Enrique Sentana : Citation Profile


Are you Enrique Sentana?

Centre for Economic Policy Research (CEPR) (1% share)
Centro de Estudios Monetarios y Financieros (CEMFI) (98% share)
London School of Economics (LSE) (1% share)

21

H index

33

i10 index

2283

Citations

RESEARCH PRODUCTION:

56

Articles

165

Papers

4

Chapters

RESEARCH ACTIVITY:

   35 years (1988 - 2023). See details.
   Cites by year: 65
   Journals where Enrique Sentana has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 120 (4.99 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pse39
   Updated: 2024-01-16    RAS profile: 2023-12-05    
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Relations with other researchers


Works with:

Fiorentini, Gabriele (28)

Amengual, Dante (16)

Almuzara, Martin (8)

Magnus, Jan (2)

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

Is cited by:

Ruiz, Esther (43)

Renault, Eric (37)

Rigobon, Roberto (35)

Hallin, Marc (33)

Pesaran, Mohammad (32)

Bollerslev, Tim (31)

Diebold, Francis (31)

Normandin, Michel (30)

Demos, Antonis (28)

Perote, Javier (28)

Calzolari, Giorgio (27)

Cites to:

Fiorentini, Gabriele (117)

Engle, Robert (45)

Hansen, Lars (42)

Calzolari, Giorgio (39)

Mencia, Javier (33)

Amengual, Dante (29)

pagan, adrian (21)

Newey, Whitney (21)

Campbell, John (21)

Tauchen, George (20)

Bollerslev, Tim (19)

Main data


Where Enrique Sentana has published?


Journals with more than one article published# docs
Journal of Econometrics16
Investigaciones Economicas5
Journal of Business & Economic Statistics3
Journal of Business & Economic Statistics3
Review of Economic Studies3
SERIEs: Journal of the Spanish Economic Association2
Econometrica2
Econometrics Journal2
Economics Letters2
Quantitative Economics2
The Journal of Financial Econometrics2
Journal of Financial Economics2
Journal of Applied Econometrics2
Economic Journal2
The Review of Economics and Statistics2
International Economic Review2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers24
Working Paper series / Rimini Centre for Economic Analysis10
Working Papers / Banco de Espa馻8
Econometrics Working Papers Archive / Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti"7
Working Papers. Serie AD / Instituto Valenciano de Investigaciones Econ髆icas, S.A. (Ivie)5
Staff Reports / Federal Reserve Bank of New York2
Tinbergen Institute Discussion Papers / Tinbergen Institute2

Recent works citing Enrique Sentana (2024 and 2023)


YearTitle of citing document
2023Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010.

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2023Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052.

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2023Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777.

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2023Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2310.08173.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2023Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303.

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2023Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309.

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2023Integrating Factor Models. (2023). Voigt, Stefan ; Metzker, Lior ; Cheng, SI ; Avramov, Doron. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646.

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2023Inequality and the Zero Lower Bound. (2023). Rachedi, Omar ; Nuo, Galo ; Marbet, Joel ; Fernandez-Villaverde, Jesus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10471.

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2023Volatility Connectedness on the Central European Forex Markets. (2023). Ko膷enda, Ev啪en ; Albrecht, Peter ; Kocenda, Even ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10728.

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2023Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359.

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2023The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area. (2023). Signoretti, Federico ; Nikolov, Kalin ; Ambrocio, Gene ; Heider, Florian ; Jovanovic, Mario ; Lewis, Vivien ; Miettinen, Pavo ; Policy, Monetary ; Bonatti, Guido ; Prieto, Esteban ; Redak, Vanessa ; Altavilla, Carlo ; Geiger, Felix ; Chalamandaris, Dimitrios ; Fourel, Valere ; Jan, Jansen David ; Kok, Christoffer ; Mazelis, Falk ; Balfoussia, Hiona ; Licak, Marek ; Patriek, Matic ; Pogulis, Armands ; Adolf, Petra ; Garabedian, Garo ; Cassar, Alan ; Weigert, Benjamin ; Fahr, Stephan ; Ioannidis, Michael ; Vlassopoulos, Thomas ; Maddaloni, Angela ; Klein, Melanie ; Papageorghiou, Maria ; Galati, Gabriele ; Fernandez, Luis ; Busch, Ulrike ; Valderrama, Maria ; Bussiere, Mat
2023Monetary policy and the drifting natural rate of interest. (2023). Daudignon, Sandra ; Tristani, Oreste. In: Working Paper Series. RePEc:ecb:ecbwps:20232788.

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2023Measuring the trend real interest rate in a data-rich environment. (2023). Fu, Bowen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:147:y:2023:i:c:s016518892300012x.

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2023Nonparametric tests for market timing ability using daily mutual fund returns. (2023). Peng, Liang ; Liu, Xiaohui ; Jiang, Lei ; Ding, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:150:y:2023:i:c:s0165188923000416.

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2023Time series estimation of the dynamic effects of disaster-type shocks. (2023). Ng, Serena ; Davis, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:180-201.

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2023Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds. (2023). Melin, Olena ; Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001586.

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2023Structural VAR models in the Frequency Domain. (2023). Pelgrin, Florian ; Guay, Alain. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001604.

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2023Feasible Panel GARCH Models: Variance-Targeting Estimation and Empirical Application. (2023). Asai, Manabu. In: Econometrics and Statistics. RePEc:eee:ecosta:v:25:y:2023:i:c:p:23-38.

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2023Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model. (2023). Perote, Javier ; Mora-Valencia, Andres ; Jimenez, Ines. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000596.

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2023Empirical performance of component GARCH models in pricing VIX term structure and VIX futures. (2023). Tsai, Jeffrey Tzuhao ; Lo, Chien-Ling ; Chang, Li-Han ; Cheng, Hung-Wen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:122-142.

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2023From dusk till dawn (and vice versa): Overnight-versus-daytime reversals and feedback trading. (2023). Karaa, Rabaa ; Kallinterakis, Vasileios. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922003933.

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2023On the right jump tail inferred from the VIX market. (2023). Izzeldin, Marwan ; Yao, Xingzhi ; Li, Zhenxiong. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000236.

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2023Pricing VIX futures: A framework with random level shifts. (2023). Wang, Tianyi ; Feng, Jianfen ; Chen, Xiaoyi. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322006778.

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2023Empirically-transformed linear opinion pools. (2023). Vahey, Shaun P ; Henckel, Timo ; Garratt, Anthony. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:736-753.

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2023GARCH option pricing with volatility derivatives. (2023). Park, Yang-Ho ; Oh, Dong Hwan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002989.

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2023Spillovers between positively and negatively affected service sectors from the COVID-19 health crisis: Implications for portfolio management. (2023). Yousaf, Imran ; Makram, Beljid ; Al-Nassar, Nassar S. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000756.

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2023Loose Monetary Policy and Financial Instability. (2023). Taylor, Alan M ; Schularick, Moritz ; Jorda, Oscar ; Grimm, Maximilian. In: Working Paper Series. RePEc:fip:fedfwp:95733.

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2023Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics. (2023). Okawa, Hiroyuki. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:67-:d:1045068.

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2023.

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2023.

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2023.

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2023Do Local Investors Exhibit Smart Value Investment? Empirical Evidence from India. (2023). Chaklader, Barnali ; Chauhan, Ajay Kumar. In: Global Business Review. RePEc:sae:globus:v:24:y:2023:i:5:p:833-844.

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2023Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9.

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2023Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07.

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2023TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES. (2023). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Koop, Gary ; Huber, Florian ; Clark, Todd E. In: International Economic Review. RePEc:wly:iecrev:v:64:y:2023:i:3:p:979-1022.

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2023Reassessing the dependence between economic growth and financial conditions since 1973. (2023). Vahey, Shaun ; Coe, Patrick ; Chernis, Tony. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:2:p:260-267.

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2023VIX futures pricing based on high?frequency VIX: A hybrid approach combining SVR with parametric models. (2023). Jiang, Gongyue ; Qiao, Gaoxiu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1238-1260.

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2023Unspanned macro risks in VIX futures. (2023). Yang, Xinglin. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328.

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2023Monetary policy, external instruments, and heteroskedasticity. (2023). Podstawski, Maximilian ; Rieth, Malte ; Schlaak, Thore. In: Quantitative Economics. RePEc:wly:quante:v:14:y:2023:i:1:p:161-200.

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Works by Enrique Sentana:


YearTitleTypeCited
2000The Likelihood Function of Conditionally Heteroskedastic Factor Models In: Annals of Economics and Statistics.
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article8
2007Testing Uncovered Interest Parity: A Continuous-Time Approach In: Staff Working Papers.
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paper15
2007Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: Working Papers.
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2007Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: CEPR Discussion Papers.
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2011TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS芒鈧怲IME APPROACH.(2011) In: International Economic Review.
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This paper has nother version. Agregated cites: 15
article
2007Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers.
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paper49
2009Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2009) In: Journal of Business & Economic Statistics.
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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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2007Parametric properties of semi-nonparametric distributions, with applications to option valuation.(2007) In: LSE Research Online Documents on Economics.
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paper
2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers.
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2008Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation.(2008) In: Working Papers.
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2009Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation.(2009) In: Journal of Econometrics.
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2009Distributional tests in multivariate dynamic models with Normal and Student t innovations In: Working Papers.
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2008Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations.(2008) 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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2012Valuation of vix derivatives In: Working Papers.
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2009Valuation of VIX Derivatives.(2009) In: Working Papers.
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2010Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers.
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2013Valuation of VIX derivatives.(2013) In: Journal of Financial Economics.
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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: Working Papers.
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2015Volatility-related exchange traded assets: an econometric investigation.(2015) In: CEPR Discussion Papers.
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2018Volatility-Related Exchange Traded Assets: An Econometric Investigation.(2018) In: Journal of Business & Economic Statistics.
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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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2016Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation.(2016) In: Advances in Econometrics.
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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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2015A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers.
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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: Working Papers.
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1996An EM Algorithm for Conditionally Heteroskedastic Factor Models..(1996) In: Centro de Estudios Monetarios Y Financieros-.
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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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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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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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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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2010A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2010) In: CEPR Discussion Papers.
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2015A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2015) In: The Review of Economics and Statistics.
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2010A unifying approach to the empirical evaluation of asset pricing models.(2010) In: Economics Working Papers.
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2023Score-type tests for normal mixtures In: CIRANO Working Papers.
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2022Score-type tests for normal mixtures.(2022) In: Working Papers.
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1994An Index of Co-Movements in Financial Time Series In: Working Papers.
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1994An Index of Co-Movements in Financial Time Series..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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1994Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes In: Working Papers.
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1996Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1996) In: Journal of Econometrics.
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1994Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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1993Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes..(1993) In: Tilburg - Center for Economic Research.
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1993Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Discussion Paper.
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1996Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1996) In: Other publications TiSEM.
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1993Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Other publications TiSEM.
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1994The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases In: Working Papers.
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1994The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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1994A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix In: Working Papers.
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1994A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix..(1994) In: Centro de Estudios Monetarios Y Financieros-.
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1995Riesgo y rentabilidad en el mercado de valores espa帽ol In: Working Papers.
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1995Has the EMS Reduced the Cost of Capital? Versi贸n Revisada In: Working Papers.
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1995Quadratic ARCH Models In: Working Papers.
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1995Quadratic Arch Models..(1995) In: Centro de Estudios Monetarios Y Financieros-.
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1995Quadratic ARCH Models.(1995) In: Review of Economic Studies.
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1996Testing for GARCH Effects: A One-Sided Approach In: Working Papers.
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1998Testing for GARCH effects: a one-sided approach.(1998) In: Journal of Econometrics.
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1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means In: Working Papers.
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1996Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1996) In: Centro de Estudios Monetarios Y Financieros-.
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1998Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review.
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1997Conditional means of time series processes and time series processes for conditional means.(1997) In: Working Papers. Serie AD.
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1997Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets In: Working Papers.
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1997Risk and return in the Spanish stock market: some evidence from individual assets.(1997) In: Investigaciones Economicas.
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1997Pricing Options on Assets with Predictable White Noise Returns In: Working Papers.
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1997Pricing options on assets with predictable white noise returns.(1997) In: LSE Research Online Documents on Economics.
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1997Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versi贸n Revisada In: Working Papers.
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1997Least Squares Predictions and Mean-Variance Analysis. Versi贸n Revisada In: Working Papers.
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1997The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models In: Working Papers.
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1998The relation between conditionally heteroskedastic factor models and factor GARCH models.(1998) In: Econometrics Journal.
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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions.(2023) In: Journal of Econometrics.
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