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

31

i10 index

2038

Citations

RESEARCH PRODUCTION:

51

Articles

159

Papers

1

Chapters

RESEARCH ACTIVITY:

   33 years (1988 - 2021). See details.
   Cites by year: 61
   Journals where Enrique Sentana has often published
   Relations with other researchers
   Recent citing documents: 112.    Total self citations: 96 (4.5 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pse39
   Updated: 2021-09-25    RAS profile: 2021-09-06    
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Relations with other researchers


Works with:

Fiorentini, Gabriele (34)

Amengual, Dante (13)

Galesi, Alessandro (7)

Almuzara, Martin (5)

Perez Quiros, Gabriel (4)

Magnus, Jan (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 (36)

Rigobon, Roberto (35)

Renault, Eric (35)

Normandin, Michel (30)

Bollerslev, Tim (30)

Diebold, Francis (29)

Hallin, Marc (27)

Pesaran, M (27)

Perote, Javier (26)

Weber, Enzo (26)

Broto, Carmen (25)

Cites to:

Fiorentini, Gabriele (95)

Engle, Robert (38)

Calzolari, Giorgio (36)

Hansen, Lars (32)

Mencia, Javier (32)

Tauchen, George (18)

Shanken, Jay (18)

Bollerslev, Tim (18)

pagan, adrian (17)

Demos, Antonis (17)

Rothschild, Michael (17)

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
Review of Economic Studies3
Journal of Business & Economic Statistics3
Journal of Financial Econometrics2
Economics Letters2
The Review of Economics and Statistics2
International Economic Review2
Econometrics Journal2
Econometrica2
Economic Journal2

Working Papers Series with more than one paper published# docs
Working Paper series / Rimini Centre for Economic Analysis9
Working Papers / Banco de EspaŮa7
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"6
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econůmicas, S.A. (Ivie)5
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Enrique Sentana (2021 and 2020)


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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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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2020Quasi 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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2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. (2020). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:2004.02670.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Benzaquen, Michael ; Bouchaud, Jean-Philippe ; Fosset, Antoine. In: Papers. RePEc:arx:papers:2005.05730.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669.

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2020Approximate Maximum Likelihood for Complex Structural Models. (2020). Frazier, David T ; Czellar, Veronika ; Renault, Eric. In: Papers. RePEc:arx:papers:2006.10245.

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2021A 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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2020An estimate of Pension System financial returns. (2020). Ramos, Roberto ; Moraga, Maria. In: Economic Bulletin. RePEc:bde:journl:y:2020:i:09:d:aa:n:24.

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2020Reflexiones sobre el dise√ɬĪo de un Fondo de Recuperaci√ɬ≥n europeo. (2020). Perez, Javier J ; Marin, Paloma ; Kataryniuk, Ivan ; Arce, Oscar. In: Occasional Papers. RePEc:bde:opaper:2014.

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2020The ECB monetary policy response to the Covid-19 crisis. (2020). Martinez-Martin, Jaime ; Nuo, Galo ; Hurtado, Samuel ; Arce, Oscar ; Aguilar, Pablo ; Thomas, Carlos. In: Occasional Papers. RePEc:bde:opaper:2026e.

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2020Inference Using Simulated Neural Moments. (2020). Creel, Michael. In: Working Papers. RePEc:bge:wpaper:1182.

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2020Backtesting portfolio value√Ę‚ā¨¬źat√Ę‚ā¨¬źrisk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619.

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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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2020Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: CIRANO Working Papers. RePEc:cir:cirwor:2020s-30.

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2020Firm size and economic concentration: An analysis from lognormal expansion. (2020). Perote, Javier ; Lozada, Juan M ; Cortes, Lina. In: Documentos de Trabajo CIEF. RePEc:col:000122:018185.

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2020Natural Rate Chimera and Bond Pricing Reality. (2020). Brand, Claus ; Lemke, Wolfgang ; Goy, Gavin. In: DNB Working Papers. RePEc:dnb:dnbwpp:666.

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2020Volatility Asymmetry of Scale Indexes - Taking China as an Example. (2020). Gan, Su-Mei ; Lin, Li-Wei ; Cheng, Jao-Hong ; Wei, Shih-Yung. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-19.

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2020Stochastic dominance tests. (2020). Tsionas, Mike G ; Topaloglou, Nikolas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:112:y:2020:i:c:s0165188920300191.

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2020Price connectedness between green bond and financial markets. (2020). Ugolini, Andrea ; Reboredo, Juan. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:25-38.

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2020Modelling conditional skewness: Heterogeneous beliefs, short sale restrictions and market declines. (2020). Shum, Wai Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300774.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). P√É∆í√ā¬©rez-Rodr√É∆í√ā¬≠guez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2020Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Cortes, Lina M. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818301980.

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2020Time-varying asymmetric volatility spillover between global markets and China’s A, B and H-shares using EGARCH and DCC-EGARCH models. (2020). Singh, Anuradha ; Powell, Robert ; Yong, J ; Do, A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819301342.

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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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2020Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348.

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2020Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals. (2020). Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:4-34.

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2020Inference in second-order identified models. (2020). Kleibergen, Frank ; Hall, Alastair R ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:346-372.

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2020Identification of independent structural shocks in the presence of multiple Gaussian components. (2020). Maxand, Simone. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:55-68.

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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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2020Financial conditions and monetary policy in the US. (2020). Çevik, Emrah ; Cevik, Emrah Ismail ; Yildirim, Durmus Cagri ; Erdogan, Seyfettin ; Dibooglu, Sel. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:4:s0939362518303947.

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2020VIX derivatives, hedging and vol-of-vol risk. (2020). Kaeck, Andreas ; Seeger, Norman J. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:2:p:767-782.

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2020Global investigation on the country-level idiosyncratic volatility and its determinants. (2020). Caglayan, Mustafa Onur ; Zhang, Liwen ; Xue, Wenjun. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:143-160.

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2020Do structural breaks in volatility cause spurious volatility transmission?. (2020). Caporin, Massimiliano ; Malik, Farooq. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:60-82.

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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 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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2020Uncertainty in electricity markets from a semi-nonparametric approach. (2020). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Energy Policy. RePEc:eee:enepol:v:137:y:2020:i:c:s0301421519306780.

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2020Impact of energy sector volatility on clean energy assets. (2020). Vo, Xuan Vinh ; Saeed, Tareq ; Bouri, Elie ; Dutta, Anupam. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220317655.

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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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2020Pricing inefficiencies and feedback trading: Evidence from country ETFs. (2020). Shao, Jia ; Pantelous, Athanasios A ; Liu, Fei ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521920301423.

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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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2020Brent crude oil prices volatility during major crises. (2020). Coughlan, Joseph ; Morales, Lucia ; Zavadska, Miroslava. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318304380.

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2020Stock market oscillations during the corona crash: The role of fear and uncertainty. (2020). Moln√ɬ°r, Peter ; Ly√ɬ≥csa, ҆tefan ; Molnar, Peter ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320309818.

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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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2020VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump. (2020). Wang, Zerong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s0378426620301114.

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2020Modeling asset returns under time-varying semi-nonparametric distributions. (2020). Iguez, Trino-Manuel ; Leon, Angel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301369.

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2020Herding in the Singapore stock Exchange. (2020). Ramlakhan, Prakash ; Bhatnagar, Chandra Shekhar ; Arjoon, Vaalmikki. In: Journal of Economics and Business. RePEc:eee:jebusi:v:109:y:2020:i:c:s0148619519300712.

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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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2020Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?. (2020). Lakshina, Valeriya. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930091x.

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2020Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets. (2020). Ahmed, Bouteska. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300190.

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2020Crisis transmission: Visualizing vulnerability. (2020). Volkov, Vladimir ; Islam, Raisul ; Dungey, Mardi. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:59:y:2020:i:c:s0927538x19302665.

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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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2020Feedback trading strategies and long-term volatility. (2020). Koulakiotis, Athanasios ; Kiohos, Apostolos ; Babalos, Vassilios ; Kyriakou, Maria I. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:181-189.

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2020Feedback trading and the ramadan effect in frontier markets. (2020). Andrikopoulos, Panagiotis ; Kallinterakis, Vasileios ; Gad, Samar ; Cui, Yueting. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919306294.

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2020Empirical investigation of changes in policy uncertainty on stock returns√Ę‚ā¨‚ÄĚEvidence from China√Ę‚ā¨‚ĄĘs market. (2020). Chiang, Thomas C ; Chen, Xiaoyu. In: Research in International Business and Finance. RePEc:eee:riibaf:v:53:y:2020:i:c:s027553191930892x.

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2020An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion. (2020). Karlis, Dimitris ; Tzougas, George. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:104027.

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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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2020Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306.

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2020Overreaction in the REITs Market: New Evidence from Quantile Autoregression Approach. (2020). Julio, Ivan F ; Manohar, Catherine Anitha ; Ngene, Geoffrey M. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:282-:d:445319.

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2020EM Estimation for the Poisson-Inverse Gamma Regression Model with Varying Dispersion: An Application to Insurance Ratemaking. (2020). Tzougas, George. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:97-:d:412191.

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2020Could Mergers Become More Sustainable? A Study of the Stock Exchange Mergers of NASDAQ and OMX. (2020). Wong, Wing-Keung ; Clark, Ephraim ; Xie, Wenjing ; Vieito, Joo Paulo. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:20:p:8581-:d:429235.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Kim, Youngshin ; Douady, Raphael ; Roh, Kum-Hwan. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03018495.

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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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2020Non-parametric Estimation of Quadratic Hawkes Processes for Order Book Events. (2020). Bouchaud, Jean-Philippe ; Fosset, Antoine ; Benzaquen, Michael. In: Working Papers. RePEc:hal:wpaper:hal-02998555.

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2020Tempered Stable Processes with Time Varying Exponential Tails. (2020). Kim, Youngshin ; Douady, Raphael ; Roh, Kum-Hwan. In: Working Papers. RePEc:hal:wpaper:hal-03018495.

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2020Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds. (2020). Karehnke, Paul ; de Roon, Frans. In: Management Science. RePEc:inm:ormnsc:v:66:y:12:i:2020:p:5969-5989.

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2020Financial integration in the EU28 equity markets: measures and drivers. (2020). Papanagiotou, Evangalia ; Ossola, Elisa ; Nardo, Michela. In: Working Papers. RePEc:jrs:wpaper:202009.

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2020Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators. (2020). Vigo Pereira, Caio ; Laurini, Marcio. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202014.

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2020An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2020). Mazur, Stepan ; Gulliksson, Mrten. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09943-6.

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2020Financial Integration in the GCC Region: Market Size Versus National Effects. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Arin, Kerim ; Kyriacou, Kyriacos. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09554-6.

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2021Intertemporal asset pricing with bitcoin. (2021). Koutmos, Dimitrios ; Payne, James E. 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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2020Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference. (2020). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Cahiers de recherche. RePEc:mtl:montec:15-2020.

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2020Contingent Linear Financial Networks. (2020). Rigobon, Roberto ; Dahleh, Munther A ; Jiang, Bomin. In: NBER Working Papers. RePEc:nbr:nberwo:26814.

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2020Global Business and Financial Cycles: A Tale of Two Capital Account Regimes. (2020). Rebucci, Alessandro ; Acalin, Julien. In: NBER Working Papers. RePEc:nbr:nberwo:27739.

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2020.

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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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2020Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets. (2020). Neifar, Malika. In: MPRA Paper. RePEc:pra:mprapa:99658.

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2020Identification and Estimation of Initial Conditions in Non-Minimal State-Space Models. (2020). Bystrov, Victor. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:12:y:2020:i:4:p:413-429.

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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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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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2020Investigating liquidity constraints as a channel of contagion: a regime switching approach. (2020). Sruthi, Rajan ; Shijin, Santhakumar. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00185-2.

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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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2020Tradability, closeness to market prices, and expected profit: their measurement for a binomial model of options pricing in a heterogeneous market. (2020). Herbon, Avi ; Shvimer, Yossi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:3:d:10.1007_s11403-019-00259-0.

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2020Order Flows, Investor Sentiments and Feedback Trade in Index Futures Market. (2020). Pradhan, H K ; Banerjee, Ameet Kumar. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:18:y:2020:i:4:d:10.1007_s40953-020-00198-9.

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2020Bahadur intercept with applications to one-sided testing. (2020). Lu, Zeng-Hua . In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0955-z.

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2020Bayesian inference of smooth transition autoregressive (STAR)(k)√Ę‚ā¨‚ÄúGARCH(l, m) models. (2020). Nur, Darfiana ; Livingston, Glen. In: Statistical Papers. RePEc:spr:stpapr:v:61:y:2020:i:6:d:10.1007_s00362-018-1056-3.

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2020Breadth of Ownership and the Comovement of Equity Prices in China Stock Market. (2020). Ou, Jiahe. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:10:y:2020:i:4:f:10_4_1.

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2020Contagion or interdependence? Comparing signed and unsigned spillovers. (2020). Volkov, Vladimir ; Islam, Raisul. In: Working Papers. RePEc:tas:wpaper:33214.

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2020Estimating the Impact of Financial Investments on Agricultural Futures Prices using Changes in Volatility. (2020). Hachula, Michael ; Rieth, Malte. In: American Journal of Agricultural Economics. RePEc:wly:ajagec:v:102:y:2020:i:3:p:759-785.

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2021Is there a systemic risk between Sharia, Sukuk, and GCC stock markets? A ?CoVaR risk metric?based copula approach. (2021). Yoon, Seongmin ; Mensi, Walid ; Hussain, Syed Jawad ; al Yahyaee, Khamis Hamed ; Alyahyaee, Khamis Hamed. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2904-2926.

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2020Modeling VXX under jump diffusion with stochastic long√Ę‚ā¨¬źterm mean. (2020). Zhang, Jin E ; Gehricke, Sebastian A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:10:p:1508-1534.

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2020Valuation of VIX and target volatility options with affine GARCH models. (2020). Jayaraman, Sarath Kumar ; Cui, Zhenyu ; Badescu, Alexandru ; Cao, Hongkai. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:12:p:1880-1917.

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2020Pricing VIX derivatives with infinite√Ę‚ā¨¬źactivity jumps. (2020). Ruan, Xinfeng ; Cao, Jiling ; Zhang, Wenjun ; Su, Shu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:3:p:329-354.

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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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article3
2007Testing Uncovered Interest Parity: A Continuous-Time Approach In: Staff Working Papers.
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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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article
2007Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers.
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paper41
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
2009Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2009) In: Journal of Business & Economic Statistics.
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article
2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers.
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paper37
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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paper13
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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2009Valuation of VIX Derivatives.(2009) In: Working Papers.
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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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2015Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2015) In: Working Papers.
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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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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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article
2018The rise and fall of the natural interest rate In: Working Papers.
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paper26
2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics.
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2018The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series.
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1998An EM Algorithm for Conditionally Heteroscedastic Factor Models. In: Journal of Business & Economic Statistics.
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1996An EM Algorithm for Conditionally Heteroskedastic Factor Models.(1996) In: Working Papers.
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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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article114
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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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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paper
1994An Index of Co-Movements in Financial Time Series In: Working Papers.
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1994An Index of Co-Movements in Financial Time Series..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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1994Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes In: Working Papers.
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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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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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paper
1994A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix In: Working Papers.
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paper0
1994A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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paper
1995Riesgo y rentabilidad en el mercado de valores espa√Īol In: Working Papers.
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paper1
1995Has the EMS Reduced the Cost of Capital? Versión Revisada In: Working Papers.
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paper0
1995Quadratic ARCH Models In: Working Papers.
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paper222
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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article
1996Testing for GARCH Effects: A One-Sided Approach In: Working Papers.
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paper29
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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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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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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1997Pricing Options on Assets with Predictable White Noise Returns.(1997) In: FMG Discussion Papers.
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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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1997The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models In: Working Papers.
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paper13
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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2000Constrained EMM and Indirect Inference Estimation. Versión Revisada In: Working Papers.
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paper0
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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paper4
2001Mean Variance Portfolio Allocation with a Value at Risk Constraint.(2001) In: CEPR Discussion Papers.
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2001Mean-variance portfolio allocation with a value at risk constraint.(2001) In: LSE Research Online Documents on Economics.
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2001Mean-Variance Portfolio allocation with a Value at Risk Constraint.(2001) In: FMG Discussion Papers.
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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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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: FMG Discussion Papers.
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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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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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2004Indirect Estimation of Conditionally Heteroskedastic Factor Models In: Working Papers.
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2004Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach In: Working Papers.
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2004Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach.(2004) In: CEPR Discussion Papers.
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2012Spanning tests in return and stochastic discount factor mean‚Äďvariance frontiers: A unifying approach.(2012) In: Journal of Econometrics.
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2004Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach.(2004) In: FMG Discussion Papers.
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2010Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach.(2010) In: Economics Working Papers.
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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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2004Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations.(2004) In: FMG Discussion Papers.
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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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2009Underidentification? (Resumen) In: Working Papers.
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2009Dynamic Specification Tests for Static Factor Models In: Working Papers.
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2010Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series.
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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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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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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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2016Neglected serial correlation tests in UCARIMA models.(2016) In: SERIEs: Journal of the Spanish Economic Association.
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2015Volatility-Related Exchange Traded Assets: An Econometric Investigation In: Working Papers.
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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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2015Is a Normal Copula the Right Copula? In: Working 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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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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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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