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 1 2 21 3 6 20 64
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 0 6 563
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 3 7 31 1 6 16 70
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 3 1 2 6 14
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 2 2 0 1 8 8
A unifying approach to the empirical evaluation of asset pricing models 0 2 4 36 4 8 25 62
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 1 7 21 1,089
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 1 9 340
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 1 19 2 2 6 51
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 1 2 17 874
Conditional means of time series processes and time series processes for conditional means 0 0 3 9 1 3 12 25
Constrained EMM and Indirect Inference Estimation 0 0 0 0 1 3 15 363
Constrained Indirect Inference Estimation 0 0 3 93 0 0 9 247
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 1 7 1 2 10 35
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 2 8 43 5 7 24 91
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 2 36 4 5 12 56
Did the EMS Reduce the Cost of Capital? 0 0 1 107 0 0 11 459
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 24 1 4 7 71
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 6 2 6 12 53
Duality in mean-variance frontiers with conditioning information 0 1 8 70 3 6 19 200
Dynamic Specification Tests for Static Factor Models 1 3 8 54 10 32 61 128
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 1 1 3 140 2 4 11 377
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 3 78 9 27 38 293
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 1 3 10 139 7 10 29 361
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 3 9 413
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 1 5 248
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 1 190 3 15 22 514
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 10 24 32 773
Identification, estimation and testing of conditionally heteroskedastic factor models 0 1 6 14 0 3 13 32
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 1 3 97 4 4 19 166
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 32 6 8 10 88
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 4 6 22 1,375
Least Squares Predictions and Mean-Variance Analysis 0 0 3 224 2 6 21 1,048
Least Squares Predictions and Mean-Variance Analysis 0 1 4 156 3 6 16 675
Likelihood-based estimation of latent generalised ARCH structures 2 3 5 50 7 9 19 205
Likelihood-based estimation of latent generalised ARCH structures 1 1 2 107 4 5 11 257
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 150 5 6 11 415
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 8 3 5 12 46
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 1 1 5 537
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 0 1 199
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 1 2 12 1 4 10 34
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 1 1 4 9
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 5 311 1 1 10 638
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 3 6 28 1,185
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 2 611 1 4 10 993
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 0 43 3 7 17 116
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 39 7 21 30 133
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 1 5 75 9 27 50 221
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 1 58 6 18 23 215
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 57 4 7 15 198
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 1 4 73 0 2 12 224
Pricing Options on Assets with Predictable White Noise Returns 0 0 2 128 0 1 11 587
Quadratic Arch Models 0 0 0 1 5 12 28 755
Risk and Return in the Spanish Stock Market 0 1 1 275 1 2 6 1,140
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 3 45 45 2 15 74 74
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 123 1 1 16 469
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 42 1 3 20 210
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 1 2 3 57 3 9 32 239
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 2 13 69 4 11 55 241
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 3 40 5 5 16 99
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 33 33 33 4 15 15 15
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 1 4 10 50 5 14 45 135
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 14 5 14 21 64
Testing Uncovered Interest Parity: A Continuous-Time Approach 1 1 2 59 11 25 37 157
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 3 9 91 2 6 22 182
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 6 308
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 0 8 627
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 4 13 23 524
UNDERIDENTIFICATION? 0 1 3 49 3 11 31 113
Underidentification? 3 4 11 53 7 13 41 138
Underidentification? 0 0 4 240 10 31 66 917
Unobserved Component Time Series Models with ARCH Disturbances 2 4 5 5 7 12 13 13
VALUATION OF VIX DERIVATIVES 0 1 6 58 4 8 35 131
Valuation of VIX Derivatives 1 2 5 19 4 8 22 58
Valuation of vix derivatives 1 1 4 4 6 13 23 23
Volatiltiy and Links Between National Stock Markets 2 9 15 307 7 24 61 828
Total Working Papers 19 98 285 4,995 248 610 1,568 24,898

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 3 4 9 63 5 11 78 254
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 2 5 15 508
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 2 4 9 300
Constrained Indirect Estimation 0 0 0 60 0 0 3 211
Did the EMS Reduce the Cost of Capital? 0 1 1 71 2 3 5 382
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 2 2 11 14 4 9 48 61
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 83 2 3 8 668
Factor representing portfolios in large asset markets 0 1 1 36 1 3 7 113
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 4 7 36 410 12 28 123 1,174
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 10 86 2 4 17 171
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 1 2 25 2 3 8 56
Least Squares Predictions and Mean-Variance Analysis 0 1 3 165 0 1 7 707
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 2 5 154 1 4 12 554
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 3 81 1 5 10 197
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 3 8 20 668
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 1 191 1 4 12 771
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 1 18
Multivariate Regression with Unequal Number of Observations—Solution 0 0 3 9 0 0 5 19
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 3 40 3 10 24 148
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 2 194
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 1 1 2 201 3 3 8 1,145
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 3 26 2 4 16 94
Quadratic ARCH Models 3 7 23 346 10 29 78 865
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 33 0 0 2 113
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 2 37 0 1 12 157
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 2 6 9 9 6 20 35 35
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 2 3 14 18 3 6 34 43
Testing for GARCH effects: a one-sided approach 0 1 10 152 3 7 39 428
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 1 1 12 96 8 26 80 292
The econometrics of the stock market I: rationality tests 0 0 1 133 2 2 9 313
The econometrics of the stock market II: asset pricing 0 3 5 186 2 12 30 456
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 6 15 20 478
Underidentification? 0 4 8 8 6 20 29 29
Unobserved component time series models with Arch disturbances 3 6 40 551 7 19 70 880
Volatility and Links between National Stock Markets 6 13 46 897 28 48 161 2,141
Total Journal Articles 28 65 263 4,217 129 317 1,039 14,645

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Statistics updated 2013-05-03