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)

18

H index

27

i10 index

1750

Citations

RESEARCH PRODUCTION:

46

Articles

115

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1988 - 2019). See details.
   Cites by year: 56
   Journals where Enrique Sentana has often published
   Relations with other researchers
   Recent citing documents: 144.    Total self citations: 79 (4.32 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pse39
   Updated: 2019-10-15    RAS profile: 2019-07-27    
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Relations with other researchers


Works with:

Fiorentini, Gabriele (30)

Galesi, Alessandro (12)

Amengual, Dante (6)

Perez Quiros, Gabriel (4)

Mencia, Javier (3)

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

Is cited by:

Renault, Eric (34)

Ruiz, Esther (31)

Normandin, Michel (30)

Diebold, Francis (28)

Bollerslev, Tim (28)

Rigobon, Roberto (28)

Pesaran, M (27)

Perote, Javier (24)

Weber, Enzo (24)

Broto, Carmen (21)

Serrano, Roberto (21)

Cites to:

Fiorentini, Gabriele (71)

Calzolari, Giorgio (34)

Hansen, Lars (31)

Engle, Robert (28)

Mencia, Javier (27)

Drost, Feike C. (23)

Campbell, John (19)

Bollerslev, Tim (18)

Nijman, Theo (18)

Shanken, Jay (18)

Tauchen, George (17)

Main data


Where Enrique Sentana has published?


Journals with more than one article published# docs
Journal of Econometrics12
Investigaciones Economicas5
Review of Economic Studies3
Journal of Business & Economic Statistics3
The Review of Economics and Statistics2
Econometrica2
Econometric Theory2
Journal of Financial Econometrics2
Econometrics Journal2
International Economic Review2
Economic Journal2

Working Papers Series with more than one paper published# docs
Working Papers / Banco de EspaŮa7
Working Paper series / Rimini Centre for Economic Analysis7
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econůmicas, S.A. (Ivie)5
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"4

Recent works citing Enrique Sentana (2019 and 2018)


YearTitle of citing document
2017A 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.

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2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Dufrenot, Gilles ; Rhouzlane, Meryem. In: AMSE Working Papers. RePEc:aim:wpaimx:1912.

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2019Indirect Inference With(Out) Constraints. (2016). Renault, Eric ; Frazier, David T. In: Papers. RePEc:arx:papers:1607.06163.

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2017Dynamic Index Tracking and Risk Exposure Control Using Derivatives. (2017). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1705.10454.

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2019Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1811.10045.

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2019Conditional 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.

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2019Modeling 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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2019Tracking VIX with VIX Futures: Portfolio Construction and Performance. (2019). Leung, Tim ; Ward, Brian. In: Papers. RePEc:arx:papers:1907.00293.

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2019From 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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2018Portfolio 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.

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2018The relevance of currency-denomination for the cross-border effects of monetary policy. (2018). argimon, isabel. In: Working Papers. RePEc:bde:wpaper:1827.

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2019The natural interest rate in Latin America. (2019). Gomez-Pineda, Javier G. In: Borradores de Economia. RePEc:bdr:borrec:1067.

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2018Towards an Understanding of the Origins of the Favourite√Ę‚ā¨‚ÄúLongshot Bias: Evidence from Online Poker Markets, a Real√Ę‚ā¨ 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.

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2018On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators. (2018). Demos, Antonis ; Antonis, Demos ; Stelios, Arvanitis . In: Journal of Econometric Methods. RePEc:bpj:jecome:v:7:y:2018:i:1:p:38:n:2.

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2018Testing 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.

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2017Normality Tests for Latent Variables. (2017). Almuzara, Tincho ; Sentana, Enrique ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2018_1708.

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2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Amengual, Dante ; Sentana, Enrique ; Carrasco, Marine. In: Working Papers. RePEc:cmf:wpaper:wp2018_1709.

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2017Empirical Evaluation of Overspecified Asset Pricing Models. (2017). Manresa, Elena ; Sentana, Enrique ; Pearanda, Francisco . In: Working Papers. RePEc:cmf:wpaper:wp2018_1711.

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2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015300.

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2017Implicit 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.

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2019Firm 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.

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2019Uncertainty in Electricity Markets from a seminonparametric Approach. (2019). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017304.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: CQE Working Papers. RePEc:cqe:wpaper:7118.

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2017BIAS correction for dynamic factor models. (2017). Alonso, Andres Modesto ; Bastos, Guadalupe ; Garcia-Martos, Carolina . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24029.

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2018Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals. (2018). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/278905.

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2019Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach. (2019). Valls Pereira, Pedro ; Hallin, Marc ; Trucios-Maza, Carlos Cesar ; Hotta, Luis K ; Zevallos, Mauricio. In: Working Papers ECARES. RePEc:eca:wpaper:2013/288066.

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2018The natural rate of interest: estimates, drivers, and challenges to monetary policy JEL Classification: E52, E43. (2018). Bielecki, Marcin ; Penalver, Adrian ; Brand, Claus. In: Occasional Paper Series. RePEc:ecb:ecbops:2018217.

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2019Taylor-rule consistent estimates of the natural rate of interest. (2019). Mazelis, Falk ; Brand, Claus. In: Working Paper Series. RePEc:ecb:ecbwps:20192257.

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2019Demographics 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.

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2019Volatility 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.

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2019Simultaneous 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.

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2017Pure 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.

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2018International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236.

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2018Do international investors cause stock market spillovers? Comparing responses of cross-listed stocks between accessible and inaccessible markets. (2018). Tsutsui, Yoshiro ; Hirayama, Kenjiro ; Nishimura, Yusaku. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:237-248.

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2018Testing normality for unconditionally heteroscedastic macroeconomic variables. (2018). RA√ɬŹSSI, HAMDI ; Raissi, Hamdi. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:140-146.

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2017Moments 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.

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2018Volatility spillovers among the U.S. and Asian stock markets: A comparison between the periods of Asian currency crisis and subprime credit crisis. (2018). Lien, Donald ; Zhang, Yuyin ; Yang, LI ; Lee, Geul. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:187-201.

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2019Reasonable 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.

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2018Intertemporal risk-return tradeoff in the short-run. (2018). Marks, Joseph M ; Nam, Kiseok. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:81-84.

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2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

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2018Estimating stable latent factor models by indirect inference. (2018). Halbleib, Roxana ; Calzolari, Giorgio. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:280-301.

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2018Penalized indirect inference. (2018). Blasques, Francisco ; Duplinskiy, Artem . In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:34-54.

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2018A two-step indirect inference approach to estimate the long-run risk asset pricing model. (2018). Grammig, Joachim ; Kuchlin, Eva-Maria. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:6-33.

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2018The asymptotic properties of GMM and indirect inference under second-order identification. (2018). Dovonon, Prosper ; Hall, Alastair R. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:76-111.

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2019Factor GARCH-It√ī 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.

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2019A 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.

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2019Identification 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.

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2019Sparse 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.

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2017Multiple risk measures for multivariate dynamic heavy‚Äďtailed 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.

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2018Asymmetric attention and volatility asymmetry. (2018). Dzieliski, Micha ; Talpsepp, Tnn ; Rieger, Marc Oliver. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:59-67.

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2017Dynamic 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.

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2017Dynamic 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.

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2018Oil volatility, oil and gas firms and portfolio diversification. (2018). P√ɬ©rez de Gracia, Fernando ; Gabauer, David ; Filis, George ; Cu√ɬĪado, Juncal ; Antonakakis, Nikolaos ; Cunado, Juncal. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:499-515.

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2019Portfolio 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.

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2017Dynamic 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.

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2018Short 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.

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2019Global 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.

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2017An 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.

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2018Does feedback trading drive returns of cross-listed shares?. (2018). Chen, Jing ; McMillan, David G ; Hou, Wenxuan ; Dong, Yizhe. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:179-199.

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2017Adaptive 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.

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2017Improving the power of the Diebold‚ÄďMariano‚ÄďWest 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.

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2018MGARCH 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.

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2019Detecting 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.

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2017One-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.

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2018Smiling 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.

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2019A 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.

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2019Jump 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.

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2017The 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.

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2019Inferring 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.

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2019Too 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.

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2019Bayesian 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.

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2017Robust 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.

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2018Fluctuating attention and financial contagion. (2018). Hasler, Michael ; ORNTHANALAI, CHAYAWAT . In: Journal of Monetary Economics. RePEc:eee:moneco:v:99:y:2018:i:c:p:106-123.

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2018Relationship between stock and currency markets conditional on the US stock returns: A vine copula approach. (2018). Tachibana, Minoru. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:46:y:2018:i:c:p:75-106.

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2019VIX 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.

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2017Measuring 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.

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2018Bias correction in the realized stochastic volatility model for daily volatility on the Tokyo Stock Exchange. (2018). Takaishi, Tetsuya. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:139-154.

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2018Does the introduction of index futures stabilize stock markets? Further evidence from emerging markets. (2018). Kutan, Ali M ; Zhao, Yang ; Wei, Mingzhe ; Shi, Yukun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:57:y:2018:i:c:p:183-197.

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2018Modelling long memory in volatility in sub-Saharan African equity markets. (2018). Kuttu, Saint. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:176-185.

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2019Feedback 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.

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2017Multiplying a Gaussian matrix by a Gaussian vector. (2017). Mattei, Pierre-Alexandre . In: Statistics & Probability Letters. RePEc:eee:stapro:v:128:y:2017:i:c:p:67-70.

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2019A model for level induced conditional heteroskedasticity. (2019). Michel, Jon ; de Jong, Robert M. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:293-300.

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2017Continuous Time Modelling Based on an Exact Discrete Time Representation. (2017). Chambers, Marcus ; Thornton, MA ; McCrorie, JR. In: Economics Discussion Papers. RePEc:esx:essedp:20497.

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2018Effects of Macroeconomic Indicators on the Financial Markets Interrelations. (2018). Czapkiewicz, Anna ; Landmesser, Joanna ; Jamer, Pawel. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:68:y:2018:i:3:p:268-293.

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2019Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach. (2019). Valls Pereira, Pedro ; Zevallos, Mauricio ; Hotta, Luiz K ; Hallin, Marc ; Trucios, Carlos. In: Textos para discuss√£o. RePEc:fgv:eesptd:505.

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2017Too Good to Be True? Fallacies in Evaluating Risk Factor Models. (2017). Robotti, Cesare ; Gospodinov, Nikolay ; Kan, Raymond. In: FRB Atlanta Working Paper. RePEc:fip:fedawp:2017-09.

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

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2018Robust inference in models identified via heteroskedasticity. (2018). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:876.

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2019Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects. (2019). Lewis, Daniel. In: Staff Reports. RePEc:fip:fednsr:891.

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2018Forecasting Inflation Uncertainty in the G7 Countries. (2018). Wilfling, Bernd ; Bekiros, Stelios ; Segnon, Mawuli. In: Econometrics. RePEc:gam:jecnmx:v:6:y:2018:i:2:p:23-:d:143630.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine. In: Working Papers. RePEc:hae:wpaper:2019-4.

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2019Dynamic Factor Models. (2019). Fuleky, Peter ; Doz, Catherine. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02262202.

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2017Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options. (2017). Goutte, Stéphane ; Pham, Huyen ; Ismail, Amine . In: Working Papers. RePEc:hal:wpaper:hal-01212018.

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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01710398.

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2019Potential Growth and Natural Yield Curve in Japan. (2019). Vaccaro-Grange, Etienne ; Rhouzlane, Meryem ; Dufrenot, Gilles. In: Working Papers. RePEc:hal:wpaper:halshs-02091035.

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2018Do Companies Benefit from Public Research Organizations? The Impact of the Fraunhofer Society in Germany. (2018). Pellens, Maikel ; Comin, Diego ; Schubert, Torben ; Licht, Georg. In: Papers in Innovation Studies. RePEc:hhs:lucirc:2018_007.

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2019An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection. (2019). Mazur, Stepan ; Gulliksson, Mrten. In: Working Papers. RePEc:hhs:oruesi:2019_003.

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2019Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?. (2019). Lakshina, Valeria V. In: HSE Working papers. RePEc:hig:wpaper:75/fe/2019.

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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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article2
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‚ÄźTIME APPROACH.(2011) In: International Economic Review.
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This paper has another version. Agregated cites: 9
article
2007Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers.
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paper37
2009Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2009) In: Journal of Business & Economic Statistics.
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article
2005PARAMETRIC PROPERTIES OF SEMI-NONPARAMETRIC DISTRIBUTIONS, WITH APPLICATIONS TO OPTION VALUATION.(2005) In: Working Papers.
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paper
2005Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation.(2005) In: CEPR Discussion Papers.
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paper
2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers.
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paper29
2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation.(2009) In: Journal of Econometrics.
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article
2008MULTIVARIATE LOCATION-SCALE MIXTURES OF NORMALS AND MEAN-VARIANCE-SKWNESS PORTFOLIO ALLOCATION.(2008) In: Working Papers.
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paper
2009Distributional tests in multivariate dynamic models with Normal and Student t innovations In: Working Papers.
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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
2008DISTRIBUTIONAL TESTS IN MULTIVARIATE DYNAMIC MODELS WITH NORMAL AND STUDENT T INNOVATIONS.(2008) In: Working Papers.
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paper
2012Valuation of vix derivatives In: Working Papers.
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2009Valuation of VIX Derivatives.(2009) In: Working Papers.
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paper
2010Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers.
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paper
2013Valuation of VIX derivatives.(2013) In: Journal of Financial Economics.
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article
2015Fast ML estimation of dynamic bifactor models: an application to European inflation. In: Working Papers.
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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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2018The rise and fall of the natural interest rate In: Working Papers.
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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: Centro de Estudios Monetarios Y Financieros-.
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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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article104
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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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
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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article
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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paper
2004ESTIMATION AND TESTING OF DYNAMIC MODELS WITH GENERALISED HYPERBOLIC INNOVATIONS In: Working Papers.
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paper22
2005Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations.(2005) In: CEPR Discussion Papers.
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paper
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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paper
2007ON THE EFFICIENCY AND CONSISTENCY OF LIKELIHOOD ESTIMATION IN MULTIVARIATE CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS In: Working Papers.
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paper10
2007On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models.(2007) In: Working Paper series.
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paper
2007DUALITY IN MEAN-VARIANCE FRONTIERS WITH CONDITIONING INFORMATION In: Working Papers.
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paper9
2007Duality in Mean-Variance Frontiers with Conditioning Information.(2007) In: CEPR Discussion Papers.
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paper
2016Duality in mean-variance frontiers with conditioning information.(2016) In: Journal of Empirical Finance.
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article
2007Duality in mean-variance frontiers with conditioning information.(2007) In: Economics Working Papers.
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paper
2008A COMPARISON OF MEAN-VARIANCE EFFICIENCY TESTS In: Working Papers.
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paper9
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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2015Is a Normal Copula the Right Copula? In: Working Papers.
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2015Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers.
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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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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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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
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2018Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series.
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2018Volatility, Diversification and Contagion In: Working Papers.
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2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators In: Working Papers.
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2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: CEPR Discussion Papers.
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2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive.
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2018Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Working Paper series.
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1990Volatiltiy and Links Between National Stock Markets.(1990) In: NBER Working Papers.
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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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2004On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models In: Economics Letters.
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1993Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Discussion Paper.
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