Access Statistics for Enrique Sentana

Author contact details at EconPapers.

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 3 101
A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 1 2 7 16
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 1 1 3 601
A Spectral EM Algorithm for Dynamic Factor Models 0 0 0 42 1 1 7 49
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 1 9 0 1 6 50
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 1 1 4 49
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 42 0 0 3 125
A spectral EM algorithm for dynamic factor models 0 0 0 33 0 0 3 62
A spectral EM algorithm for dynamic factor models 1 1 1 25 1 2 7 52
A unifying approach to the empirical evaluation of asset pricing models 0 1 1 50 0 2 6 124
Aggregate Output Measurements: A Common Trend Approach 1 1 1 1 2 6 10 10
Aggregate Output Measurements: A Common Trend Approach 1 2 2 2 2 6 9 9
Aggregate Output Measurements: A Common Trend Approach 0 3 3 3 1 6 6 6
Aggregate Output Measurements: a Common Trend Approach 0 2 25 25 2 10 16 16
Aggregate output measurements: a common trend approach 0 4 6 6 4 12 20 20
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 1 2 1,140
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 0 3
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 1 7 29
An Index of Co-Movements in Financial Time Series 0 0 0 0 1 3 7 426
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 22 0 0 1 82
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 4 10 18
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 2 4 931
Conditional means of time series processes and time series processes for conditional means 2 2 3 18 6 26 37 141
Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators 0 0 0 17 0 0 2 36
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 5 0 0 2 29
Consistent non-Gaussian pseudo maximum likelihood estimators 1 1 2 17 1 1 5 55
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 23 0 0 2 21
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 0 0 405
Constrained EMM and Indirect Inference Estimation. Versión Revisada 0 0 0 0 0 0 1 6
Constrained Indirect Inference Estimation 0 0 0 99 0 0 1 269
Constrained indirect inference estimation 0 0 0 1 0 0 0 10
Did the EMS Reduce the Cost of Capital? 0 0 0 113 0 3 8 511
Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions 0 0 1 1 0 2 8 8
Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions 0 23 24 24 2 8 9 9
Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations 0 0 1 9 0 1 7 77
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 28 0 0 0 110
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 48 0 1 6 137
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 0 1 80
Duality in mean-variance frontiers with conditioning information 0 0 0 76 0 0 2 257
Dynamic Specification Tests for Dynamic Factor Models 0 0 0 59 0 0 7 112
Dynamic Specification Tests for Static Factor Models 0 0 0 66 0 1 2 236
Dynamic Specification Tests for Static Factor Models 0 0 0 41 0 0 2 100
Dynamic specification tests for dynamic factor models 0 1 1 10 1 2 10 32
Empirical Evaluation of Overspecified Asset Pricing Models 0 0 2 23 1 1 8 30
Empirical Evaluation of Overspecified Asset Pricing Models 0 0 3 46 0 1 18 88
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 1 1 90 0 3 7 353
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 1 3 5 149 1 3 8 413
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 1 151 0 0 5 424
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 1 7 0 1 3 25
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 0 4 461
Factor Representing Portfolios in Large Asset Markets.Versión Revisada 0 0 0 0 0 0 0 1
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 0 0 37 0 0 2 92
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 9 0 0 5 46
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 53 0 0 4 35
Finite Underidentification 0 0 0 22 0 0 5 17
Gaussian Rank Correlation and Regression 0 10 10 10 0 7 8 8
Gaussian rank correlation and regression 0 4 9 9 2 15 37 37
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 3 269
Has the EMS Reduced the Cost of Capital? Versión Revisada 0 0 0 0 0 1 5 10
Hypothesis Tests with a Repeatedly Singular Information Matrix 1 3 3 3 2 7 7 7
Hypothesis tests with a repeatedly singular information matrix 0 1 21 21 1 5 39 39
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 1 3 25 876
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada 0 0 0 0 0 0 1 3
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 0 34 1 1 17 110
Indirect Estimation of Conditionally Heteroskedastic Factor Models 0 0 0 195 0 0 4 565
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 2 1 3 8 27
Is a Normal Copula the Right Copula? 0 0 1 23 0 1 9 58
Is a normal copula the right copula? 0 0 0 38 0 1 4 53
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 34 0 1 4 138
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 2 5 1,425
Least Squares Predictions and Mean-Variance Analysis 0 1 1 175 0 1 4 736
Least Squares Predictions and Mean-Variance Analysis 0 0 1 234 0 0 2 1,097
Least Squares Predictions and Mean-Variance Analysis. Versión Revisada 1 1 1 1 1 1 1 2
Likelihood-Based Estimation of Latent Generalised ARCH Structures 0 0 0 1 0 1 7 15
Likelihood-based estimation of latent generalised ARCH 0 0 0 0 0 0 0 16
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 2 6 241
Likelihood-based estimation of latent generalised ARCH structures 0 1 1 159 0 2 6 478
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 0 1 5 35
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 0 1 5 304
Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes 0 0 0 0 0 0 6 9
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 0 5 582
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 0 5 232
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 0 0 3 19
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 8 0 2 5 32
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 0 0 0 1 1
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 327 2 3 6 708
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 1 3 1,277
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 2 3 4 5 4 7 12 25
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 615 0 1 4 1,029
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 0 1 7 33
Moment tests of independent components 0 21 21 21 1 11 11 11
Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation 0 0 1 11 0 1 5 99
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 2 56 0 1 8 188
Neglected Serial Correlation Tests in UCARIMA Models 0 0 0 36 0 0 6 49
New Testing Approaches for Mean-Variance Predictability 0 0 1 5 1 2 10 20
New testing approaches for mean-variance predictability 0 0 2 10 0 2 10 27
New testing approaches for mean-variance predictability 0 0 3 54 3 8 25 84
New testing approaches for mean-variance predictability 0 0 1 18 0 3 14 27
Normality Tests for Latent Variables 0 0 0 17 1 5 30 71
On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models 0 0 0 46 0 1 6 191
On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models 0 0 0 0 0 0 1 5
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 1 1 4 0 1 7 34
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 0 0 230
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 59 0 1 2 250
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 0 83 0 3 5 286
Pricing Options on Assets with Predictable White Noise Returns 0 0 0 0 0 0 1 5
Pricing Options on Assets with Predictable White Noise Returns 0 0 1 138 0 0 5 647
Quadratic ARCH Models 0 0 0 0 0 3 20 40
Quadratic Arch Models 0 0 0 1 0 2 12 873
Riesgo y rentabilidad en el mercado de valores español 0 0 0 0 1 4 5 10
Risk and Return in the Spanish Stock Market 0 0 0 279 0 0 2 1,162
Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets 0 0 0 0 0 0 3 8
Sequential Estimation of Shape Parameters in Multivariate Dynamic Models 0 0 0 55 0 1 2 143
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 1 4 248
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 1 2 2 62 1 2 7 298
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 126 1 3 5 512
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 1 1 1 84 3 3 12 370
Specification Tests for Non-Gaussian Maximum Likelihood Estimators 0 0 1 4 0 0 3 13
Specification tests for non-Gaussian maximum likelihood estimators 0 1 2 44 0 3 9 38
Specification tests for non-Gaussian maximum likelihood estimators 0 0 1 10 0 1 12 29
Specification tests for non-Gaussian maximum likelihood estimators 0 1 2 34 0 1 6 20
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 17 0 1 5 100
Testing Distributional Assumptions Using a Continuum of Moments 0 0 0 23 0 1 2 34
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 2 68 0 1 5 221
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 45 0 0 2 152
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 96 0 0 1 243
Testing for GARCH Effects: A One-Sided Approach 0 0 0 0 1 2 6 11
Tests for Serial Dependence in Static, Non-Gaussian Factor Models 0 0 0 46 1 1 4 98
The Econometrics of Mean-Variance Efficiency Tests: A Survey 0 0 0 61 0 3 4 224
The Jacobian of the Exponential Function 0 17 17 17 2 10 10 10
The Jacobian of the exponential function 0 0 43 43 0 2 31 31
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 1 333
The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases 0 0 0 0 0 0 2 4
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 1 3 655
The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models 0 1 1 2 0 1 2 7
The Rise and Fall of the Natural Interest Rate 3 7 15 90 7 25 66 190
The Rise and Fall of the Natural Interest Rate 0 2 10 100 3 10 37 165
The Rise and Fall of the Natural Interest Rate 0 0 1 32 0 4 14 56
The Rise and Fall of the Natural Interest Rate 0 3 10 75 5 21 41 108
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 6 559
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 0 1 5
The rise and fall of the natural interest rate 0 5 9 58 2 11 33 104
Underidentification? 0 0 1 265 0 1 5 1,069
Underidentification? 0 0 0 66 1 1 7 291
Underidentification? (Resumen) 0 0 0 63 0 0 9 189
Valuation of VIX Derivatives 0 1 2 24 2 3 15 151
Valuation of VIX Derivatives 0 0 0 99 0 1 5 266
Valuation of vix derivatives 1 1 6 23 3 5 20 140
Volatility, Diversification and Contagion 0 0 0 11 3 4 7 32
Volatility, diversification and contagion 0 0 0 3 0 1 5 27
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 12 0 0 3 39
Volatility-related exchange traded assets: an econometric investigation 0 0 0 53 0 0 3 35
Volatiltiy and Links Between National Stock Markets 0 3 3 400 5 15 29 1,125
Zero-Diagonality as a Linear Structure 0 4 4 4 0 3 3 3
Zero-diagonality as a linear structure 0 0 1 1 1 1 9 9
Total Working Papers 17 142 304 6,758 93 380 1,235 31,715


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 0 3 21 1 3 19 102
A comparison of mean-variance efficiency tests 0 0 0 89 0 1 4 388
A spectral EM algorithm for dynamic factor models 0 1 2 4 1 3 7 33
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 0 1 2 546
Comment 0 0 0 6 2 2 6 24
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 1 3 0 2 5 28
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 2 4 338
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 0 1 3 11 11
Constrained Indirect Estimation 0 0 2 74 1 1 7 277
Did the EMS Reduce the Cost of Capital? 0 0 0 74 0 0 4 410
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 3 26 0 0 10 123
Duality in mean-variance frontiers with conditioning information 0 0 1 5 0 0 1 30
Dynamic specification tests for dynamic factor models 0 1 1 6 0 2 10 34
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 1 4 691
Factor representing portfolios in large asset markets 0 0 0 49 2 3 6 156
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 3 11 25 629 7 23 64 1,814
Identification, estimation and testing of conditionally heteroskedastic factor models 0 1 10 193 1 4 24 392
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 42 1 2 7 121
Is a Normal Copula the Right Copula? 0 0 2 2 0 1 8 8
Least Squares Predictions and Mean-Variance Analysis 0 2 2 186 0 4 5 749
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 0 1 6 624
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 90 0 2 4 246
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 3 3 10 756
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 1 194 0 1 2 789
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 2 55 0 3 10 211
Neglected serial correlation tests in UCARIMA models 0 0 1 3 0 2 8 39
Normality tests for latent variables 0 0 0 1 1 4 15 28
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 2 209
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 2 4 9 1,192
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 32 1 1 2 148
Quadratic ARCH Models 3 7 20 499 6 24 52 1,248
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 39 0 1 3 137
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 1 1 1 43 1 1 2 194
Sequential estimation of shape parameters in multivariate dynamic models 0 0 1 37 0 1 3 169
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 1 1 25 1 3 11 119
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 1 32 0 3 7 121
Testing distributional assumptions using a continuum of moments 0 0 0 0 0 2 9 9
Testing for GARCH effects: a one-sided approach 1 1 3 173 1 1 5 498
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 1 4 4 13
The econometrics of mean-variance efficiency tests: a survey 0 1 1 109 0 1 1 393
The econometrics of the stock market I: rationality tests 0 0 0 139 0 0 2 344
The econometrics of the stock market II: asset pricing 0 0 0 196 1 2 2 516
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 1 3 504
Underidentification? 0 0 2 37 6 13 40 215
Unobserved component time series models with Arch disturbances 2 2 3 623 4 8 15 1,082
Valuation of VIX derivatives 2 5 14 79 5 12 45 289
Volatility and Links between National Stock Markets 0 0 6 1,097 4 18 62 2,856
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 0 0 0 3 8
Zero-diagonality as a linear structure 0 0 0 0 0 3 8 8
Total Journal Articles 12 34 109 5,401 54 177 553 19,240


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 7 22
Total Chapters 0 0 0 1 0 0 7 22


Statistics updated 2021-06-03