Dante Amengual : Citation Profile

Centro de Estudios Monetarios y Financieros (CEMFI)

8

H index

7

i10 index

362

Citations

RESEARCH PRODUCTION:

9

Articles

22

Papers

RESEARCH ACTIVITY:

   15 years (2007 - 2022). See details.
   Cites by year: 24
   Journals where Dante Amengual has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 9 (2.43 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pam97
   Updated: 2025-12-27    RAS profile: 2021-11-01    
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Relations with other researchers

Works with:

Sentana, Enrique (15)

Fiorentini, Gabriele (8)

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

Is cited by:

Sentana, Enrique (65)

Fiorentini, Gabriele (45)

Forni, Mario (27)

Lippi, Marco (23)

Hallin, Marc (16)

Gambetti, Luca (15)

Zaffaroni, Paolo (12)

Luciani, Matteo (12)

Barigozzi, Matteo (11)

Stevanovic, Dalibor (10)

Almuzara, Martin (8)

Cites to:

Sentana, Enrique (50)

Fiorentini, Gabriele (27)

Pesaran, Mohammad (10)

Mencia, Javier (9)

Calzolari, Giorgio (9)

Wu, Liuren (7)

De Nardi, Mariacristina (7)

Magnus, Jan (6)

Tauchen, George (6)

Engle, Robert (6)

Fella, Giulio (5)

Main data

Where Dante Amengual has published?

Journals with more than one article published# docs
Journal of Econometrics5

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers3
Working Paper series / Rimini Centre for Economic Analysis2
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"2

Recent works citing Dante Amengual (2025 and 2024)

YearTitle of citing document
2025An American Macroeconomic Picture: Supply and Demand Shocks in the Frequency Domain. (2025). Soccorsi, Stefano ; Gambetti, Luca ; Forni, Mario ; Granese, Antonio ; Sala, Luca. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:17:y:2025:i:3:p:311-41.

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2024Composite Quantile Factor Model. (2024). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450.

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2024Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2024Dynamic Matrix Factor Models for High Dimensional Time Series. (2024). Han, Yuefeng ; Yu, Ruofan ; Chen, Rong ; Xiao, Han. In: Papers. RePEc:arx:papers:2407.05624.

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2024Performance of Empirical Risk Minimization For Principal Component Regression. (2024). Brownlees, Christian ; Wang, Yaping ; Gudhmundsson, Gudhmundur Stef'An. In: Papers. RePEc:arx:papers:2409.03606.

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2024Strategic Control of Facial Expressions by the Fed Chair. (2024). Ng, Hunter. In: Papers. RePEc:arx:papers:2410.20214.

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2025Which Global Cycle? A Stochastic Factor Selection Approach for Global Macro-Financial Cycles. (2025). Sebastian, Hienzsch ; Tino, Berger. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:541-559:n:1003.

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2025Data-Driven Learning About Trend Productivity Growth. (2025). van Norden, Simon ; Jacobs, Jan ; Goto, Eiji. In: CIRANO Working Papers. RePEc:cir:cirwor:2025s-29.

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2024The information matrix test for Gaussian mixtures. (2024). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2024_2401.

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2024Information matrix tests for multinomial logit models. (2024). Fiorentini, Gariele ; Sentan, Enrique ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2024_2406.

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2025The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2025_2502.

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2024Geopolitical Risks and Their Impact on Global Macro-Financial Stability: Literature and Measurements. (2024). Ngo, Ngoc Anh ; Malovana, Simona ; Hodula, Martin ; Janku, Jan. In: Working Papers. RePEc:cnb:wpaper:2024/8.

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2025Is U.S. real output growth non-normal? A tale of time-varying location and scale. (2025). Demetrescu, Matei ; Kruse-Becher, Robinson. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002240.

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2025Information matrix tests for multinomial logit models. (2025). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Economics Letters. RePEc:eee:ecolet:v:247:y:2025:i:c:s0165176525000175.

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2024Specification tests for non-Gaussian structural vector autoregressions. (2024). Sentana, Enrique ; Fiorentini, Gabriele ; Amengual, Dante. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001490.

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2025Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872.

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2025When uncertainty and volatility are disconnected: Implications for asset pricing and portfolio performance. (2025). At-Sahalia, Yacine ; Matthys, Felix ; Osambela, Emilio ; Sircar, Ronnie. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623003706.

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2025Score-type tests for normal mixtures. (2025). Sentana, Enrique ; Amengual, Dante ; Bei, Xinyue ; Carrasco, Marine. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624000630.

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2025Simulation-based estimation with many auxiliary statistics applied to long-run dynamic analysis. (2025). Antoine, Bertille ; Sun, Wenqian. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400160x.

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2025Supervised factor modeling for high-dimensional linear time series. (2025). Lu, Kexin ; Huang, Feiqing ; Zheng, Yao ; Li, Guodong. In: Journal of Econometrics. RePEc:eee:econom:v:249:y:2025:i:pb:s0304407625000491.

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2024Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility. (2024). Yamakami, Tomohisa ; Shiraya, Kenichiro. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:3:p:1195-1214.

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2024Variance swaps with mean reversion and multi-factor variance. (2024). Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:191-212.

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2025Financial uncertainties drive extreme risks in China. (2025). Huang, Shupei ; Lucey, Brian M ; Wang, Xinya. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pb:s105752192500434x.

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2025The impact of policy uncertainty on shareholder wealth: Evidence from bank M&A. (2025). Subeniotis, Demetres ; Tampakoudis, Ioannis ; Kiosses, Nikolaos ; Leventis, Stergios. In: Journal of Financial Stability. RePEc:eee:finsta:v:76:y:2025:i:c:s1572308924001463.

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2025Gaussian dependence structure pairwise goodness-of-fit testing based on conditional covariance and the 20/60/20 rule. (2025). Jelito, Damian ; Jaworski, Piotr ; Wony, Jakub ; Wyomaska, Agnieszka ; Pitera, Marcin. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:206:y:2025:i:c:s0047259x24001039.

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2025Fed-Driven Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2025). Yang, Xiye ; Neely, Christopher ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2024US monetary policy, the global financial cycle and cross-country financial cycles. (2024). Gupta, Vrinda ; Dubey, Amlendu. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:48:y:2024:i:4:d:10.1007_s12197-024-09680-z.

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2024Identification of one independent shock in structural VARs. (2024). Moneta, Alessio ; Fiorentini, Gabriele ; Papagni, Francesca. In: LEM Papers Series. RePEc:ssa:lemwps:2024/28.

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2025The term structure of interest rates as predictor of stock market volatility. (2025). Megaritis, Anastasios ; Triantafyllou, Athanasios ; Vlastakis, Nikolaos ; Kontonikas, Alexandros. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:30:y:2025:i:3:p:3212-3229.

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2025Estimation of Constrained Factor Models for High‐Dimensional Time Series. (2025). Xia, Qiang ; Pan, Jiazhu ; Liu, Yitian. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1467-1477.

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2024Calibration in the “real world” of a partially specified stochastic volatility model. (2024). Fatone, Lorella ; Zirilli, Francesco ; Mariani, Francesca. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:75-102.

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2025Which Way Does the Wind Blow Between SPX Futures and VIX Futures?. (2025). Kurov, Alexander ; Aikins, Ekow A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:2:p:79-90.

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2024Geopolitical risks and their impact on global macro-financial stability: Literature and measurements. (2024). Ngo, Ngoc Anh ; Hodula, Martin ; Malovana, Simona ; Jank, Jan. In: BOFIT Discussion Papers. RePEc:zbw:bofitp:303508.

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Works by Dante Amengual:

YearTitleTypeCited
2007Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article176
2008A Comparison of Mean-Variance Efficiency Tests In: Working Papers.
[Full Text][Citation analysis]		paper28
2010A comparison of mean-variance efficiency tests.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		article
2012Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers.
[Full Text][Citation analysis]		paper19
2013Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2014Testing a Large Number of Hypotheses in Approximate Factor Models In: Working Papers.
[Full Text][Citation analysis]		paper1
2015Is a Normal Copula the Right Copula? In: Working Papers.
[Full Text][Citation analysis]		paper8
2015Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2020Is a Normal Copula the Right Copula?.(2020) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2017Normality Tests for Latent Variables In: Working Papers.
[Full Text][Citation analysis]		paper13
2019Normality tests for latent variables.(2019) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		article
2017Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers.
[Full Text][Citation analysis]		paper10
2020Testing distributional assumptions using a continuum of moments.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2020Hypothesis Tests with a Repeatedly Singular Information Matrix In: Working Papers.
[Full Text][Citation analysis]		paper3
2020Hypothesis tests with a repeatedly singular information matrix.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2020Gaussian Rank Correlation and Regression In: Working Papers.
[Full Text][Citation analysis]		paper3
2020Gaussian rank correlation and regression.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2021Moment tests of independent components In: Working Papers.
[Full Text][Citation analysis]		paper8
2021Multivariate Hermite polynomials and information matrix tests In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Multivariate Hermite polynomials and information matrix tests.(2021) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2021Multivariate Hermite polynomials and information matrix tests.(2021) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2021Normal but Skewed? In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Tests for random coefficient variation in vector autoregressive models In: Working Papers.
[Full Text][Citation analysis]		paper0
2021Tests for random coefficient variation in vector autoregressive models.(2021) In: Econometrics Working Papers Archive.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2021Tests for random coefficient variation in vector autoregressive models.(2021) In: Working Paper series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2015Market-based estimation of stochastic volatility models In: Journal of Econometrics.
[Full Text][Citation analysis]		article13
2018Resolution of policy uncertainty and sudden declines in volatility In: Journal of Econometrics.
[Full Text][Citation analysis]		article70
2022GDP Solera: The Ideal Vintage Mix In: Staff Reports.
[Full Text][Citation analysis]		paper5
2016Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article0
2019Endogenous Health Groups and Heterogeneous Dynamics of the Elderly In: 2019 Meeting Papers.
[Full Text][Citation analysis]		paper5
2017Endogenous Health Groups and Heterogeneous Dynamics of the Elderly.(2017) In: Health, Econometrics and Data Group (HEDG) Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper

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