Access Statistics for Enrique Sentana

Author contact details at EconPapers.

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 1 23 1 2 9 79
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 1 3 570
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 2 37 4 4 6 85
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 2 0 1 2 11
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 0 1 1 18
A unifying approach to the empirical evaluation of asset pricing models 2 4 7 44 2 4 14 90
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 12 1,108
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 1 8 351
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 1 10 906
Conditional means of time series processes and time series processes for conditional means 0 0 1 11 0 0 7 47
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 1 5 378
Constrained Indirect Inference Estimation 0 0 1 95 0 0 5 253
Constrained indirect inference estimation 0 0 1 1 0 0 3 3
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 4 4 9 49
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 2 2 48 4 7 12 113
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 1 8 50 2 7 25 51
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 1 2 40 1 2 9 71
Did the EMS Reduce the Cost of Capital? 1 1 2 110 1 1 6 469
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 25 3 3 7 82
Duality in Mean-Variance Frontiers with Conditioning Information 0 1 1 7 0 2 3 63
Duality in mean-variance frontiers with conditioning information 0 0 0 73 0 5 12 232
Dynamic Specification Tests for Static Factor Models 0 1 1 62 1 7 26 188
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 1 141 0 1 4 385
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 1 4 84 0 6 14 313
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 143 0 0 3 373
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 0 0 0 2 2
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 1 2 3 431
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 1 253
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 1 191 4 5 9 530
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 1 7 792
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 3 23 0 0 9 52
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 2 101 0 2 13 197
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 1 33 0 0 5 102
Least Squares Predictions and Mean-Variance Analysis 0 1 2 229 2 3 12 1,072
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 3 10 1,398
Least Squares Predictions and Mean-Variance Analysis 0 2 5 167 0 4 14 703
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 0 1 5
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 155 0 0 7 432
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 108 0 0 5 273
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 51 0 0 5 215
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 2 4 6 9
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 1 1 2 2
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 2 10 2 3 10 59
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 1 6 546
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 0 3 205
Mean Variance Portfolio Allocation with a Value at Risk Constraint 1 1 3 316 3 4 10 652
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 1 6 19 1,229
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 613 0 1 6 1,007
Mean-variance portfolio allocation with a value at risk constraint 0 0 1 1 0 0 1 1
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 3 49 4 4 13 144
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 1 1 2 41 2 2 13 153
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 2 82 3 5 11 264
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 58 2 2 4 225
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 1 1 1 58 2 2 8 211
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 0 77 3 3 10 247
Pricing Options on Assets with Predictable White Noise Returns 1 1 2 132 1 1 8 602
Quadratic Arch Models 0 0 0 1 0 3 23 797
Risk and Return in the Spanish Stock Market 0 0 0 278 0 0 2 1,147
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 0 4 54 2 3 15 108
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 1 125 1 1 4 477
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 2 4 217
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 58 0 4 12 264
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 3 80 4 9 42 308
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 1 2 42 0 3 11 115
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 0 2 43 1 1 12 50
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 1 1 3 57 6 7 20 172
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 1 16 0 0 7 78
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 59 0 1 5 171
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 93 1 1 4 199
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 4 318
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 0 2 632
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 8 537
UNDERIDENTIFICATION? 0 2 3 56 4 6 12 135
Underidentification? 0 1 2 250 1 2 14 959
Underidentification? 0 0 1 62 4 9 44 230
VALUATION OF VIX DERIVATIVES 0 0 4 69 8 8 26 175
Valuation of VIX Derivatives 0 0 1 20 0 1 5 65
Valuation of vix derivatives 1 1 2 11 8 9 16 61
Volatiltiy and Links Between National Stock Markets 0 3 15 330 5 11 51 905
Total Working Papers 9 28 112 5,276 101 202 793 26,476
2 registered items for which data could not be found


Journal Article 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 1 7 77 1 8 40 323
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 0 9 525
Comment 0 0 2 2 0 2 6 6
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 1 306
Constrained Indirect Estimation 0 0 0 0 0 0 2 3
Constrained Indirect Estimation 1 3 7 68 1 6 14 233
Did the EMS Reduce the Cost of Capital? 0 0 0 72 2 3 6 389
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 4 21 0 0 14 98
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 1 1 84 0 2 4 674
Factor representing portfolios in large asset markets 0 0 3 43 0 0 5 125
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 0 4 35 470 10 24 100 1,357
Identification, estimation and testing of conditionally heteroskedastic factor models 1 3 6 103 1 3 14 210
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 1 8 37 0 1 15 80
Least Squares Predictions and Mean-Variance Analysis 0 3 4 177 0 4 7 726
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 2 161 0 1 4 571
Marginalization and contemporaneous aggregation in multivariate GARCH processes 3 3 6 87 3 3 9 213
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 0 3 19 691
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 192 0 0 1 774
Multivariate Regression with Unequal Number of Observations 0 0 0 3 2 2 2 21
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 10 2 2 2 23
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 4 48 1 2 9 173
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 1 196
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 1 202 0 1 7 1,159
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 26 0 1 3 105
Quadratic ARCH Models 0 3 26 407 1 8 68 1,004
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 36 0 0 1 120
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 2 42 0 0 9 172
Sequential estimation of shape parameters in multivariate dynamic models 0 1 13 22 2 8 55 79
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 6 23 1 2 14 76
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 1 1 2 21 1 1 11 63
Testing for GARCH effects: a one-sided approach 0 1 4 163 0 1 15 463
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 1 3 4 4 7 14
The econometrics of mean-variance efficiency tests: a survey 0 1 1 102 0 5 21 339
The econometrics of the stock market I: rationality tests 1 1 1 136 1 3 5 321
The econometrics of the stock market II: asset pricing 0 0 1 193 0 2 15 501
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 1 485
Underidentification? 1 1 5 25 2 3 30 104
Unobserved component time series models with Arch disturbances 0 0 14 578 0 3 27 939
Valuation of VIX derivatives 3 9 23 30 4 20 70 98
Volatility and Links between National Stock Markets 1 8 40 968 8 31 138 2,402
Total Journal Articles 12 46 229 4,665 47 159 781 16,161


Statistics updated 2015-02-02