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 0 1 11 77
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 2 2 569
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 5 37 0 0 8 81
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 0 0 1 17
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 2 0 0 2 10
A unifying approach to the empirical evaluation of asset pricing models 1 1 3 40 1 2 13 86
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 6 11 1,107
An Index of Co-Movements in Financial Time Series 0 0 0 0 2 4 9 350
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 1 1 20 1 2 3 55
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 1 14 905
Conditional means of time series processes and time series processes for conditional means 0 0 1 11 0 1 16 47
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 2 6 377
Constrained Indirect Inference Estimation 0 1 2 95 0 2 6 253
Constrained indirect inference estimation 0 1 1 1 0 1 3 3
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 1 7 45
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 46 0 0 5 106
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 1 8 49 2 5 25 44
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 2 39 0 2 10 69
Did the EMS Reduce the Cost of Capital? 0 0 1 109 0 0 6 468
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 1 25 0 1 6 79
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 6 0 0 2 61
Duality in mean-variance frontiers with conditioning information 0 0 1 73 0 0 17 227
Dynamic Specification Tests for Static Factor Models 0 0 1 61 1 2 32 181
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 1 1 141 1 2 4 384
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 1 1 4 83 2 2 10 307
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 143 0 0 4 373
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 0 0 1 2 2
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 0 10 429
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 1 2 253
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 1 191 0 0 6 525
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 0 7 791
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 3 23 1 3 11 52
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 1 2 101 0 2 20 195
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 1 1 1 33 1 1 10 102
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 1 8 1,395
Least Squares Predictions and Mean-Variance Analysis 0 0 2 228 3 5 13 1,069
Least Squares Predictions and Mean-Variance Analysis 1 1 8 165 3 3 16 699
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 1 1 1 5
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 51 0 0 7 215
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 108 1 1 10 273
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 0 1 155 1 1 8 432
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 0 2 5
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 2 10 0 2 8 56
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 0 5 545
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 2 3 4 205
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 2 14 0 0 8 47
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 0 1 4 16
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 1 2 315 0 4 7 648
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 3 24 1,223
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 1 613 0 1 9 1,006
Mean-variance portfolio allocation with a value at risk constraint 0 1 1 1 0 1 1 1
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 4 49 0 1 13 140
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 40 1 2 13 151
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 4 82 0 1 9 259
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 58 0 0 5 223
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 57 0 0 7 209
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 1 77 0 1 12 244
Pricing Options on Assets with Predictable White Noise Returns 0 0 2 131 0 2 11 601
Quadratic Arch Models 0 0 0 1 1 4 26 794
Risk and Return in the Spanish Stock Market 0 0 1 278 0 0 3 1,147
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 1 5 54 1 2 17 105
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 2 125 0 1 6 476
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 0 2 215
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 58 1 3 13 260
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 5 80 2 6 38 299
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 1 1 41 1 2 8 112
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 1 1 3 43 1 3 12 49
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 5 56 1 1 22 165
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 1 1 1 16 1 3 9 78
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 59 0 0 6 170
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 1 2 93 0 1 10 198
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 6 318
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 1 3 632
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 0 3 11 537
UNDERIDENTIFICATION? 0 1 3 54 0 3 10 129
Underidentification? 0 1 4 62 4 10 53 221
Underidentification? 1 1 5 249 2 3 25 957
VALUATION OF VIX DERIVATIVES 0 2 7 69 2 5 30 167
Valuation of VIX Derivatives 0 0 1 20 1 2 5 64
Valuation of vix derivatives 0 1 2 10 0 2 12 52
Volatiltiy and Links Between National Stock Markets 0 3 17 327 2 12 53 894
Total Working Papers 7 26 137 5,263 44 148 887 26,337


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 0 0 10 76 1 4 46 315
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 0 12 525
Comment 2 2 2 2 3 4 4 4
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 4 306
Constrained Indirect Estimation 1 1 4 65 1 1 10 227
Constrained Indirect Estimation 0 0 0 0 0 0 2 3
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 1 3 386
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 5 21 3 3 20 98
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 83 0 0 4 672
Factor representing portfolios in large asset markets 0 0 5 43 0 0 8 125
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 3 7 41 466 7 16 112 1,333
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 7 100 0 1 17 207
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 3 7 36 1 5 15 79
Least Squares Predictions and Mean-Variance Analysis 0 0 5 174 0 0 8 722
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 2 161 0 0 6 570
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 1 3 84 0 1 7 210
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 8 16 688
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 1 192 0 0 2 774
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 1 4 47 0 3 10 171
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 1 196
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 1 202 0 0 7 1,158
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 26 0 1 5 104
Quadratic ARCH Models 2 6 34 404 4 14 82 996
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 1 36 0 1 3 120
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 3 42 0 0 10 172
Sequential estimation of shape parameters in multivariate dynamic models 1 3 21 21 4 11 71 71
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 8 23 2 3 20 74
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 1 2 20 1 2 14 62
Testing for GARCH effects: a one-sided approach 0 0 4 162 0 2 19 462
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 1 3 0 0 6 10
The econometrics of mean-variance efficiency tests: a survey 0 0 0 101 2 5 22 334
The econometrics of the stock market I: rationality tests 0 0 1 135 0 0 3 318
The econometrics of the stock market II: asset pricing 0 0 3 193 2 6 25 499
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 1 3 485
Underidentification? 0 1 7 24 2 9 44 101
Unobserved component time series models with Arch disturbances 1 2 17 578 2 3 30 936
Valuation of VIX derivatives 4 8 17 21 11 20 61 78
Volatility and Links between National Stock Markets 4 7 36 960 10 21 139 2,371
Total Journal Articles 19 43 253 4,619 57 146 874 16,002


Statistics updated 2014-11-03