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 2 11 76
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 1 1 2 568
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 0 5 37 0 0 9 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 0 0 2 39 1 1 15 85
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 3 4 10 1,104
An Index of Co-Movements in Financial Time Series 0 0 0 0 2 3 7 348
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 19 0 0 1 53
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 1 2 20 905
Conditional means of time series processes and time series processes for conditional means 0 0 2 11 1 1 18 47
Constrained EMM and Indirect Inference Estimation 0 0 0 0 1 2 7 376
Constrained Indirect Inference Estimation 0 0 1 94 1 2 5 252
Constrained indirect inference estimation 0 0 0 0 0 1 2 2
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 1 8 1 1 8 45
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 2 46 0 0 11 106
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 1 1 13 49 2 4 32 41
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 2 39 0 0 9 67
Did the EMS Reduce the Cost of Capital? 0 0 2 109 0 2 7 468
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 1 25 1 1 8 79
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 6 0 0 5 61
Duality in mean-variance frontiers with conditioning information 0 0 3 73 0 3 23 227
Dynamic Specification Tests for Static Factor Models 0 0 3 61 1 3 40 180
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 1 1 1 141 1 1 6 383
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 1 4 82 0 3 10 305
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 2 143 0 1 7 373
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 0 0 0 1 1
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 1 14 429
Has the EMS Reduced the Cost of Capital? 0 0 0 0 1 1 4 253
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 1 191 0 3 9 525
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 2 11 791
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 6 23 2 2 13 51
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 1 3 101 1 2 25 194
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 32 0 0 10 101
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 1 2 9 1,395
Least Squares Predictions and Mean-Variance Analysis 0 0 2 228 0 2 10 1,064
Least Squares Predictions and Mean-Variance Analysis 0 0 7 164 0 1 16 696
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 0 1 4
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 51 0 1 9 215
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 108 0 0 12 272
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 3 155 0 1 12 431
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 0 0 1 5 5
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 2 10 0 1 7 54
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 1 5 545
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 1 1 2 203
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 2 14 0 1 11 47
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 1 1 5 16
Mean Variance Portfolio Allocation with a Value at Risk Constraint 1 2 2 315 1 2 4 645
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 2 30 1,220
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 2 613 0 0 9 1,005
Mean-variance portfolio allocation with a value at risk constraint 1 1 1 1 1 1 1 1
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 4 49 1 1 16 140
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 40 0 1 12 149
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 7 82 0 1 22 258
PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION 0 0 0 58 0 2 7 223
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 57 0 2 7 209
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 1 77 0 0 13 243
Pricing Options on Assets with Predictable White Noise Returns 0 0 2 131 0 0 10 599
Quadratic Arch Models 0 0 0 1 1 5 28 791
Risk and Return in the Spanish Stock Market 0 0 1 278 0 1 3 1,147
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 1 2 9 54 1 3 23 104
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 2 125 0 0 6 475
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 0 3 215
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 58 1 2 14 258
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 7 80 2 8 46 295
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 1 1 1 41 1 4 10 111
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 1 4 42 0 1 19 46
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 5 56 0 3 24 164
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 1 15 1 2 9 76
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 59 0 2 10 170
Testing Uncovered Interest Parity: A Continuous-Time Approach 1 1 2 93 1 1 12 198
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 2 7 318
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 0 2 631
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 1 3 9 535
UNDERIDENTIFICATION? 1 1 5 54 2 3 12 128
Underidentification? 1 1 6 62 4 13 66 215
Underidentification? 0 0 6 248 0 0 29 954
VALUATION OF VIX DERIVATIVES 1 2 7 68 2 4 29 164
Valuation of VIX Derivatives 0 1 1 20 1 2 4 63
Valuation of vix derivatives 1 1 5 10 2 6 23 52
Volatiltiy and Links Between National Stock Markets 2 5 19 326 7 16 56 889
Total Working Papers 14 23 174 5,251 54 155 1,043 26,243


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 1 11 76 2 8 47 313
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 4 13 525
Comment 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 0 0 4 306
Constrained Indirect Estimation 0 0 4 64 0 3 12 226
Constrained Indirect Estimation 0 0 0 0 0 2 3 3
Did the EMS Reduce the Cost of Capital? 0 0 1 72 0 1 3 385
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 3 6 21 0 3 24 95
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 2 6 43 0 2 9 125
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 1 7 39 460 2 21 108 1,319
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 10 100 1 3 25 207
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 1 2 7 34 2 3 16 76
Least Squares Predictions and Mean-Variance Analysis 0 0 6 174 0 1 11 722
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 1 3 161 0 1 7 570
Marginalization and contemporaneous aggregation in multivariate GARCH processes 1 2 3 84 1 3 8 210
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 6 8 16 686
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 0 5 46 1 1 14 169
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 2 196
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 1 202 0 2 10 1,158
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 26 1 1 7 104
Quadratic ARCH Models 0 4 36 398 5 17 91 987
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 3 36 1 1 6 120
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 1 5 42 0 5 13 172
Sequential estimation of shape parameters in multivariate dynamic models 1 2 19 19 5 13 65 65
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 4 9 23 1 6 23 72
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 1 1 2 20 1 5 15 61
Testing for GARCH effects: a one-sided approach 0 0 8 162 0 1 26 460
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 2 3 0 0 7 10
The econometrics of mean-variance efficiency tests: a survey 0 0 3 101 1 1 27 330
The econometrics of the stock market I: rationality tests 0 0 2 135 0 0 4 318
The econometrics of the stock market II: asset pricing 0 0 5 193 3 4 33 496
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 1 1 5 485
Underidentification? 1 2 12 24 3 12 49 95
Unobserved component time series models with Arch disturbances 1 4 20 577 1 7 39 934
Valuation of VIX derivatives 3 3 15 16 6 11 57 64
Volatility and Links between National Stock Markets 1 7 41 954 5 28 152 2,355
Total Journal Articles 11 46 286 4,587 50 180 961 15,906


Statistics updated 2014-09-03