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 0 2 95
A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 1 3 3
A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 1 9 594
A Spectral EM Algorithm for Dynamic Factor Models 0 0 0 41 0 1 4 35
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 1 42 0 1 6 119
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 1 1 8 3 5 7 40
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 0 0 4 41
A spectral EM algorithm for dynamic factor models 0 0 0 33 0 1 6 57
A spectral EM algorithm for dynamic factor models 0 0 0 24 1 2 7 41
A unifying approach to the empirical evaluation of asset pricing models 0 0 0 48 0 1 5 113
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 1 1 7 1,132
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 1 1 2 2
An Index of Co-Movements in Financial Time Series 0 0 0 0 0 16 17 17
An Index of Co-Movements in Financial Time Series 0 0 0 0 3 16 19 397
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 0 21 0 3 4 79
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 1 5 923
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 1 2 2
Conditional means of time series processes and time series processes for conditional means 0 1 2 15 1 5 13 80
Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators 0 1 14 14 1 5 25 25
Consistent non-Gaussian pseudo maximum likelihood estimators 0 1 1 5 1 3 8 21
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 3 13 1 3 13 43
Consistent non-Gaussian pseudo maximum likelihood estimators 0 0 0 22 1 2 6 14
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 0 5 399
Constrained EMM and Indirect Inference Estimation. Versión Revisada 0 0 0 0 0 1 2 2
Constrained Indirect Inference Estimation 0 0 0 99 1 1 3 266
Constrained indirect inference estimation 0 0 0 1 0 0 1 9
Did the EMS Reduce the Cost of Capital? 0 0 0 113 0 0 2 488
Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations 0 0 0 8 1 1 1 65
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 0 28 2 2 3 104
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 1 2 4 76
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 48 0 0 1 126
Duality in mean-variance frontiers with conditioning information 0 0 0 76 0 0 4 250
Dynamic Specification Tests for Dynamic Factor Models 0 1 3 59 1 3 14 104
Dynamic Specification Tests for Static Factor Models 0 0 0 66 1 3 9 229
Dynamic Specification Tests for Static Factor Models 0 0 0 41 1 1 4 98
Dynamic specification tests for dynamic factor models 0 0 7 7 0 1 15 15
Empirical Evaluation of Overspecified Asset Pricing Models 0 1 21 21 2 3 20 20
Empirical Evaluation of Overspecified Asset Pricing Models 0 0 6 41 1 5 33 61
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 1 1 1 89 1 2 4 337
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 0 0 0 142 0 0 1 399
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 1 148 1 2 10 407
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 0 4 1 1 4 15
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 1 1 3 450
Factor Representing Portfolios in Large Asset Markets.Versión Revisada 0 0 0 0 0 0 0 0
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 0 0 36 2 4 7 80
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 53 0 2 3 27
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 1 9 2 3 7 37
Finite Underidentification 0 0 0 22 1 1 4 10
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 0 0 263
Has the EMS Reduced the Cost of Capital? Versión Revisada 0 0 0 0 0 1 2 2
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 0 3 11 846
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada 0 0 0 0 0 0 0 0
Identification, estimation and testing of conditionally heteroskedastic factor models 0 1 5 33 0 2 13 91
Indirect Estimation of Conditionally Heteroskedastic Factor Models 0 0 1 194 2 2 5 555
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 2 0 0 3 16
Is a Normal Copula the Right Copula? 0 0 2 21 1 2 6 44
Is a normal copula the right copula? 0 0 3 37 1 1 11 41
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 0 34 1 2 5 130
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 0 0 3 1,418
Least Squares Predictions and Mean-Variance Analysis 0 0 1 233 0 0 5 1,091
Least Squares Predictions and Mean-Variance Analysis 0 0 1 173 0 0 3 729
Least Squares Predictions and Mean-Variance Analysis. Versión Revisada 0 0 0 0 0 0 0 0
Likelihood-Based Estimation of Latent Generalised ARCH Structures 1 1 1 1 1 1 3 3
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 1 4 231
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 1 1 4 292
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 158 1 1 6 468
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 4 5 7 26
Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes 0 0 0 0 0 0 0 0
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 0 3 575
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 1 5 224
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 2 8 1 3 10 23
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 1 1 2 5 12
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 327 0 1 3 698
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 0 0 1 2 2
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 2 2 9 1,269
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 615 0 0 1 1,022
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 0 0 2 21
Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation 0 0 0 10 0 0 1 83
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 0 53 0 0 0 172
Neglected Serial Correlation Tests in UCARIMA Models 0 0 1 36 0 3 8 41
New Testing Approaches for Mean-Variance Predictability 0 0 2 2 0 0 3 3
New testing approaches for mean-variance predictability 0 0 7 7 0 0 10 10
New testing approaches for mean-variance predictability 0 0 16 16 0 0 8 8
New testing approaches for mean-variance predictability 0 1 48 48 0 6 34 34
Normality Tests for Latent Variables 1 1 16 16 4 10 30 30
On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models 0 0 1 43 1 2 7 179
On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models 0 0 0 0 0 0 0 0
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 1 1 3 1 3 9 25
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 1 1 1 224
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 59 1 2 4 243
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 0 83 1 1 3 269
Pricing Options on Assets with Predictable White Noise Returns 0 0 0 0 0 0 2 2
Pricing Options on Assets with Predictable White Noise Returns 0 0 0 137 0 2 10 639
Quadratic ARCH Models 0 0 0 0 2 4 5 5
Quadratic Arch Models 0 0 0 1 1 2 7 851
Riesgo y rentabilidad en el mercado de valores español 0 0 0 0 0 0 0 0
Risk and Return in the Spanish Stock Market 0 0 1 279 0 0 2 1,157
Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets 0 0 0 0 0 0 1 1
Sequential Estimation of Shape Parameters in Multivariate Dynamic Models 0 0 0 55 0 1 3 136
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 2 2 5 240
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 125 0 2 6 499
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 60 0 0 4 285
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 1 2 4 353
Specification Tests for Non-Gaussian Maximum Likelihood Estimators 0 0 3 3 0 2 8 8
Specification tests for non-Gaussian maximum likelihood estimators 0 0 5 40 0 3 12 24
Specification tests for non-Gaussian maximum likelihood estimators 0 0 0 32 3 6 10 12
Specification tests for non-Gaussian maximum likelihood estimators 0 0 0 9 0 2 8 14
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 0 17 0 0 3 94
Testing Distributional Assumptions Using a Continuum of Moments 0 1 20 20 1 4 16 16
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 1 1 96 2 3 9 238
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 66 2 2 3 211
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 45 0 0 1 149
Testing for GARCH Effects: A One-Sided Approach 0 0 0 0 0 1 1 1
Tests for Serial Dependence in Static, Non-Gaussian Factor Models 0 0 0 46 0 1 5 89
The Econometrics of Mean-Variance Efficiency Tests: A Survey 0 0 0 60 0 0 4 214
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 0 330
The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases 0 0 0 0 0 0 0 0
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 1 4 649
The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models 0 0 0 0 0 2 2 2
The Rise and Fall of the Natural Interest Rate 1 2 57 57 2 10 42 42
The Rise and Fall of the Natural Interest Rate 1 3 13 53 5 16 52 64
The Rise and Fall of the Natural Interest Rate 3 4 20 78 9 17 66 93
The Rise and Fall of the Natural Interest Rate 0 0 29 29 1 7 21 21
The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality 0 0 0 1 0 3 5 550
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 2 2
The rise and fall of the natural interest rate 2 2 14 43 6 11 38 44
Underidentification? 0 0 0 66 1 4 10 277
Underidentification? 0 0 2 263 0 1 9 1,053
Underidentification? (Resumen) 0 0 1 63 2 4 8 176
Valuation of VIX Derivatives 0 0 3 99 0 1 6 251
Valuation of VIX Derivatives 0 0 0 22 0 1 11 127
Valuation of vix derivatives 0 0 0 15 0 1 6 112
Volatility, Diversification and Contagion 0 1 9 9 0 1 17 17
Volatility, diversification and contagion 0 0 1 3 0 0 7 18
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 1 12 0 0 2 33
Volatility-related exchange traded assets: an econometric investigation 0 0 0 53 0 0 0 28
Volatiltiy and Links Between National Stock Markets 0 0 3 395 0 1 14 1,087
Total Working Papers 10 27 353 6,351 99 289 1,038 29,574


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 0 15 1 2 6 76
A comparison of mean-variance efficiency tests 0 0 0 89 0 1 2 380
A spectral EM algorithm for dynamic factor models 0 0 0 2 0 2 11 20
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 1 2 6 541
Comment 0 0 1 6 0 0 1 17
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 3 6 9 16
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 1 6 8 327
Constrained Indirect Estimation 0 0 0 71 0 1 3 265
Did the EMS Reduce the Cost of Capital? 0 0 0 74 0 0 4 404
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 0 0 23 0 0 2 110
Duality in mean-variance frontiers with conditioning information 0 0 0 4 1 1 6 26
Dynamic specification tests for dynamic factor models 0 0 4 4 1 4 15 15
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 1 3 686
Factor representing portfolios in large asset markets 0 0 0 48 0 1 2 147
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 3 9 24 590 4 14 56 1,720
Identification, estimation and testing of conditionally heteroskedastic factor models 1 4 22 175 1 10 45 350
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 42 1 1 3 109
Least Squares Predictions and Mean-Variance Analysis 0 0 1 182 0 0 3 741
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 0 1 5 609
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 0 90 1 1 5 240
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 1 3 11 740
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 193 0 0 1 784
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 1 26
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 0 0 0 32
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 0 52 2 2 3 196
Neglected serial correlation tests in UCARIMA models 1 1 1 2 1 3 5 25
Normality tests for latent variables 0 0 0 0 0 8 8 8
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 1 206
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 1 1 1 1,178
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 0 32 2 2 5 139
Quadratic ARCH Models 1 4 14 467 5 14 38 1,163
Risk and return in the Spanish stock market: some evidence from individual assets 0 0 0 38 0 0 1 132
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 0 1 190
Sequential estimation of shape parameters in multivariate dynamic models 0 0 1 36 0 0 5 160
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 24 1 1 4 107
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 1 31 0 0 6 113
Testing for GARCH effects: a one-sided approach 0 0 1 170 1 2 6 489
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 2 5
The econometrics of mean-variance efficiency tests: a survey 0 0 0 107 0 3 7 388
The econometrics of the stock market I: rationality tests 0 0 0 139 0 0 2 339
The econometrics of the stock market II: asset pricing 0 0 0 195 0 0 0 510
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 2 2 5 498
Underidentification? 0 0 0 35 1 1 8 168
Unobserved component time series models with Arch disturbances 0 2 10 616 2 9 29 1,050
Valuation of VIX derivatives 0 1 12 57 1 7 42 212
Volatility and Links between National Stock Markets 1 3 28 1,076 5 12 89 2,761
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 0 1 1 1 1
Total Journal Articles 7 24 120 5,230 41 126 477 18,419


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 1 1 1 2 7 9
Total Chapters 0 0 1 1 1 2 7 9


Statistics updated 2019-10-05