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 2 23 1 3 12 76
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 0 2 567
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 5 37 0 0 9 81
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 0 0 1 17
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 2 0 0 2 10
A unifying approach to the empirical evaluation of asset pricing models 0 2 2 39 0 6 17 84
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 2 7 1,101
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 1 6 346
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 19 0 0 1 53
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 1 2 22 904
Conditional means of time series processes and time series processes for conditional means 0 0 2 11 0 0 17 46
Constrained EMM and Indirect Inference Estimation 0 0 0 0 1 2 8 375
Constrained Indirect Inference Estimation 0 0 1 94 1 1 4 251
Constrained indirect inference estimation 0 0 0 0 0 1 2 2
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 1 8 0 0 8 44
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 2 46 0 0 11 106
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 0 16 48 1 2 31 39
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 1 2 39 0 2 9 67
Did the EMS Reduce the Cost of Capital? 0 0 2 109 0 2 7 468
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 1 25 0 0 7 78
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 6 0 0 5 61
Duality in mean-variance frontiers with conditioning information 0 0 3 73 1 4 24 227
Dynamic Specification Tests for Static Factor Models 0 0 4 61 1 5 43 179
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 0 140 0 0 5 382
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 1 2 4 82 2 4 12 305
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 4 143 1 1 9 373
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 0 0 0 1 1
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 1 1 16 429
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 4 252
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 1 191 1 3 10 525
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 1 3 12 791
Identification, estimation and testing of conditionally heteroskedastic factor models 0 1 7 23 0 1 12 49
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 2 100 0 1 25 193
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 32 0 1 10 101
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 1 12 1,394
Least Squares Predictions and Mean-Variance Analysis 0 0 3 228 0 3 13 1,064
Least Squares Predictions and Mean-Variance Analysis 0 0 7 164 0 1 17 696
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 0 1 4
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 51 1 2 9 215
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 108 0 1 13 272
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 0 1 1
Likelihood-based estimation of latent generalised ARCH structures 0 0 4 155 0 1 13 431
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 1 1 5 5
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 2 10 1 1 8 54
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 1 2 6 545
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 0 1 202
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 2 14 1 1 11 47
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 0 0 4 15
Mean Variance Portfolio Allocation with a Value at Risk Constraint 1 1 2 314 1 1 4 644
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 1 4 31 1,220
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 2 613 0 0 10 1,005
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 0 0 0 0 0
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 5 49 0 2 16 139
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 1 1 40 0 5 12 149
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 2 7 82 1 3 23 258
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 58 2 2 8 223
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 57 2 2 7 209
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 2 77 0 0 14 243
Pricing Options on Assets with Predictable White Noise Returns 0 0 2 131 0 1 10 599
Quadratic Arch Models 0 0 0 1 1 6 29 790
Risk and Return in the Spanish Stock Market 0 0 2 278 0 1 5 1,147
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 1 8 53 0 4 22 103
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 2 125 0 0 6 475
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 1 3 215
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 58 1 1 14 257
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 1 8 80 2 9 46 293
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 0 40 2 3 9 110
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 1 4 42 0 2 19 46
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 5 56 1 3 26 164
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 1 15 0 2 9 75
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 59 1 2 10 170
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 92 0 1 11 197
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 2 3 8 318
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 0 3 631
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 0 2 8 534
UNDERIDENTIFICATION? 0 0 4 53 0 1 11 126
Underidentification? 0 0 6 61 2 11 65 211
Underidentification? 0 0 6 248 0 0 29 954
VALUATION OF VIX DERIVATIVES 0 1 6 67 0 4 27 162
Valuation of VIX Derivatives 0 1 1 20 0 1 4 62
Valuation of vix derivatives 0 0 5 9 3 5 23 50
Volatiltiy and Links Between National Stock Markets 2 4 17 324 3 13 50 882
Total Working Papers 4 20 177 5,237 43 157 1,057 26,189


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 5 12 76 2 11 49 311
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 1 4 14 525
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 5 306
Constrained Indirect Estimation 0 0 4 64 1 3 12 226
Constrained Indirect Estimation 0 0 0 0 1 2 3 3
Did the EMS Reduce the Cost of Capital? 0 0 1 72 0 1 3 385
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 1 3 7 21 1 6 28 95
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 83 0 0 4 672
Factor representing portfolios in large asset markets 1 3 7 43 1 3 11 125
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 1 15 40 459 7 37 113 1,317
Identification, estimation and testing of conditionally heteroskedastic factor models 0 1 12 100 0 3 28 206
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 2 7 33 1 2 15 74
Least Squares Predictions and Mean-Variance Analysis 0 0 7 174 1 1 12 722
Likelihood-Based Estimation of Latent Generalized ARCH Structures 1 2 5 161 1 2 11 570
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 1 2 83 1 2 7 209
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 3 12 680
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 1 192 0 0 3 774
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 1 19
Multivariate Regression with Unequal Number of Observations—Solution 0 0 1 10 0 0 2 21
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 5 46 0 2 16 168
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 2 196
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 1 202 2 2 11 1,158
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 26 0 0 6 103
Quadratic ARCH Models 3 6 39 398 6 20 94 982
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 3 36 0 0 5 119
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 1 5 42 0 6 14 172
Sequential estimation of shape parameters in multivariate dynamic models 0 3 18 18 2 17 60 60
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 3 4 11 23 3 6 25 71
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 1 19 1 5 15 60
Testing for GARCH effects: a one-sided approach 0 0 10 162 1 4 28 460
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 3 3 0 1 8 10
The econometrics of mean-variance efficiency tests: a survey 0 0 3 101 0 1 27 329
The econometrics of the stock market I: rationality tests 0 0 2 135 0 0 4 318
The econometrics of the stock market II: asset pricing 0 1 6 193 0 3 31 493
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 4 484
Underidentification? 0 2 12 23 0 11 49 92
Unobserved component time series models with Arch disturbances 1 6 21 576 2 10 41 933
Valuation of VIX derivatives 0 2 13 13 2 13 54 58
Volatility and Links between National Stock Markets 4 10 43 953 11 44 165 2,350
Total Journal Articles 16 68 302 4,576 49 225 992 15,856


Statistics updated 2014-08-03