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 4 100
A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 2 8 12
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 1 6 600
A Spectral EM Algorithm for Dynamic Factor Models 0 0 1 42 2 3 10 47
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 42 0 1 4 124
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 8 0 1 5 46
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 0 1 6 47
A spectral EM algorithm for dynamic factor models 0 0 0 33 0 1 3 61
A spectral EM algorithm for dynamic factor models 0 0 0 24 0 2 4 47
A unifying approach to the empirical evaluation of asset pricing models 0 0 1 49 0 0 8 121
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 1 3
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 7 1,139
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 0 10 27
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 2 11 421
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 1 22 0 1 3 82
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 1 6 929
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 4 11 13
Conditional means of time series processes and time series processes for conditional means 0 0 0 15 3 5 28 111
Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators 0 0 3 17 0 2 11 36
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 1 23 1 1 7 21
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 2 15 0 2 8 52
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 5 0 1 5 28
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 0 6 405
Constrained EMM and Indirect Inference Estimation. Versión Revisada 0 0 0 0 0 0 4 6
Constrained Indirect Inference Estimation 0 0 0 99 0 0 2 268
Constrained indirect inference estimation 0 0 0 1 0 0 0 10
Did the EMS Reduce the Cost of Capital? 0 0 0 113 1 2 18 506
Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations 0 0 0 8 0 0 4 70
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 28 0 0 3 110
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 48 1 4 10 136
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 0 4 80
Duality in mean-variance frontiers with conditioning information 0 0 0 76 0 1 7 257
Dynamic Specification Tests for Dynamic Factor Models 0 0 0 59 1 2 4 108
Dynamic Specification Tests for Static Factor Models 0 0 0 41 0 1 1 99
Dynamic Specification Tests for Static Factor Models 0 0 0 66 0 0 5 234
Dynamic specification tests for dynamic factor models 0 0 2 9 2 2 9 25
Empirical Evaluation of Overspecified Asset Pricing Models 0 0 1 22 0 0 4 24
Empirical Evaluation of Overspecified Asset Pricing Models 0 0 5 46 1 5 20 81
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 0 89 0 2 8 348
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 3 145 1 1 7 407
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 1 1 3 151 1 3 14 422
Estimation and testing of dynamic models with generalised hyperbolic innovations 1 1 3 7 1 1 8 24
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 1 4 11 461
Factor Representing Portfolios in Large Asset Markets.Versión Revisada 0 0 0 0 0 0 1 1
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 0 1 37 0 1 11 92
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 9 0 2 4 43
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 53 0 2 7 35
Finite Underidentification 0 0 0 22 0 1 6 16
Gaussian rank correlation and regression 1 2 3 3 4 9 13 13
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 6 269
Has the EMS Reduced the Cost of Capital? Versión Revisada 0 0 0 0 0 0 7 9
Hypothesis tests with a repeatedly singular information matrix 0 4 20 20 1 15 31 31
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 2 7 16 862
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada 0 0 0 0 0 1 3 3
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 1 34 3 5 9 100
Indirect Estimation of Conditionally Heteroskedastic Factor Models 0 0 1 195 0 1 8 564
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 2 0 2 7 23
Is a Normal Copula the Right Copula? 0 0 1 22 0 2 7 51
Is a normal copula the right copula? 0 0 1 38 0 1 9 50
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 34 0 0 6 137
Least Squares Predictions and Mean-Variance Analysis 0 0 0 233 0 0 4 1,095
Least Squares Predictions and Mean-Variance Analysis 0 0 1 174 0 1 4 733
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 2 4 1,423
Least Squares Predictions and Mean-Variance Analysis. Versión Revisada 0 0 0 0 0 0 1 1
Likelihood-Based Estimation of Latent Generalised ARCH Structures 0 0 0 1 0 1 7 12
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 1 2 7 34
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 158 0 1 8 476
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 0 6 238
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 1 2 10 303
Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes 0 0 0 0 1 3 8 8
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 1 5 581
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 1 5 231
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 0 0
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 0 1 7 19
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 8 0 1 6 29
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 327 0 1 5 704
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 0 6 1,276
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 1 1 2 2 1 1 12 16
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 615 0 1 5 1,028
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 0 1 10 32
Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation 0 0 0 10 0 1 11 96
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 54 0 1 8 183
Neglected Serial Correlation Tests in UCARIMA Models 0 0 0 36 0 1 5 47
New Testing Approaches for Mean-Variance Predictability 0 1 3 5 1 3 9 14
New testing approaches for mean-variance predictability 0 2 6 54 2 4 35 74
New testing approaches for mean-variance predictability 0 0 2 18 2 6 13 21
New testing approaches for mean-variance predictability 0 0 2 9 2 3 11 22
Normality Tests for Latent Variables 0 0 0 17 2 5 17 50
On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models 0 0 3 46 0 1 8 187
On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models 0 0 0 0 1 1 5 5
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 0 3 0 2 6 31
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 0 5 230
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 59 0 1 4 249
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 0 83 0 1 11 282
Pricing Options on Assets with Predictable White Noise Returns 0 0 0 0 1 1 2 5
Pricing Options on Assets with Predictable White Noise Returns 1 1 1 138 3 3 5 646
Quadratic ARCH Models 0 0 0 0 2 4 19 25
Quadratic Arch Models 0 0 0 1 0 3 14 865
Riesgo y rentabilidad en el mercado de valores español 0 0 0 0 0 0 5 5
Risk and Return in the Spanish Stock Market 0 0 0 279 0 1 3 1,161
Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets 0 0 0 0 0 1 6 7
Sequential Estimation of Shape Parameters in Multivariate Dynamic Models 0 0 0 55 0 0 5 141
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 1 1 5 246
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 1 126 0 0 8 508
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 60 0 4 11 296
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 0 2 12 365
Specification Tests for Non-Gaussian Maximum Likelihood Estimators 0 1 1 4 0 2 4 12
Specification tests for non-Gaussian maximum likelihood estimators 0 0 2 42 0 2 6 31
Specification tests for non-Gaussian maximum likelihood estimators 0 1 1 10 1 6 8 23
Specification tests for non-Gaussian maximum likelihood estimators 0 0 0 32 1 1 5 17
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 17 0 1 3 98
Testing Distributional Assumptions Using a Continuum of Moments 0 0 3 23 0 0 14 32
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 45 0 1 3 152
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 2 68 0 1 6 219
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 96 0 0 3 242
Testing for GARCH Effects: A One-Sided Approach 0 0 0 0 1 1 5 7
Tests for Serial Dependence in Static, Non-Gaussian Factor Models 0 0 0 46 0 0 5 95
The Econometrics of Mean-Variance Efficiency Tests: A Survey 0 0 1 61 0 0 4 220
The Jacobian of the exponential function 1 6 42 42 1 6 21 21
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 1 3 333
The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases 0 0 0 0 0 1 3 3
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 1 4 653
The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models 0 0 1 1 0 0 3 6
The Rise and Fall of the Natural Interest Rate 0 0 2 31 0 3 23 47
The Rise and Fall of the Natural Interest Rate 1 1 23 78 2 11 72 142
The Rise and Fall of the Natural Interest Rate 2 3 15 95 2 5 43 141
The Rise and Fall of the Natural Interest Rate 0 0 11 69 1 2 31 78
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 7 557
The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada 0 0 0 0 1 1 2 5
The rise and fall of the natural interest rate 0 0 6 50 3 7 31 82
Underidentification? 0 1 2 265 0 3 13 1,067
Underidentification? 0 0 0 66 1 4 12 289
Underidentification? (Resumen) 0 0 0 63 1 4 10 186
Valuation of VIX Derivatives 0 0 0 22 0 4 13 142
Valuation of VIX Derivatives 0 0 0 99 0 0 8 262
Valuation of vix derivatives 0 1 5 20 1 2 11 125
Volatility, Diversification and Contagion 0 0 2 11 0 1 5 26
Volatility, diversification and contagion 0 0 0 3 1 4 5 26
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 12 0 0 3 37
Volatility-related exchange traded assets: an econometric investigation 0 0 0 53 0 2 5 34
Volatiltiy and Links Between National Stock Markets 0 0 2 397 3 5 17 1,105
Zero-diagonality as a linear structure 0 0 1 1 0 3 7 7
Total Working Papers 9 27 198 6,556 68 266 1,247 30,969


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 3 19 1 6 15 93
A comparison of mean-variance efficiency tests 0 0 0 89 0 1 5 385
A spectral EM algorithm for dynamic factor models 0 1 1 3 0 2 8 30
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 0 2 544
Comment 0 0 0 6 0 1 2 19
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 1 3 3 0 2 8 25
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 0 8 336
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 0 1 2 4 4
Constrained Indirect Estimation 0 0 1 72 1 3 7 273
Did the EMS Reduce the Cost of Capital? 0 0 0 74 0 0 3 408
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 0 23 1 1 3 114
Duality in mean-variance frontiers with conditioning information 0 0 1 5 0 0 3 30
Dynamic specification tests for dynamic factor models 0 0 1 5 1 2 12 29
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 0 2 688
Factor representing portfolios in large asset markets 0 0 1 49 1 2 4 152
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 1 4 15 608 2 12 39 1,766
Identification, estimation and testing of conditionally heteroskedastic factor models 2 5 13 189 3 8 30 381
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 42 2 2 8 117
Is a Normal Copula the Right Copula? 0 1 1 1 1 3 4 4
Least Squares Predictions and Mean-Variance Analysis 0 0 2 184 0 0 3 744
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 1 3 12 623
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 90 0 0 3 243
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 0 0 9 750
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 1 194 0 0 3 788
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 1 1 3 55 2 2 7 204
Neglected serial correlation tests in UCARIMA models 0 1 1 3 0 2 12 37
Normality tests for latent variables 0 0 1 1 2 4 12 21
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 1 3 209
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 1 2 8 1,186
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 32 0 0 6 146
Quadratic ARCH Models 2 4 18 486 5 10 47 1,212
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 1 39 0 0 3 135
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 1 1 3 193
Sequential estimation of shape parameters in multivariate dynamic models 0 1 1 37 0 1 8 168
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 24 1 2 4 111
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 1 32 1 1 5 118
Testing distributional assumptions using a continuum of moments 0 0 0 0 2 2 2 2
Testing for GARCH effects: a one-sided approach 0 0 0 170 0 1 4 494
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 3 9
The econometrics of mean-variance efficiency tests: a survey 0 0 1 108 0 0 2 392
The econometrics of the stock market I: rationality tests 0 0 0 139 0 0 3 343
The econometrics of the stock market II: asset pricing 0 0 1 196 0 0 3 514
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 1 3 502
Underidentification? 0 1 1 36 4 11 20 189
Unobserved component time series models with Arch disturbances 0 0 4 620 0 0 21 1,071
Valuation of VIX derivatives 0 2 11 69 2 7 45 261
Volatility and Links between National Stock Markets 2 2 19 1,095 9 19 57 2,822
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 0 0 1 5 7
Total Journal Articles 9 25 106 5,329 45 118 483 18,892


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 0 0 1 0 0 9 19
Total Chapters 0 0 0 1 0 0 9 19


Statistics updated 2020-11-03