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    
   Missing citations? Add them    Incorrect content? Let us know

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 Espaa7
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 Econmicas, 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Modeling 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2022A 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

2021Hermite 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Data?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

2022A 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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022PML 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

2022Specification 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

2022Estimating 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

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.

Full description at Econpapers || Download paper

2021Natural 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Testing 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies. (2019). Zhang, Ren ; Wynne, Mark ; Martínez García, Enrique ; Martinez-Garcia, Enrique ; Grossman, Valerie. In: Globalization Institute Working Papers. RePEc:fip:feddgw:359.

Full description at Econpapers || Download paper

2021International 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

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.

Full description at Econpapers || Download paper

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.

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

2021.

Full description at Econpapers || Download paper

2021Employment 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Dynamic 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

2021What 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

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.

Full description at Econpapers || Download paper

2021.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2021Robust 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

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.

Full description at Econpapers || Download paper

2021Quantile 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

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.
[Full Text][Citation analysis]		article8
2007Testing Uncovered Interest Parity: A Continuous-Time Approach In: Staff Working Papers.
[Full Text][Citation analysis]		paper15
2007Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2007Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		paper
2011TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH.(2011) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15		article
2007Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers.
[Full Text][Citation analysis]		paper47
2009Parametric 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: 47		article
2005Parametric 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: 47		paper
2005Parametric 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: 47		paper
2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers.
[Full Text][Citation analysis]		paper39
2008Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2009Multivariate 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: 39		article
2009Distributional tests in multivariate dynamic models with Normal and Student t innovations In: Working Papers.
[Full Text][Citation analysis]		paper16
2008Distributional 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: 16		paper
2012Distributional 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: 16		article
2012Valuation of vix derivatives In: Working Papers.
[Full Text][Citation analysis]		paper76
2009Valuation of VIX Derivatives.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		paper
2010Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		paper
2013Valuation of VIX derivatives.(2013) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 76		article
2015Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers.
[Full Text][Citation analysis]		paper0
2015Fast 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
2015Fast 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
2016Fast 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
2016A spectral EM algorithm for dynamic factor models In: Working Papers.
[Full Text][Citation analysis]		paper10
2014A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2015A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2018A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		article
2018The rise and fall of the natural interest rate In: Working Papers.
[Full Text][Citation analysis]		paper38
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38		paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38		paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38		paper
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38		paper
1998An EM Algorithm for Conditionally Heteroscedastic Factor Models. In: Journal of Business & Economic Statistics.
[Citation analysis]		article10
1996An EM Algorithm for Conditionally Heteroskedastic Factor Models.(1996) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 10		paper
1996An 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
2003Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics.
[Citation analysis]		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-.
[Citation analysis]
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 120		paper
2010A Unifying Approach to the Empirical Evaluation of Asset Pricing Models In: Working Papers.
[Full Text][Citation analysis]		paper8
2010A 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: 8		paper
2010A 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: 8		paper
2015A 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: 8		article
2010A 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: 8		paper
1994An Index of Co-Movements in Financial Time Series In: Working Papers.
[Citation analysis]		paper2
1994An Index of Co-Movements in Financial Time Series..(1994) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
1994Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes In: Working Papers.
[Citation analysis]		paper51
1996Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1996) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		article
1994Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses..(1994) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 51		paper
1993Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes..(1993) In: Tilburg - Center for Economic Research.
[Citation analysis]
This paper has another version. Agregated cites: 51		paper
1993Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Discussion Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
1996Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1996) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
1993Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		paper
1994The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases In: Working Papers.
[Citation analysis]		paper4
1994The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases..(1994) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
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 español In: Working Papers.
[Citation analysis]		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-.
[Citation analysis]
This paper has another version. Agregated cites: 239		paper
1995Quadratic ARCH Models.(1995) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 239		article
1996Testing for GARCH Effects: A One-Sided Approach In: Working Papers.
[Citation analysis]		paper30
1998Testing for GARCH effects: a one-sided approach.(1998) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30		article
1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means In: Working Papers.
[Citation analysis]		paper20
1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1996) In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]
This paper has another version. Agregated cites: 20		paper
1998Conditional 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: 20		article
1997Conditional 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: 20		paper
1997Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets In: Working Papers.
[Citation analysis]		paper3
1997Risk and return in the Spanish stock market: some evidence from individual assets.(1997) In: Investigaciones Economicas.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
1997Pricing Options on Assets with Predictable White Noise Returns In: Working Papers.
[Citation analysis]		paper0
1997Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada In: Working Papers.
[Full Text][Citation analysis]		paper0
1997Least Squares Predictions and Mean-Variance Analysis. Versión Revisada In: Working Papers.
[Full Text][Citation analysis]		paper0
1997The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models In: Working Papers.
[Full Text][Citation analysis]		paper22
1998The relation between conditionally heteroskedastic factor models and factor GARCH models.(1998) In: Econometrics Journal.
[Citation analysis]
This paper has another version. Agregated cites: 22		article
1997The 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: 22		paper
2000Factor Representing Portfolios in Large Asset Markets.Versión Revisada In: Working Papers.
[Full Text][Citation analysis]		paper0
2000Constrained EMM and Indirect Inference Estimation. Versión Revisada In: Working Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
2001Mean-Variance Portfolio Allocation with a Value at Risk Constraint In: Working Papers.
[Full Text][Citation analysis]		paper6
2001Mean Variance Portfolio Allocation with a Value at Risk Constraint.(2001) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2001Mean-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: 6		paper
2001Mean-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: 6		paper
2002Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers.
[Full Text][Citation analysis]		paper53
2004Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53		article
2003Likelihood-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: 53		paper
2003LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53		paper
2002Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53		paper
2004Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53		paper
2003On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers.
[Full Text][Citation analysis]		paper21
2004On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models.(2004) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21		article
2004Indirect Estimation of Conditionally Heteroskedastic Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper12
2004Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach In: Working Papers.
[Full Text][Citation analysis]		paper23
2004Spanning 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: 23		paper
2012Spanning 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: 23		article
2010Spanning 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: 23		paper
2004Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations In: Working Papers.
[Full Text][Citation analysis]		paper18
2005Estimation 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: 18		paper
2004Estimation 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: 18		paper
2007On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers.
[Full Text][Citation analysis]		paper12
2007On 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: 12		paper
2007Duality in Mean-Variance Frontiers with Conditioning Information In: Working Papers.
[Full Text][Citation analysis]		paper10
2007Duality in Mean-Variance Frontiers with Conditioning Information.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2016Duality in mean-variance frontiers with conditioning information.(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		article
2007Duality in mean-variance frontiers with conditioning information.(2007) In: Economics Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2008A Comparison of Mean-Variance Efficiency Tests In: Working Papers.
[Full Text][Citation analysis]		paper10
2010A comparison of mean-variance efficiency tests.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		article
2008The Econometrics of Mean-Variance Efficiency Tests: A Survey In: Working Papers.
[Full Text][Citation analysis]		paper22
2009The econometrics of mean-variance efficiency tests: a survey.(2009) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		article
2009Underidentification? (Resumen) In: Working Papers.
[Full Text][Citation analysis]		paper7
2009Dynamic Specification Tests for Static Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper4
2010Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2012Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers.
[Full Text][Citation analysis]		paper4
2013Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2012Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper1
2013Dynamic Specification Tests for Dynamic Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper2
2019Dynamic specification tests for dynamic factor models.(2019) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2019Dynamic specification tests for dynamic factor models.(2019) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2014Neglected Serial Correlation Tests in UCARIMA Models In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Neglected 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
2015Volatility-Related Exchange Traded Assets: An Econometric Investigation In: Working Papers.
[Full Text][Citation analysis]		paper5
2015Volatility-related exchange traded assets: an econometric investigation.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2018Volatility-Related Exchange Traded Assets: An Econometric Investigation.(2018) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2015Is a Normal Copula the Right Copula? In: Working Papers.
[Full Text][Citation analysis]		paper1
2015Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2020Is a Normal Copula the Right Copula?.(2020) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2015Finite Underidentification In: Working Papers.
[Full Text][Citation analysis]		paper3
2017Normality Tests for Latent Variables In: Working Papers.
[Full Text][Citation analysis]		paper2
2019Normality tests for latent variables.(2019) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2017Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers.
[Full Text][Citation analysis]		paper3
2020Testing distributional assumptions using a continuum of moments.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		article
2017Empirical Evaluation of Overspecified Asset Pricing Models In: Working Papers.
[Full Text][Citation analysis]		paper3
2017Empirical Evaluation of Overspecified Asset Pricing Models.(2017) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
2018Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers.
[Full Text][Citation analysis]		paper2
2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2019Consistent non-Gaussian pseudo maximum likelihood estimators.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2018Volatility, Diversification and Contagion In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Volatility, diversification and contagion.(2018) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators In: Working Papers.
[Full Text][Citation analysis]		paper0
2018Specification 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
2018Specification 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
2018Specification 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
2021Specification tests for non?Gaussian maximum likelihood estimators.(2021) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2018New Testing Approaches for Mean-Variance Predictability In: Working Papers.
[Full Text][Citation analysis]		paper0
2019New testing approaches for mean-variance predictability.(2019) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2021New testing approaches for mean–variance predictability.(2021) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2019New 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
2019New testing approaches for mean-variance predictability.(2019) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2020Hypothesis Tests with a Repeatedly Singular Information Matrix In: Working Papers.
[Full Text][Citation analysis]		paper1
2020Hypothesis tests with a repeatedly singular information matrix.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
2020Gaussian Rank Correlation and Regression In: Working Papers.
[Full Text][Citation analysis]		paper0
2020Gaussian rank correlation and regression.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2020The Jacobian of the Exponential Function In: Working Papers.
[Full Text][Citation analysis]		paper0
2021The Jacobian of the exponential function.(2021) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2020The Jacobian of the exponential function.(2020) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2020Zero-Diagonality as a Linear Structure In: Working Papers.
[Full Text][Citation analysis]		paper0
2020Zero-diagonality as a linear structure.(2020) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		article
2020Zero-diagonality as a linear structure.(2020) In: Tinbergen Institute Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions In: Working Papers.
[Full Text][Citation analysis]		paper4
2020Discrete 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
2021Aggregate Output Measurements: A Common Trend Approach In: Working Papers.
[Full Text][Citation analysis]		paper2
2021Aggregate Output Measurements: A Common Trend Approach.(2021) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Aggregate Output Measurements: A Common Trend Approach.(2021) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Aggregate 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
2021Aggregate output measurements: a common trend approach.(2021) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2021Moment tests of independent components In: Working Papers.
[Full Text][Citation analysis]		paper1
2022Moment 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
2021Multivariate Hermite polynomials and information matrix tests In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Multivariate 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
2021Multivariate Hermite polynomials and information matrix tests.(2021) In: Working Paper series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2021Normal but Skewed? In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Tests for random coefficient variation in vector autoregressive models In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Tests 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
2021Tests 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
2022GDP Solera. The Ideal Vintage Mix In: Working Papers.
[Full Text][Citation analysis]		paper0
2022GDP Solera: The Ideal Vintage Mix.(2022) In: Staff Reports.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
1999Least Squares Predictions and Mean-Variance Analysis In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper9
1997Least 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
2005Least 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
2000Did the EMS Reduce the Cost of Capital? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper24
2002Did the EMS Reduce the Cost of Capital?.(2002) In: Economic Journal.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		article
1992Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data. In: Economic Journal.
[Full Text][Citation analysis]		article168
1994Volatility and Links between National Stock Markets. In: Econometrica.
[Full Text][Citation analysis]		article514
1990Volatiltiy and Links Between National Stock Markets.(1990) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 514		paper
2000Underidentification? In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper20
2012Underidentification?.(2012) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		article
2009Underidentification?.(2009) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2001Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics.
[Full Text][Citation analysis]		article192
1997Identification, 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
1997Identification, 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
2004Factor representing portfolios in large asset markets In: Journal of Econometrics.
[Full Text][Citation analysis]		article23
2000Factor 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
2008Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
2007Indirect 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
1992Unobserved component time series models with Arch disturbances In: Journal of Econometrics.
[Full Text][Citation analysis]		article193
2001Constrained indirect inference estimation In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper1
2000Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]		paper3
2000CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
1995Has the EMS Reduced the Cost of Capital? In: Centro de Estudios Monetarios Y Financieros-.
[Citation analysis]		paper0
1988Nota 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]		article0
1993The econometrics of the stock market I: rationality tests In: Investigaciones Economicas.
[Full Text][Citation analysis]		article0
1993The econometrics of the stock market II: asset pricing In: Investigaciones Economicas.
[Full Text][Citation analysis]		article1
1998Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market In: Investigaciones Economicas.
[Full Text][Citation analysis]		article4
2016Comments 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]		article0
1991Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan In: Review of Economic Studies.
[Full Text][Citation analysis]		article14
2004Constrained Indirect Estimation In: Review of Economic Studies.
[Full Text][Citation analysis]		article38
2003Likelihood-based estimation of latent generalised ARCH In: Economics Series Working Papers.
[Citation analysis]		paper4
1999Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix In: Spanish Economic Review.
[Full Text][Citation analysis]		article0
2014Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team