
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 52 52 0 1 11 11
Fast ML estimation of dynamic bifactor models: an application to European inflation 1 1 6 6 1 2 3 3
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 1 3 256
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 2 193 0 1 5 535
IS A NORMAL COPULA THE RIGHT COPULA? 1 2 9 9 1 2 3 3
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 0 8 800
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 2 25 1 1 7 59
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 3 104 0 0 8 205
Is a normal copula the right copula? 0 0 29 29 1 5 11 11
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 33 0 0 4 106
Least Squares Predictions and Mean-Variance Analysis 0 0 1 230 0 1 6 1,078
Least Squares Predictions and Mean-Variance Analysis 0 0 1 168 0 4 6 709
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 0 2 1,400
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 1 1 5 10
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 108 0 0 1 274
Likelihood-based estimation of latent generalised ARCH structures 0 0 2 157 2 6 12 444
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 0 2 11
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 1 0 0 2 4
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 52 0 0 2 217
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 10 0 1 12 71
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 0 5 551
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 0 4 209
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 0 0
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 0 0
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 7 323 2 2 20 672
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 2 3 6 1,235
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 1 614 0 0 2 1,009
Mean-variance portfolio allocation with a value at risk constraint 0 0 1 2 0 0 4 5
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 50 1 1 6 150
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 0 0 0 32 0 2 7 10
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 1 1 1 42 2 5 7 160
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 2 84 0 0 4 268
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 1 59 0 1 4 229
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 1 1 2 213
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 1 3 80 0 1 7 254
Pricing Options on Assets with Predictable White Noise Returns 0 1 1 133 2 5 12 614
Quadratic Arch Models 0 0 0 1 1 3 13 810
Risk and Return in the Spanish Stock Market 0 0 0 278 0 0 0 1,147
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 0 0 54 0 2 5 113
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 1 2 4 481
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 0 4 221
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 1 59 0 0 5 269
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 3 83 1 3 11 319
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 1 43 1 4 10 125
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 0 2 45 0 1 7 57
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 2 59 4 6 14 186
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 16 0 1 2 80
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 4 63 0 1 9 180
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 1 1 94 0 2 5 204
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 2 320
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 0 5 637
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 2 539
UNDERIDENTIFICATION? 0 2 5 61 0 4 13 148
Underidentification? 1 1 2 64 4 7 20 250
Underidentification? 0 2 5 255 1 7 30 989
VALUATION OF VIX DERIVATIVES 0 0 4 73 2 10 22 197
VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION 1 1 10 10 2 4 10 10
Valuation of VIX Derivatives 0 0 1 21 0 2 6 71
Valuation of vix derivatives 0 0 1 12 4 6 15 76
Volatility-related exchange traded assets: an econometric investigation 0 0 49 49 0 0 10 10
Volatiltiy and Links Between National Stock Markets 0 2 7 337 2 12 44 949
Total Working Papers 7 27 316 5,624 54 170 648 27,127


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 3 4 8 8 4 9 24 24
A comparison of mean-variance efficiency tests 2 3 6 83 7 9 28 351
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 0 3 528
Comment 0 0 2 4 1 2 4 10
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 2 308
Constrained Indirect Estimation 0 0 0 68 1 2 7 243
Did the EMS Reduce the Cost of Capital? 0 0 0 72 1 1 2 391
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 0 21 0 0 3 101
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 2 3 4 678
Factor representing portfolios in large asset markets 0 0 2 45 0 0 6 131
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 2 5 32 502 5 15 70 1,427
Identification, estimation and testing of conditionally heteroskedastic factor models 1 2 6 109 1 2 13 223
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 2 39 0 0 3 83
Least Squares Predictions and Mean-Variance Analysis 0 0 0 177 0 0 1 727
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 5 8 169 0 7 12 583
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 1 88 1 1 6 219
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 1 9 700
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 1 1 193 0 1 5 779
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 0 21
Multivariate Regression with Unequal Number of Observations—Solution 0 0 1 11 1 1 4 27
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 2 50 1 2 7 180
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 2 198
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 1 1 6 1,165
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 1 1 3 29 1 1 5 110
Quadratic ARCH Models 0 1 16 423 2 4 35 1,039
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 36 0 0 3 123
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 1 1 2 174
Sequential estimation of shape parameters in multivariate dynamic models 1 3 9 31 1 6 40 119
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 23 0 1 4 80
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 1 2 23 1 4 9 72
Testing for GARCH effects: a one-sided approach 0 2 4 167 0 2 7 470
The econometrics of mean-variance efficiency tests: a survey 0 1 2 104 1 3 14 353
The econometrics of the stock market I: rationality tests 0 0 1 137 1 2 5 326
The econometrics of the stock market II: asset pricing 0 0 0 193 0 0 2 503
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 1 486
Underidentification? 0 0 4 29 1 2 16 120
Unobserved component time series models with Arch disturbances 3 4 14 592 3 5 32 971
Valuation of VIX derivatives 0 0 5 35 0 1 21 119
Volatility and Links between National Stock Markets 4 6 23 991 8 16 77 2,479
Total Journal Articles 17 40 154 4,816 47 106 494 16,641


Statistics updated 2016-02-03