21
H index
33
i10 index
2228
Citations
Centro de Estudios Monetarios y Financieros (CEMFI) (98% share) | 21 H index 33 i10 index 2228 Citations RESEARCH PRODUCTION: 53 Articles 156 Papers 1 Chapters RESEARCH ACTIVITY:
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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: |
Year | Title of citing document | |
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2021 | Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07. Full description at Econpapers || Download paper | |
2022 | SVAR Identification from Higher Moments: Has the Simultaneous Causality Problem Been Solved?. (2022). Qian, Eric ; Plagborg-Moller, Mikkel ; Montiel, Jose Luis. In: AEA Papers and Proceedings. RePEc:aea:apandp:v:112:y:2022:p:481-85. Full description at Econpapers || Download paper | |
2021 | 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 | |
2021 | 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 | |
2022 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper | |
2021 | Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010. Full description at Econpapers || Download paper | |
2022 | A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517. Full description at Econpapers || Download paper | |
2021 | Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes. (2021). Chen, LI ; Zhang, Guang. In: Papers. RePEc:arx:papers:2104.11870. Full description at Econpapers || Download paper | |
2021 | MinP Score Tests with an Inequality Constrained Parameter Space. (2021). Yang, Yuhong ; Rahbek, Anders ; Lu, Zeng-Hua ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2107.06089. Full description at Econpapers || Download paper | |
2022 | An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses. (2022). HENRY, MIGUEL ; Judge, George ; Mittelhammer, Ron. In: Papers. RePEc:arx:papers:2201.06647. Full description at Econpapers || Download paper | |
2022 | Large Bayesian VARs with Factor Stochastic Volatility: Identification, Order Invariance and Structural Analysis. (2022). Yu, Xuewen ; Eisenstat, Eric ; Chan, Joshua. In: Papers. RePEc:arx:papers:2207.03988. Full description at Econpapers || Download paper | |
2021 | A Model of Natural Interest Rate: The Case of Bulgaria. (2021). Vassilev, Dilian. In: Economic Studies journal. RePEc:bas:econst:y:2021:i:7:p:46-72. Full description at Econpapers || Download paper | |
2022 | Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693. Full description at Econpapers || Download paper | |
2022 | A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370. Full description at Econpapers || Download paper | |
2021 | The importance of supply and demand for oil prices: evidence from non-Gaussianity. (2021). Braun, Robin. In: Bank of England working papers. RePEc:boe:boeewp:0957. Full description at Econpapers || Download paper | |
2022 | Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171. Full description at Econpapers || Download paper | |
2021 | Outliers and misleading leverage effect in asymmetric GARCH-type models. (2021). Carnero, M. Angeles ; Angeles, Carnero M ; Ana, Perez. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:19:n:2. Full description at Econpapers || Download paper | |
2021 | Connectedness between the Crude Oil Futures and Equity Markets during the Pre- and Post-Financialisation Eras. (2021). Gronwald, Marc ; Durand, Robert D ; Wadud, Sania. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9202. Full description at Econpapers || Download paper | |
2022 | PML vs minimum ? 2 : the comeback. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2210. Full description at Econpapers || Download paper | |
2022 | Specification tests for non-Gaussian structural vector autoregressions. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2212. Full description at Econpapers || Download paper | |
2022 | Estimating dynamic systemic risk measures. (2022). Zakoian, Jean-Michel ; Francq, Christian ; Cantin, Loic. In: Working Papers. RePEc:crs:wpaper:2022-11. Full description at Econpapers || Download paper | |
2021 | The implications of globalisation for the ECB monetary policy strategy. (2021). Schmitz, Martin ; Lastauskas, Povilas ; Kataryniuk, Iván ; JOCHEM, Axel ; Gunnella, Vanessa ; Georgiadis, Georgios ; Fontagné, Lionel ; Feldkircher, Martin ; Everett, Mary ; Carvalho, Daniel ; Labhard, Vincent ; Bricongne, Jean-Charles ; Felettigh, Alberto ; Cova, Pietro ; Dimitropoulou, Dimitra ; Hemmerle, Yannick ; Siena, Daniele ; Osbat, Chiara ; Venditti, Fabrizio ; Kuhnlenz, Markus ; Baumann, Ursel ; Zumer, Tina ; Parraga, Susana ; de Luigi, Clara ; Serafini, Roberta ; Mattias, Nilsson ; Carluccio, Juan ; Korhonen, Iikka ; Wacket, Helmut ; Banerjee, Biswajit ; Eichler, Eric ; Giron, Celestino ; Meinen, Philipp ; de Bandt, Olivier ; del Giudice, Davide ; van Schaik, Ilona ; Mozzanica, Mirco Balatti ; Dorrucci, Ettore ; Coim | |
2021 | The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area. (2021). Weigert, Benjamin ; Rodriguez-Moreno, Maria ; Prieto, Esteban ; Nikolov, Kalin ; Maddaloni, Angela ; Mazelis, Falk ; Lewis, Vivien ; Geiger, Felix ; Martin, Alberto ; Jovanovic, Mario ; Miettinen, Pavo ; Andreeva, Desislava ; Cuciniello, Vincenzo ; Albertazzi, Ugo ; Heider, Florian ; Redak, Vanessa ; Bonatti, Guido ; Licak, Marek ; Jan, Jansen David ; Garabedian, Garo ; Altavilla, Carlo ; Chalamandaris, Dimitrios ; Fourel, Valere ; Pogulis, Armands ; Carlo Altavilla , ; Balfoussia, Hiona ; Ioannidis, Michael ; Patriek, Matic ; Fernandez, Luis ; Kok, Christoffer ; Cassar, Alan ; Klein, Melanie ; Papageorghiou, Maria ; Fahr, Stephan ; Falagiarda, Matteo ; Adolf, Petra ; | |
2021 | Understanding low inflation in the euro area from 2013 to 2019: cyclical and structural drivers. (2021). Smets, Frank ; Osbat, Chiara ; Koester, Gerrit ; Nickel, Christiane ; Lis, Eliza. In: Occasional Paper Series. RePEc:ecb:ecbops:2021280. Full description at Econpapers || Download paper | |
2021 | Natural rate chimera and bond pricing reality. (2021). Lemke, Wolfgang ; Goy, Gavin ; Brand, Claus. In: Working Paper Series. RePEc:ecb:ecbwps:20212612. Full description at Econpapers || Download paper | |
2022 | Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis. (2022). Mehta, Chhavi ; Chopra, Monika. In: Journal of Asian Economics. RePEc:eee:asieco:v:79:y:2022:i:c:s1049007822000100. Full description at Econpapers || Download paper | |
2021 | Demographics and the natural real interest Rate: historical and projected paths for the euro area. (2021). Papetti, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:132:y:2021:i:c:s0165188921001445. Full description at Econpapers || Download paper | |
2021 | Consistent pricing of VIX options with the Hawkes jump-diffusion model. (2021). Ma, Yong ; Li, Shenghong ; Jing, BO. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302114. Full description at Econpapers || Download paper | |
2021 | Asymmetric volatility connectedness among U.S. stock sectors. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Suleman, Tahir ; Nekhili, Ramzi ; Mensi, Walid. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940820302126. Full description at Econpapers || Download paper | |
2022 | Asymmetric positive feedback trading and stock pricing in China. (2022). Wan, Die ; Liu, Xufeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000183. Full description at Econpapers || Download paper | |
2021 | Using time-varying volatility for identification in Vector Autoregressions: An application to endogenous uncertainty. (2021). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Journal of Econometrics. RePEc:eee:econom:v:225:y:2021:i:1:p:47-73. Full description at Econpapers || Download paper | |
2022 | Efficient estimation of high-dimensional dynamic covariance by risk factor mapping: Applications for financial risk management. (2022). , Amanda ; Thomas, . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:151-167. Full description at Econpapers || Download paper | |
2022 | LADE-based inferences for autoregressive models with heavy-tailed G-GARCH(1, 1) noise. (2022). Ling, Shiqing ; Qingling, Shi ; Zhang, Rongmao. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:228-240. Full description at Econpapers || Download paper | |
2022 | Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models. (2022). Cavaliere, Giuseppe ; Rahbek, Anders ; Pedersen, Rasmus Sondergaard ; Nielsen, Heino Bohn . In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:241-263. Full description at Econpapers || Download paper | |
2021 | Multivariate stochastic volatility using the HESSIAN method. (2021). Pelletier, Denis ; McCausland, William ; Miller, Shirley . In: Econometrics and Statistics. RePEc:eee:ecosta:v:17:y:2021:i:c:p:76-94. Full description at Econpapers || Download paper | |
2021 | Finite Sample Optimality of Score-Driven Volatility Models: Some Monte Carlo Evidence. (2021). Lucas, Andre ; van Vlodrop, Andries C ; Blasques, Francisco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:19:y:2021:i:c:p:47-57. Full description at Econpapers || Download paper | |
2021 | Trader positions in VIX futures. (2021). Yang, Jimmy J ; Chen, Yu-Lun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:1-17. Full description at Econpapers || Download paper | |
2021 | Tracking performance of VIX futures ETPs. (2021). Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:103-117. Full description at Econpapers || Download paper | |
2021 | The transformed Gram Charlier distribution: Parametric properties and financial risk applications. (2021). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:323-349. Full description at Econpapers || Download paper | |
2021 | The role of oil as a determinant of stock market interdependence: The case of the USA and GCC. (2021). Herbst, Patrick ; Ziadat, Salem Adel ; McMillan, David G. In: Energy Economics. RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000074. Full description at Econpapers || Download paper | |
2021 | Coherence, extreme risk spillovers, and dynamic linkages between oil and China’s commodity futures markets. (2021). Zou, Huiwen ; Goh, Mark ; Cui, Jinxin. In: Energy. RePEc:eee:energy:v:225:y:2021:i:c:s0360544221004394. Full description at Econpapers || Download paper | |
2021 | VIX and liquidity premium. (2021). Honarvar, Iman ; Bams, Dennis. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302945. Full description at Econpapers || Download paper | |
2021 | Feedback trading in retail-dominated assets: Evidence from the gold bullion coin market. (2021). Kallinterakis, Vasileios ; Charteris, Ailie. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000703. Full description at Econpapers || Download paper | |
2021 | Portfolio efficiency with high-dimensional data as conditioning information. (2021). Vigo Pereira, Caio. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s1057521921001460. Full description at Econpapers || Download paper | |
2022 | Stock market bubbles and anti-bubbles. (2022). Henriksson, Roy ; Sakoulis, Georgios ; Tarlie, Martin B. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521918302138. Full description at Econpapers || Download paper | |
2022 | Impacts of COVID-19 outbreak, macroeconomic and financial stress factors on price spillovers among green bond. (2022). Vo, Xuan Vinh ; Ur, Mobeen ; Mensi, Walid. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s105752192200093x. Full description at Econpapers || Download paper | |
2022 | Stock returns, trading volume, and volatility: The case of African stock markets. (2022). Ngene, Geoffrey M ; Mungai, Ann Nduati. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001399. Full description at Econpapers || Download paper | |
2022 | The determinants of positive feedback trading behaviors in Bitcoin markets. (2022). Lee, Ming-Chih ; Liu, Hung-Chun ; Wang, Jying-Nan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002014. Full description at Econpapers || Download paper | |
2022 | Financial integration in the EU28 equity markets: Measures and drivers. (2022). Ossola, Elisa ; Papanagiotou, E ; Nardo, M. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100015x. Full description at Econpapers || Download paper | |
2021 | Liquidity and short-run predictability: Evidence from international stock markets. (2021). Newaz, Mohammad Khaleq ; Park, Jin Suk. In: Global Finance Journal. RePEc:eee:glofin:v:50:y:2021:i:c:s1044028321000715. Full description at Econpapers || Download paper | |
2022 | Trade and structural change: An empirical investigation. (2022). Felice, Giulia ; Comunale, Mariarosaria. In: International Economics. RePEc:eee:inteco:v:171:y:2022:i:c:p:58-79. Full description at Econpapers || Download paper | |
2022 | On the international co-movement of natural interest rates. (2022). Agnello, Luca ; Castro, Vitor ; Sousa, Ricardo M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122000889. Full description at Econpapers || Download paper | |
2022 | Do birds of a feather flock together? Evidence from time-varying herding behaviour of bitcoin and foreign exchange majors during Covid-19. (2022). Mohamad, Azhar ; Stavroyiannis, Stavros. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001184. Full description at Econpapers || Download paper | |
2021 | A dynamic conditional approach to forecasting portfolio weights. (2021). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:3:p:1111-1126. Full description at Econpapers || Download paper | |
2021 | Factor extraction using Kalman filter and smoothing: This is not just another survey. (2021). Ruiz, Esther ; Miranda, Karen ; Poncela, Pilar. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1399-1425. Full description at Econpapers || Download paper | |
2022 | Forecasting cryptocurrency volatility. (2022). Grassi, Stefano ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:878-894. Full description at Econpapers || Download paper | |
2021 | Institutional investor sentiment and the mean-variance relationship: Global evidence. (2021). Duxbury, Darren ; Wang, Wenzhao. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:191:y:2021:i:c:p:415-441. Full description at Econpapers || Download paper | |
2022 | Testing market regulations in experimental asset markets – The case of margin purchases. (2022). Neugebauer, Tibor ; Fullbrunn, Sascha. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:200:y:2022:i:c:p:1160-1183. Full description at Econpapers || Download paper | |
2021 | Factors and risk premia in individual international stock returns. (2021). Scaillet, Olivier ; Chaieb, Ines ; Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:669-692. Full description at Econpapers || Download paper | |
2021 | M&A rumors about unlisted firms. (2021). Cumming, Douglas ; Czellar, Veronika ; Alperovych, Yan ; Groh, Alexander. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1324-1339. Full description at Econpapers || Download paper | |
2021 | Ties that bind: Estimating the natural rate of interest for small open economies. (2021). MartÃnez GarcÃa, Enrique ; Grossman, Valerie ; Wynne, Mark A ; Martinez-Garcia, Enrique ; Zhang, Ren. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:113:y:2021:i:c:s0261560620302710. Full description at Econpapers || Download paper | |
2022 | Firms’ exposures to geographic risks. (2022). Marston, Richard C ; Gabuniya, Tymur ; Dumas, Bernard. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s026156062100200x. Full description at Econpapers || Download paper | |
2022 | Potential growth and natural yield curve in Japan. (2022). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000316. Full description at Econpapers || Download paper | |
2021 | Forecasting the dynamic relationship between crude oil and stock prices since the 19th century. (2021). Hailemariam, Abebe ; Ivanovski, Kris. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:24:y:2021:i:c:s2405851321000039. Full description at Econpapers || Download paper | |
2022 | Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period. (2022). Abdoh, Hussein ; Awartani, Basel ; Maghyereh, Aktham. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:25:y:2022:i:c:s170349492100044x. Full description at Econpapers || Download paper | |
2021 | Precious metals, oil, and ASEAN stock markets: From global financial crisis to global health crisis. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721002324. Full description at Econpapers || Download paper | |
2021 | Dynamic spillovers and dependencies between iron ore prices, industry bond yields, and steel prices. (2021). Ma, Yiqun. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004396. Full description at Econpapers || Download paper | |
2021 | The changing role of foreign investors in Tokyo stock price formation. (2021). Iwatsubo, Kentaro ; Watkins, Clinton. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:67:y:2021:i:c:s0927538x2100055x. Full description at Econpapers || Download paper | |
2022 | Can direct government intervention save the stock market?. (2022). Liao, Tung Liang ; Ke, Mei-Chu ; Wu, Yang-Che ; Nguyen, Tien-Trung. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:84:y:2022:i:c:p:271-284. Full description at Econpapers || Download paper | |
2022 | Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects. (2022). Tzavalis, Elias ; Smyrnakis, Dimitris ; Elias, Nikolaos. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:694-715. Full description at Econpapers || Download paper | |
2022 | Volatility communicator or receiver? Investigating volatility spillover mechanisms among Bitcoin and other financial markets. (2022). Wei, Yunjie ; Wang, Shouyang ; Lu, Quanying ; Li, Yuze ; Jiang, Shangrong. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001641. Full description at Econpapers || Download paper | |
2022 | Semi-nonparametric risk assessment with cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andrés ; Jimenez, Ines. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001884. Full description at Econpapers || Download paper | |
2021 | Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies. (2019). Zhang, Ren ; Wynne, Mark ; MartÃÂnez GarcÃÂa, Enrique ; Martinez-Garcia, Enrique ; Grossman, Valerie. In: Globalization Institute Working Papers. RePEc:fip:feddgw:359. Full description at Econpapers || Download paper | |
2021 | International Yield Spillovers. (2021). Ochoa, Juan ; Kim, Don H. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-01. Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2022 | An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses. (2022). HENRY, MIGUEL ; Judge, George ; Mittelhammer, Ron. In: Econometrics. RePEc:gam:jecnmx:v:10:y:2022:i:1:p:5-:d:724895. Full description at Econpapers || Download paper | |
2021 | Global Transmission of Returns among Financial, Traditional Energy, Renewable Energy and Carbon Markets: New Evidence. (2021). Yang, Xueqing ; Liu, Yang ; Wang, Mei. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:21:p:7286-:d:671615. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
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2021 | Employment Reconciliation and Nowcasting. (2021). van Norden, Simon ; Sinclair, Tara ; Jacobs, Jan ; Goto, Eiji. In: Working Papers. RePEc:gwc:wpaper:2021-007. Full description at Econpapers || Download paper | |
2021 | Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2021). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Post-Print. RePEc:hal:journl:hal-02998555. Full description at Econpapers || Download paper | |
2021 | Intertemporal asset pricing with bitcoin. (2021). Payne, James ; Koutmos, Dimitrios. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:2:d:10.1007_s11156-020-00904-x. Full description at Econpapers || Download paper | |
2022 | Predictable asset price dynamics, risk-return tradeoff, and investor behavior. (2022). Kilic, Osman ; Marks, Joseph M ; Nam, Kiseok. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:59:y:2022:i:2:d:10.1007_s11156-022-01057-9. Full description at Econpapers || Download paper | |
2021 | Transmisión de volatilidad en el Mercado Integrado Latinoamericano (MILA): una evidencia del grado de integración. || Transmission of volatility in the Latin American Integrated Market (MILA): evidenc. (2021). Barrera, Alejandro Pinilla ; Velez, Mariana Fuentes. In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration. RePEc:pab:rmcpee:v:31:y:2021:i:1:p:301-328. Full description at Econpapers || Download paper | |
2021 | Modelización de la demanda de energía eléctrica: más allá de la normalidad || Electrical energy demand modeling: beyond normality. (2021). Villada-Medina, Hernan D ; Cortes, Lina M ; Trespalacios, Alfredo ; Rendon, Juan F. In: Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration. RePEc:pab:rmcpee:v:32:y:2021:i:1:p:83-98. Full description at Econpapers || Download paper | |
2022 | Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies. (2022). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:1:d:10.1057_s41283-021-00084-5. Full description at Econpapers || Download paper | |
2021 | What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?. (2021). Rano, Shehu Usman. In: MPRA Paper. RePEc:pra:mprapa:110382. Full description at Econpapers || Download paper | |
2022 | Empirical Evidence of Associations and Similarities between the National Equity Markets Indexes and Crude Oil Prices in the International Market. (2022). Eduarda, Silva Maria ; de Salles, Andre Assis ; Paulo, Teles. In: MPRA Paper. RePEc:pra:mprapa:113589. Full description at Econpapers || Download paper | |
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2021 | Indicators of monetary policy stance and financial conditions: an overview. (2021). Iskrev, Nikolay ; Soares, Carla ; Loureno, Rita Fradique. In: Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies. RePEc:ptu:bdpart:e202101. Full description at Econpapers || Download paper | |
2022 | Joint Modelling of S&P500 and VIX Indices with Rough Fractional Ornstein-Uhlenbeck Volatility Model. (2022). Onalan, Omer. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:1:p:68-84. Full description at Econpapers || Download paper | |
2021 | Herding and feedback trading in cryptocurrency markets. (2021). Koutmos, Dimitrios ; King, Timothy. In: Annals of Operations Research. RePEc:spr:annopr:v:300:y:2021:i:1:d:10.1007_s10479-020-03874-4. Full description at Econpapers || Download paper | |
2022 | Contagion or interdependence? Comparing spillover indices. (2022). Volkov, Vladimir ; Islam, Raisul. In: Empirical Economics. RePEc:spr:empeco:v:63:y:2022:i:3:d:10.1007_s00181-021-02169-2. Full description at Econpapers || Download paper | |
2021 | Can country-specific interest rate factors explain the forward premium anomaly?. (2021). Tzavalis, Elias ; Smyrnakis, Dimitris ; Argyropoulos, Efthymios. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:45:y:2021:i:2:d:10.1007_s12197-020-09509-5. Full description at Econpapers || Download paper | |
2022 | The link between regional CDS spreads and equity returns: a multivariate GARCH approach. (2022). Manicaro, Christian. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:2:d:10.1007_s43546-021-00197-9. Full description at Econpapers || Download paper | |
2021 | Robust non-Gaussian inference for linear simultaneous equations models. (2021). Mesters, Geert ; Lee, Adam. In: Economics Working Papers. RePEc:upf:upfgen:1792. Full description at Econpapers || Download paper | |
2022 | Forecasting Ination: A GARCH-in-Mean-Level Model with Time Varying Predictability.. (2022). Chini, Emilio Zanetti ; Paraskevopoulos, Athanasios ; Karanasos, Menelaos ; Canepa, Alessandra. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:202212. Full description at Econpapers || Download paper | |
2021 | Quantile Factor Models. (2021). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:2:p:875-910. Full description at Econpapers || Download paper | |
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2020 | Zero-diagonality as a linear structure.(2020) In: Economics Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2020 | Zero-diagonality as a linear structure.(2020) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2021 | Aggregate Output Measurements: A Common Trend Approach In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Aggregate Output Measurements: A Common Trend Approach.(2021) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Aggregate Output Measurements: A Common Trend Approach.(2021) In: Staff Reports. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Aggregate Output Measurements: a Common Trend Approach.(2021) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Aggregate output measurements: a common trend approach.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2021 | Moment tests of independent components In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2022 | Moment tests of independent components.(2022) In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
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 another 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 another 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 another 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 another version. Agregated cites: 0 | paper | |
2022 | GDP Solera. The Ideal Vintage Mix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | GDP Solera: The Ideal Vintage Mix.(2022) In: Staff Reports. [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 | 9 |
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: 9 | paper | |
2005 | Least Squares Predictions and Mean-Variance Analysis.(2005) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
2000 | Did the EMS Reduce the Cost of Capital? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 24 |
2002 | Did the EMS Reduce the Cost of Capital?.(2002) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
1992 | Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data. In: Economic Journal. [Full Text][Citation analysis] | article | 168 |
1994 | Volatility and Links between National Stock Markets. In: Econometrica. [Full Text][Citation analysis] | article | 514 |
1990 | Volatiltiy and Links Between National Stock Markets.(1990) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 514 | paper | |
2000 | Underidentification? In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 20 |
2012 | Underidentification?.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
2009 | Underidentification?.(2009) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
2001 | Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 192 |
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: 192 | 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: 192 | paper | |
2004 | Factor representing portfolios in large asset markets In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
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: 23 | 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 | 27 |
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: 27 | paper | |
1992 | Unobserved component time series models with Arch disturbances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 193 |
2001 | Constrained indirect inference estimation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
2000 | Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 3 |
2000 | CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
1995 | Has the EMS Reduced the Cost of Capital? In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 0 |
1988 | Nota sobre la inclusión en el sistema de precios en un modelo de Leontief de dos regÃmenes 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 |
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: The 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 | 14 |
2004 | Constrained Indirect Estimation In: Review of Economic Studies. [Full Text][Citation analysis] | article | 38 |
2003 | Likelihood-based estimation of latent generalised ARCH In: Economics Series Working Papers. [Citation analysis] | paper | 4 |
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 |
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