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 0 9 89
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 0 2 572
A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS 0 0 36 36 0 2 14 14
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 1 3 40 1 4 17 105
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 1 3 8 21
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 4 0 0 12 31
A spectral EM algorithm for dynamic factor models 0 0 22 26 1 3 18 24
A unifying approach to the empirical evaluation of asset pricing models 0 0 2 48 0 0 8 102
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 9 1,120
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 0 6 361
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 20 0 0 3 58
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 2 4 913
Conditional means of time series processes and time series processes for conditional means 0 0 0 11 1 3 5 52
Constrained EMM and Indirect Inference Estimation 0 0 0 0 1 2 9 388
Constrained Indirect Inference Estimation 0 0 1 97 0 1 4 261
Constrained indirect inference estimation 0 0 0 1 1 2 3 6
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 1 2 11 62
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 48 1 3 11 124
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 1 3 54 1 3 18 73
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 0 40 0 2 11 82
Did the EMS Reduce the Cost of Capital? 0 0 0 110 0 2 10 480
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 25 0 8 9 91
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 0 4 68
Duality in mean-variance frontiers with conditioning information 0 0 0 74 0 1 7 241
Dynamic Specification Tests for Static Factor Models 0 0 1 63 1 4 16 207
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 0 142 0 3 9 396
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 1 85 0 6 11 326
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 144 0 2 6 381
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 1 0 0 1 4
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION 0 1 7 32 3 7 33 43
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 1 4 9 440
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 1 52 1 1 7 14
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 6 6 0 1 6 6
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 4 258
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 0 193 1 5 13 547
IS A NORMAL COPULA THE RIGHT COPULA? 0 0 11 11 0 0 12 12
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 1 6 19 814
Identification, estimation and testing of conditionally heteroskedastic factor models 0 1 3 26 1 5 17 69
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 1 1 1 2 3 3 3
Is a normal copula the right copula? 1 2 31 31 1 3 15 15
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 33 0 3 5 109
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 1 5 11 1,409
Least Squares Predictions and Mean-Variance Analysis 0 3 5 172 2 5 12 716
Least Squares Predictions and Mean-Variance Analysis 0 0 1 230 0 2 5 1,081
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 1 4 8 14
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 52 1 3 5 221
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 109 0 3 5 278
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 3 4 14
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 1 0 1 4 6
Likelihood-based estimation of latent generalised ARCH structures 0 0 2 158 1 4 19 453
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 10 1 2 10 78
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 0 3 553
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 1 3 211
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 2 3 3
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 1 3 3 3
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 1 4 324 0 5 16 679
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 2 8 1,238
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 1 1 615 0 1 2 1,011
Mean-variance portfolio allocation with a value at risk constraint 0 0 1 2 0 2 4 8
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 0 50 0 3 8 155
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 0 0 0 32 2 3 13 18
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 42 1 4 16 170
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 1 1 1 1 1 2 2 2
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 59 0 1 9 236
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 0 3 215
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 2 80 0 1 7 256
Pricing Options on Assets with Predictable White Noise Returns 0 1 2 134 0 1 12 617
Quadratic Arch Models 0 0 0 1 3 7 17 820
Risk and Return in the Spanish Stock Market 0 0 0 278 0 0 1 1,148
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 0 0 54 0 2 11 120
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 0 1 10 488
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 0 5 224
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 59 0 2 4 273
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 1 83 0 2 13 326
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 0 43 0 0 12 129
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 1 1 46 1 3 11 66
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 1 2 60 2 6 26 202
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 16 0 2 5 84
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 2 63 0 0 4 180
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 94 1 2 6 206
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 1 4 6 325
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 1 2 6 641
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 0 1 2 540
UNDERIDENTIFICATION? 0 0 4 61 0 4 19 158
Underidentification? 0 1 5 257 1 10 33 1,005
Underidentification? 0 0 1 64 0 3 16 254
VALUATION OF VIX DERIVATIVES 0 2 3 76 0 4 26 208
VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION 0 0 2 10 0 2 12 16
Valuation of VIX Derivatives 0 0 0 21 0 1 5 73
Valuation of vix derivatives 0 0 0 12 0 1 13 79
Volatility-related exchange traded assets: an econometric investigation 1 2 2 51 2 4 9 15
Volatiltiy and Links Between National Stock Markets 2 5 8 342 4 14 51 972
Total Working Papers 6 26 185 5,490 49 237 916 27,179


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 1 3 10 11 2 7 29 33
A comparison of mean-variance efficiency tests 0 3 9 88 0 13 34 368
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 3 3 531
Comment 0 0 1 4 1 2 6 13
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 2 3 3 3
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 3 4 311
Constrained Indirect Estimation 1 1 1 69 1 4 11 249
Did the EMS Reduce the Cost of Capital? 0 0 0 72 1 4 6 395
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 0 21 0 2 2 103
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 1 4 679
Factor representing portfolios in large asset markets 1 1 1 46 1 5 9 138
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 0 5 23 513 5 19 65 1,462
Identification, estimation and testing of conditionally heteroskedastic factor models 0 3 6 113 0 11 22 238
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 2 8 9 91
Least Squares Predictions and Mean-Variance Analysis 0 2 2 179 0 4 6 733
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 6 170 0 7 17 591
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 1 89 0 4 8 224
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 0 3 6 704
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 1 193 0 1 4 780
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 2 3 24
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 1 2 3 29
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 50 0 4 9 184
Neglected serial correlation tests in UCARIMA models 0 0 0 0 0 1 1 1
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 1 5 201
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 1 4 7 1,169
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 2 29 1 6 15 122
Quadratic ARCH Models 4 6 15 431 5 14 35 1,057
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 36 0 2 4 125
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 6 7 180
Sequential estimation of shape parameters in multivariate dynamic models 0 3 9 35 1 12 39 138
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 23 1 6 11 89
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 1 23 1 3 15 81
Testing for GARCH effects: a one-sided approach 0 0 2 167 0 4 8 474
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 1 1
The econometrics of mean-variance efficiency tests: a survey 1 1 2 105 2 5 13 360
The econometrics of the stock market I: rationality tests 0 1 2 138 0 3 8 330
The econometrics of the stock market II: asset pricing 0 0 0 193 0 1 2 504
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 1 2 3 488
Underidentification? 0 0 4 31 3 9 20 132
Unobserved component time series models with Arch disturbances 1 1 11 594 4 10 33 982
Valuation of VIX derivatives 1 3 7 38 2 6 15 125
Volatility and Links between National Stock Markets 0 3 18 996 6 23 75 2,514
Total Journal Articles 10 36 135 4,871 44 231 580 16,956
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Statistics updated 2016-07-02