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 6 10 89
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 1 2 572
A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS 0 0 36 36 1 9 13 13
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 1 3 3 40 2 10 15 103
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 4 0 6 12 31
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 0 5 6 18
A spectral EM algorithm for dynamic factor models 0 17 24 26 2 7 20 23
A unifying approach to the empirical evaluation of asset pricing models 0 0 3 48 0 4 11 102
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 1 7 10 1,120
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 2 10 361
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 20 0 1 3 58
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 1 2 3 912
Conditional means of time series processes and time series processes for conditional means 0 0 0 11 1 2 3 50
Constrained EMM and Indirect Inference Estimation 0 0 0 0 1 7 9 387
Constrained Indirect Inference Estimation 0 0 2 97 0 1 6 260
Constrained indirect inference estimation 0 0 0 1 1 2 2 5
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 1 7 11 61
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 48 1 7 9 122
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 1 1 4 54 1 6 17 71
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 0 40 0 6 9 80
Did the EMS Reduce the Cost of Capital? 0 0 0 110 2 2 11 480
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 25 6 7 7 89
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 1 4 68
Duality in mean-variance frontiers with conditioning information 0 0 1 74 1 2 8 241
Dynamic Specification Tests for Static Factor Models 0 0 1 63 2 8 14 205
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 1 142 3 8 10 396
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 1 1 85 3 6 9 323
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 144 1 3 6 380
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 1 1 0 1 2 4
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION 0 1 6 31 1 7 31 37
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 1 5 436
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 1 52 0 2 8 13
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 6 6 0 2 5 5
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 2 4 258
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 1 193 1 8 10 543
IS A NORMAL COPULA THE RIGHT COPULA? 0 2 11 11 0 9 12 12
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 3 11 19 811
Identification, estimation and testing of conditionally heteroskedastic factor models 1 1 3 26 3 8 15 67
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 1 4 105 0 8 15 213
Is a normal copula the right copula? 1 1 30 30 1 2 13 13
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 33 2 2 4 108
Least Squares Predictions and Mean-Variance Analysis 0 0 1 230 1 2 5 1,080
Least Squares Predictions and Mean-Variance Analysis 1 2 3 170 1 3 9 712
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 4 6 1,404
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 1 1 5 11
Likelihood-based estimation of latent generalised ARCH structures 0 1 1 109 2 3 4 277
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 52 1 2 4 219
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 1 1 2 4 6
Likelihood-based estimation of latent generalised ARCH structures 0 1 3 158 1 6 17 450
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 3 3 5 14
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 10 0 5 11 76
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 2 5 553
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 1 2 5 211
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 1 1 1
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 1 1 1 1
Mean Variance Portfolio Allocation with a Value at Risk Constraint 1 1 7 324 5 7 23 679
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 1 6 1,236
Mean-Variance Portfolio allocation with a Value at Risk Constraint 1 1 2 615 1 2 4 1,011
Mean-variance portfolio allocation with a value at risk constraint 0 0 1 2 2 3 6 8
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 50 1 3 7 153
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 0 0 0 32 1 6 11 16
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 42 1 7 13 167
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 1 84 1 7 9 275
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 1 59 0 6 10 235
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 2 4 215
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 3 80 0 1 8 255
Pricing Options on Assets with Predictable White Noise Returns 0 0 1 133 0 2 12 616
Quadratic Arch Models 0 0 0 1 3 6 18 816
Risk and Return in the Spanish Stock Market 0 0 0 278 0 1 1 1,148
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 0 0 54 1 6 11 119
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 1 7 10 488
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 3 6 224
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 59 0 2 4 271
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 1 83 2 7 14 326
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 0 43 0 4 12 129
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 1 1 1 46 1 7 10 64
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 2 59 1 11 23 197
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 16 1 3 4 83
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 94 1 1 6 205
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 2 63 0 0 6 180
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 1 3 321
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 1 3 6 640
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 1 1 3 540
UNDERIDENTIFICATION? 0 0 4 61 2 8 18 156
Underidentification? 1 2 6 257 8 14 38 1,003
Underidentification? 0 0 1 64 2 3 17 253
VALUATION OF VIX DERIVATIVES 1 2 3 75 1 8 25 205
VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION 0 0 2 10 0 4 11 14
Valuation of VIX Derivatives 0 0 0 21 1 2 6 73
Valuation of vix derivatives 0 0 0 12 0 2 12 78
Volatility-related exchange traded assets: an econometric investigation 1 1 1 50 2 3 8 13
Volatiltiy and Links Between National Stock Markets 1 1 4 338 5 14 48 963
Total Working Papers 12 41 196 5,665 101 403 908 27,530


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 2 10 10 4 6 30 30
A comparison of mean-variance efficiency tests 1 3 8 86 10 14 36 365
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 1 1 2 529
Comment 0 0 1 4 0 1 4 11
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 1 2 309
Constrained Indirect Estimation 0 0 0 68 3 5 12 248
Did the EMS Reduce the Cost of Capital? 0 0 0 72 2 2 4 393
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 0 21 0 0 2 101
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 0 4 678
Factor representing portfolios in large asset markets 0 0 1 45 2 4 9 135
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 2 8 26 510 5 21 66 1,448
Identification, estimation and testing of conditionally heteroskedastic factor models 1 2 5 111 7 11 20 234
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 1 39 4 4 6 87
Least Squares Predictions and Mean-Variance Analysis 1 1 1 178 1 3 3 730
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 1 8 170 4 5 16 588
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 1 1 89 3 4 8 223
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 2 7 702
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 1 193 0 0 4 779
Multivariate Regression with Unequal Number of Observations 0 0 0 3 1 2 2 23
Multivariate Regression with Unequal Number of Observations—Solution 0 0 1 11 0 0 2 27
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 2 50 3 3 9 183
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 2 4 200
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 0 0 6 1,165
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 3 29 2 8 13 118
Quadratic ARCH Models 0 2 13 425 4 8 31 1,047
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 36 1 1 4 124
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 3 3 5 177
Sequential estimation of shape parameters in multivariate dynamic models 2 3 9 34 8 15 41 134
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 23 4 7 10 87
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 2 23 2 8 17 80
Testing for GARCH effects: a one-sided approach 0 0 4 167 2 2 8 472
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 0 0
The econometrics of mean-variance efficiency tests: a survey 0 0 2 104 2 4 16 357
The econometrics of the stock market I: rationality tests 0 0 1 137 2 3 7 329
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 2 4 31 5 8 18 128
Unobserved component time series models with Arch disturbances 0 1 13 593 3 4 31 975
Valuation of VIX derivatives 1 1 5 36 1 1 14 120
Volatility and Links between National Stock Markets 0 2 18 993 7 19 71 2,498
Total Journal Articles 10 29 140 4,845 98 182 547 16,823


Statistics updated 2016-05-03