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 1 10 93
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 4 12 583
A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS 0 0 1 37 0 3 18 22
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 4 41 0 1 17 110
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 2 5 0 1 13 26
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 0 0 8 33
A spectral EM algorithm for dynamic factor models 0 1 23 32 0 8 25 41
A spectral EM algorithm for dynamic factor models 0 2 23 23 1 7 13 13
A unifying approach to the empirical evaluation of asset pricing models 0 0 0 48 0 0 6 104
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 2 2 12 1,125
An Index of Co-Movements in Financial Time Series 0 0 0 0 2 2 7 366
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 20 1 6 13 70
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 1 7 917
Conditional means of time series processes and time series processes for conditional means 0 1 1 12 0 7 15 63
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 0 12 392
Constrained Indirect Inference Estimation 0 1 2 99 0 1 4 263
Constrained indirect inference estimation 0 0 0 1 0 2 5 8
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 0 8 62
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 48 0 0 10 125
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 0 2 55 1 4 19 84
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 1 41 2 7 20 94
Did the EMS Reduce the Cost of Capital? 0 0 0 110 0 0 3 481
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 2 27 0 0 13 95
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 1 5 72
Duality in mean-variance frontiers with conditioning information 0 0 1 75 1 1 5 244
Dynamic Specification Tests for Static Factor Models 0 0 1 64 0 4 18 215
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 0 142 0 0 10 398
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 1 85 0 0 10 327
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 144 0 0 9 386
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 1 2 2 5 8
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 0 10 445
Fast ML estimation of dynamic bifactor models: An application to European inflation 0 0 3 33 0 5 28 58
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 6 0 4 12 15
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 52 0 4 11 22
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 4 260
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 0 193 0 1 14 549
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 8 24 824
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 3 28 0 4 17 76
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 1 1 0 1 7 7
Is a normal copula the right copula? 0 0 4 33 0 3 9 20
Is a normal copula the right copula? 0 1 3 12 1 2 15 18
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 1 1 1 34 1 7 16 122
Least Squares Predictions and Mean-Variance Analysis 0 0 0 230 0 0 3 1,081
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 0 12 1,412
Least Squares Predictions and Mean-Variance Analysis 0 0 4 172 0 1 10 719
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 2 0 2 6 10
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 158 0 2 11 455
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 109 0 3 8 282
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 4 9 226
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 10 3 5 13 84
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 2 7 14 565
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 1 7 216
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 3 3
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 3 3
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 2 3 326 1 6 17 689
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 3 13 1,248
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 1 615 2 3 8 1,017
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 0 1 7 12
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 3 53 0 4 15 165
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 0 0 1 33 0 4 18 28
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 0 42 0 1 12 172
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 1 1 0 2 8 8
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 59 0 0 10 239
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 1 2 8 221
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 1 81 0 0 6 260
Pricing Options on Assets with Predictable White Noise Returns 0 0 3 136 2 4 12 626
Quadratic Arch Models 0 0 0 1 2 4 18 828
Risk and Return in the Spanish Stock Market 0 0 0 278 0 2 3 1,150
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 0 1 55 1 6 18 131
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 0 0 12 493
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 2 7 228
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 1 60 0 3 8 277
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 2 6 22 341
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 2 45 0 19 36 161
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 0 1 46 0 3 23 80
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 1 60 0 3 23 209
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 16 0 0 5 85
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 94 0 10 25 229
Testing Uncovered Interest Parity: A Continuous-Time Approach 1 1 2 65 1 19 35 215
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 1 1 10 330
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 1 1 7 644
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 4 543
UNDERIDENTIFICATION? 0 0 0 61 0 2 15 163
Underidentification? 0 0 2 66 0 2 13 263
Underidentification? 1 1 4 259 2 3 29 1,018
VALUATION OF VIX DERIVATIVES 2 8 14 87 3 9 25 222
Valuation of VIX Derivatives 0 0 0 21 1 5 13 84
Valuation of vix derivatives 0 1 1 13 1 6 12 88
Volatility-related exchange traded assets: An econometric investigation 0 0 0 10 3 5 18 28
Volatility-related exchange traded assets: an econometric investigation 0 0 4 53 3 3 15 25
Volatiltiy and Links Between National Stock Markets 1 6 17 354 1 11 45 994
Total Working Papers 6 28 149 5,585 47 284 1,173 27,806
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 Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 4 12 0 5 26 50
A comparison of mean-variance efficiency tests 0 0 5 88 0 2 21 372
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 1 7 535
Comment 0 0 1 5 0 0 4 14
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 0 0 4 4
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 4 9 317
Constrained Indirect Estimation 0 0 1 69 0 1 12 255
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 0 5 396
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 1 22 0 0 5 106
Duality in mean-variance frontiers with conditioning information 0 0 1 1 0 1 6 6
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 0 3 681
Factor representing portfolios in large asset markets 0 1 3 48 1 3 13 144
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 0 5 21 523 3 62 115 1,542
Identification, estimation and testing of conditionally heteroskedastic factor models 0 5 14 123 2 11 35 258
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 0 2 11 94
Least Squares Predictions and Mean-Variance Analysis 0 0 2 179 0 0 7 734
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 1 170 1 4 12 595
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 1 89 0 0 7 226
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 0 2 15 715
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 193 0 1 4 783
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 4 25
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 0 0 4 31
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 51 0 2 8 188
Neglected serial correlation tests in UCARIMA models 0 0 0 0 0 6 12 12
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 4 202
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 0 2 10 1,175
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 1 30 0 0 17 127
Quadratic ARCH Models 5 7 16 439 6 10 37 1,076
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 1 37 0 0 7 130
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 1 8 182
Sequential estimation of shape parameters in multivariate dynamic models 0 0 4 35 0 4 28 147
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 1 24 0 1 17 97
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 3 26 2 3 18 90
Testing for GARCH effects: a one-sided approach 0 0 1 168 1 1 6 476
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 2 2
The econometrics of mean-variance efficiency tests: a survey 0 0 2 106 0 1 16 369
The econometrics of the stock market I: rationality tests 0 0 1 138 0 1 7 333
The econometrics of the stock market II: asset pricing 0 0 0 193 0 0 3 506
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 6 492
Underidentification? 0 0 4 33 0 0 21 141
Unobserved component time series models with Arch disturbances 0 0 7 599 1 3 25 996
Valuation of VIX derivatives 0 1 5 40 9 14 23 142
Volatility and Links between National Stock Markets 2 6 15 1,006 4 20 76 2,555
Total Journal Articles 7 26 117 4,933 30 168 680 17,321


Statistics updated 2017-02-02