18
H index
27
i10 index
1750
Citations
Enrique Sentana : Citation Profile
Centro de Estudios Monetarios y Financieros (CEMFI) (98% share) | RESEARCH PRODUCTION: 46 Articles 115 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1988 - 2019). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Enrique Sentana. | Is cited by:
| Cites to:
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Main data
Where Enrique Sentana has published?
Recent works citing Enrique Sentana (2019 and 2018)
| Year | Title of citing document | |
|---|---|---|
| 2017 | A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15. Full description at Econpapers || Download paper | |
| 2019 | Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Dufrenot, Gilles ; Rhouzlane, Meryem. In: AMSE Working Papers. RePEc:aim:wpaimx:1912. Full description at Econpapers || Download paper | |
| 2019 | Indirect Inference With(Out) Constraints. (2016). Renault, Eric ; Frazier, David T. In: Papers. RePEc:arx:papers:1607.06163. Full description at Econpapers || Download paper | |
| 2017 | Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1705.10454. Full description at Econpapers || Download paper | |
| 2019 | Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045. Full description at Econpapers || Download paper | |
| 2019 | Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks. (2019). Ulrich, Maxim ; Walther, Simon ; Ferreira, Fabio ; Rothfuss, Jonas. In: Papers. RePEc:arx:papers:1903.00954. Full description at Econpapers || Download paper | |
| 2019 | Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123. Full description at Econpapers || Download paper | |
| 2019 | Tracking VIX with VIX Futures: Portfolio Construction and Performance. (2019). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1907.00293. Full description at Econpapers || Download paper | |
| 2019 | From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Dandapani, Aditi. In: Papers. RePEc:arx:papers:1907.06151. Full description at Econpapers || Download paper | |
| 2018 | Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885. Full description at Econpapers || Download paper | |
| 2018 | The relevance of currency-denomination for the cross-border effects of monetary policy. (2018). argimon, isabel. In: Working Papers. RePEc:bde:wpaper:1827. Full description at Econpapers || Download paper | |
| 2019 | The natural interest rate in Latin America. (2019). Gomez-Pineda, Javier G. In: Borradores de Economia. RePEc:bdr:borrec:1067. Full description at Econpapers || Download paper | |
| 2018 | Towards an Understanding of the Origins of the Favourite–Longshot Bias: Evidence from Online Poker Markets, a Real†money Natural Laboratory. (2018). Williams, Leighton Vaughan ; Peirson, John ; PEter, ; Sung, Minga Chien ; VaughanWilliams, Leighton . In: Economica. RePEc:bla:econom:v:85:y:2018:i:338:p:360-382. Full description at Econpapers || Download paper | |
| 2018 | On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators. (2018). Demos, Antonis ; Antonis, Demos ; Stelios, Arvanitis . In: Journal of Econometric Methods. RePEc:bpj:jecome:v:7:y:2018:i:1:p:38:n:2. Full description at Econpapers || Download paper | |
| 2018 | Testing Over- and Underidentification in Linear Models, with Applications to Dynamic Panel Data and Asset-Pricing Models. (2018). Windmeijer, Frank. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:18/696. Full description at Econpapers || Download paper | |
| 2017 | Normality Tests for Latent Variables. (2017). Almuzara, Tincho ; Sentana, Enrique ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708. Full description at Econpapers || Download paper | |
| 2017 | Testing Distributional Assumptions Using a Continuum of Moments. (2017). Amengual, Dante ; Sentana, Enrique ; Carrasco, Marine. In: Working Papers. RePEc:cmf:wpaper:wp2018_1709. Full description at Econpapers || Download paper | |
| 2017 | Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Manresa, Elena ; Sentana, Enrique ; Pearanda, Francisco . In: Working Papers. RePEc:cmf:wpaper:wp2018_1711. Full description at Econpapers || Download paper | |
| 2017 | Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015300. Full description at Econpapers || Download paper | |
| 2017 | Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015923. Full description at Econpapers || Download paper | |
| 2019 | Firm size and concentration inequality: A flexible extension of Gibrat’s law. (2019). Perote, Javier ; Lozada, Juan M ; Cortes, Lina . In: Documentos de Trabajo CIEF. RePEc:col:000122:017205. Full description at Econpapers || Download paper | |
| 2019 | Uncertainty in Electricity Markets from a seminonparametric Approach. (2019). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017304. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118. Full description at Econpapers || Download paper | |
| 2017 | BIAS correction for dynamic factor models. (2017). Alonso, Andres Modesto ; Bastos, Guadalupe ; Garcia-Martos, Carolina . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24029. Full description at Econpapers || Download paper | |
| 2018 | Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905. Full description at Econpapers || Download paper | |
| 2019 | Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hallin, Marc ; Trucios-Maza, Carlos Cesar ; Hotta, Luis K ; Zevallos, Mauricio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066. Full description at Econpapers || Download paper | |
| 2018 | The natural rate of interest: estimates, drivers, and challenges to monetary policy JEL Classification: E52, E43. (2018). Bielecki, Marcin ; Penalver, Adrian ; Brand, Claus. In: Occasional Paper Series. RePEc:ecb:ecbops:2018217. Full description at Econpapers || Download paper | |
| 2019 | Taylor-rule consistent estimates of the natural rate of interest. (2019). Mazelis, Falk ; Brand, Claus. In: Working Paper Series. RePEc:ecb:ecbwps:20192257. Full description at Econpapers || Download paper | |
| 2019 | Demographics and the natural real interest rate: historical and projected paths for the euro area. (2019). Papetti, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20192258. Full description at Econpapers || Download paper | |
| 2019 | Volatility Spillovers among the Cryptocurrency Time Series. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-7. Full description at Econpapers || Download paper | |
| 2019 | Simultaneous statistical inference in dynamic factor models: Chi-square approximation and model-based bootstrap. (2019). Dickhaus, Thorsten ; Sirotko-Sibirskaya, Natalia . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:129:y:2019:i:c:p:30-46. Full description at Econpapers || Download paper | |
| 2017 | Pure jump models for pricing and hedging VIX derivatives. (2017). Li, Jing ; Zhang, Gongqiu . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:74:y:2017:i:c:p:28-55. Full description at Econpapers || Download paper | |
| 2018 | International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236. Full description at Econpapers || Download paper | |
| 2018 | Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets. (2018). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248. Full description at Econpapers || Download paper | |
| 2018 | Testing normality for unconditionally heteroscedastic macroeconomic variables. (2018). RAÃSSI, HAMDI ; Raissi, Hamdi. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:140-146. Full description at Econpapers || Download paper | |
| 2017 | Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69. Full description at Econpapers || Download paper | |
| 2018 | Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201. Full description at Econpapers || Download paper | |
| 2019 | Reasonable evaluation of VIX options for the Taiwan stock index. (2019). Wang, Chiu-Ping ; Lin, Shin-Hung ; Huang, Hung-Hsi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:111-130. Full description at Econpapers || Download paper | |
| 2018 | Intertemporal risk-return tradeoff in the short-run. (2018). Marks, Joseph M ; Nam, Kiseok. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:81-84. Full description at Econpapers || Download paper | |
| 2018 | Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44. Full description at Econpapers || Download paper | |
| 2018 | Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301. Full description at Econpapers || Download paper | |
| 2018 | Penalized indirect inference. (2018). Blasques, Francisco ; Duplinskiy, Artem . In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:34-54. Full description at Econpapers || Download paper | |
| 2018 | A two-step indirect inference approach to estimate the long-run risk asset pricing model. (2018). Grammig, Joachim ; Kuchlin, Eva-Maria. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:6-33. Full description at Econpapers || Download paper | |
| 2018 | The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111. Full description at Econpapers || Download paper | |
| 2019 | Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417. Full description at Econpapers || Download paper | |
| 2019 | A multiple testing approach to the regularisation of large sample correlation matrices. (2019). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:507-534. Full description at Econpapers || Download paper | |
| 2019 | Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637. Full description at Econpapers || Download paper | |
| 2019 | Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115. Full description at Econpapers || Download paper | |
| 2017 | Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32. Full description at Econpapers || Download paper | |
| 2018 | Asymmetric attention and volatility asymmetry. (2018). Dzieliski, Micha ; Talpsepp, Tnn ; Rieger, Marc Oliver. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:59-67. Full description at Econpapers || Download paper | |
| 2017 | Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. (2017). Sensoy, Ahmet ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon ; Wanas, Idries Mohammad. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:454-475. Full description at Econpapers || Download paper | |
| 2017 | Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model. (2017). Ji, Qiang ; Liu, Bing-Yue ; Fan, Ying. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:53-65. Full description at Econpapers || Download paper | |
| 2018 | Oil volatility, oil and gas firms and portfolio diversification. (2018). Pérez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515. Full description at Econpapers || Download paper | |
| 2019 | Portfolio diversification with virtual currency: Evidence from bitcoin. (2019). Saadi, Samir ; Guesmi, Khaled ; Ftiti, Zied ; Abid, Ilyes. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:431-437. Full description at Econpapers || Download paper | |
| 2017 | Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis. (2017). Mensi, walid ; Kang, Sang Hoon ; Hammoudeh, Shawkat. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:26-33. Full description at Econpapers || Download paper | |
| 2018 | Short selling in extreme events. (2018). Geraci, Marco Valerio ; Veredas, David ; Garbaraviius, Tomas. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:90-103. Full description at Econpapers || Download paper | |
| 2019 | Global trends in interest rates. (2019). Giannone, Domenico ; Del Negro, Marco ; Tambalotti, Andrea ; Giannoni, Marc P. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:248-262. Full description at Econpapers || Download paper | |
| 2017 | An empirical comparison of transformed diffusion models for VIX and VIX futures. (2017). JAWADI, Fredj ; Bu, Ruijun ; Li, Yuyi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:116-127. Full description at Econpapers || Download paper | |
| 2018 | Does feedback trading drive returns of cross-listed shares?. (2018). Chen, Jing ; McMillan, David G ; Hou, Wenxuan ; Dong, Yizhe. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:179-199. Full description at Econpapers || Download paper | |
| 2017 | Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501. Full description at Econpapers || Download paper | |
| 2017 | Improving the power of the Diebold–Mariano–West test for least squares predictions. (2017). Mayer, Walter J ; Dang, Xin ; Liu, Feng. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:618-626. Full description at Econpapers || Download paper | |
| 2018 | MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63. Full description at Econpapers || Download paper | |
| 2019 | Detecting underestimates of risk in VaR models. (2019). Thiele, Stephen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:12-20. Full description at Econpapers || Download paper | |
| 2017 | One-sided performance measures under Gram-Charlier distributions. (2017). Moreno, Manuel ; Leon, Angel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:38-50. Full description at Econpapers || Download paper | |
| 2018 | Smiling twice: The Heston++ model. (2018). Pacati, Claudio ; Reno, Roberto ; Pompa, Gabriele . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:185-206. Full description at Econpapers || Download paper | |
| 2019 | A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20. Full description at Econpapers || Download paper | |
| 2019 | Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market. (2019). Ignatieva, Katja ; da Fonseca, Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:45-62. Full description at Econpapers || Download paper | |
| 2017 | The price of variance risk. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Rodriguez, Marius ; Le, Anh . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:2:p:225-250. Full description at Econpapers || Download paper | |
| 2019 | Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618. Full description at Econpapers || Download paper | |
| 2019 | Too good to be true? Fallacies in evaluating risk factor models. (2019). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:451-471. Full description at Econpapers || Download paper | |
| 2019 | Bayesian forecast combination in VAR-DSGE models. (2019). Li, Xue ; Chin, Kuo-Hsuan. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:59:y:2019:i:c:p:278-298. Full description at Econpapers || Download paper | |
| 2017 | Robust inference in a linear functional model with replications using the t distribution. (2017). Galea, Manuel ; de Castro, Mario. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:160:y:2017:i:c:p:134-145. Full description at Econpapers || Download paper | |
| 2018 | Fluctuating attention and financial contagion. (2018). Hasler, Michael ; ORNTHANALAI, CHAYAWAT . In: Journal of Monetary Economics. RePEc:eee:moneco:v:99:y:2018:i:c:p:106-123. Full description at Econpapers || Download paper | |
| 2018 | Relationship between stock and currency markets conditional on the US stock returns: A vine copula approach. (2018). Tachibana, Minoru. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:46:y:2018:i:c:p:75-106. Full description at Econpapers || Download paper | |
| 2019 | VIX derivatives: Valuation models and empirical evidence. (2019). Yu, Min-Teh ; Wang, Yaw-Huei ; Shih, Pai-Ta ; Lo, Chien-Ling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:1-21. Full description at Econpapers || Download paper | |
| 2017 | Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:35-47. Full description at Econpapers || Download paper | |
| 2018 | Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange. (2018). Takaishi, Tetsuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:139-154. Full description at Econpapers || Download paper | |
| 2018 | Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets. (2018). Kutan, Ali M ; Zhao, Yang ; Wei, Mingzhe ; Shi, Yukun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:183-197. Full description at Econpapers || Download paper | |
| 2018 | Modelling long memory in volatility in sub-Saharan African equity markets. (2018). Kuttu, Saint. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:176-185. Full description at Econpapers || Download paper | |
| 2019 | Feedback trading: Strategies during day and night with global interconnectedness. (2019). Rudolf, Markus ; Kusen, Alex. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:438-463. Full description at Econpapers || Download paper | |
| 2017 | Multiplying a Gaussian matrix by a Gaussian vector. (2017). Mattei, Pierre-Alexandre . In: Statistics & Probability Letters. RePEc:eee:stapro:v:128:y:2017:i:c:p:67-70. Full description at Econpapers || Download paper | |
| 2019 | A model for level induced conditional heteroskedasticity. (2019). Michel, Jon ; de Jong, Robert M. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:293-300. Full description at Econpapers || Download paper | |
| 2017 | Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497. Full description at Econpapers || Download paper | |
| 2018 | Effects of Macroeconomic Indicators on the Financial Markets Interrelations. (2018). Czapkiewicz, Anna ; Landmesser, Joanna ; Jamer, Pawel. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:3:p:268-293. Full description at Econpapers || Download paper | |
| 2019 | Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Zevallos, Mauricio ; Hotta, Luiz K ; Hallin, Marc ; Trucios, Carlos. In: Textos para discussão. RePEc:fgv:eesptd:505. Full description at Econpapers || Download paper | |
| 2017 | Too Good to Be True? Fallacies in Evaluating Risk Factor Models. (2017). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-09. Full description at Econpapers || Download paper | |
| 2019 | Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies. (2019). Zhang, Ren ; Wynne, Mark ; MartÃnez GarcÃa, Enrique ; Martinez-Garcia, Enrique ; Grossman, Valerie. In: Globalization Institute Working Papers. RePEc:fip:feddgw:359. Full description at Econpapers || Download paper | |
| 2018 | Robust inference in models identified via heteroskedasticity. (2018). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:876. Full description at Econpapers || Download paper | |
| 2019 | Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects. (2019). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:891. Full description at Econpapers || Download paper | |
| 2018 | Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:23-:d:143630. Full description at Econpapers || Download paper | |
| 2019 | Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine. In: Working Papers. RePEc:hae:wpaper:2019-4. Full description at Econpapers || Download paper | |
| 2019 | Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202. Full description at Econpapers || Download paper | |
| 2017 | Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Pham, Huyen ; Ismail, Amine . In: Working Papers. RePEc:hal:wpaper:hal-01212018. Full description at Econpapers || Download paper | |
| 2018 | On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01710398. Full description at Econpapers || Download paper | |
| 2019 | Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: Working Papers. RePEc:hal:wpaper:halshs-02091035. Full description at Econpapers || Download paper | |
| 2018 | Do Companies Benefit from Public Research Organizations? The Impact of the Fraunhofer Society in Germany. (2018). Pellens, Maikel ; Comin, Diego ; Schubert, Torben ; Licht, Georg. In: Papers in Innovation Studies. RePEc:hhs:lucirc:2018_007. Full description at Econpapers || Download paper | |
| 2019 | An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2019). Mazur, Stepan ; Gulliksson, Mrten. In: Working Papers. RePEc:hhs:oruesi:2019_003. Full description at Econpapers || Download paper | |
| 2019 | Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?. (2019). Lakshina, Valeria V. In: HSE Working papers. RePEc:hig:wpaper:75/fe/2019. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Enrique Sentana:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2000 | The Likelihood Function of Conditionally Heteroskedastic Factor Models In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 2007 | Testing Uncovered Interest Parity: A Continuous-Time Approach In: Staff Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2007 | TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2007 | Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2011 | TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH.(2011) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2007 | Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers. [Full Text][Citation analysis] | paper | 37 |
| 2009 | Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2009) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | article | |
| 2005 | PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
| 2005 | Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 37 | paper | |
| 2009 | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers. [Full Text][Citation analysis] | paper | 29 |
| 2009 | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
| 2008 | MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
| 2009 | Distributional tests in multivariate dynamic models with Normal and Student t innovations In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2012 | Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations.(2012) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2008 | DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2012 | Valuation of vix derivatives In: Working Papers. [Full Text][Citation analysis] | paper | 34 |
| 2009 | Valuation of VIX Derivatives.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 2010 | Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 2013 | Valuation of VIX derivatives.(2013) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | article | |
| 2015 | Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | Fast ML estimation of dynamic bifactor models: an application to European inflation.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2016) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | chapter | |
| 2016 | A spectral EM algorithm for dynamic factor models In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2014 | A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2015 | A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | paper | |
| 2018 | A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2018 | The rise and fall of the natural interest rate In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 1998 | An EM Algorithm for Conditionally Heteroscedastic Factor Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 10 |
| 1996 | An EM Algorithm for Conditionally Heteroskedastic Factor Models..(1996) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2003 | Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 104 |
| 2000 | The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality..(2000) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 104 | paper | |
| 2000 | THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY.(2000) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 104 | paper | |
| 2010 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2010 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2010 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2010) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2015 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2015) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2010 | A unifying approach to the empirical evaluation of asset pricing models.(2010) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2004 | INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2004 | SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH In: Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2004 | Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2012 | Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2004 | Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach.(2004) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2010 | Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach.(2010) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2004 | ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS In: Working Papers. [Full Text][Citation analysis] | paper | 22 |
| 2005 | Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2004 | Estimation and testing of dynamic models with generalised hyperbolic innovations.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2004 | Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations.(2004) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 2007 | ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2007 | On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models.(2007) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2007 | DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2007 | Duality in Mean-Variance Frontiers with Conditioning Information.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2016 | Duality in mean-variance frontiers with conditioning information.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2007 | Duality in mean-variance frontiers with conditioning information.(2007) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2008 | A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2010 | A comparison of mean-variance efficiency tests.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2008 | THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY In: Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2009 | The econometrics of mean-variance efficiency tests: a survey.(2009) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2009 | Underidentification? (Resumen) In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2009 | Dynamic Specification Tests for Static Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2012 | Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2012 | Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Dynamic Specification Tests for Dynamic Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Dynamic specification tests for dynamic factor models.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2019 | Dynamic specification tests for dynamic factor models.(2019) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2014 | Neglected Serial Correlation Tests in UCARIMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Neglected serial correlation tests in UCARIMA models.(2016) In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2015 | Volatility-Related Exchange Traded Assets: An Econometric Investigation In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Volatility-related exchange traded assets: an econometric investigation.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2015 | Is a Normal Copula the Right Copula? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | Finite Underidentification In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Normality Tests for Latent Variables In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Empirical Evaluation of Overspecified Asset Pricing Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Empirical Evaluation of Overspecified Asset Pricing Models.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2018 | Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Volatility, Diversification and Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Volatility, diversification and contagion.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Specification Tests for Non-Gaussian Maximum Likelihood Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | New testing approaches for mean-variance predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | New testing approaches for mean-variance predictability.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | New testing approaches for mean-variance predictability.(2019) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1999 | Least Squares Predictions and Mean-Variance Analysis In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 1999 | Least Squares Predictions and Mean-Variance Analysis.(1999) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 1997 | Least Squares Predictions and Mean-Variance Analysis.(1997) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2005 | Least Squares Predictions and Mean-Variance Analysis.(2005) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2000 | Did the EMS Reduce the Cost of Capital? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
| 2002 | Did the EMS Reduce the Cost of Capital?.(2002) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
| 2001 | Mean Variance Portfolio Allocation with a Value at Risk Constraint In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2001 | Mean-variance portfolio allocation with a value at risk constraint.(2001) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2001 | Mean-Variance Portfolio allocation with a Value at Risk Constraint.(2001) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2001 | Mean-Variance Portfolio Allocation with a Value at Risk Constraint..(2001) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 1996 | Multivariate Regression with Unequal Number of Observations In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 1997 | Multivariate Regression with Unequal Number of Observations—Solution In: Econometric Theory. [Full Text][Citation analysis] | article | 0 |
| 1992 | Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data. In: Economic Journal. [Full Text][Citation analysis] | article | 125 |
| 1994 | Volatility and Links between National Stock Markets. In: Econometrica. [Full Text][Citation analysis] | article | 442 |
| 1990 | Volatiltiy and Links Between National Stock Markets.(1990) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 442 | paper | |
| 2004 | Likelihood-Based Estimation of Latent Generalized ARCH Structures In: Econometrica. [Full Text][Citation analysis] | article | 45 |
| 2003 | Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2003 | Likelihood-based estimation of latent generalised ARCH structures.(2003) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2003 | LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2002 | Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2004 | Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2000 | Underidentification? In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 10 |
| 2012 | Underidentification?.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2009 | Underidentification?.(2009) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 1998 | The relation between conditionally heteroskedastic factor models and factor GARCH models In: Econometrics Journal. [Citation analysis] | article | 10 |
| 1997 | The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models..(1997) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2004 | On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models In: Economics Letters. [Full Text][Citation analysis] | article | 17 |
| 2001 | Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 158 |
| 1997 | Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model.(1997) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 158 | paper | |
| 1997 | Identification, estimation and testing of conditionally heteroskedastic factor models.(1997) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 158 | paper | |
| 2004 | Factor representing portfolios in large asset markets In: Journal of Econometrics. [Full Text][Citation analysis] | article | 19 |
| 2000 | Factor Representing Portfolios in Large Asset Markets..(2000) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2008 | Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 21 |
| 2007 | Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks.(2007) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | paper | |
| 1992 | Unobserved component time series models with Arch disturbances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 164 |
| 1996 | Marginalization and contemporaneous aggregation in multivariate GARCH processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 45 |
| 1994 | Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses..(1994) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 1993 | Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes..(1993) In: Tilburg - Center for Economic Research. [Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 1993 | Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 1996 | Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1996) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 1998 | Testing for GARCH effects: a one-sided approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
| 2001 | Constrained indirect inference estimation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
| 2001 | Constrained Indirect Inference Estimation.(2001) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1995 | Risk and Return in the Spanish Stock Market In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Pricing Options on Assets with Predictable White Noise Returns In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 2 |
| 2000 | CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1994 | An Index of Co-Movements in Financial Time Series. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 2 |
| 1994 | The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 4 |
| 1994 | A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 0 |
| 1995 | Has the EMS Reduced the Cost of Capital? In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 0 |
| 1995 | Quadratic Arch Models. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 198 |
| 1995 | Quadratic ARCH Models.(1995) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 198 | article | |
| 1996 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 16 |
| 1998 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review. [Citation analysis] This paper has another version. Agregated cites: 16 | article | |
| 1997 | Conditional means of time series processes and time series processes for conditional means.(1997) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 1988 | Nota sobre la inclusión en el sistema de precios en un modelo de Leontief de dos regímenes de imposición indirecta sobre el consumo In: Investigaciones Economicas. [Full Text][Citation analysis] | article | 0 |
| 1993 | The econometrics of the stock market I: rationality tests In: Investigaciones Economicas. [Full Text][Citation analysis] | article | 0 |
| 1993 | The econometrics of the stock market II: asset pricing In: Investigaciones Economicas. [Full Text][Citation analysis] | article | 1 |
| 1997 | Risk and return in the Spanish stock market: some evidence from individual assets In: Investigaciones Economicas. [Full Text][Citation analysis] | article | 3 |
| 1998 | Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market In: Investigaciones Economicas. [Full Text][Citation analysis] | article | 4 |
| 2016 | Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1991 | Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan In: Review of Economic Studies. [Full Text][Citation analysis] | article | 11 |
| 2004 | Constrained Indirect Estimation In: Review of Economic Studies. [Full Text][Citation analysis] | article | 21 |
| 1999 | Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix In: Spanish Economic Review. [Full Text][Citation analysis] | article | 0 |
| 2014 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2019 | Normality tests for latent variables In: Quantitative Economics. [Full Text][Citation analysis] | article | 0 |
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