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 11 75
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 0 3 567
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 1 6 37 0 1 11 81
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 0 0 2 17
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 2 0 1 2 10
A unifying approach to the empirical evaluation of asset pricing models 0 2 2 39 0 7 20 84
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 1 3 8 1,101
An Index of Co-Movements in Financial Time Series 0 0 0 0 1 2 6 346
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 19 0 0 2 53
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 4 27 903
Conditional means of time series processes and time series processes for conditional means 0 1 2 11 0 2 19 46
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 1 8 374
Constrained Indirect Inference Estimation 0 0 1 94 0 1 3 250
Constrained indirect inference estimation 0 0 0 0 1 1 2 2
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 1 8 0 3 9 44
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 3 46 0 0 13 106
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 2 48 48 1 4 38 38
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 1 2 39 0 2 10 67
Did the EMS Reduce the Cost of Capital? 0 0 2 109 2 2 9 468
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 1 25 0 2 7 78
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 6 0 0 7 61
Duality in mean-variance frontiers with conditioning information 0 0 3 73 2 3 24 226
Dynamic Specification Tests for Static Factor Models 0 0 4 61 1 6 42 178
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 0 1 3 81 1 2 10 303
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 4 143 0 0 10 372
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 0 0 15 428
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 4 252
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 1 1 191 2 3 10 524
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 1 3 13 790
Identification, estimation and testing of conditionally heteroskedastic factor models 0 1 8 23 0 2 16 49
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 2 100 1 4 25 193
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 32 0 2 10 101
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 1 2 13 1,394
Least Squares Predictions and Mean-Variance Analysis 0 0 4 228 2 3 14 1,064
Least Squares Predictions and Mean-Variance Analysis 0 0 8 164 1 3 19 696
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 0 2 4
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 51 0 2 8 214
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 108 0 2 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 1 4 155 1 2 13 431
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 0 4 4
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 1 2 10 0 2 7 53
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 1 5 544
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 0 0 10 46
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 0 0 6 15
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 2 313 0 0 4 643
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 1 5 31 1,219
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 2 613 0 2 11 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 4 17 139
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 1 1 40 1 6 14 149
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 2 7 82 0 3 26 257
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 0 0 57 0 2 5 207
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 2 77 0 3 16 243
Pricing Options on Assets with Predictable White Noise Returns 0 0 2 131 0 1 11 599
Quadratic Arch Models 0 0 0 1 3 12 31 789
Risk and Return in the Spanish Stock Market 0 0 2 278 1 1 5 1,147
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 1 1 8 53 2 7 22 103
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 2 125 0 1 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 0 0 14 256
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 2 8 80 4 12 45 291
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 0 40 1 1 9 108
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 1 1 5 42 1 3 22 46
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 5 56 2 6 25 163
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 1 15 1 2 10 75
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 59 1 3 10 169
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 92 0 1 13 197
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 1 8 316
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 2 4 8 534
UNDERIDENTIFICATION? 0 0 4 53 1 2 11 126
Underidentification? 0 0 6 61 7 16 65 209
Underidentification? 0 0 7 248 0 2 31 954
VALUATION OF VIX DERIVATIVES 1 2 6 67 2 7 27 162
Valuation of VIX Derivatives 1 1 1 20 1 1 4 62
Valuation of vix derivatives 0 0 5 9 1 2 21 47
Volatiltiy and Links Between National Stock Markets 1 4 15 322 6 14 50 879
Total Working Papers 5 27 213 5,233 58 206 1,102 26,146


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 1 5 12 76 4 14 52 309
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 3 5 13 524
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 6 306
Constrained Indirect Estimation 0 1 4 64 2 3 14 225
Constrained Indirect Estimation 0 0 0 0 1 1 2 2
Did the EMS Reduce the Cost of Capital? 0 0 1 72 1 1 3 385
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 2 2 6 20 2 8 28 94
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 83 0 1 4 672
Factor representing portfolios in large asset markets 1 2 6 42 1 2 10 124
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 5 16 39 458 12 35 112 1,310
Identification, estimation and testing of conditionally heteroskedastic factor models 0 2 13 100 2 5 31 206
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 2 6 32 0 4 15 73
Least Squares Predictions and Mean-Variance Analysis 0 0 8 174 0 1 12 721
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 1 5 160 0 2 12 569
Marginalization and contemporaneous aggregation in multivariate GARCH processes 1 2 2 83 1 3 6 208
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 4 11 679
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 2 6 46 0 3 18 168
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 0 3 10 1,156
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 26 0 0 7 103
Quadratic ARCH Models 1 8 42 395 6 28 95 976
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 1 1 5 42 5 7 14 172
Sequential estimation of shape parameters in multivariate dynamic models 1 4 18 18 6 22 58 58
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 1 2 8 20 2 4 23 68
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 1 19 3 5 15 59
Testing for GARCH effects: a one-sided approach 0 1 10 162 0 7 27 459
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 6 28 329
The econometrics of the stock market I: rationality tests 0 0 2 135 0 1 4 318
The econometrics of the stock market II: asset pricing 0 1 6 193 1 5 31 493
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 4 484
Underidentification? 1 2 13 23 9 14 51 92
Unobserved component time series models with Arch disturbances 2 5 21 575 4 8 44 931
Valuation of VIX derivatives 0 4 13 13 3 16 54 56
Volatility and Links between National Stock Markets 2 13 44 949 12 53 169 2,339
Total Journal Articles 19 76 303 4,560 81 272 1,004 15,807


Statistics updated 2014-07-03