19
H index
30
i10 index
1839
Citations
Enrique Sentana : Citation Profile
Centro de Estudios Monetarios y Financieros (CEMFI) (98% share) | RESEARCH PRODUCTION: 47 Articles 118 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
32 years (1988 - 2020). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Enrique Sentana. | Is cited by:
| Cites to:
|
Main data
Where Enrique Sentana has published?
Recent works citing Enrique Sentana (2020 and 2019)
| Year | Title of citing document | |
|---|---|---|
| 2017 | A Non-Structural Investigation of VIX Risk Neutral Density. (2017). Violante, Francesco ; Santucci de Magistris, Paolo ; Barletta, Andrea. In: CREATES Research Papers. RePEc:aah:create:2017-15. Full description at Econpapers || Download paper | |
| 2019 | Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: AMSE Working Papers. RePEc:aim:wpaimx:1912. Full description at Econpapers || Download paper | |
| 2019 | Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications. (2019). Krasniqi, Besnik ; Aliu, Fisnik ; Knapkova, Adriana. In: Acta Oeconomica. RePEc:aka:aoecon:v:69:y:2019:i:2:p:273-287. Full description at Econpapers || Download paper | |
| 2019 | Dynamic Factor Models in gretl. The DFM package. (2019). Venetis, Ioannis ; Lucchetti, Riccardo (Jack). In: gretl working papers. RePEc:anc:wgretl:7. Full description at Econpapers || Download paper | |
| 2018 | Portfolio optimization at the frontier: Assessing the diversification benefits of African securities. (2018). Senga, Christian. In: Working Papers. RePEc:ant:wpaper:2019001. Full description at Econpapers || Download paper | |
| 2019 | Indirect Inference With(Out) Constraints. (2016). Renault, Eric ; Frazier, David T. In: Papers. RePEc:arx:papers:1607.06163. Full description at Econpapers || Download paper | |
| 2017 | Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1705.10454. Full description at Econpapers || Download paper | |
| 2019 | Indirect Inference with a Non-Smooth Criterion Function. (2019). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365. Full description at Econpapers || Download paper | |
| 2019 | Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2019). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045. Full description at Econpapers || Download paper | |
| 2019 | A General Framework for Prediction in Time Series Models. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1902.01622. Full description at Econpapers || Download paper | |
| 2019 | Conditional Density Estimation with Neural Networks: Best Practices and Benchmarks. (2019). Ulrich, Maxim ; Walther, Simon ; Ferreira, Fabio ; Rothfuss, Jonas. In: Papers. RePEc:arx:papers:1903.00954. Full description at Econpapers || Download paper | |
| 2019 | Modeling Univariate and Multivariate Stochastic Volatility in R with stochvol and factorstochvol. (2019). Kastner, Gregor ; Hosszejni, Darjus. In: Papers. RePEc:arx:papers:1906.12123. Full description at Econpapers || Download paper | |
| 2019 | Tracking VIX with VIX Futures: Portfolio Construction and Performance. (2019). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1907.00293. Full description at Econpapers || Download paper | |
| 2019 | From quadratic Hawkes processes to super-Heston rough volatility models with Zumbach effect. (2019). Rosenbaum, Mathieu ; Jusselin, Paul ; Dandapani, Aditi. In: Papers. RePEc:arx:papers:1907.06151. Full description at Econpapers || Download paper | |
| 2019 | Consistent and Efficient Pricing of SPX and VIX Options under Multiscale Stochastic Volatility. (2019). Huh, Jeonggyu ; Kim, Geonwoo ; Jeon, Jaegi. In: Papers. RePEc:arx:papers:1909.10187. Full description at Econpapers || Download paper | |
| 2019 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper | |
| 2020 | Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. (2020). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:2004.02670. Full description at Econpapers || Download paper | |
| 2020 | A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400. Full description at Econpapers || Download paper | |
| 2020 | Non-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. Full description at Econpapers || Download paper | |
| 2020 | Tempered Stable Processes with Time Varying Exponential Tails. (2020). Douady, Raphael ; Roh, Kum-Hwan ; Kim, Young Shin. In: Papers. RePEc:arx:papers:2006.07669. Full description at Econpapers || Download paper | |
| 2018 | Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885. Full description at Econpapers || Download paper | |
| 2020 | Reflexiones sobre el diseño de un Fondo de Recuperación europeo. (2020). Perez, Javier J ; Marin, Paloma ; Kataryniuk, Ivan ; Arce, Oscar. In: Occasional Papers. RePEc:bde:opaper:2014. Full description at Econpapers || Download paper | |
| 2018 | The relevance of currency-denomination for the cross-border effects of monetary policy. (2018). argimon, isabel. In: Working Papers. RePEc:bde:wpaper:1827. Full description at Econpapers || Download paper | |
| 2019 | The natural interest rate in Latin America. (2019). Gómez-Pineda, Javier ; Gomez-Pineda, Javier G. In: Borradores de Economia. RePEc:bdr:borrec:1067. Full description at Econpapers || Download paper | |
| 2020 | Inference Using Simulated Neural Moments. (2020). Creel, Michael. In: Working Papers. RePEc:bge:wpaper:1182. Full description at Econpapers || Download paper | |
| 2019 | Unconventional monetary policy tools: a cross-country analysis. (2019). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:63. Full description at Econpapers || Download paper | |
| 2018 | Towards an Understanding of the Origins of the Favourite–Longshot Bias: Evidence from Online Poker Markets, a Real†money Natural Laboratory. (2018). Williams, Leighton Vaughan ; Peirson, John ; PEter, ; Sung, Minga Chien ; VaughanWilliams, Leighton . In: Economica. RePEc:bla:econom:v:85:y:2018:i:338:p:360-382. Full description at Econpapers || Download paper | |
| 2018 | Testing Over- and Underidentification in Linear Models, with Applications to Dynamic Panel Data and Asset-Pricing Models. (2018). Windmeijer, Frank. In: Bristol Economics Discussion Papers. RePEc:bri:uobdis:18/696. Full description at Econpapers || Download paper | |
| 2019 | Interest Rates, Money, and Economic Activity. (2019). Serletis, Apostolos ; Dery, Cosmas. In: Working Papers. RePEc:clg:wpaper:2019-16. Full description at Econpapers || Download paper | |
| 2017 | Normality Tests for Latent Variables. (2017). Sentana, Enrique ; Amengual, Dante ; Almuzara, Tincho. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708. Full description at Econpapers || Download paper | |
| 2017 | Testing Distributional Assumptions Using a Continuum of Moments. (2017). Sentana, Enrique ; Carrasco, Marine ; Amengual, Dante . In: Working Papers. RePEc:cmf:wpaper:wp2018_1709. Full description at Econpapers || Download paper | |
| 2017 | Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Sentana, Enrique ; Pearanda, Francisco ; Manresa, Elena. In: Working Papers. RePEc:cmf:wpaper:wp2018_1711. Full description at Econpapers || Download paper | |
| 2017 | Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina. In: Documentos de Trabajo CIEF. RePEc:col:000122:015300. Full description at Econpapers || Download paper | |
| 2017 | Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Documentos de Trabajo CIEF. RePEc:col:000122:015923. Full description at Econpapers || Download paper | |
| 2019 | Firm size and concentration inequality: A flexible extension of Gibrat’s law. (2019). Perote, Javier ; Lozada, Juan M ; Cortes, Lina . In: Documentos de Trabajo CIEF. RePEc:col:000122:017205. Full description at Econpapers || Download paper | |
| 2019 | Uncertainty in Electricity Markets from a seminonparametric Approach. (2019). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017304. Full description at Econpapers || Download paper | |
| 2020 | Firm 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. Full description at Econpapers || Download paper | |
| 2019 | Speculation and the Informational Efficiency of Commodity Futures Markets. (2019). Sulewski, Christoph ; Putz, Alexander ; Bohl, Martin . In: CQE Working Papers. RePEc:cqe:wpaper:8919. Full description at Econpapers || Download paper | |
| 2017 | BIAS correction for dynamic factor models. (2017). Bastos, Guadalupe ; Garcia-Martos, Carolina ; Alonso, Andres Modesto . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24029. Full description at Econpapers || Download paper | |
| 2020 | Natural Rate Chimera and Bond Pricing Reality. (2020). Brand, Claus ; Lemke, Wolfgang ; Goy, Gavin. In: DNB Working Papers. RePEc:dnb:dnbwpp:666. Full description at Econpapers || Download paper | |
| 2019 | Does the cryptocurrency market exhibits feedback trading?. (2019). Gomes, Leonardo Lima ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Jordo, Paulo Vitor. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00772. Full description at Econpapers || Download paper | |
| 2019 | Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hotta, Luiz ; Hallin, Marc ; Zevallos, Mauricio ; Trucios-Maza, Carlos Cesar. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066. Full description at Econpapers || Download paper | |
| 2018 | The natural rate of interest: estimates, drivers, and challenges to monetary policy JEL Classification: E52, E43. (2018). Brand, Claus ; Bielecki, Marcin ; Penalver, Adrian. In: Occasional Paper Series. RePEc:ecb:ecbops:2018217. Full description at Econpapers || Download paper | |
| 2019 | Taylor-rule consistent estimates of the natural rate of interest. (2019). Mazelis, Falk ; Brand, Claus. In: Working Paper Series. RePEc:ecb:ecbwps:20192257. Full description at Econpapers || Download paper | |
| 2019 | Demographics and the natural real interest rate: historical and projected paths for the euro area. (2019). Papetti, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20192258. Full description at Econpapers || Download paper | |
| 2019 | Volatility Spillovers among the Cryptocurrency Time Series. (2019). Mighri, Zouheir Ahmed ; al Saggaf, Majid Ibrahim ; Alsaggaf, Majid Ibrahim. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-7. Full description at Econpapers || Download paper | |
| 2019 | Simultaneous statistical inference in dynamic factor models: Chi-square approximation and model-based bootstrap. (2019). Dickhaus, Thorsten ; Sirotko-Sibirskaya, Natalia . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:129:y:2019:i:c:p:30-46. Full description at Econpapers || Download paper | |
| 2020 | Stochastic 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. Full description at Econpapers || Download paper | |
| 2017 | Pure jump models for pricing and hedging VIX derivatives. (2017). Li, Jing ; Zhang, Gongqiu . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:74:y:2017:i:c:p:28-55. Full description at Econpapers || Download paper | |
| 2020 | Price 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. Full description at Econpapers || Download paper | |
| 2017 | Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69. Full description at Econpapers || Download paper | |
| 2019 | Reasonable evaluation of VIX options for the Taiwan stock index. (2019). Wang, Chiu-Ping ; Lin, Shin-Hung ; Huang, Hung-Hsi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:111-130. Full description at Econpapers || Download paper | |
| 2020 | Modelling 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. Full description at Econpapers || Download paper | |
| 2020 | Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-RodrÃÂguez, 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. Full description at Econpapers || Download paper | |
| 2019 | Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction. (2019). Fan, Jianqing ; Kim, Donggyu. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:395-417. Full description at Econpapers || Download paper | |
| 2019 | A multiple testing approach to the regularisation of large sample correlation matrices. (2019). Pesaran, M ; Bailey, Natalia ; Smith, Vanessa L. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:507-534. Full description at Econpapers || Download paper | |
| 2019 | Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637. Full description at Econpapers || Download paper | |
| 2019 | Sparse Bayesian time-varying covariance estimation in many dimensions. (2019). Kastner, Gregor. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:98-115. Full description at Econpapers || Download paper | |
| 2019 | A diagnostic criterion for approximate factor structure. (2019). Scaillet, Olivier ; Ossola, Elisa ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:2:p:503-521. Full description at Econpapers || Download paper | |
| 2020 | Variance disparity and market frictions. (2020). Park, Yang-Ho. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:326-348. Full description at Econpapers || Download paper | |
| 2020 | Generalized 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. Full description at Econpapers || Download paper | |
| 2019 | Modeling Euro STOXX 50 volatility with common and market-specific components. (2019). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:11:y:2019:i:c:p:22-42. Full description at Econpapers || Download paper | |
| 2019 | Regularized semiparametric estimation of high dimensional dynamic conditional covariance matrices. (2019). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:12:y:2019:i:c:p:42-65. Full description at Econpapers || Download paper | |
| 2020 | VIX 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. Full description at Econpapers || Download paper | |
| 2017 | Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32. Full description at Econpapers || Download paper | |
| 2020 | Global 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. Full description at Econpapers || Download paper | |
| 2020 | Do 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. Full description at Econpapers || Download paper | |
| 2017 | Dynamic risk spillovers between gold, oil prices and conventional, sustainability and Islamic equity aggregates and sectors with portfolio implications. (2017). Sensoy, Ahmet ; Mensi, walid ; Hammoudeh, Shawkat ; Kang, Sang Hoon ; Wanas, Idries Mohammad. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:454-475. Full description at Econpapers || Download paper | |
| 2017 | Dynamic return-volatility dependence and risk measure of CoVaR in the oil market: A time-varying mixed copula model. (2017). Ji, Qiang ; Liu, Bing-Yue ; Fan, Ying. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:53-65. Full description at Econpapers || Download paper | |
| 2018 | Oil volatility, oil and gas firms and portfolio diversification. (2018). Pérez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cuñado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515. Full description at Econpapers || Download paper | |
| 2020 | Uncertainty 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. Full description at Econpapers || Download paper | |
| 2019 | Portfolio diversification with virtual currency: Evidence from bitcoin. (2019). Saadi, Samir ; Guesmi, Khaled ; Ftiti, Zied ; Abid, Ilyes. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:431-437. Full description at Econpapers || Download paper | |
| 2017 | Dynamic linkages between developed and BRICS stock markets: Portfolio risk analysis. (2017). Mensi, walid ; Kang, Sang Hoon ; Hammoudeh, Shawkat. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:26-33. Full description at Econpapers || Download paper | |
| 2019 | Structural breaks and double long memory of cryptocurrency prices: A comparative analysis from Bitcoin and Ethereum. (2019). Kang, Sanghoon ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:222-230. Full description at Econpapers || Download paper | |
| 2020 | Brent 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. Full description at Econpapers || Download paper | |
| 2018 | Short selling in extreme events. (2018). Geraci, Marco Valerio ; Veredas, David ; Garbaraviius, Tomas. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:90-103. Full description at Econpapers || Download paper | |
| 2019 | Global trends in interest rates. (2019). Giannone, Domenico ; Del Negro, Marco ; Tambalotti, Andrea ; Giannoni, Marc P. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:248-262. Full description at Econpapers || Download paper | |
| 2017 | An empirical comparison of transformed diffusion models for VIX and VIX futures. (2017). JAWADI, Fredj ; Bu, Ruijun ; Li, Yuyi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:116-127. Full description at Econpapers || Download paper | |
| 2017 | Adaptive models and heavy tails with an application to inflation forecasting. (2017). Petrella, Ivan ; Delle Monache, Davide. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:2:p:482-501. Full description at Econpapers || Download paper | |
| 2017 | Improving the power of the Diebold–Mariano–West test for least squares predictions. (2017). Mayer, Walter J ; Dang, Xin ; Liu, Feng. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:618-626. Full description at Econpapers || Download paper | |
| 2018 | MGARCH models: Trade-off between feasibility and flexibility. (2018). Ruiz, Esther ; Hotta, Luiz ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63. Full description at Econpapers || Download paper | |
| 2019 | Detecting underestimates of risk in VaR models. (2019). Thiele, Stephen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:12-20. Full description at Econpapers || Download paper | |
| 2019 | Sentiment spillover effects for US and European companies. (2019). Audrino, Francesco ; Tetereva, Anastasija. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:542-567. Full description at Econpapers || Download paper | |
| 2017 | One-sided performance measures under Gram-Charlier distributions. (2017). Moreno, Manuel ; Leon, Angel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:38-50. Full description at Econpapers || Download paper | |
| 2018 | Smiling twice: The Heston++ model. (2018). Pacati, Claudio ; Reno, Roberto ; Pompa, Gabriele . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:185-206. Full description at Econpapers || Download paper | |
| 2019 | A non-structural investigation of VIX risk neutral density. (2019). Santucci de Magistris, Paolo ; Violante, Francesco ; Barletta, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:1-20. Full description at Econpapers || Download paper | |
| 2019 | Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market. (2019). Ignatieva, Katja ; da Fonseca, Jose. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:45-62. Full description at Econpapers || Download paper | |
| 2017 | The price of variance risk. (2017). Giglio, Stefano ; Dew-Becker, Ian ; Rodriguez, Marius ; Le, Anh . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:2:p:225-250. Full description at Econpapers || Download paper | |
| 2019 | Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618. Full description at Econpapers || Download paper | |
| 2019 | Too good to be true? Fallacies in evaluating risk factor models. (2019). Gospodinov, Nikolay ; Robotti, Cesare ; Kan, Raymond. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:451-471. Full description at Econpapers || Download paper | |
| 2019 | Bayesian forecast combination in VAR-DSGE models. (2019). Li, Xue ; Chin, Kuo-Hsuan. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:59:y:2019:i:c:p:278-298. Full description at Econpapers || Download paper | |
| 2017 | Robust inference in a linear functional model with replications using the t distribution. (2017). Galea, Manuel ; de Castro, Mario. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:160:y:2017:i:c:p:134-145. Full description at Econpapers || Download paper | |
| 2020 | Do 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. Full description at Econpapers || Download paper | |
| 2019 | Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints. (2019). Lu, Xin ; Xue, Fengxin ; Liu, Qiong. In: Operations Research Perspectives. RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716018301404. Full description at Econpapers || Download paper | |
| 2019 | VIX derivatives: Valuation models and empirical evidence. (2019). Yu, Min-Teh ; Wang, Yaw-Huei ; Shih, Pai-Ta ; Lo, Chien-Ling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:53:y:2019:i:c:p:1-21. Full description at Econpapers || Download paper | |
| 2019 | Energy, precious metals, and GCC stock markets: Is there any risk spillover?. (2019). Sensoy, Ahmet ; Mensi, Walid ; Al-Yahyaee, Khamis Hamed ; Kang, Sang Hoon. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:56:y:2019:i:c:p:45-70. Full description at Econpapers || Download paper | |
| 2020 | Crisis 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. Full description at Econpapers || Download paper | |
| 2017 | Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:35-47. Full description at Econpapers || Download paper | |
| 2019 | New dynamics between volume and volatility. (2019). Qiao, Zhi ; Gui, Jun ; Zheng, Zeyu ; Li, Baowen ; Stanley, Eugene H ; Fu, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:1343-1350. Full description at Econpapers || Download paper | |
| 2019 | Feedback trading: Strategies during day and night with global interconnectedness. (2019). Rudolf, Markus ; Kusen, Alex. In: Research in International Business and Finance. RePEc:eee:riibaf:v:48:y:2019:i:c:p:438-463. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
Works by Enrique Sentana:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2000 | The Likelihood Function of Conditionally Heteroskedastic Factor Models In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 2007 | Testing Uncovered Interest Parity: A Continuous-Time Approach In: Staff Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2007 | TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS-TIME APPROACH.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2007 | Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2011 | TESTING UNCOVERED INTEREST PARITY: A CONTINUOUSâ€TIME APPROACH.(2011) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
| 2007 | Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers. [Full Text][Citation analysis] | paper | 40 |
| 2009 | Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2009) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | article | |
| 2005 | Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2005 | PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 40 | paper | |
| 2009 | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers. [Full Text][Citation analysis] | paper | 33 |
| 2008 | MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2009 | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation.(2009) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | article | |
| 2009 | Distributional tests in multivariate dynamic models with Normal and Student t innovations In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2008 | DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2012 | Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations.(2012) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2012 | Valuation of vix derivatives In: Working Papers. [Full Text][Citation analysis] | paper | 49 |
| 2013 | Valuation of VIX derivatives.(2013) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | article | |
| 2009 | Valuation of VIX Derivatives.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 2010 | Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 49 | paper | |
| 2015 | Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | Fast ML estimation of dynamic bifactor models: an application to European inflation.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2016) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | chapter | |
| 2016 | A spectral EM algorithm for dynamic factor models In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2014 | A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2015 | A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2018 | A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2018 | The rise and fall of the natural interest rate In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
| 1998 | An EM Algorithm for Conditionally Heteroscedastic Factor Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 10 |
| 1996 | An EM Algorithm for Conditionally Heteroskedastic Factor Models..(1996) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2003 | Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 109 |
| 2000 | The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality..(2000) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
| 2000 | THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY.(2000) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
| 2010 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2010 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2010 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2010) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2015 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2015) In: The Review of Economics and Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
| 2010 | A unifying approach to the empirical evaluation of asset pricing models.(2010) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 2004 | INDIRECT ESTIMATION OF CONDITIONALLY HETEROSKEDASTIC FACTOR MODELS In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2004 | SPANNING TESTS IN RETURN AND STOCHASTIC DISCOUNT FACTOR MEAN-VARIANCE FRONTIERS: A UNIFYING APPROACH In: Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2004 | Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach.(2004) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2012 | Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2004 | Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach.(2004) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2010 | Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach.(2010) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2004 | ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS In: Working Papers. [Full Text][Citation analysis] | paper | 23 |
| 2005 | Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2004 | Estimation and testing of dynamic models with generalised hyperbolic innovations.(2004) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2004 | Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations.(2004) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 23 | paper | |
| 2007 | ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2007 | On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models.(2007) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2007 | DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2007 | Duality in Mean-Variance Frontiers with Conditioning Information.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2016 | Duality in mean-variance frontiers with conditioning information.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2007 | Duality in mean-variance frontiers with conditioning information.(2007) In: Economics Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2008 | A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2010 | A comparison of mean-variance efficiency tests.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2008 | THE ECONOMETRICS OF MEAN-VARIANCE EFFICIENCY TESTS: A SURVEY In: Working Papers. [Full Text][Citation analysis] | paper | 20 |
| 2009 | The econometrics of mean-variance efficiency tests: a survey.(2009) In: Econometrics Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
| 2009 | Underidentification? (Resumen) In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2009 | Dynamic Specification Tests for Static Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2010 | Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2012 | Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2012 | Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Dynamic Specification Tests for Dynamic Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Dynamic specification tests for dynamic factor models.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2019 | Dynamic specification tests for dynamic factor models.(2019) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2014 | Neglected Serial Correlation Tests in UCARIMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Neglected serial correlation tests in UCARIMA models.(2016) In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2015 | Volatility-Related Exchange Traded Assets: An Econometric Investigation In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2015 | Volatility-related exchange traded assets: an econometric investigation.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2018 | Volatility-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: 2 | article | |
| 2015 | Is a Normal Copula the Right Copula? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2020 | Is a Normal Copula the Right Copula?.(2020) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2015 | Finite Underidentification In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Normality Tests for Latent Variables In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | Normality tests for latent variables.(2019) In: Quantitative Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2017 | Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Empirical Evaluation of Overspecified Asset Pricing Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Empirical Evaluation of Overspecified Asset Pricing Models.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2018 | Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Volatility, Diversification and Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Volatility, diversification and contagion.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Specification Tests for Non-Gaussian Maximum Likelihood Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | New testing approaches for mean-variance predictability In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | New testing approaches for mean-variance predictability.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2019 | New testing approaches for mean-variance predictability.(2019) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2020 | Hypothesis tests with a repeatedly singular information matrix In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Least Squares Predictions and Mean-Variance Analysis In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
| 1999 | Least Squares Predictions and Mean-Variance Analysis.(1999) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 1997 | Least Squares Predictions and Mean-Variance Analysis.(1997) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2005 | Least Squares Predictions and Mean-Variance Analysis.(2005) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2000 | Did the EMS Reduce the Cost of Capital? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
| 2002 | Did the EMS Reduce the Cost of Capital?.(2002) In: Economic Journal. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
| 2001 | Mean Variance Portfolio Allocation with a Value at Risk Constraint In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2001 | Mean-variance portfolio allocation with a value at risk constraint.(2001) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2001 | Mean-Variance Portfolio allocation with a Value at Risk Constraint.(2001) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2001 | Mean-Variance Portfolio Allocation with a Value at Risk Constraint..(2001) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 1992 | Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data. In: Economic Journal. [Full Text][Citation analysis] | article | 133 |
| 1994 | Volatility and Links between National Stock Markets. In: Econometrica. [Full Text][Citation analysis] | article | 452 |
| 1990 | Volatiltiy and Links Between National Stock Markets.(1990) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 452 | paper | |
| 2004 | Likelihood-Based Estimation of Latent Generalized ARCH Structures In: Econometrica. [Full Text][Citation analysis] | article | 45 |
| 2003 | Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2003 | Likelihood-based estimation of latent generalised ARCH structures.(2003) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2003 | LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2002 | Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2004 | Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 45 | paper | |
| 2000 | Underidentification? In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 10 |
| 2012 | Underidentification?.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2009 | Underidentification?.(2009) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 1998 | The relation between conditionally heteroskedastic factor models and factor GARCH models In: Econometrics Journal. [Citation analysis] | article | 11 |
| 1997 | The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models..(1997) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 11 | paper | |
| 2004 | On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models In: Economics Letters. [Full Text][Citation analysis] | article | 20 |
| 2001 | Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 163 |
| 1997 | Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model.(1997) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 163 | paper | |
| 1997 | Identification, estimation and testing of conditionally heteroskedastic factor models.(1997) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 163 | paper | |
| 2004 | Factor representing portfolios in large asset markets In: Journal of Econometrics. [Full Text][Citation analysis] | article | 20 |
| 2000 | Factor Representing Portfolios in Large Asset Markets..(2000) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 2008 | Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks In: Journal of Econometrics. [Full Text][Citation analysis] | article | 26 |
| 2007 | Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks.(2007) In: Working Paper series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 26 | paper | |
| 1992 | Unobserved component time series models with Arch disturbances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 167 |
| 1996 | Marginalization and contemporaneous aggregation in multivariate GARCH processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 46 |
| 1994 | Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses..(1994) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
| 1993 | Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes..(1993) In: Tilburg - Center for Economic Research. [Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
| 1993 | Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Discussion Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
| 1996 | Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1996) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | paper | |
| 1998 | Testing for GARCH effects: a one-sided approach In: Journal of Econometrics. [Full Text][Citation analysis] | article | 27 |
| 2001 | Constrained indirect inference estimation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 2 |
| 2001 | Constrained Indirect Inference Estimation.(2001) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1995 | Risk and Return in the Spanish Stock Market In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Pricing Options on Assets with Predictable White Noise Returns In: FMG Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 2 |
| 2000 | CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1994 | An Index of Co-Movements in Financial Time Series. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 2 |
| 1994 | The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 4 |
| 1994 | A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 0 |
| 1995 | Has the EMS Reduced the Cost of Capital? In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 0 |
| 1995 | Quadratic Arch Models. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 202 |
| 1995 | Quadratic ARCH Models.(1995) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 202 | article | |
| 1996 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 16 |
| 1998 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review. [Citation analysis] This paper has another version. Agregated cites: 16 | article | |
| 1997 | Conditional means of time series processes and time series processes for conditional means.(1997) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
| 1988 | Nota sobre la inclusión en el sistema de precios en un modelo de Leontief de dos regÃmenes de imposición indirecta sobre el consumo In: Investigaciones Economicas. [Full Text][Citation analysis] | article | 0 |
| 1993 | The econometrics of the stock market I: rationality tests In: Investigaciones Economicas. [Full Text][Citation analysis] | article | 0 |
| 1993 | The econometrics of the stock market II: asset pricing In: Investigaciones Economicas. [Full Text][Citation analysis] | article | 1 |
| 1997 | Risk and return in the Spanish stock market: some evidence from individual assets In: Investigaciones Economicas. [Full Text][Citation analysis] | article | 3 |
| 1998 | Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market In: Investigaciones Economicas. [Full Text][Citation analysis] | article | 4 |
| 2016 | Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 1991 | Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan In: Review of Economic Studies. [Full Text][Citation analysis] | article | 11 |
| 2004 | Constrained Indirect Estimation In: Review of Economic Studies. [Full Text][Citation analysis] | article | 27 |
| 1999 | Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix In: Spanish Economic Review. [Full Text][Citation analysis] | article | 0 |
| 2014 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
| 2020 | The Jacobian of the exponential function In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2020 | Zero-diagonality as a linear structure In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team