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 COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS 0 0 0 23 0 1 7 79
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 0 3 570
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 1 37 0 7 8 88
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 0 1 2 19
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 1 3 0 1 3 12
A unifying approach to the empirical evaluation of asset pricing models 0 3 8 45 0 3 14 91
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 11 1,109
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 0 7 351
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 1 20 0 0 2 55
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 0 7 906
Conditional means of time series processes and time series processes for conditional means 0 0 1 11 0 0 3 47
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 0 5 378
Constrained Indirect Inference Estimation 0 0 1 95 0 1 5 254
Constrained indirect inference estimation 0 0 1 1 0 0 2 3
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 5 9 50
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 2 48 0 4 7 113
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 0 4 50 2 5 20 54
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 2 40 0 1 6 71
Did the EMS Reduce the Cost of Capital? 0 1 1 110 0 1 3 469
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 25 0 3 6 82
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 1 7 0 1 3 64
Duality in mean-variance frontiers with conditioning information 0 0 0 73 1 1 10 233
Dynamic Specification Tests for Static Factor Models 0 0 1 62 0 2 17 189
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 1 141 1 1 4 386
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 4 84 0 0 12 313
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 1 1 1 144 1 1 2 374
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 0 0 0 1 2
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 1 3 431
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 1 2 254
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 1 2 192 0 7 12 533
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 0 5 792
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 1 23 0 0 5 52
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 1 101 0 1 9 198
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 1 33 0 2 5 104
Least Squares Predictions and Mean-Variance Analysis 0 0 1 229 1 5 14 1,075
Least Squares Predictions and Mean-Variance Analysis 0 0 3 167 0 0 10 703
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 0 6 1,398
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 1 2 6
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 51 0 0 3 215
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 108 0 0 3 273
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 1 1 2
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 2 5 9
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 155 0 0 3 432
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 1 10 2 5 11 62
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 0 3 546
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 0 3 205
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 0 0
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 0 0
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 1 3 316 2 6 12 655
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 1 2 16 1,230
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 613 0 0 4 1,007
Mean-variance portfolio allocation with a value at risk constraint 0 0 1 1 0 0 1 1
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 49 1 6 11 146
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 0 4 32 32 0 3 5 5
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 1 2 41 0 3 11 154
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 1 1 3 83 2 5 12 266
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 58 0 2 4 225
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 1 1 58 0 2 6 211
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 0 77 0 3 7 247
Pricing Options on Assets with Predictable White Noise Returns 0 1 1 132 1 2 5 603
Quadratic Arch Models 0 0 0 1 0 1 21 798
Risk and Return in the Spanish Stock Market 0 0 0 278 0 0 1 1,147
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 0 2 54 0 2 12 108
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 1 2 4 478
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 1 1 4 218
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 1 1 59 1 3 11 267
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 1 2 4 82 3 8 33 312
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 1 1 3 43 1 2 10 117
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 2 2 4 45 2 4 10 53
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 1 1 57 0 8 17 174
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 1 16 1 1 6 79
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 93 0 1 3 199
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 1 1 60 0 1 6 172
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 3 318
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 1 2 3 634
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 7 537
UNDERIDENTIFICATION? 1 1 4 57 1 7 14 138
Underidentification? 1 1 3 251 4 7 13 965
Underidentification? 0 0 1 62 2 7 40 233
VALUATION OF VIX DERIVATIVES 0 0 4 69 0 9 21 176
Valuation of VIX Derivatives 0 1 2 21 0 2 6 67
Valuation of vix derivatives 0 2 3 12 1 12 20 65
Volatiltiy and Links Between National Stock Markets 3 3 15 333 5 11 46 911
Total Working Papers 11 32 136 5,327 39 191 689 26,568
2 registered items for which data could not be found


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 1 7 78 3 5 32 327
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 1 7 526
Comment 1 1 3 3 1 1 7 7
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 1 1 307
Constrained Indirect Estimation 0 1 5 68 0 1 11 233
Constrained Indirect Estimation 0 0 0 0 0 0 2 3
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 2 5 389
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 3 21 0 0 12 98
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 1 84 0 0 3 674
Factor representing portfolios in large asset markets 0 1 4 44 0 1 4 126
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 6 10 38 480 7 28 100 1,375
Identification, estimation and testing of conditionally heteroskedastic factor models 2 4 8 106 3 5 13 214
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 1 8 38 0 1 12 81
Least Squares Predictions and Mean-Variance Analysis 0 0 3 177 1 1 7 727
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 1 3 162 0 1 5 572
Marginalization and contemporaneous aggregation in multivariate GARCH processes 1 4 7 88 1 5 10 215
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 2 4 20 695
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 192 0 0 0 774
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 2 2 21
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 10 0 4 4 25
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 4 48 0 2 9 174
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 0 196
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 0 0 6 1,159
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 26 0 0 2 105
Quadratic ARCH Models 2 5 25 412 7 12 67 1,015
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 36 0 0 1 120
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 1 42 0 0 7 172
Sequential estimation of shape parameters in multivariate dynamic models 1 1 9 23 8 10 51 87
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 5 23 1 2 13 77
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 1 2 21 0 1 9 63
Testing for GARCH effects: a one-sided approach 0 0 2 163 0 0 11 463
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 3 0 6 7 16
The econometrics of mean-variance efficiency tests: a survey 0 0 1 102 0 1 17 340
The econometrics of the stock market I: rationality tests 0 1 1 136 0 1 4 321
The econometrics of the stock market II: asset pricing 0 0 1 193 0 0 13 501
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 1 485
Underidentification? 0 2 5 26 1 6 30 108
Unobserved component time series models with Arch disturbances 1 2 10 580 3 4 20 943
Valuation of VIX derivatives 0 4 22 31 3 11 65 105
Volatility and Links between National Stock Markets 4 6 37 973 9 27 135 2,421
Total Journal Articles 19 46 215 4,699 51 146 725 16,260


Statistics updated 2015-04-05