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 0 11 583
A Spectral EM Algorithm for Dynamic Factor Models 0 0 1 37 0 0 7 21
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 3 6 0 3 9 29
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 0 1 3 34
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 41 0 1 7 111
A spectral EM algorithm for dynamic factor models 0 0 21 21 1 1 13 13
A spectral EM algorithm for dynamic factor models 0 0 6 32 1 2 19 42
A unifying approach to the empirical evaluation of asset pricing models 0 0 0 48 0 2 4 106
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 4 1,124
An Index of Co-Movements in Financial Time Series 0 0 0 0 1 2 7 368
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 1 1 1 21 1 1 13 71
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 0 4 917
Conditional means of time series processes and time series processes for conditional means 0 0 1 12 0 0 11 62
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 1 7 394
Constrained Indirect Inference Estimation 0 0 2 99 0 0 2 263
Constrained indirect inference estimation 0 0 0 1 0 0 2 7
Did the EMS Reduce the Cost of Capital? 0 0 0 110 0 1 2 482
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 2 27 0 1 6 97
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 0 4 72
Duality in mean-variance frontiers with conditioning information 0 0 2 76 0 0 4 245
Dynamic Specification Tests for Dynamic Factor Models 0 0 1 55 1 2 13 85
Dynamic Specification Tests for Static Factor Models 0 0 1 41 0 0 9 91
Dynamic Specification Tests for Static Factor Models 0 0 1 64 0 3 10 216
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 0 85 0 0 2 328
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 144 0 1 7 388
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 1 0 0 4 8
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 1 7 446
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 0 1 33 1 3 21 61
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 52 0 0 7 20
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 6 1 1 9 15
Finite Underidentification 0 0 20 20 0 1 3 3
Has the EMS Reduced the Cost of Capital? 0 0 0 0 1 1 3 261
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 1 2 12 825
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 2 28 0 1 8 76
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 1 1 0 0 8 9
Is a Normal Copula the Right Copula? 1 1 2 13 3 5 15 27
Is a normal copula the right copula? 0 0 4 34 0 2 9 23
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 1 34 0 2 13 122
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 0 4 1,412
Least Squares Predictions and Mean-Variance Analysis 0 0 0 172 0 2 7 721
Least Squares Predictions and Mean-Variance Analysis 0 0 0 230 0 0 0 1,081
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 0 2 7 285
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 2 1 4 8 14
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 158 0 2 6 458
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 1 5 225
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 0 11 564
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 1 6 217
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 1 3
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 1 1 1 0 1 2 5
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 2 326 0 1 9 688
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 2 12 1,250
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 615 0 1 6 1,017
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 1 2 5 13
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 3 53 0 2 13 168
Neglected Serial Correlation Tests in UCARIMA Models 1 1 2 34 1 3 15 31
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 1 1 0 2 8 9
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 0 6 221
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 1 2 82 0 2 6 262
Pricing Options on Assets with Predictable White Noise Returns 0 0 2 136 0 0 9 626
Quadratic Arch Models 0 0 0 1 1 2 14 831
Risk and Return in the Spanish Stock Market 0 0 0 278 0 1 3 1,151
Sequential Estimation of Shape Parameters in Multivariate Dynamic Models 0 0 1 55 0 1 10 130
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 3 7 231
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 1 60 0 0 4 277
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 1 3 17 343
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 16 0 0 3 87
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 94 0 0 15 220
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 1 3 66 1 2 26 206
Tests for Serial Dependence in Static, Non-Gaussian Factor Models 0 0 0 46 1 2 16 81
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 1 1 6 330
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 1 5 645
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 3 543
Underidentification? 0 1 4 261 1 7 24 1,028
Underidentification? 0 0 2 66 0 0 10 264
Underidentification? (Resumen) 0 0 0 61 0 2 6 164
Valuation of VIX Derivatives 1 4 16 92 3 7 24 232
Valuation of VIX Derivatives 0 0 0 21 1 3 22 95
Valuation of vix derivatives 0 0 1 13 0 1 11 90
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 10 0 0 11 27
Volatility-related exchange traded assets: an econometric investigation 0 0 3 53 0 1 11 24
Volatiltiy and Links Between National Stock Markets 9 14 32 372 15 26 60 1,028
Total Working Papers 13 26 151 4,882 40 132 753 25,342


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 2 4 14 1 3 23 54
A comparison of mean-variance efficiency tests 0 0 0 88 0 0 4 372
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 0 3 534
Comment 0 0 1 5 0 0 2 14
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 1 1 4 5
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 5 316
Constrained Indirect Estimation 0 0 1 69 0 0 8 256
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 0 2 396
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 1 22 0 0 3 106
Duality in mean-variance frontiers with conditioning information 1 1 2 2 1 3 9 9
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 0 2 681
Factor representing portfolios in large asset markets 0 0 3 48 0 0 7 144
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 5 11 24 537 9 22 120 1,577
Identification, estimation and testing of conditionally heteroskedastic factor models 1 3 15 128 2 4 25 263
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 0 1 6 95
Least Squares Predictions and Mean-Variance Analysis 0 0 0 179 0 0 2 735
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 0 1 4 595
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 89 0 1 3 227
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 0 0 14 718
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 193 0 0 2 782
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 3 31
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 51 0 0 4 188
Neglected serial correlation tests in UCARIMA models 0 0 0 0 2 3 13 14
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 1 202
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 0 0 7 1,175
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 1 1 2 31 1 1 7 128
Quadratic ARCH Models 2 3 15 442 4 8 34 1,086
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 1 37 0 0 5 130
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 0 2 182
Sequential estimation of shape parameters in multivariate dynamic models 0 0 0 35 1 1 12 149
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 1 24 1 3 12 100
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 3 26 0 0 11 91
Testing for GARCH effects: a one-sided approach 0 0 1 168 0 1 3 477
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 1 2
The econometrics of mean-variance efficiency tests: a survey 0 0 2 106 1 1 13 371
The econometrics of the stock market I: rationality tests 0 0 0 138 0 0 3 333
The econometrics of the stock market II: asset pricing 0 1 1 194 0 1 3 507
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 5 492
Underidentification? 0 0 2 33 1 1 15 144
Unobserved component time series models with Arch disturbances 1 2 8 601 3 5 24 1,002
Valuation of VIX derivatives 0 1 4 41 2 3 23 146
Volatility and Links between National Stock Markets 1 4 17 1,013 7 14 64 2,572
Total Journal Articles 12 29 109 4,970 37 78 514 17,426


Statistics updated 2017-06-02