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 Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 2 7 29 532
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 3 18 1,044
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 1 13 304
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 5 10 0 1 10 23
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 8 25 72 670
Constrained EMM and Indirect Inference Estimation 0 0 0 0 1 5 26 305
Constrained Indirect Inference Estimation 2 2 5 77 2 5 13 218
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 1 1 9 10 1 2 23 27
Did the EMS Reduce the Cost of Capital? 1 5 12 96 4 10 37 401
Duality in Mean-Variance Frontiers with Conditioning Information 1 2 11 28 5 8 32 83
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 1 5 0 1 9 35
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 2 2 12 130 2 3 34 347
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 9 66 1 3 27 219
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 2 2 13 102 4 6 34 255
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 1 1 9 386
Has the EMS Reduced the Cost of Capital? 0 0 0 0 2 2 12 232
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 1 4 25 169 1 8 60 447
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 2 6 29 697
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 3 3 14 60 5 6 33 83
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 2 12 22 1 4 23 59
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 3 8 35 1,324
Least Squares Predictions and Mean-Variance Analysis 0 1 5 216 0 3 17 1,009
Least Squares Predictions and Mean-Variance Analysis 0 0 7 138 3 8 27 616
Likelihood-based estimation of latent generalised ARCH structures 1 3 8 41 3 9 25 169
Likelihood-based estimation of latent generalised ARCH structures 2 3 14 99 3 5 29 228
Likelihood-based estimation of latent generalised ARCH structures 1 4 17 124 4 12 44 361
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 2 6 25 521
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 2 8 33 184
Mean Variance Portfolio Allocation with a Value at Risk Constraint 1 7 20 282 5 17 40 577
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 6 14 50 1,012
Mean-Variance Portfolio allocation with a Value at Risk Constraint 2 3 21 593 2 7 34 943
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 2 4 5 5 2 7 10 10
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 9 20 3 5 46 51
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 4 17 53 7 14 42 97
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 3 4 16 50 3 9 49 172
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 3 54 2 2 16 172
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 2 16 43 0 3 41 142
Pricing Options on Assets with Predictable White Noise Returns 0 1 2 125 1 5 14 567
Quadratic Arch Models 0 0 0 1 2 9 47 655
Risk and Return in the Spanish Stock Market 1 1 7 270 2 3 16 1,115
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 1 3 15 114 5 11 71 426
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 1 1 2 37 1 4 16 171
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 3 47 2 4 28 182
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 9 16 6 19 52 76
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 2 11 21 6 9 36 50
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 4 12 0 1 10 34
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 1 8 45 0 1 15 88
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 1 11 45 3 6 27 87
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 3 291
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 2 16 592
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 2 5 31 442
Underidentification? 4 9 35 185 14 35 143 554
Volatiltiy and Links Between National Stock Markets 1 7 41 218 7 21 113 597
Total Working Papers 33 84 434 3,636 143 379 1,744 19,882

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 3 19 449
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 3 16 248
Constrained Indirect Estimation 1 3 11 51 1 6 25 156
Did the EMS Reduce the Cost of Capital? 0 0 2 70 0 3 12 364
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 2 75 0 3 18 633
Factor representing portfolios in large asset markets 0 0 2 31 0 0 3 89
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 2 8 71 243 10 27 211 722
Identification, estimation and testing of conditionally heteroskedastic factor models 1 2 10 54 1 3 16 118
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 2 5 5 2 5 19 19
Least Squares Predictions and Mean-Variance Analysis 3 3 19 148 7 17 102 657
Likelihood-Based Estimation of Latent Generalized ARCH Structures 3 5 23 116 5 12 48 457
Marginalization and contemporaneous aggregation in multivariate GARCH processes 2 6 28 59 2 7 48 148
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 4 19 104 551
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 2 5 12 180 6 23 79 646
Multivariate Regression with Unequal Number of Observations 0 0 0 0 0 1 3 3
Multivariate Regression with Unequal Number of Observations?Solution 0 0 1 1 0 1 2 2
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 6 184
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 5 193 1 2 28 1,112
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 3 4 4 4 11 15 15 15
Quadratic ARCH Models 2 11 56 219 11 27 149 556
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 2 30 0 0 5 103
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 3 6 24 1 5 11 107
Testing for GARCH effects: a one-sided approach 2 8 23 80 7 18 57 209
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 2 3 3 0 3 5 5
The econometrics of the stock market I: rationality tests 1 3 16 116 2 4 37 269
The econometrics of the stock market II: asset pricing 4 9 40 132 10 21 96 299
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 1 2 15 426
Unobserved component time series models with Arch disturbances 5 25 86 374 8 36 138 599
Volatility and Links between National Stock Markets 7 17 172 627 12 31 394 1,506
Total Journal Articles 39 116 599 2,868 103 298 1,681 10,652

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Statistics updated 2009-11-04