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 4 99
A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 1 1 8 10
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 1 1 6 599
A Spectral EM Algorithm for Dynamic Factor Models 0 0 1 42 0 0 8 42
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 8 1 3 10 45
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 1 3 5 46
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 1 42 1 2 5 123
A spectral EM algorithm for dynamic factor models 0 0 0 24 0 1 6 45
A spectral EM algorithm for dynamic factor models 0 0 0 33 0 0 3 59
A unifying approach to the empirical evaluation of asset pricing models 0 1 1 49 3 7 9 121
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 2 3
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 7 1,138
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 0 38 419
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 0 21 22
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 1 22 0 0 5 81
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 5 8 9
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 1 2 6 928
Conditional means of time series processes and time series processes for conditional means 0 0 1 15 1 7 30 105
Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators 0 0 4 17 0 0 14 34
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 2 15 0 1 10 50
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 1 5 0 0 9 27
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 1 23 0 2 7 19
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 1 1 5 6
Constrained Indirect Inference Estimation 0 0 0 99 0 0 3 268
Constrained indirect inference estimation 0 0 0 1 0 0 1 10
Did the EMS Reduce the Cost of Capital? 0 0 0 113 1 13 16 504
Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations 0 0 0 8 0 0 6 70
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 28 0 0 8 110
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 48 0 3 5 131
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 1 5 79
Duality in mean-variance frontiers with conditioning information 0 0 0 76 1 2 6 256
Dynamic Specification Tests for Dynamic Factor Models 0 0 1 59 0 0 4 105
Dynamic Specification Tests for Static Factor Models 0 0 0 41 0 0 1 98
Dynamic Specification Tests for Static Factor Models 0 0 0 66 0 0 8 234
Dynamic specification tests for dynamic factor models 0 1 2 9 0 1 8 22
Empirical Evaluation of Overspecified Asset Pricing Models 2 4 4 45 3 7 17 73
Empirical Evaluation of Overspecified Asset Pricing Models 0 0 1 21 1 2 6 23
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 1 89 0 1 11 346
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 2 144 0 0 6 405
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 2 150 0 2 14 419
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 1 2 6 1 2 9 23
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 0 8 457
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 2 14 90
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 9 0 0 7 41
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 53 1 1 7 32
Finite Underidentification 0 0 0 22 2 3 5 14
Gaussian rank correlation and regression 0 0 0 0 0 0 0 0
Has the EMS Reduced the Cost of Capital? 0 0 0 0 3 3 6 269
Has the EMS Reduced the Cost of Capital? Versión Revisada 0 0 0 0 4 4 8 9
Hypothesis tests with a repeatedly singular information matrix 1 1 1 1 2 2 2 2
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 2 4 10 853
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada 0 0 0 0 0 0 2 2
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 2 34 1 2 5 94
Indirect Estimation of Conditionally Heteroskedastic Factor Models 0 1 1 195 1 5 9 562
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 2 1 3 4 20
Is a Normal Copula the Right Copula? 0 0 1 22 0 3 7 49
Is a normal copula the right copula? 0 1 1 38 0 2 9 49
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 34 1 1 7 135
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 0 2 1,420
Least Squares Predictions and Mean-Variance Analysis 0 1 1 174 0 1 3 732
Least Squares Predictions and Mean-Variance Analysis 0 0 0 233 0 1 4 1,095
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 1 1 1 1 7 9
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 0 0 9 30
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 1 1 6 236
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 158 2 2 7 474
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 1 2 9 300
Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes 0 0 0 0 0 0 3 3
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 1 1 3 578
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 1 1 5 228
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 8 0 2 7 27
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 0 1 6 16
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 327 1 1 6 703
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 1 1 2 5 14 15
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 2 3 9 1,276
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 615 2 2 5 1,027
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 1 2 6 27
Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation 0 0 0 10 1 2 12 95
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 1 54 1 2 9 181
Neglected Serial Correlation Tests in UCARIMA Models 0 0 0 36 1 1 6 44
New Testing Approaches for Mean-Variance Predictability 0 1 2 4 0 0 7 10
New testing approaches for mean-variance predictability 0 0 1 17 0 1 5 13
New testing approaches for mean-variance predictability 0 0 4 51 9 13 40 68
New testing approaches for mean-variance predictability 0 0 1 8 0 0 7 17
Normality Tests for Latent Variables 0 0 2 17 1 1 22 42
On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models 0 1 3 46 1 3 9 186
On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models 0 0 0 0 0 1 4 4
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 1 3 1 1 6 28
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 2 7 230
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 59 0 1 7 248
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 0 83 0 6 13 281
Pricing Options on Assets with Predictable White Noise Returns 0 0 0 0 0 0 2 4
Pricing Options on Assets with Predictable White Noise Returns 0 0 0 137 1 1 6 643
Quadratic ARCH Models 0 0 0 0 0 5 19 20
Quadratic Arch Models 0 0 0 1 1 3 13 862
Riesgo y rentabilidad en el mercado de valores español 0 0 0 0 0 1 5 5
Risk and Return in the Spanish Stock Market 0 0 0 279 0 0 3 1,160
Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets 0 0 0 0 1 1 5 6
Sequential Estimation of Shape Parameters in Multivariate Dynamic Models 0 0 0 55 0 1 6 141
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 1 3 7 245
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 60 1 2 7 292
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 1 126 1 1 11 508
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 4 5 11 362
Specification Tests for Non-Gaussian Maximum Likelihood Estimators 0 0 0 3 0 0 4 10
Specification tests for non-Gaussian maximum likelihood estimators 0 0 2 42 0 1 8 29
Specification tests for non-Gaussian maximum likelihood estimators 0 0 0 9 0 1 5 17
Specification tests for non-Gaussian maximum likelihood estimators 0 0 0 32 0 1 8 14
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 17 1 1 2 96
Testing Distributional Assumptions Using a Continuum of Moments 0 1 4 23 0 2 20 32
Testing Uncovered Interest Parity: A Continuous-Time Approach 2 2 2 68 2 3 9 218
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 45 1 1 2 151
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 1 96 0 1 7 242
Testing for GARCH Effects: A One-Sided Approach 0 0 0 0 0 3 5 5
Tests for Serial Dependence in Static, Non-Gaussian Factor Models 0 0 0 46 1 1 7 95
The Econometrics of Mean-Variance Efficiency Tests: A Survey 0 0 1 61 0 0 6 220
The Jacobian of the exponential function 0 0 0 0 0 0 0 0
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 2 332
The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases 0 0 0 0 0 1 2 2
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 0 4 652
The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models 0 1 1 1 1 2 6 6
The Rise and Fall of the Natural Interest Rate 4 5 14 69 9 12 44 76
The Rise and Fall of the Natural Interest Rate 2 7 27 77 6 18 82 130
The Rise and Fall of the Natural Interest Rate 0 0 2 31 1 7 29 43
The Rise and Fall of the Natural Interest Rate 1 4 17 91 4 11 56 132
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 6 553
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 0 1 2 4
The rise and fall of the natural interest rate 0 0 8 49 1 5 39 72
Underidentification? 0 0 1 264 0 4 12 1,064
Underidentification? 0 0 0 66 1 3 12 285
Underidentification? (Resumen) 0 0 0 63 2 3 10 182
Valuation of VIX Derivatives 0 0 0 22 1 3 11 137
Valuation of VIX Derivatives 0 0 0 99 1 3 12 262
Valuation of vix derivatives 2 2 4 19 2 4 11 122
Volatility, Diversification and Contagion 0 1 3 11 0 2 9 25
Volatility, diversification and contagion 0 0 0 3 0 1 4 22
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 12 1 1 4 37
Volatility-related exchange traded assets: an econometric investigation 0 0 0 53 0 0 4 32
Volatiltiy and Links Between National Stock Markets 0 0 2 397 3 4 13 1,099
Zero-diagonality as a linear structure 0 0 0 0 0 0 0 0
Total Working Papers 14 36 144 6,468 116 291 1,295 30,580


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 1 3 18 3 5 12 86
A comparison of mean-variance efficiency tests 0 0 0 89 0 1 5 384
A spectral EM algorithm for dynamic factor models 0 0 0 2 0 0 8 26
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 1 5 544
Comment 0 0 0 6 0 0 1 18
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 2 2 0 1 13 23
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 2 5 15 336
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 0 1 1 1 1
Constrained Indirect Estimation 0 1 1 72 0 1 6 270
Did the EMS Reduce the Cost of Capital? 0 0 0 74 2 2 4 408
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 0 23 0 1 3 113
Duality in mean-variance frontiers with conditioning information 0 0 0 4 0 1 4 29
Dynamic specification tests for dynamic factor models 0 0 1 5 0 0 13 24
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 1 1 3 688
Factor representing portfolios in large asset markets 0 0 1 49 0 0 4 150
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 0 3 23 604 3 11 47 1,753
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 12 183 3 6 31 371
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 42 0 2 6 114
Is a Normal Copula the Right Copula? 0 0 0 0 0 0 0 0
Least Squares Predictions and Mean-Variance Analysis 0 1 2 184 0 1 3 744
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 1 1 11 619
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 90 0 0 3 242
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 5 10 747
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 1 1 1 194 1 1 4 788
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 1 53 0 2 7 201
Neglected serial correlation tests in UCARIMA models 0 0 1 2 1 1 10 32
Normality tests for latent variables 0 0 1 1 2 3 15 15
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 2 207
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 1 3 7 1,184
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 32 0 1 9 146
Quadratic ARCH Models 2 5 18 481 5 19 52 1,201
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 1 39 1 1 3 135
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 0 2 192
Sequential estimation of shape parameters in multivariate dynamic models 0 0 0 36 1 2 7 167
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 24 1 1 3 109
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 1 1 1 32 3 3 4 117
Testing for GARCH effects: a one-sided approach 0 0 0 170 0 2 6 493
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 4 9
The econometrics of mean-variance efficiency tests: a survey 0 0 1 108 0 0 7 392
The econometrics of the stock market I: rationality tests 0 0 0 139 0 0 3 342
The econometrics of the stock market II: asset pricing 0 0 1 196 0 0 4 514
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 1 5 501
Underidentification? 0 0 0 35 3 5 11 178
Unobserved component time series models with Arch disturbances 0 2 6 620 1 6 27 1,068
Valuation of VIX derivatives 0 3 9 65 6 13 45 250
Volatility and Links between National Stock Markets 1 6 19 1,092 6 17 51 2,800
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 0 0 1 5 5
Total Journal Articles 5 25 105 5,297 49 128 501 18,736


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 8 15
Total Chapters 0 0 0 1 0 0 8 15


Statistics updated 2020-07-04