Enrique Sentana : Citation Profile


Are you Enrique Sentana?

Centro de Estudios Monetarios y Financieros (CEMFI) (98% share)
Centre for Economic Policy Research (CEPR) (1% share)
London School of Economics (LSE) (1% share)

21

H index

33

i10 index

2228

Citations

RESEARCH PRODUCTION:

53

Articles

156

Papers

1

Chapters

RESEARCH ACTIVITY:

   34 years (1988 - 2022). See details.
   Cites by year: 65
   Journals where Enrique Sentana has often published
   Relations with other researchers
   Recent citing documents: 119.    Total self citations: 108 (4.62 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pse39
   Updated: 2023-01-08    RAS profile: 2022-09-06    
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Relations with other researchers


Works with:

Fiorentini, Gabriele (40)

Amengual, Dante (18)

Almuzara, Martin (6)

Galesi, Alessandro (6)

Perez Quiros, Gabriel (4)

Magnus, Jan (2)

Carrasco, Marine (2)

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

Is cited by:

Ruiz, Esther (43)

Renault, Eric (37)

Rigobon, Roberto (35)

Pesaran, M (32)

Bollerslev, Tim (31)

Diebold, Francis (31)

Normandin, Michel (30)

Perote, Javier (28)

Demos, Antonis (27)

Weber, Enzo (27)

Hallin, Marc (27)

Cites to:

Fiorentini, Gabriele (107)

Engle, Robert (45)

Hansen, Lars (40)

Calzolari, Giorgio (38)

Mencia, Javier (32)

Amengual, Dante (25)

pagan, adrian (21)

Newey, Whitney (19)

Tauchen, George (19)

Bollerslev, Tim (19)

Campbell, John (18)

Main data


Where Enrique Sentana has published?


Journals with more than one article published# docs
Journal of Econometrics15
Investigaciones Economicas5
Journal of Business & Economic Statistics3
Journal of Business & Economic Statistics3
Review of Economic Studies3
Quantitative Economics2
Economics Letters2
Econometrics Journal2
The Journal of Financial Econometrics2
International Economic Review2
Econometrica2
Economic Journal2
SERIEs: Journal of the Spanish Economic Association2
The Review of Economics and Statistics2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers24
Working Paper series / Rimini Centre for Economic Analysis10
Working Papers / Banco de EspaŮa7
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"7
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econůmicas, S.A. (Ivie)5
Staff Reports / Federal Reserve Bank of New York2
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Enrique Sentana (2022 and 2021)


YearTitle of citing document
2021Is 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.

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2022SVAR 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.

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2021Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123.

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2021From 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.

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2022Quasi 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.

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2021Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010.

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2022A Robust Score-Driven Filter for Multivariate Time Series. (2020). Mazzocchi, Mario ; Luati, Alessandra ; D'Innocenzo, Enzo. In: Papers. RePEc:arx:papers:2009.01517.

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2021Hermite Polynomial-based Valuation of American Options with General Jump-Diffusion Processes. (2021). Chen, LI ; Zhang, Guang. In: Papers. RePEc:arx:papers:2104.11870.

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2021MinP 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.

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2022An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses. (2022). HENRY, MIGUEL ; Judge, George ; Mittelhammer, Ron. In: Papers. RePEc:arx:papers:2201.06647.

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2022Large 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.

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2021A 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.

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2022Data?driven identification in SVARs‚ÄĒWhen 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.

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2022A new volatility model: GQARCH?It√Ē 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.

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2021The 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.

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2022Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171.

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2021Outliers 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.

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2021Connectedness 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.

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2022PML vs minimum ? 2 : the comeback. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2210.

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2022Specification tests for non-Gaussian structural vector autoregressions. (2022). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2022_2212.

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2022Estimating dynamic systemic risk measures. (2022). Zakoian, Jean-Michel ; Francq, Christian ; Cantin, Loic. In: Working Papers. RePEc:crs:wpaper:2022-11.

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2021The 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
2021The 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 ;
2021Understanding 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.

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2021Natural rate chimera and bond pricing reality. (2021). Lemke, Wolfgang ; Goy, Gavin ; Brand, Claus. In: Working Paper Series. RePEc:ecb:ecbwps:20212612.

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2022Is 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.

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2021Demographics 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.

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2021Consistent 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.

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2021Asymmetric 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.

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2022Asymmetric 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.

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2021Using 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.

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2022Efficient 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.

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2022LADE-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.

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2022Bootstrap 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.

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2021Multivariate 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.

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2021Finite 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.

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2021Trader 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.

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2021Tracking 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.

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2021The 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.

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2021The 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.

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2021Coherence, 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.

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2021VIX and liquidity premium. (2021). Honarvar, Iman ; Bams, Dennis. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521920302945.

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2021Feedback 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.

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2021Portfolio 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.

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2022Stock 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.

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2022Impacts 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.

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2022Stock 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.

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2022The 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.

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2022Financial 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.

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2021Liquidity 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.

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2022Trade 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.

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2022On 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.

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2022Do 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.

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2021A 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.

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2021Factor 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.

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2022Forecasting cryptocurrency volatility. (2022). Grassi, Stefano ; Catania, Leopoldo. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:3:p:878-894.

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2021Institutional 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.

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2022Testing market regulations in experimental asset markets ‚Äď 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.

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2021Factors 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.

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2021M&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.

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2021Ties that bind: Estimating the natural rate of interest for small open economies. (2021). Martínez García, 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.

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2022Firms’ 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.

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2022Potential 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.

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2021Forecasting 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.

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2022Asymmetric 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.

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2021Precious 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.

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2021Dynamic 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.

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2021The 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.

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2022Can 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.

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2022Predicting 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.

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2022Volatility 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.

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2022Semi-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.

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2021Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies. (2019). Zhang, Ren ; Wynne, Mark ; Mart√É∆í√ā¬≠nez Garc√É∆í√ā¬≠a, Enrique ; Martinez-Garcia, Enrique ; Grossman, Valerie. In: Globalization Institute Working Papers. RePEc:fip:feddgw:359.

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2021International Yield Spillovers. (2021). Ochoa, Juan ; Kim, Don H. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2021-01.

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2021.

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2022An 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.

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2021Global 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.

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2021Employment Reconciliation and Nowcasting. (2021). van Norden, Simon ; Sinclair, Tara ; Jacobs, Jan ; Goto, Eiji. In: Working Papers. RePEc:gwc:wpaper:2021-007.

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2021Non-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.

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2021Intertemporal 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.

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2022Predictable 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.

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2021Transmisión 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.

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2021Modelización 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.

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2022Dynamic selection of Gram‚ÄďCharlier 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.

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2021What have we learnt from modelling stock returns in Nigeria: Higgledy-piggledy?. (2021). Rano, Shehu Usman. In: MPRA Paper. RePEc:pra:mprapa:110382.

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2022Empirical 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.

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2021.

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2021Indicators 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.

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2022Joint 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.

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2021Herding 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.

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2022Contagion 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.

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2021Can 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.

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2022The 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.

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2021Robust non-Gaussian inference for linear simultaneous equations models. (2021). Mesters, Geert ; Lee, Adam. In: Economics Working Papers. RePEc:upf:upfgen:1792.

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2022Forecasting 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.

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2021Quantile Factor Models. (2021). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:2:p:875-910.

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More than 100 citations found, this list is not complete...

Works by Enrique Sentana:


YearTitleTypeCited
2000The Likelihood Function of Conditionally Heteroskedastic Factor Models In: Annals of Economics and Statistics.
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article8
2007Testing Uncovered Interest Parity: A Continuous-Time Approach In: Staff Working Papers.
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paper15
2007Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: Working Papers.
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paper
2007Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: CEPR Discussion Papers.
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paper
2011TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS√Ę‚ā¨¬źTIME APPROACH.(2011) In: International Economic Review.
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This paper has another version. Agregated cites: 15
article
2007Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers.
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paper47
2009Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2009) In: Journal of Business & Economic Statistics.
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article
2005Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2005) In: Working Papers.
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paper
2005Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation.(2005) In: CEPR Discussion Papers.
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paper
2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers.
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paper39
2008Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation.(2008) In: Working Papers.
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paper
2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation.(2009) In: Journal of Econometrics.
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article
2009Distributional tests in multivariate dynamic models with Normal and Student t innovations In: Working Papers.
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paper16
2008Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations.(2008) In: Working Papers.
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paper
2012Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations.(2012) In: The Review of Economics and Statistics.
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article
2012Valuation of vix derivatives In: Working Papers.
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paper76
2009Valuation of VIX Derivatives.(2009) In: Working Papers.
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paper
2010Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers.
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paper
2013Valuation of VIX derivatives.(2013) In: Journal of Financial Economics.
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article
2015Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers.
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paper0
2015Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2015) In: Working Papers.
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paper
2015Fast ML estimation of dynamic bifactor models: an application to European inflation.(2015) In: CEPR Discussion Papers.
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paper
2016Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2016) In: Advances in Econometrics.
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chapter
2016A spectral EM algorithm for dynamic factor models In: Working Papers.
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paper10
2014A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers.
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paper
2015A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers.
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paper
2018A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 10
article
2018The rise and fall of the natural interest rate In: Working Papers.
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paper38
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers.
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paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers.
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paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics.
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paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series.
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paper
1998An EM Algorithm for Conditionally Heteroscedastic Factor Models. In: Journal of Business & Economic Statistics.
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article10
1996An EM Algorithm for Conditionally Heteroskedastic Factor Models.(1996) In: Working Papers.
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paper
1996An EM Algorithm for Conditionally Heteroskedastic Factor Models..(1996) In: Centro de Estudios Monetarios Y Financieros-.
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paper
2003Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics.
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article120
2000The 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-.
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This paper has another version. Agregated cites: 120
paper
2000THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY.(2000) In: Working Papers. Serie AD.
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paper
2010A Unifying Approach to the Empirical Evaluation of Asset Pricing Models In: Working Papers.
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paper8
2010A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2010) In: Working Papers.
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paper
2010A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2010) In: CEPR Discussion Papers.
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paper
2015A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2015) In: The Review of Economics and Statistics.
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article
2010A unifying approach to the empirical evaluation of asset pricing models.(2010) In: Economics Working Papers.
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This paper has another version. Agregated cites: 8
paper
1994An Index of Co-Movements in Financial Time Series In: Working Papers.
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paper2
1994An Index of Co-Movements in Financial Time Series..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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paper
1994Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes In: Working Papers.
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paper51
1996Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1996) In: Journal of Econometrics.
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article
1994Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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paper
1993Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes..(1993) In: Tilburg - Center for Economic Research.
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paper
1993Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Discussion Paper.
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paper
1996Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1996) In: Other publications TiSEM.
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paper
1993Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Other publications TiSEM.
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This paper has another version. Agregated cites: 51
paper
1994The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases In: Working Papers.
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paper4
1994The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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This paper has another version. Agregated cites: 4
paper
1994A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix In: Working Papers.
[Citation analysis]
paper0
1994A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix..(1994) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1995Riesgo y rentabilidad en el mercado de valores espa√Īol In: Working Papers.
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paper2
1995Has the EMS Reduced the Cost of Capital? Versión Revisada In: Working Papers.
[Citation analysis]
paper0
1995Quadratic ARCH Models In: Working Papers.
[Citation analysis]
paper239
1995Quadratic Arch Models..(1995) In: Centro de Estudios Monetarios Y Financieros-.
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paper
1995Quadratic ARCH Models.(1995) In: Review of Economic Studies.
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This paper has another version. Agregated cites: 239
article
1996Testing for GARCH Effects: A One-Sided Approach In: Working Papers.
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paper30
1998Testing for GARCH effects: a one-sided approach.(1998) In: Journal of Econometrics.
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article
1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means In: Working Papers.
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paper20
1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1996) In: Centro de Estudios Monetarios Y Financieros-.
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paper
1998Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review.
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article
1997Conditional means of time series processes and time series processes for conditional means.(1997) In: Working Papers. Serie AD.
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paper
1997Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets In: Working Papers.
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paper3
1997Risk and return in the Spanish stock market: some evidence from individual assets.(1997) In: Investigaciones Economicas.
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article
1997Pricing Options on Assets with Predictable White Noise Returns In: Working Papers.
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paper0
1997Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada In: Working Papers.
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paper0
1997Least Squares Predictions and Mean-Variance Analysis. Versión Revisada In: Working Papers.
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paper0
1997The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models In: Working Papers.
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paper22
1998The relation between conditionally heteroskedastic factor models and factor GARCH models.(1998) In: Econometrics Journal.
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article
1997The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models..(1997) In: Centro de Estudios Monetarios Y Financieros-.
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paper
2000Factor Representing Portfolios in Large Asset Markets.Versión Revisada In: Working Papers.
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paper0
2000Constrained EMM and Indirect Inference Estimation. Versión Revisada In: Working Papers.
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paper1
2000The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada In: Working Papers.
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paper0
2001Mean-Variance Portfolio Allocation with a Value at Risk Constraint In: Working Papers.
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paper6
2001Mean Variance Portfolio Allocation with a Value at Risk Constraint.(2001) In: CEPR Discussion Papers.
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paper
2001Mean-variance portfolio allocation with a value at risk constraint.(2001) In: LSE Research Online Documents on Economics.
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paper
2001Mean-Variance Portfolio Allocation with a Value at Risk Constraint..(2001) In: Centro de Estudios Monetarios Y Financieros-.
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paper
2002Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers.
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paper53
2004Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica.
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article
2003Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics.
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paper
2003LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD.
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paper
2002Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers.
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paper
2004Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series.
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paper
2003On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers.
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2004On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models.(2004) In: Economics Letters.
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article
2004Indirect Estimation of Conditionally Heteroskedastic Factor Models In: Working Papers.
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paper12
2004Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach In: Working Papers.
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paper23
2004Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach.(2004) In: CEPR Discussion Papers.
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paper
2012Spanning tests in return and stochastic discount factor mean‚Äďvariance frontiers: A unifying approach.(2012) In: Journal of Econometrics.
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article
2010Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach.(2010) In: Economics Working Papers.
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paper
2004Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations In: Working Papers.
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2005Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations.(2005) In: CEPR Discussion Papers.
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2004Estimation and testing of dynamic models with generalised hyperbolic innovations.(2004) In: LSE Research Online Documents on Economics.
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2007On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers.
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2007On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models.(2007) In: Working Paper series.
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2007Duality in Mean-Variance Frontiers with Conditioning Information In: Working Papers.
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2007Duality in Mean-Variance Frontiers with Conditioning Information.(2007) In: CEPR Discussion Papers.
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2016Duality in mean-variance frontiers with conditioning information.(2016) In: Journal of Empirical Finance.
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2007Duality in mean-variance frontiers with conditioning information.(2007) In: Economics Working Papers.
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2008A Comparison of Mean-Variance Efficiency Tests In: Working Papers.
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2010A comparison of mean-variance efficiency tests.(2010) In: Journal of Econometrics.
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2008The Econometrics of Mean-Variance Efficiency Tests: A Survey In: Working Papers.
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2009The econometrics of mean-variance efficiency tests: a survey.(2009) In: Econometrics Journal.
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article
2009Underidentification? (Resumen) In: Working Papers.
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2009Dynamic Specification Tests for Static Factor Models In: Working Papers.
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paper4
2010Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series.
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paper
2012Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers.
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2013Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics.
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article
2012Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers.
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2013Dynamic Specification Tests for Dynamic Factor Models In: Working Papers.
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paper2
2019Dynamic specification tests for dynamic factor models.(2019) In: Econometrics Working Papers Archive.
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2019Dynamic specification tests for dynamic factor models.(2019) In: Journal of Applied Econometrics.
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2014Neglected Serial Correlation Tests in UCARIMA Models In: Working Papers.
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paper0
2016Neglected serial correlation tests in UCARIMA models.(2016) In: SERIEs: Journal of the Spanish Economic Association.
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article
2015Volatility-Related Exchange Traded Assets: An Econometric Investigation In: Working Papers.
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paper5
2015Volatility-related exchange traded assets: an econometric investigation.(2015) In: CEPR Discussion Papers.
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2018Volatility-Related Exchange Traded Assets: An Econometric Investigation.(2018) In: Journal of Business & Economic Statistics.
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article
2015Is a Normal Copula the Right Copula? In: Working Papers.
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paper1
2015Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers.
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2020Is a Normal Copula the Right Copula?.(2020) In: Journal of Business & Economic Statistics.
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2015Finite Underidentification In: Working Papers.
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2017Normality Tests for Latent Variables In: Working Papers.
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paper2
2019Normality tests for latent variables.(2019) In: Quantitative Economics.
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2017Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers.
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paper3
2020Testing distributional assumptions using a continuum of moments.(2020) In: Journal of Econometrics.
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2017Empirical Evaluation of Overspecified Asset Pricing Models In: Working Papers.
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2017Empirical Evaluation of Overspecified Asset Pricing Models.(2017) In: CEPR Discussion Papers.
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2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
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2019Consistent non-Gaussian pseudo maximum likelihood estimators.(2019) In: Journal of Econometrics.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series.
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