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 0 10 89
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 0 2 572
A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS 0 0 36 36 1 4 14 14
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 2 3 40 1 4 16 104
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 3 2 2 8 20
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 4 0 2 12 31
A spectral EM algorithm for dynamic factor models 0 0 23 26 0 2 18 23
A unifying approach to the empirical evaluation of asset pricing models 0 0 3 48 0 0 10 102
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 10 1,120
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 0 8 361
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 20 0 0 3 58
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 1 2 4 913
Conditional means of time series processes and time series processes for conditional means 0 0 0 11 1 2 4 51
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 1 9 387
Constrained Indirect Inference Estimation 0 0 2 97 1 1 7 261
Constrained indirect inference estimation 0 0 0 1 0 1 2 5
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 1 10 61
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 48 1 2 10 123
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 1 3 54 1 2 17 72
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 0 40 2 2 11 82
Did the EMS Reduce the Cost of Capital? 0 0 0 110 0 2 11 480
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 25 2 8 9 91
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 1 74 0 1 8 241
Dynamic Specification Tests for Static Factor Models 0 0 1 63 1 3 15 206
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 0 142 0 3 9 396
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 1 1 85 3 8 11 326
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 0 144 1 3 7 381
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 1 1 0 0 2 4
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION 1 2 7 32 3 5 32 40
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 3 3 8 439
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 1 52 0 0 7 13
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 6 6 1 1 6 6
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 1 193 3 4 13 546
IS A NORMAL COPULA THE RIGHT COPULA? 0 1 11 11 0 2 12 12
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 2 7 19 813
Identification, estimation and testing of conditionally heteroskedastic factor models 0 1 3 26 1 5 16 68
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 0 1 1 1 1
Is a normal copula the right copula? 0 1 30 30 1 2 14 14
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 33 1 3 5 109
Least Squares Predictions and Mean-Variance Analysis 0 0 1 230 1 2 6 1,081
Least Squares Predictions and Mean-Variance Analysis 2 4 5 172 2 4 11 714
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 4 4 10 1,408
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 2 3 7 13
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 1 0 1 4 6
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 3 5 14
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 109 1 3 5 278
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 52 1 2 5 220
Likelihood-based estimation of latent generalised ARCH structures 0 1 3 158 2 4 19 452
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 10 1 1 11 77
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 1 4 553
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 1 4 211
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 1 2 2 2
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 2 2 3 3
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 1 6 324 0 5 20 679
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 2 3 8 1,238
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 1 1 615 0 1 3 1,011
Mean-variance portfolio allocation with a value at risk constraint 0 0 1 2 0 2 5 8
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 50 2 4 9 155
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 0 0 0 32 0 1 11 16
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 42 2 3 15 169
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 0 0 1 1 1 1
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 59 1 1 10 236
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 0 4 215
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 3 80 1 1 8 256
Pricing Options on Assets with Predictable White Noise Returns 1 1 2 134 1 1 13 617
Quadratic Arch Models 0 0 0 1 1 4 17 817
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 12 120
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 0 1 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 2 3 5 273
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 1 83 0 3 14 326
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 0 43 0 0 12 129
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 1 1 46 1 2 11 65
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 1 1 3 60 3 5 26 200
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 16 1 3 5 84
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 2 63 0 0 5 180
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 94 0 1 6 205
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 3 3 6 324
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 2 6 640
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 0 1 3 540
UNDERIDENTIFICATION? 0 0 4 61 2 5 20 158
Underidentification? 0 0 1 64 1 3 18 254
Underidentification? 0 1 5 257 1 11 36 1,004
VALUATION OF VIX DERIVATIVES 1 3 3 76 3 6 27 208
VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION 0 0 2 10 2 2 13 16
Valuation of VIX Derivatives 0 0 0 21 0 1 6 73
Valuation of vix derivatives 0 0 0 12 1 2 13 79
Volatility-related exchange traded assets: an econometric investigation 0 1 1 50 0 2 8 13
Volatiltiy and Links Between National Stock Markets 2 3 6 340 5 16 49 968
Total Working Papers 8 27 191 5,484 88 224 935 27,130
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 2 9 10 1 5 28 31
A comparison of mean-variance efficiency tests 2 5 9 88 3 16 36 368
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 2 3 3 531
Comment 0 0 1 4 1 1 5 12
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 1 1 1 1
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 2 3 4 311
Constrained Indirect Estimation 0 0 0 68 0 4 12 248
Did the EMS Reduce the Cost of Capital? 0 0 0 72 1 3 5 394
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 0 21 2 2 3 103
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 1 1 5 679
Factor representing portfolios in large asset markets 0 0 0 45 2 4 9 137
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 3 7 25 513 9 21 66 1,457
Identification, estimation and testing of conditionally heteroskedastic factor models 2 4 6 113 4 14 23 238
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 1 39 2 6 8 89
Least Squares Predictions and Mean-Variance Analysis 1 2 2 179 3 6 6 733
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 7 170 3 7 18 591
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 1 1 89 1 5 9 224
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 2 4 8 704
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 1 193 1 1 5 780
Multivariate Regression with Unequal Number of Observations 0 0 0 3 1 2 3 24
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 1 1 2 28
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 2 50 1 4 10 184
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 1 1 5 201
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 3 3 7 1,168
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 2 29 3 6 14 121
Quadratic ARCH Models 2 3 13 427 5 10 33 1,052
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 36 1 2 5 125
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 3 6 8 180
Sequential estimation of shape parameters in multivariate dynamic models 1 4 10 35 3 14 44 137
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 23 1 5 11 88
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 1 23 0 2 15 80
Testing for GARCH effects: a one-sided approach 0 0 3 167 2 4 9 474
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 1 1 1 1
The econometrics of mean-variance efficiency tests: a survey 0 0 2 104 1 3 14 358
The econometrics of the stock market I: rationality tests 1 1 2 138 1 4 8 330
The econometrics of the stock market II: asset pricing 0 0 0 193 1 1 3 504
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 1 1 2 487
Underidentification? 0 1 4 31 1 7 18 129
Unobserved component time series models with Arch disturbances 0 0 10 593 3 6 29 978
Valuation of VIX derivatives 1 2 6 37 3 4 15 123
Volatility and Links between National Stock Markets 3 3 20 996 10 24 76 2,508
Total Journal Articles 16 35 137 4,861 88 218 586 16,911
1 registered items for which data could not be found


Statistics updated 2016-06-03