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 1 2 10 93
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 1 7 12 583
A SPECTRAL EM ALGORITHM FOR DYNAMIC FACTOR MODELS 0 0 1 37 3 3 19 22
A UNIFYING APPROACH TO THE EMPIRICAL EVALUATION OF ASSET PRICING MODELS 0 1 4 41 1 2 20 110
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 1 2 2 5 1 3 13 26
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 0 1 10 33
A spectral EM algorithm for dynamic factor models 0 23 23 23 6 12 12 12
A spectral EM algorithm for dynamic factor models 0 1 24 32 5 8 26 41
A unifying approach to the empirical evaluation of asset pricing models 0 0 0 48 0 0 7 104
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 2 10 1,123
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 3 6 364
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 20 2 7 12 69
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 3 7 917
Conditional means of time series processes and time series processes for conditional means 1 1 1 12 6 7 15 63
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 1 12 392
Constrained Indirect Inference Estimation 1 1 2 99 1 1 4 263
Constrained indirect inference estimation 0 0 0 1 2 2 5 8
DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS 0 0 0 8 0 0 9 62
DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION 0 0 0 48 0 1 10 125
DYNAMIC SPECIFICATION TESTS FOR DYNAMIC FACTOR MODELS 0 1 2 55 3 6 18 83
DYNAMIC SPECIFICATION TESTS FOR STATIC FACTOR MODELS 0 0 1 41 4 5 19 92
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 1 13 95
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 1 3 5 72
Duality in mean-variance frontiers with conditioning information 0 0 1 75 0 0 6 243
Dynamic Specification Tests for Static Factor Models 0 0 1 64 3 4 18 215
ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS 0 0 0 142 0 1 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 5 9 386
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 1 0 0 3 6
FAST ML ESTIMATION OF DYNAMIC BIFACTOR MODELS: AN APPLICATION TO EUROPEAN INFLATION 0 0 4 33 3 6 29 58
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 3 10 445
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 52 3 5 11 22
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 1 6 4 5 13 15
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 2 4 260
INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS 0 0 0 193 1 1 14 549
IS A NORMAL COPULA THE RIGHT COPULA? 0 1 4 12 0 2 15 17
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 3 8 24 824
Identification, estimation and testing of conditionally heteroskedastic factor models 0 2 3 28 2 6 18 76
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 1 1 1 1 7 7
Is a normal copula the right copula? 0 0 4 33 1 4 10 20
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 33 4 6 15 121
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 4 172 0 1 10 719
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 2 12 1,412
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 109 3 3 8 282
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 2 2 2 6 10
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 3 4 9 226
Likelihood-based estimation of latent generalised ARCH structures 0 0 1 158 2 2 13 455
MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION 0 0 0 10 1 3 10 81
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 4 10 12 563
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 5 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 1 2 3 326 4 5 18 688
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 1 7 15 1,248
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 1 615 1 2 6 1,015
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 1 3 7 12
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 2 3 53 2 5 16 165
NEGLECTED SERIAL CORRELATION TESTS IN UCARIMA MODELS 0 0 1 33 4 5 18 28
ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS 0 0 1 42 0 1 14 172
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 1 1 2 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 3 8 220
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 1 1 81 0 2 6 260
Pricing Options on Assets with Predictable White Noise Returns 0 0 3 136 2 5 12 624
Quadratic Arch Models 0 0 0 1 1 3 17 826
Risk and Return in the Spanish Stock Market 0 0 0 278 1 2 3 1,150
SEQUENTIAL ESTIMATION OF SHAPE PARAMETERS IN MULTIVARIATE DYNAMIC MODELS 0 1 1 55 3 7 17 130
SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH 0 0 0 125 0 3 13 493
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 2 4 7 228
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 1 1 60 2 4 8 277
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 4 8 21 339
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH 0 0 2 45 0 28 37 161
TESTS FOR SERIAL DEPENDENCE IN STATIC, NON-GAUSSIAN FACTOR MODELS 0 0 1 46 2 8 23 80
THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY 0 0 1 60 2 4 27 209
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 20 25 229
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 64 0 28 34 214
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 4 9 329
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 2 6 643
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 1 3 66 0 5 17 263
Underidentification? 0 0 3 258 1 6 28 1,016
VALUATION OF VIX DERIVATIVES 4 7 12 85 4 7 24 219
VOLATILITY-RELATED EXCHANGE TRADED ASSETS: AN ECONOMETRIC INVESTIGATION 0 0 1 10 1 4 17 25
Valuation of VIX Derivatives 0 0 0 21 3 7 12 83
Valuation of vix derivatives 1 1 1 13 4 7 15 87
Volatility-related exchange traded assets: an econometric investigation 0 0 4 53 0 1 12 22
Volatiltiy and Links Between National Stock Markets 4 5 16 353 7 11 46 993
Total Working Papers 13 54 150 5,579 132 386 1,179 27,759
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 1 1 7 12 3 5 30 50
A comparison of mean-variance efficiency tests 0 0 7 88 1 2 28 372
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 3 7 535
Comment 0 0 1 5 0 0 5 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 4 4 9 317
Constrained Indirect Estimation 0 0 1 69 1 3 13 255
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 0 6 396
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 1 22 0 1 5 106
Duality in mean-variance frontiers with conditioning information 0 1 1 1 0 3 6 6
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 1 5 681
Factor representing portfolios in large asset markets 1 2 3 48 2 4 12 143
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 0 6 23 523 19 63 117 1,539
Identification, estimation and testing of conditionally heteroskedastic factor models 3 7 15 123 5 13 34 256
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 2 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 3 3 11 594
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 1 89 0 0 8 226
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 0 5 16 715
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 1 4 25
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 0 1 5 31
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 1 51 2 3 9 188
Neglected serial correlation tests in UCARIMA models 0 0 0 0 3 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 1 3 11 1,175
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 1 2 30 0 1 18 127
Quadratic ARCH Models 2 2 11 434 2 7 33 1,070
Risk and return in the Spanish stock market: some evidence from individual assets 0 1 1 37 0 3 7 130
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 1 1 9 182
Sequential estimation of shape parameters in multivariate dynamic models 0 0 5 35 3 4 29 147
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 1 24 1 2 17 97
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 3 26 0 1 17 88
Testing for GARCH effects: a one-sided approach 0 0 1 168 0 0 5 475
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 3 17 369
The econometrics of the stock market I: rationality tests 0 0 1 138 1 3 8 333
The econometrics of the stock market II: asset pricing 0 0 0 193 0 2 3 506
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 2 6 492
Underidentification? 0 1 4 33 0 4 22 141
Unobserved component time series models with Arch disturbances 0 2 10 599 0 6 27 995
Valuation of VIX derivatives 1 1 5 40 5 5 14 133
Volatility and Links between National Stock Markets 0 4 17 1,004 6 19 80 2,551
Total Journal Articles 8 30 127 4,926 65 190 697 17,291


Statistics updated 2017-01-03