7
H index
5
i10 index
318
Citations
Dante Amengual : Citation Profile
Centro de Estudios Monetarios y Financieros (CEMFI) | RESEARCH PRODUCTION: 9 Articles 22 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (2007 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Dante Amengual. | Is cited by:
| Cites to:
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Main data
Where Dante Amengual has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Econometrics | 5 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| CEPR Discussion Papers / C.E.P.R. Discussion Papers | 3 |
| Working Paper series / Rimini Centre for Economic Analysis | 2 |
| Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" | 2 |
Recent works citing Dante Amengual (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | A Technical Indicator for a Short-term Trading Decision in the NASDAQ Market. (2023). Khalaf, Oshamah Ibrahim ; Bouasabah, Mohammed. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:27:y:2023:i:3:p:1-13. Full description at Econpapers || Download paper |
| 2023 | Composite Quantile Factor Models. (2023). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450. Full description at Econpapers || Download paper |
| 2023 | Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2310.08173. Full description at Econpapers || Download paper |
| 2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2023 | Score-type tests for normal mixtures. (2023). Sentana, Enrique ; Bei, Xinyue ; Amengual, Dante ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-02. Full description at Econpapers || Download paper |
| 2023 | Economic policy uncertainty and information intermediary: The case of short seller. (2023). Wang, Xiaoming. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003984. Full description at Econpapers || Download paper |
| 2023 | The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219. Full description at Econpapers || Download paper |
| 2023 | Information criteria for latent factor models: A study on factor pervasiveness and adaptivity. (2023). Tang, Cheng Yong ; Chen, YU ; Guo, Xiao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:237-250. Full description at Econpapers || Download paper |
| 2023 | Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201. Full description at Econpapers || Download paper |
| 2023 | Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665. Full description at Econpapers || Download paper |
| 2023 | Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604. Full description at Econpapers || Download paper |
| 2023 | The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164. Full description at Econpapers || Download paper |
| 2023 | Empirically-transformed linear opinion pools. (2023). Vahey, Shaun P ; Henckel, Timo ; Garratt, Anthony. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:736-753. Full description at Econpapers || Download paper |
| 2023 | GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989. Full description at Econpapers || Download paper |
| 2023 | Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Fiscal Policy and Asset Prices in a Dynamic Factor Model with Cointegrated Factors. (2023). Takumah, Wisdom. In: MPRA Paper. RePEc:pra:mprapa:117897. Full description at Econpapers || Download paper |
| 2023 | Economic policy statements, social media, and stock market uncertainty: An analysis of Donald Trump’s tweets. (2023). Ortiz, Daniel Perico. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09608-5. Full description at Econpapers || Download paper |
| 2023 | Reassessing the dependence between economic growth and financial conditions since 1973. (2023). Vahey, Shaun ; Coe, Patrick ; Chernis, Tony. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:2:p:260-267. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
Works by Dante Amengual:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 165 |
| 2008 | A Comparison of Mean-Variance Efficiency Tests In: Working Papers. [Full Text][Citation analysis] | paper | 28 |
| 2010 | A comparison of mean-variance efficiency tests.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | article | |
| 2012 | Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
| 2013 | Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2014 | Testing a Large Number of Hypotheses in Approximate Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2015 | Is a Normal Copula the Right Copula? In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2020 | Is a Normal Copula the Right Copula?.(2020) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
| 2017 | Normality Tests for Latent Variables In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2019 | Normality tests for latent variables.(2019) In: Quantitative Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2017 | Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2020 | Testing distributional assumptions using a continuum of moments.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2020 | Hypothesis Tests with a Repeatedly Singular Information Matrix In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2020 | Hypothesis tests with a repeatedly singular information matrix.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2020 | Gaussian Rank Correlation and Regression In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2020 | Gaussian rank correlation and regression.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
| 2021 | Moment tests of independent components In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2021 | Multivariate Hermite polynomials and information matrix tests In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Multivariate Hermite polynomials and information matrix tests.(2021) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Multivariate Hermite polynomials and information matrix tests.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Normal but Skewed? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Tests for random coefficient variation in vector autoregressive models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2021 | Tests for random coefficient variation in vector autoregressive models.(2021) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2021 | Tests for random coefficient variation in vector autoregressive models.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2015 | Market-based estimation of stochastic volatility models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
| 2018 | Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 57 |
| 2022 | GDP Solera: The Ideal Vintage Mix In: Staff Reports. [Full Text][Citation analysis] | paper | 4 |
| 2016 | Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Endogenous Health Groups and Heterogeneous Dynamics of the Elderly In: 2019 Meeting Papers. [Full Text][Citation analysis] | paper | 5 |
| 2017 | Endogenous Health Groups and Heterogeneous Dynamics of the Elderly.(2017) In: Health, Econometrics and Data Group (HEDG) Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team