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 1 1 3 573
A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS 0 0 36 36 2 3 16 16
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 3 40 0 2 17 105
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 0 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 2 2 22 28 4 5 19 28
A unifying approach to the empirical evaluation of asset pricing models 0 0 2 48 1 1 9 103
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 9 1,120
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 0 5 361
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 20 2 2 5 60
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 1 2 5 914
Conditional means of time series processes and time series processes for conditional means 0 0 0 11 0 2 5 52
Constrained EMM and Indirect Inference Estimation 0 0 0 0 1 2 10 389
Constrained Indirect Inference Estimation 0 0 1 97 0 1 4 261
Constrained indirect inference estimation 0 0 0 1 0 1 3 6
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 1 11 62
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 48 0 2 11 124
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 0 3 54 2 4 19 75
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 1 1 1 41 1 3 11 83
Did the EMS Reduce the Cost of Capital? 0 0 0 110 1 1 9 481
Distributional tests in multivariate dynamic models with Normal and Student t innovations 2 2 2 27 3 5 12 94
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 1 1 7 242
Dynamic Specification Tests for Static Factor Models 0 0 1 63 2 4 17 209
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 0 142 0 0 9 396
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 1 85 1 4 12 327
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 144 0 1 5 381
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 1 1 1 2 5
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION 0 1 7 32 2 8 34 45
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 4 7 440
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 6 6 3 4 9 9
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 1 52 2 3 9 16
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 0 4 13 547
IS A NORMAL COPULA THE RIGHT COPULA? 0 0 11 11 2 2 14 14
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 3 19 814
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 3 26 0 2 17 69
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 1 1 1 2 5 5 5
Is a normal copula the right copula? 1 2 32 32 0 2 15 15
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 33 0 1 5 109
Least Squares Predictions and Mean-Variance Analysis 0 2 5 172 1 5 13 717
Least Squares Predictions and Mean-Variance Analysis 0 0 1 230 0 1 5 1,081
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 5 10 1,409
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 1 4 9 15
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 109 1 2 5 279
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 1 1 5 15
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 1 1 1 4 7
Likelihood-based estimation of latent generalised ARCH structures 0 0 2 158 0 3 19 453
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 52 1 3 6 222
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 10 0 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 0 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 0 2 3 3
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 3 324 2 2 16 681
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 1 3 9 1,239
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 1 615 1 1 3 1,012
Mean-variance portfolio allocation with a value at risk constraint 0 0 1 2 0 0 4 8
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 1 1 1 51 2 4 9 157
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 1 1 1 33 1 3 14 19
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 42 0 3 16 170
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 1 1 1 2 4 4 4
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 1 80 0 1 5 256
Pricing Options on Assets with Predictable White Noise Returns 0 1 2 134 0 1 12 617
Quadratic Arch Models 0 0 0 1 1 5 18 821
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 1 2 12 121
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 0 0 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 0 83 1 1 13 327
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 0 43 0 0 11 129
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 0 1 46 5 7 15 71
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 1 2 60 1 6 26 203
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 16 0 1 5 84
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 2 63 2 2 6 182
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 94 0 1 6 206
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 4 6 325
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 1 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 1 1 3 541
UNDERIDENTIFICATION? 0 0 4 61 2 4 21 160
Underidentification? 0 0 5 257 2 4 34 1,007
Underidentification? 1 1 2 65 3 4 18 257
VALUATION OF VIX DERIVATIVES 0 1 3 76 0 3 25 208
VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION 0 0 2 10 0 2 11 16
Valuation of VIX Derivatives 0 0 0 21 0 0 5 73
Valuation of vix derivatives 0 0 0 12 1 2 13 80
Volatility-related exchange traded assets: an econometric investigation 0 1 2 51 0 2 9 15
Volatiltiy and Links Between National Stock Markets 3 7 11 345 5 14 55 977
Total Working Papers 12 26 191 5,502 75 212 959 27,254


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 8 11 3 6 28 36
A comparison of mean-variance efficiency tests 0 2 9 88 1 4 35 369
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 2 3 531
Comment 0 0 1 4 0 2 6 13
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 1 4 4 4
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 3 5 312
Constrained Indirect Estimation 0 1 1 69 1 2 12 250
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 2 6 395
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 1 1 1 22 2 4 4 105
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 1 2 5 680
Factor representing portfolios in large asset markets 0 1 1 46 0 3 9 138
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 2 5 25 515 6 20 69 1,468
Identification, estimation and testing of conditionally heteroskedastic factor models 0 2 6 113 1 5 23 239
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 0 4 9 91
Least Squares Predictions and Mean-Variance Analysis 0 1 2 179 1 4 7 734
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 6 170 0 3 17 591
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 1 89 0 1 8 224
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 2 4 8 706
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 1 3 24
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 0 2 3 29
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 50 1 2 9 185
Neglected serial correlation tests in UCARIMA models 0 0 0 0 3 4 4 4
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 5 8 1,170
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 2 29 2 6 17 124
Quadratic ARCH Models 1 7 16 432 3 13 37 1,060
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 36 2 3 6 127
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 3 7 180
Sequential estimation of shape parameters in multivariate dynamic models 0 1 8 35 0 4 34 138
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 23 0 2 11 89
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 1 1 2 24 2 3 17 83
Testing for GARCH effects: a one-sided approach 0 0 2 167 0 2 8 474
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 1 2 2 2
The econometrics of mean-variance efficiency tests: a survey 0 1 2 105 1 4 14 361
The econometrics of the stock market I: rationality tests 0 1 2 138 0 1 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 3 4 489
Underidentification? 1 1 4 32 3 7 22 135
Unobserved component time series models with Arch disturbances 2 3 13 596 3 10 36 985
Valuation of VIX derivatives 0 2 4 38 1 6 11 126
Volatility and Links between National Stock Markets 2 5 19 998 6 22 79 2,520
Total Journal Articles 10 36 137 4,881 50 183 609 17,006
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Statistics updated 2016-08-02