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 Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix 0 0 0 0 0 0 2 584
A Spectral EM Algorithm for Dynamic Factor Models 0 0 2 39 0 1 6 25
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 3 7 0 0 5 30
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 4 0 0 2 35
A Unifying Approach to the Empirical Evaluation of Asset Pricing Models 0 0 0 41 0 0 3 112
A spectral EM algorithm for dynamic factor models 0 0 2 33 1 2 11 46
A spectral EM algorithm for dynamic factor models 0 0 0 21 1 2 15 21
A unifying approach to the empirical evaluation of asset pricing models 0 0 0 48 0 0 4 108
An EM Algorithm for Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 1 1,124
An Index of Co-Movements in Financial Time Series 0 0 0 0 2 5 9 373
CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION 0 0 1 21 0 0 4 71
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 1 0 0 0 917
Conditional means of time series processes and time series processes for conditional means 1 1 2 13 1 1 6 63
Constrained EMM and Indirect Inference Estimation 0 0 0 0 0 0 2 394
Constrained Indirect Inference Estimation 0 0 1 99 0 0 1 263
Constrained indirect inference estimation 0 0 0 1 0 0 2 8
Did the EMS Reduce the Cost of Capital? 0 0 0 110 0 0 2 483
Distributional tests in multivariate dynamic models with Normal and Student t innovations 0 0 1 28 0 1 5 100
Duality in Mean-Variance Frontiers with Conditioning Information 0 0 0 7 0 0 1 72
Duality in mean-variance frontiers with conditioning information 0 0 1 76 0 0 2 245
Dynamic Specification Tests for Dynamic Factor Models 0 0 0 55 0 0 6 86
Dynamic Specification Tests for Static Factor Models 0 0 0 41 0 0 3 91
Dynamic Specification Tests for Static Factor Models 0 0 1 65 0 1 7 218
Empirical Evaluation of Overspecified Asset Pricing Models 1 3 29 29 3 6 16 16
Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations 1 1 2 87 1 1 4 331
Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations 0 0 1 145 0 0 4 390
Estimation and testing of dynamic models with generalised hyperbolic innovations 0 0 1 2 0 0 3 9
Factor Representing Portfolios in Large Asset Markets 0 0 0 0 0 1 2 447
Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation 0 1 2 35 0 3 12 67
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 1 53 0 1 3 22
Fast ML estimation of dynamic bifactor models: an application to European inflation 0 0 0 6 0 1 8 19
Finite Underidentification 0 0 21 21 0 1 5 5
Has the EMS Reduced the Cost of Capital? 0 0 0 0 0 1 2 262
Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model 0 0 0 2 1 1 9 829
Identification, estimation and testing of conditionally heteroskedastic factor models 0 0 0 28 1 1 4 77
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 1 0 1 5 11
Is a Normal Copula the Right Copula? 0 2 4 15 2 4 15 32
Is a normal copula the right copula? 0 0 1 34 2 4 9 28
LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES 0 0 1 34 0 0 7 123
Least Squares Predictions and Mean-Variance Analysis 0 0 0 172 1 1 4 723
Least Squares Predictions and Mean-Variance Analysis 1 1 2 232 1 2 5 1,086
Least Squares Predictions and Mean-Variance Analysis 0 0 0 0 1 1 3 1,415
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 2 1 3 10 18
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 52 0 0 4 226
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 158 0 1 6 459
Likelihood-based estimation of latent generalised ARCH structures 0 0 0 109 1 1 8 287
Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses 0 0 0 0 0 1 8 566
Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes 0 0 0 0 0 1 2 218
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 0 2 2 0 0 3 6
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 1 1 1 0 1 2 5
Mean Variance Portfolio Allocation with a Value at Risk Constraint 0 1 2 327 0 3 8 692
Mean-Variance Portfolio Allocation with a Value at Risk Constraint 0 0 0 3 0 3 8 1,255
Mean-Variance Portfolio allocation with a Value at Risk Constraint 0 0 0 615 0 0 3 1,017
Mean-variance portfolio allocation with a value at risk constraint 0 0 0 2 1 2 5 16
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 0 0 53 0 0 6 169
Neglected Serial Correlation Tests in UCARIMA Models 0 0 1 34 0 0 7 31
On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models 0 0 1 2 0 2 7 13
Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation 0 0 0 58 0 0 3 222
Parametric properties of semi-nonparametric distributions, with applications to option valuation 0 0 1 82 0 1 5 265
Pricing Options on Assets with Predictable White Noise Returns 0 0 1 137 1 1 7 629
Quadratic Arch Models 0 0 0 1 1 7 14 839
Risk and Return in the Spanish Stock Market 0 0 0 278 0 1 5 1,154
Sequential Estimation of Shape Parameters in Multivariate Dynamic Models 0 0 0 55 0 1 6 131
Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach 0 0 0 43 0 1 8 234
Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach 0 0 0 60 0 0 3 278
Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach 0 0 0 83 0 1 12 347
THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY 0 0 1 17 0 1 5 90
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 2 66 0 1 5 208
Testing Uncovered Interest Parity: A Continuous-Time Approach 0 0 0 94 0 0 6 226
Tests for Serial Dependence in Static, Non-Gaussian Factor Models 0 0 0 46 0 1 4 82
The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases 0 0 0 0 0 0 1 330
The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models 0 0 0 0 0 0 2 645
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 0 543
Underidentification? 0 0 0 66 0 1 2 265
Underidentification? 0 0 3 261 2 2 21 1,036
Underidentification? (Resumen) 0 0 0 61 1 1 4 165
Valuation of VIX Derivatives 0 0 14 95 0 3 27 242
Valuation of VIX Derivatives 0 0 0 21 1 4 25 105
Valuation of vix derivatives 0 0 1 13 2 5 13 96
Volatility-Related Exchange Traded Assets: An Econometric Investigation 0 0 0 10 0 0 4 28
Volatility-related exchange traded assets: an econometric investigation 0 0 0 53 0 1 3 25
Volatiltiy and Links Between National Stock Markets 0 4 30 379 0 8 60 1,046
Total Working Papers 4 15 139 4,946 29 102 551 25,570


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 14 0 0 10 56
A comparison of mean-variance efficiency tests 0 0 0 88 0 0 2 372
An EM Algorithm for Conditionally Heteroscedastic Factor Models 0 0 0 0 1 1 1 535
Comment 0 0 0 5 0 0 0 14
Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference 0 0 0 0 0 0 1 5
Conditional Means of Time Series Processes and Time Series Processes for Conditional Means 0 0 0 0 0 1 5 318
Constrained Indirect Estimation 0 0 0 69 0 1 3 257
Did the EMS Reduce the Cost of Capital? 0 0 0 72 0 0 0 396
Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations 0 1 1 23 1 2 2 108
Duality in mean-variance frontiers with conditioning information 0 0 2 3 1 1 7 12
Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix 0 0 0 84 0 0 0 681
Factor representing portfolios in large asset markets 0 0 1 48 0 0 3 144
Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data 4 5 23 546 9 17 92 1,612
Identification, estimation and testing of conditionally heteroskedastic factor models 5 8 19 139 6 11 29 280
Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks 0 0 0 39 0 0 5 97
Least Squares Predictions and Mean-Variance Analysis 1 1 1 180 2 2 3 737
Likelihood-Based Estimation of Latent Generalized ARCH Structures 0 0 0 170 2 3 7 598
Marginalization and contemporaneous aggregation in multivariate GARCH processes 0 1 1 90 1 2 4 230
Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations 0 0 0 4 0 1 5 720
Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market 0 0 0 193 0 0 0 782
Multivariate Regression with Unequal Number of Observations 0 0 0 3 0 0 0 25
Multivariate Regression with Unequal Number of Observations—Solution 0 0 0 11 0 0 1 32
Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation 0 1 1 52 0 1 3 189
Neglected serial correlation tests in UCARIMA models 0 1 1 1 0 1 7 16
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 0 202
On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models 0 0 0 202 2 2 3 1,177
Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation 0 0 1 31 1 1 3 130
Quadratic ARCH Models 1 3 14 446 1 12 33 1,101
Risk and return in the Spanish stock market: some evidence from individual assets 0 1 1 38 0 1 1 131
Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan 0 0 0 42 0 1 2 183
Sequential estimation of shape parameters in multivariate dynamic models 0 0 0 35 1 2 9 152
Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach 0 0 0 24 1 2 7 103
TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH 0 0 3 29 0 1 8 96
Testing for GARCH effects: a one-sided approach 0 0 0 168 1 2 4 479
The Likelihood Function of Conditionally Heteroskedastic Factor Models 0 0 0 0 0 0 0 2
The econometrics of mean-variance efficiency tests: a survey 0 0 0 106 1 2 5 374
The econometrics of the stock market I: rationality tests 0 0 1 139 0 0 3 335
The econometrics of the stock market II: asset pricing 1 1 2 195 1 1 3 509
The relation between conditionally heteroskedastic factor models and factor GARCH models 0 0 0 0 0 0 0 492
Underidentification? 0 0 2 35 0 0 8 149
Unobserved component time series models with Arch disturbances 2 2 6 605 3 4 17 1,012
Valuation of VIX derivatives 0 0 3 42 1 4 24 152
Volatility and Links between National Stock Markets 3 11 24 1,028 7 23 63 2,607
Total Journal Articles 17 36 110 5,028 43 102 383 17,602


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 0 0 0 0 0
Total Chapters 0 0 0 0 0 0 0 0


Statistics updated 2017-12-03