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 0 1 8 584
A Spectral EM Algorithm for Dynamic Factor Models 0 2 2 39 0 3 5 24
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 0 1 3 35
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 4 7 0 1 7 30
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 41 0 1 4 112
A spectral EM algorithm for dynamic factor models 0 1 2 33 0 2 11 44
A spectral EM algorithm for dynamic factor models 0 0 21 21 0 3 19 19
A unifying approach to the empirical evaluation of asset pricing models 0 0 0 48 0 2 4 108
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 3 1,124
An Index of Co-Movements in Financial Time Series 0 0 0 0 2 2 9 370
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 1 21 0 0 9 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 6 62
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 0 3 394
Constrained Indirect Inference Estimation 0 0 1 99 0 0 1 263
Constrained indirect inference estimation 0 0 0 1 0 1 2 8
Did the EMS Reduce the Cost of Capital? 0 0 0 110 0 1 2 483
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 1 28 1 1 6 100
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 0 3 72
Duality in mean-variance frontiers with conditioning information 0 0 1 76 0 0 2 245
Dynamic Specification Tests for Dynamic Factor Models 0 0 1 55 0 1 9 86
Dynamic Specification Tests for Static Factor Models 0 0 1 65 0 0 6 217
Dynamic Specification Tests for Static Factor Models 0 0 0 41 0 0 4 91
Empirical Evaluation of Overspecified Asset Pricing Models 1 8 27 27 1 8 11 11
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 1 1 86 0 1 3 330
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 1 1 145 0 1 9 390
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 1 1 2 0 1 3 9
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 1 1 5 447
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 1 1 34 1 4 13 65
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 6 0 2 8 18
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 1 1 53 1 2 5 22
Finite Underidentification 0 1 21 21 0 1 4 4
Has the EMS Reduced the Cost of Capital? 0 0 0 0 1 1 4 262
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 2 12 828
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 2 28 0 0 6 76
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 1 0 1 4 10
Is a Normal Copula the Right Copula? 1 1 3 14 1 2 14 29
Is a normal copula the right copula? 0 0 1 34 1 2 9 25
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 1 34 0 1 8 123
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 2 4 1,414
Least Squares Predictions and Mean-Variance Analysis 0 1 1 231 1 4 4 1,085
Least Squares Predictions and Mean-Variance Analysis 0 0 0 172 0 1 4 722
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 0 1 7 286
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 2 3 9 17
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 1 4 226
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 158 1 1 6 459
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 1 2 13 566
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 1 1 7 218
Marginalization and contemporaneous aggregation in multivariate GARCH processes 1 1 1 1 1 1 2 5
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 1 2 2 0 1 3 6
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 2 326 2 3 8 691
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 2 4 13 1,254
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 615 0 0 4 1,017
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 1 2 6 15
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 2 53 0 1 9 169
Neglected Serial Correlation Tests in UCARIMA Models 0 0 1 34 0 0 8 31
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 1 2 1 2 6 12
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 1 5 222
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 2 82 1 3 7 265
Pricing Options on Assets with Predictable White Noise Returns 0 1 1 137 0 1 9 628
Quadratic Arch Models 0 0 0 1 4 5 13 836
Risk and Return in the Spanish Stock Market 0 0 0 278 1 3 6 1,154
Sequential Estimation of Shape Parameters in Multivariate Dynamic Models 0 0 1 55 1 1 8 131
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 2 9 233
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 1 60 0 1 5 278
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 1 4 16 347
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 1 1 17 1 3 5 90
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 94 0 6 17 226
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 2 66 1 2 22 208
Tests for Serial Dependence in Static, Non-Gaussian Factor Models 0 0 0 46 0 0 9 81
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 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 0 543
Underidentification? 0 0 1 66 1 1 7 265
Underidentification? 0 0 3 261 0 4 24 1,034
Underidentification? (Resumen) 0 0 0 61 0 0 3 164
Valuation of VIX Derivatives 0 0 0 21 1 6 26 102
Valuation of VIX Derivatives 0 3 17 95 0 6 27 239
Valuation of vix derivatives 0 0 1 13 1 2 12 92
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 10 0 0 7 28
Volatility-related exchange traded assets: an econometric investigation 0 0 0 53 1 1 4 25
Volatiltiy and Links Between National Stock Markets 3 3 30 378 6 9 62 1,044
Total Working Papers 6 30 167 4,937 43 141 676 25,511


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 1 11 56
A comparison of mean-variance efficiency tests 0 0 0 88 0 0 2 372
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 0 2 534
Comment 0 0 0 5 0 0 0 14
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 0 0 1 5
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 2 5 318
Constrained Indirect Estimation 0 0 0 69 0 0 4 256
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 0 0 396
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 0 3 3 0 1 8 11
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 5 144
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 0 3 24 541 4 15 123 1,599
Identification, estimation and testing of conditionally heteroskedastic factor models 2 4 17 133 3 7 29 272
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 0 2 5 97
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 1 1 1 90 1 2 3 229
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 2 10 720
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 193 0 0 0 782
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 0 2 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 0 9 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 0 202
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 0 0 3 1,175
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 2 31 0 1 3 129
Quadratic ARCH Models 2 3 13 445 7 10 33 1,096
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 1 182
Sequential estimation of shape parameters in multivariate dynamic models 0 0 0 35 1 2 8 151
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 24 1 1 7 102
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 2 3 29 1 3 9 96
Testing for GARCH effects: a one-sided approach 0 0 0 168 1 1 3 478
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 0 106 1 2 7 373
The econometrics of the stock market I: rationality tests 0 0 1 139 0 1 5 335
The econometrics of the stock market II: asset pricing 0 0 1 194 0 0 4 508
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 2 492
Underidentification? 0 2 3 35 0 4 12 149
Unobserved component time series models with Arch disturbances 0 1 6 603 0 3 19 1,008
Valuation of VIX derivatives 0 1 3 42 0 1 20 148
Volatility and Links between National Stock Markets 5 8 22 1,022 10 19 62 2,594
Total Journal Articles 10 25 106 5,002 32 80 431 17,532


Statistics updated 2017-10-05