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 1 4 80
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 0 3 570
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 0 37 0 0 7 88
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 0 0 2 19
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 3 0 1 3 13
A spectral EM algorithm for dynamic factor models 2 4 6 6 3 6 9 9
A unifying approach to the empirical evaluation of asset pricing models 0 1 7 46 0 3 10 94
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 10 1,111
An Index of Co-Movements in Financial Time Series 0 0 0 0 1 5 10 356
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 1 20 0 0 2 55
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 0 5 909
Conditional means of time series processes and time series processes for conditional means 0 0 0 11 0 0 1 47
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 1 4 379
Constrained Indirect Inference Estimation 0 1 2 96 0 3 6 257
Constrained indirect inference estimation 0 0 1 1 0 0 1 3
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 1 7 51
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 2 48 0 0 7 113
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 1 3 51 1 2 17 56
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 1 40 1 1 5 72
Did the EMS Reduce the Cost of Capital? 0 0 1 110 2 3 4 472
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 25 0 0 4 82
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 1 7 0 0 3 64
Duality in mean-variance frontiers with conditioning information 0 1 1 74 1 2 8 235
Dynamic Specification Tests for Static Factor Models 0 0 1 62 1 1 13 192
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 1 2 142 0 1 5 387
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 2 84 0 1 10 315
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 1 144 1 2 3 376
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 1 1 1 0 1 2 3
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION 0 0 25 25 1 5 11 11
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 2 2 4 433
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 51 51 0 2 7 7
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 2 254
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 1 2 193 0 1 9 534
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 3 4 795
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 0 23 0 0 3 52
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 2 3 103 2 4 9 202
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 1 33 0 0 3 104
Least Squares Predictions and Mean-Variance Analysis 0 0 1 229 0 1 12 1,076
Least Squares Predictions and Mean-Variance Analysis 0 0 3 167 0 1 8 704
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 1 1 5 1,399
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 0 2 6
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 51 0 1 1 216
Likelihood-based estimation of latent generalised ARCH structures 1 1 1 1 1 1 2 3
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 1 5 10
Likelihood-based estimation of latent generalised ARCH structures 0 1 1 156 0 1 3 434
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 108 1 1 2 274
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 10 0 3 14 68
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 2 5 550
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 2 6 208
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 1 4 7 321 2 9 21 665
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 0 10 1,230
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 1 1 614 0 2 4 1,009
Mean-variance portfolio allocation with a value at risk constraint 0 0 1 1 0 2 4 4
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 1 50 1 2 9 148
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 0 0 32 32 0 0 5 5
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 41 0 0 5 154
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 1 83 0 0 8 266
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 1 1 59 0 2 4 227
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 1 58 0 1 3 212
Parametric properties of semi-nonparametric distributions, with applications to option valuation 1 2 2 79 2 4 8 251
Pricing Options on Assets with Predictable White Noise Returns 0 0 1 132 0 1 6 605
Quadratic Arch Models 0 0 0 1 0 5 13 803
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 1 54 0 1 6 109
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 0 0 3 478
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 1 4 219
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 1 59 0 2 12 269
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 1 1 3 83 1 2 21 314
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 3 43 1 1 8 118
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 0 3 45 1 2 10 56
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 1 2 58 1 3 13 177
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 1 16 0 0 4 79
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 93 0 1 3 200
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 2 61 0 2 6 176
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 1 1 319
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 1 4 635
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 4 538
UNDERIDENTIFICATION? 0 0 4 57 0 1 13 139
Underidentification? 0 1 4 252 1 8 19 973
Underidentification? 0 0 2 63 1 3 28 239
VALUATION OF VIX DERIVATIVES 0 1 6 73 1 3 21 183
VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION 0 0 8 8 1 2 5 5
Valuation of VIX Derivatives 0 0 1 21 0 1 6 68
Valuation of vix derivatives 0 0 3 12 1 1 17 67
Volatility-related exchange traded assets: an econometric investigation 0 0 49 49 0 1 6 6
Volatiltiy and Links Between National Stock Markets 0 0 10 334 1 7 40 922
Total Working Papers 7 28 275 5,497 34 141 636 26,763


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 2 3 3 3 4 8 8 8
A comparison of mean-variance efficiency tests 0 1 3 79 0 5 23 334
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 1 3 528
Comment 0 0 3 3 0 0 7 7
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 1 307
Constrained Indirect Estimation 0 0 0 0 0 0 0 3
Constrained Indirect Estimation 0 0 4 68 0 2 9 235
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 0 4 389
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 0 21 0 2 6 101
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 1 84 0 1 3 675
Factor representing portfolios in large asset markets 0 1 2 45 0 3 4 129
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 0 6 31 490 2 17 82 1,399
Identification, estimation and testing of conditionally heteroskedastic factor models 0 1 7 107 0 2 10 216
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 1 6 39 0 1 8 82
Least Squares Predictions and Mean-Variance Analysis 0 0 3 177 0 0 5 727
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 2 3 164 0 2 4 574
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 5 88 0 1 7 216
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 0 3 18 698
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 192 0 1 2 776
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 2 21
Multivariate Regression with Unequal Number of Observations—Solution 0 1 1 11 0 1 5 26
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 3 49 1 2 8 176
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 0 196
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 0 3 4 1,162
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 1 1 27 0 2 4 107
Quadratic ARCH Models 0 4 18 416 1 7 41 1,023
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 36 0 1 2 121
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 1 1 173
Sequential estimation of shape parameters in multivariate dynamic models 1 2 9 27 5 11 44 104
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 23 0 1 7 78
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 1 3 22 0 3 6 66
Testing for GARCH effects: a one-sided approach 0 2 3 165 0 2 6 466
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 3 0 1 7 17
The econometrics of mean-variance efficiency tests: a survey 0 1 2 103 0 6 18 347
The econometrics of the stock market I: rationality tests 0 0 1 136 0 0 4 322
The econometrics of the stock market II: asset pricing 0 0 0 193 0 1 9 502
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 1 485
Underidentification? 1 1 5 28 1 3 21 113
Unobserved component time series models with Arch disturbances 0 3 7 583 0 5 16 949
Valuation of VIX derivatives 3 3 21 34 5 9 57 115
Volatility and Links between National Stock Markets 1 4 26 979 2 14 91 2,441
Total Journal Articles 8 39 171 4,747 21 122 558 16,414


Statistics updated 2015-08-02