Dante Amengual : Citation Profile


Are you Dante Amengual?

Centro de Estudios Monetarios y Financieros (CEMFI)

5

H index

5

i10 index

194

Citations

RESEARCH PRODUCTION:

8

Articles

10

Papers

RESEARCH ACTIVITY:

   13 years (2007 - 2020). See details.
   Cites by year: 14
   Journals where Dante Amengual has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 2 (1.02 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pam97
   Updated: 2020-09-26    RAS profile: 2020-07-02    
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Relations with other researchers


Works with:

Sentana, Enrique (8)

Authors registered in RePEc who have co-authored more than one work in the last five years with Dante Amengual.

Is cited by:

Sentana, Enrique (29)

Forni, Mario (23)

Fiorentini, Gabriele (20)

Lippi, Marco (18)

Hallin, Marc (12)

Gambetti, Luca (11)

Luciani, Matteo (10)

Barigozzi, Matteo (8)

Stevanovic, Dalibor (8)

Rua, António (8)

Chang, Chia-Lin (5)

Cites to:

Sentana, Enrique (18)

Fiorentini, Gabriele (11)

Calzolari, Giorgio (8)

De Nardi, Mariacristina (7)

Pesaran, M (6)

Mencia, Javier (6)

Fella, Giulio (5)

Paz-Pardo, Gonzalo (5)

Wu, Liuren (5)

pan, jun (4)

Singleton, Kenneth (4)

Main data


Where Dante Amengual has published?


Journals with more than one article published# docs
Journal of Econometrics4

Recent works citing Dante Amengual (2020 and 2019)


YearTitle of citing document
2019Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach. (2019). Rossi, Eduardo ; Palomba, Giulio ; Bucci, Andrea. In: Working Papers. RePEc:anc:wpaper:440.

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2019Estimation of Weak Factor Models. (2019). Yamagata, Takashi ; Uematsu, Yoshimasa. In: ISER Discussion Paper. RePEc:dpr:wpaper:1053.

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2019Large-dimensional factor modeling based on high-frequency observations. (2019). Pelger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:23-42.

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2019Bayesian estimation of dynamic asset pricing models with informative observations. (2019). Li, Junye ; Fulop, Andras. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:1:p:114-138.

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2019Consistent non-Gaussian pseudo maximum likelihood estimators. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:321-358.

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2020Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348.

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2020Macroeconomic forecasting using approximate factor models with outliers. (2020). Yen, Yu-Min ; Chou, Ray Yeutien. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:267-291.

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2019Robust factor number specification for large-dimensional elliptical factor model. (2019). Zhang, Xinsheng ; He, Yong ; Yu, Long. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:174:y:2019:i:c:s0047259x18304378.

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2020What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur. In: International Finance Discussion Papers. RePEc:fip:fedgif:1294.

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2019Dynamic specification tests for dynamic factor models. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2018_07.

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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_01.

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2020Cointegration and Error Correction Mechanisms for Singular Stochastic Vectors. (2020). Barigozzi, Matteo ; Luciani, Matteo ; Lippi, Marco. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:1:p:3-:d:316273.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: Working Papers. RePEc:hae:wpaper:2019-4.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine . In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine. In: Working Papers. RePEc:hal:wpaper:halshs-02262202.

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2019An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2019). Mazur, Stepan ; Gulliksson, Mrten. In: Working Papers. RePEc:hhs:oruesi:2019_003.

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2020Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility. (2020). Thiem, Christopher. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09559-1.

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2020Dynamic jump intensities and news arrival in oil futures markets. (2020). Turnbull, Stuart M ; Ostdiek, Barbara ; Han, YU ; Ensor, Katherine B. In: Journal of Asset Management. RePEc:pal:assmgt:v:21:y:2020:i:4:d:10.1057_s41260-020-00168-z.

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2020Forecasting tourism with targeted predictors in a data-rich environment. (2020). Loureno, Nuno ; Gouveia, Carlos Melo ; Rua, Antonio. In: Working Papers. RePEc:ptu:wpaper:w202005.

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2019New testing approaches for mean-variance predictability. (2019). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Paper series. RePEc:rim:rimwps:19-01.

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2019Robust Volatility Estimation with and Without the Drift Parameter. (2019). Maheswaran, S ; Shaik, Muneer . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:17:y:2019:i:1:d:10.1007_s40953-018-0129-4.

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2020Bahadur intercept with applications to one-sided testing. (2020). Lu, Zeng-Hua . In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0955-z.

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2019The term structure of systematic and idiosyncratic risk. (2019). Prokopczuk, Marcel ; Hollstein, Fabian ; Simen, Chardin Wese. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:4:p:435-460.

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2019International Spillovers of U.S. Monetary Policy. (2019). Demir, Ishak. In: LEAF Working Paper Series. RePEc:zbw:leafwp:1902.

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Works by Dante Amengual:


YearTitleTypeCited
2007Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel In: Journal of Business & Economic Statistics.
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article131
2008A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS In: Working Papers.
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paper27
2010A comparison of mean-variance efficiency tests.(2010) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 27
article
2012Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers.
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paper14
2013Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 14
article
2014Testing a Large Number of Hypotheses in Approximate Factor Models In: Working Papers.
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paper0
2015Is a Normal Copula the Right Copula? In: Working Papers.
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paper0
2015Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 0
paper
2020Is a Normal Copula the Right Copula?.(2020) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 0
article
2017Normality Tests for Latent Variables In: Working Papers.
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paper0
2019Normality tests for latent variables.(2019) In: Quantitative Economics.
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This paper has another version. Agregated cites: 0
article
2017Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers.
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paper0
2020Hypothesis tests with a repeatedly singular information matrix In: CEPR Discussion Papers.
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paper0
2015Market-based estimation of stochastic volatility models In: Journal of Econometrics.
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article10
2018Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics.
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article12
2016Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference In: Journal of Financial Econometrics.
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article0
2019Endogenous Health Groups and Heterogeneous Dynamics of the Elderly In: 2019 Meeting Papers.
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paper0
2017Endogenous Health Groups and Heterogeneous Dynamics of the Elderly.(2017) In: Health, Econometrics and Data Group (HEDG) Working Papers.
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This paper has another version. Agregated cites: 0
paper

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