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 1 11 583
A Spectral EM Algorithm for Dynamic Factor Models 0 0 1 37 0 2 11 21
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 3 41 0 1 10 110
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 0 0 4 33
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 2 5 0 1 8 26
A spectral EM algorithm for dynamic factor models 1 1 6 32 1 5 19 40
A spectral EM algorithm for dynamic factor models 0 0 21 21 0 6 12 12
A unifying approach to the empirical evaluation of asset pricing models 0 0 0 48 0 0 2 104
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 5 1,124
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 2 5 366
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 20 1 3 12 70
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 0 6 917
Conditional means of time series processes and time series processes for conditional means 0 1 1 12 0 5 13 62
Constrained EMM and Indirect Inference Estimation 0 0 0 0 1 1 7 393
Constrained Indirect Inference Estimation 0 1 2 99 0 1 3 263
Constrained indirect inference estimation 0 0 0 1 0 1 3 7
Did the EMS Reduce the Cost of Capital? 0 0 0 110 0 0 3 481
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 2 27 1 1 13 96
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 1 4 72
Duality in mean-variance frontiers with conditioning information 1 1 2 76 1 2 5 245
Dynamic Specification Tests for Dynamic Factor Models 0 0 2 55 1 3 13 83
Dynamic Specification Tests for Static Factor Models 0 0 1 41 0 3 11 91
Dynamic Specification Tests for Static Factor Models 0 0 1 64 1 2 10 213
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 1 85 1 1 10 328
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 144 1 1 9 387
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 1 0 2 4 8
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 0 9 445
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 0 3 33 1 3 23 58
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 52 0 1 7 20
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 6 0 3 9 14
Finite Underidentification 20 20 20 20 2 2 2 2
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 2 260
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 3 17 823
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 3 28 1 2 12 75
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 1 1 2 3 9 9
Is a Normal Copula the Right Copula? 1 1 2 12 4 5 12 22
Is a normal copula the right copula? 1 1 5 34 1 2 9 21
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 1 1 34 0 4 14 120
Least Squares Predictions and Mean-Variance Analysis 0 0 0 230 0 0 2 1,081
Least Squares Predictions and Mean-Variance Analysis 0 0 4 172 0 0 9 719
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 0 8 1,412
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 2 6 224
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 158 1 3 8 456
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 2 4 8 283
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 2 1 2 5 10
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 6 12 564
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 0 6 216
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 1 1 3 4
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 3 3
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 1 3 326 0 3 13 687
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 1 13 1,248
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 1 615 0 2 6 1,016
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 0 0 5 11
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 3 53 1 3 15 166
Neglected Serial Correlation Tests in UCARIMA Models 0 0 1 33 1 4 13 28
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 1 1 0 1 7 7
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 2 6 221
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 1 81 0 0 5 260
Pricing Options on Assets with Predictable White Noise Returns 0 0 3 136 0 4 10 626
Quadratic Arch Models 0 0 0 1 1 4 16 829
Risk and Return in the Spanish Stock Market 0 0 0 278 0 1 2 1,150
Sequential Estimation of Shape Parameters in Multivariate Dynamic Models 0 0 1 55 2 4 11 129
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 1 2 4 228
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 1 60 0 2 7 277
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 1 5 17 340
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 16 2 2 6 87
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 94 0 0 16 220
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 1 2 65 0 1 24 204
Tests for Serial Dependence in Static, Non-Gaussian Factor Models 0 0 1 46 0 1 16 79
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 8 329
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 1 6 644
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 4 543
Underidentification? 1 2 4 260 3 6 28 1,021
Underidentification? 0 0 2 66 1 1 13 264
Underidentification? (Resumen) 0 0 0 61 1 1 9 162
Valuation of VIX Derivatives 0 0 0 21 8 12 20 92
Valuation of VIX Derivatives 1 7 15 88 3 10 23 225
Valuation of vix derivatives 0 1 1 13 1 6 12 89
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 10 1 3 13 27
Volatility-related exchange traded assets: an econometric investigation 0 0 4 53 0 1 12 23
Volatiltiy and Links Between National Stock Markets 4 9 21 358 8 16 50 1,002
Total Working Papers 30 49 151 4,856 60 191 818 25,210


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 1 4 12 2 5 25 51
A comparison of mean-variance efficiency tests 0 0 5 88 2 2 20 372
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 0 6 534
Comment 0 0 1 5 0 0 3 14
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 0 0 4 4
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 3 8 316
Constrained Indirect Estimation 0 0 1 69 1 2 12 256
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 0 5 396
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 1 22 0 0 5 106
Duality in mean-variance frontiers with conditioning information 0 0 1 1 1 1 6 6
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 0 3 681
Factor representing portfolios in large asset markets 0 1 3 48 0 3 11 144
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 3 3 20 526 13 35 119 1,555
Identification, estimation and testing of conditionally heteroskedastic factor models 2 5 16 125 3 8 35 259
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 1 2 11 94
Least Squares Predictions and Mean-Variance Analysis 0 0 2 179 1 1 8 735
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 1 3 10 594
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 1 89 0 0 7 226
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 3 3 18 718
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 193 0 0 3 782
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 3 25
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 0 0 4 31
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 51 0 2 8 188
Neglected serial correlation tests in UCARIMA models 0 0 0 0 0 2 11 11
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 2 202
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 0 1 10 1,175
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 1 30 0 0 12 127
Quadratic ARCH Models 0 7 15 439 2 10 36 1,078
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 1 37 0 0 7 130
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 1 8 182
Sequential estimation of shape parameters in multivariate dynamic models 0 0 4 35 3 5 25 148
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 1 24 0 1 14 97
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 3 26 1 3 13 91
Testing for GARCH effects: a one-sided approach 0 0 1 168 0 1 6 476
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 2 2
The econometrics of mean-variance efficiency tests: a survey 0 0 2 106 1 1 15 370
The econometrics of the stock market I: rationality tests 0 0 1 138 0 1 7 333
The econometrics of the stock market II: asset pricing 0 0 0 193 0 0 3 506
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 6 492
Underidentification? 0 0 3 33 2 2 21 143
Unobserved component time series models with Arch disturbances 0 0 6 599 1 2 25 997
Valuation of VIX derivatives 0 1 5 40 3 15 24 143
Volatility and Links between National Stock Markets 3 5 16 1,009 4 14 74 2,558
Total Journal Articles 8 23 115 4,941 45 129 655 17,348


Statistics updated 2017-03-07