21
H index
35
i10 index
2396
Citations
Centre for Economic Policy Research (CEPR) (1% share) | 21 H index 35 i10 index 2396 Citations RESEARCH PRODUCTION: 64 Articles 176 Papers 4 Chapters RESEARCH ACTIVITY:
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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: |
Year | Title of citing document |
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2024 | Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: FEEM Working Papers. RePEc:ags:feemwp:343513. Full description at Econpapers || Download paper |
2024 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2024). Luciani, Matteo ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper |
2024 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review. (2024). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper |
2024 | Dynamic Factor Models: a Genealogy. (2024). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
2024 | Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: Papers. RePEc:arx:papers:2403.06879. Full description at Econpapers || Download paper |
2024 | Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; LĂźtkepohl, Helmut ; Wo, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057. Full description at Econpapers || Download paper |
2024 | SVARs with breaks: Identification and inference. (2024). Bacchiocchi, Emanuele ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2405.04973. Full description at Econpapers || Download paper |
2025 | Pricing and calibration in the 4-factor path-dependent volatility model. (2025). Guyon, Julien ; Gazzani, Guido. In: Papers. RePEc:arx:papers:2406.02319. Full description at Econpapers || Download paper |
2024 | Identification of structural shocks in Bayesian VEC models with two-state Markov-switching heteroskedasticity. (2024). Kwiatkowski, Lukasz ; Wr, Justyna. In: Papers. RePEc:arx:papers:2406.03053. Full description at Econpapers || Download paper |
2024 | Improving Estimation of Portfolio Risk Using New Statistical Factors. (2024). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Papers. RePEc:arx:papers:2409.17182. Full description at Econpapers || Download paper |
2025 | Strong Solutions and Quantization-Based Numerical Schemes for a Class of Non-Markovian Volatility Models. (2025). Pages, Gilles ; Grasselli, Martino. In: Papers. RePEc:arx:papers:2503.00243. Full description at Econpapers || Download paper |
2025 | Residual Income Valuation and Stock Returns: Evidence from a Value-to-Price Investment Strategy. (2025). Haboub, Ahmad ; Kartsaklas, Aris ; Sarafidis, Vasilis. In: Papers. RePEc:arx:papers:2506.00206. Full description at Econpapers || Download paper |
2024 | Identification based on higher moments. (2024). Lewis, Daniel. In: CeMMAP working papers. RePEc:azt:cemmap:03/24. Full description at Econpapers || Download paper |
2025 | Estimation of Non-Gaussian SVAR Using Tensor Singular Value Decomposition. (2025). Stevanovic, Dalibor ; Guay, Alain. In: Working Papers. RePEc:bbh:wpaper:25-03. Full description at Econpapers || Download paper |
2024 | Inequality and the zero lower bound. (2024). Rachedi, Omar ; NuĂąo Barrau, Galo ; Fernandez-Villaverde, Jesus ; Marbet, Joel. In: BIS Working Papers. RePEc:bis:biswps:1160. Full description at Econpapers || Download paper |
2024 | Goodnessâofâfit tests for the multivariate Studentât distribution based on i.i.d. data, and for GARCH observations. (2024). Veljovi, Mirjana ; Obradovi, Marko ; Miloevi, Bojana ; Meintanis, Simos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:2:p:298-319. Full description at Econpapers || Download paper |
2024 | Statistical inference for GQARCHâItĂ´âjumps model based on the realized range volatility. (2024). Yu, Jin ; Liu, Guangying ; Hao, Hongxia ; Lin, Jin Guan. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:613-638. Full description at Econpapers || Download paper |
2024 | Information matrix tests for multinomial logit models. (2024). Fiorentini, Gariele ; Sentan, Enrique ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2024_2406. Full description at Econpapers || Download paper |
2024 | Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Uzeda, Luis ; LĂźtkepohl, Helmut ; Woniak, Tomasz ; Lutkepohl, Helmut ; Shang, Fei. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp2081. Full description at Econpapers || Download paper |
2024 | Identification of vector autoregressive models with nonlinear contemporaneous structure. (2024). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000447. Full description at Econpapers || Download paper |
2025 | Is 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. Full description at Econpapers || Download paper |
2024 | Econometric issues in the estimation of the natural rate of interest. (2024). Buncic, Daniel. In: Economic Modelling. RePEc:eee:ecmode:v:132:y:2024:i:c:s0264999323004534. Full description at Econpapers || Download paper |
2025 | Explaining the causality between trading volume and stock returns: What drives its cross-quantile patterns?. (2025). Gebka, Bartosz. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000720. Full description at Econpapers || Download paper |
2025 | Spatial linkages of positive feedback trading among the stock index futures markets. (2025). Liu, Shuyi ; Tian, Shuxi ; Mu, Lijie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002407. Full description at Econpapers || Download paper |
2025 | Do US sectoral contagion and news-based economic policy uncertainty cause fear or greed behavior in Bitcoin investors?. (2025). Suleman, Muhammad Tahir ; Sheikh, Umaid A. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000695. Full description at Econpapers || Download paper |
2024 | Locally robust inference for non-Gaussian linear simultaneous equations models. (2024). Mesters, Geert ; Lee, Adam. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407623003639. Full description at Econpapers || Download paper |
2024 | Some fixed-b results for regressions with high frequency data over long spans. (2024). Vogelsang, Timothy J ; Hwang, Taeyoon. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001192. Full description at Econpapers || Download paper |
2024 | Consistent causal inference for high-dimensional time series. (2024). Cordoni, Francesco ; Sancetta, Alessio. In: Journal of Econometrics. RePEc:eee:econom:v:246:y:2024:i:1:s0304407624002537. Full description at Econpapers || Download paper |
2025 | Inference 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. Full description at Econpapers || Download paper |
2025 | Simulation-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. Full description at Econpapers || Download paper |
2025 | Uncovering asset market participation from household consumption and income. (2025). Czellar, Veronika ; le Grand, Franois ; Garcia, Ren. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002124. Full description at Econpapers || Download paper |
2025 | Identification-robust and simultaneous inference in multifactor asset pricing models. (2025). Beaulieu, Marie-Claude ; Dufour, Jean-Marie ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407624002665. Full description at Econpapers || Download paper |
2024 | Financial markets and legal challenges to unconventional monetary policy. (2024). Pfarrhofer, Michael ; Huber, Florian ; Griller, Stefan. In: European Economic Review. RePEc:eee:eecrev:v:163:y:2024:i:c:s0014292124000096. Full description at Econpapers || Download paper |
2024 | Constructing 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. Full description at Econpapers || Download paper |
2024 | Option valuation via nonaffine dynamics with realized volatility. (2024). Wang, Zerong ; Zhang, Yuanyuan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000215. Full description at Econpapers || Download paper |
2024 | The riskâreturn tradeoff among equity factors. (2024). Barroso, Pedro ; Maio, Paulo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000537. Full description at Econpapers || Download paper |
2024 | Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Herwartz, Helmut ; Theilen, Bernd. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968. Full description at Econpapers || Download paper |
2024 | When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets. (2024). Shafiullah, Muhammad ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340. Full description at Econpapers || Download paper |
2024 | The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises. (2024). Liu, Liping ; Xu, Jietian. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004690. Full description at Econpapers || Download paper |
2024 | GMM weighting matrices in cross-sectional asset pricing tests. (2024). Laurinaityte, Nora ; Thimme, Julian ; Meinerding, Christoph ; Schlag, Christian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000438. Full description at Econpapers || Download paper |
2025 | Information spillover in markets with heterogeneous traders. (2025). Liu, Heng ; Huangfu, Bingchao. In: Journal of Economic Theory. RePEc:eee:jetheo:v:223:y:2025:i:c:s0022053124001546. Full description at Econpapers || Download paper |
2025 | Gaussian 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. Full description at Econpapers || Download paper |
2024 | Estimating the Fedâs unconventional policy shocks. (2024). JarociĹski, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011. Full description at Econpapers || Download paper |
2025 | Analyzing clustered factors in the cryptocurrency market with Random Matrix Theory. (2025). Mattera, Raffaele ; Gonzlez, Laura Molero ; Cerqueti, Roy ; Snchez, Miguel Ngel ; Trinidad, Juan Evangelista. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:665:y:2025:i:c:s0378437125001256. Full description at Econpapers || Download paper |
2024 | The forward premium anomaly and the currency carry trade hypothesis. (2024). Tzavalis, Elias ; Smyrnakis, Dimitris ; Elias, Nikolaos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:203-218. Full description at Econpapers || Download paper |
2024 | Arbitrage opportunities and feedback trading in regulated bitcoin futures market: An intraday analysis. (2024). Wang, Jinghua ; Ngene, Geoffrey M. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:743-761. Full description at Econpapers || Download paper |
2025 | The COVID-19 pandemic and feedback trading dynamics: Unveiling global patterns. (2025). Tang, Chia-Hsien ; Huang, Ya-Ling ; Chen, Chan-Shin ; Lee, Yen-Hsien. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pb:s0275531924004318. Full description at Econpapers || Download paper |
2025 | Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis. (2025). KoÄenda, EvĹžen ; Albrecht, Peter ; de Oliveira, Alexandre Silva ; Koenda, Even ; Ceretta, Paulo Sergio ; Drbek, Michal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376. Full description at Econpapers || Download paper |
2024 | Partially identified heteroskedastic SVARs. (2024). Bastianin, Andrea ; Bacchiocchi, Emanuele ; Kitagawa, Toru ; Mirto, Elisabetta. In: Working Papers. RePEc:fem:femwpa:2024.15. Full description at Econpapers || Download paper |
2025 | An Adaptive Evolutionary Causal Dynamic Factor Model. (2025). Wei, Qian ; Zhang, Heng-Guo. In: Mathematics. RePEc:gam:jmathe:v:13:y:2025:i:11:p:1891-:d:1672599. Full description at Econpapers || Download paper |
2024 | On the dependence structure of European vegetable oil markets. (2024). Menier, Romain ; Bagnarosa, Guillaume ; Gohin, Alexandre. In: Post-Print. RePEc:hal:journl:hal-04523660. Full description at Econpapers || Download paper |
2024 | The Effects of Overnight Events on Daytime Return: A Market Microstructure Analysis of Market Quality. (2024). Pullaykkodi, Sreekha ; Acharya, Rajesh H. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:3:d:10.1007_s10690-023-09424-9. Full description at Econpapers || Download paper |
2024 | Bitcoin, speculative sentiments and crypto-assets valuation. (2024). Tut, Daniel. In: MPRA Paper. RePEc:pra:mprapa:120866. Full description at Econpapers || Download paper |
2024 | Feedback Trading and Its Implications for Return Autocorrelations in India During COVID. (2024). Mukherjee, Paramita ; Chatterjee, Rajashri. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:23:y:2024:i:2:p:246-270. Full description at Econpapers || Download paper |
2024 | Efficient portfolios and extreme risks: a ParetoâDirichlet approach. (2024). Courtois, Olivier ; Xu, Xia. In: Annals of Operations Research. RePEc:spr:annopr:v:335:y:2024:i:1:d:10.1007_s10479-023-05507-y. Full description at Econpapers || Download paper |
2024 | Time varying risk aversion and its connectedness: evidence from cryptocurrencies. (2024). Corbet, Shaen ; Hu, Yang ; Hou, Yang ; Oxley, Les. In: Annals of Operations Research. RePEc:spr:annopr:v:338:y:2024:i:2:d:10.1007_s10479-024-06001-9. Full description at Econpapers || Download paper |
2025 | Improving estimation of portfolio risk using new statistical factors. (2025). Tsay, Ruey ; Chen, Rong ; Guerard, John ; Liu, Xialu. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06307-8. Full description at Econpapers || Download paper |
2025 | Modelling bitcoin volatility: a comparative analysis of alternatives to the GARCH approach. (2025). , Aslam ; Khodabaccus, Noorshanaaz. In: SN Business & Economics. RePEc:spr:snbeco:v:5:y:2025:i:6:d:10.1007_s43546-025-00838-3. Full description at Econpapers || Download paper |
2024 | Identification of one independent shock in structural VARs. (2024). Moneta, Alessio ; Fiorentini, Gabriele ; Papagni, Francesca. In: LEM Papers Series. RePEc:ssa:lemwps:2024/28. Full description at Econpapers || Download paper |
2024 | Impact of return and volatility spillover from banking industry to other industries: An evidence from Pakistan. (2024). Bhutta, Nousheen Tariq ; Mir, Fahad Waqas. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:2:p:1680-1695. Full description at Econpapers || Download paper |
2024 | Can technical indicators based on underlying assets help to predict implied volatility index. (2024). Tingting, Ying ; Shi, Yanlong ; Yafeng, Shi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:57-74. Full description at Econpapers || Download paper |
2024 | VIX option pricing through nonaffine GARCH dynamics and semianalytical formula. (2024). Zhang, Yuanyuan ; Wang, QI ; Liu, Junting. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:7:p:1189-1223. Full description at Econpapers || Download paper |
2024 | Specification testing for conditional moment restrictions under local identification failure. (2024). Gospodinov, Nikolay ; Dovonon, Prosper. In: Quantitative Economics. RePEc:wly:quante:v:15:y:2024:i:3:p:849-891. Full description at Econpapers || Download paper |
2025 | Double robust inference for continuous updating GMM. (2025). Zhan, Zhaoguo ; Kleibergen, Frank. In: Quantitative Economics. RePEc:wly:quante:v:16:y:2025:i:1:p:295-327. Full description at Econpapers || Download paper |
2025 | Monetary policy at the turn of financial markets: A forerunner or follower?. (2025). Talam, Camilla ; Osoro, Jared. In: KBA Centre for Research on Financial Markets and Policy Working Paper Series. RePEc:zbw:kbawps:316415. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2000 | The Likelihood Function of Conditionally Heteroskedastic Factor Models In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 8 |
2007 | Testing Uncovered Interest Parity: A Continuous-Time Approach In: Staff Working Papers. [Full Text][Citation analysis] | paper | 17 |
2007 | Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2007 | Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2011 | TESTING UNCOVERED INTEREST PARITY: A CONTINUOUSâTIME APPROACH.(2011) In: International Economic Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
2007 | Parametric properties of semi-nonparametric distributions, with applications to option valuation In: Working Papers. [Full Text][Citation analysis] | paper | 50 |
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 nother version. Agregated cites: 50 | article | |
2005 | Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 50 | paper | |
2005 | Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 50 | paper | |
2007 | Parametric properties of semi-nonparametric distributions, with applications to option valuation.(2007) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 50 | paper | |
2009 | Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation In: Working Papers. [Full Text][Citation analysis] | paper | 43 |
2008 | Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 43 | 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 nother version. Agregated cites: 43 | article | |
2009 | Distributional tests in multivariate dynamic models with Normal and Student t innovations In: Working Papers. [Full Text][Citation analysis] | paper | 15 |
2008 | Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 15 | 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 nother version. Agregated cites: 15 | article | |
2012 | Valuation of vix derivatives In: Working Papers. [Full Text][Citation analysis] | paper | 90 |
2009 | Valuation of VIX Derivatives.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
2010 | Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
2013 | Valuation of VIX derivatives.(2013) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | article | |
2015 | Volatility-related exchange traded assets: an econometric investigation In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2015 | Volatility-Related Exchange Traded Assets: An Econometric Investigation.(2015) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2015 | Volatility-related exchange traded assets: an econometric investigation.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
2018 | Volatility-Related Exchange Traded Assets: An Econometric Investigation.(2018) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
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 nother 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 nother 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 nother version. Agregated cites: 0 | chapter | |
2016 | A spectral EM algorithm for dynamic factor models In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
2014 | A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2015 | A spectral EM algorithm for dynamic factor models.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | paper | |
2018 | A spectral EM algorithm for dynamic factor models.(2018) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 14 | article | |
2018 | The rise and fall of the natural interest rate In: Working Papers. [Full Text][Citation analysis] | paper | 46 |
2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Papers - Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
2018 | The Rise and Fall of the Natural Interest Rate.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 46 | paper | |
1998 | An EM Algorithm for Conditionally Heteroscedastic Factor Models. In: Journal of Business & Economic Statistics. [Citation analysis] | article | 11 |
1996 | An EM Algorithm for Conditionally Heteroskedastic Factor Models.(1996) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
1996 | An EM Algorithm for Conditionally Heteroskedastic Factor Models..(1996) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 11 | 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 | 123 |
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 nother version. Agregated cites: 123 | 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 nother version. Agregated cites: 123 | paper | |
2015 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
2010 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | 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 nother version. Agregated cites: 13 | 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 nother version. Agregated cites: 13 | 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 nother version. Agregated cites: 13 | paper | |
2023 | Score-type tests for normal mixtures In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Score-type tests for normal mixtures.(2022) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2025 | Score-type tests for normal mixtures.(2025) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
1994 | An Index of Co-Movements in Financial Time Series In: Working Papers. [Citation analysis] | paper | 2 |
1994 | An Index of Co-Movements in Financial Time Series..(1994) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
1994 | Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes In: Working Papers. [Citation analysis] | paper | 52 |
1996 | Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1996) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | article | |
1994 | Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses..(1994) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
1993 | Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes..(1993) In: Tilburg - Center for Economic Research. [Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
1993 | Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Discussion Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
1996 | Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1996) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
1993 | Marginalization and contemporaneous aggregation in multivariate GARCH processes.(1993) In: Other publications TiSEM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 52 | paper | |
1994 | The Likelihood Function of a Conditionally Heteroskedastic Factor Model with Heywood Cases In: Working Papers. [Citation analysis] | paper | 4 |
1994 | The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases..(1994) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
1994 | A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix In: Working Papers. [Citation analysis] | paper | 0 |
1994 | A Positive Rank-One Modification on the Symmetric Factorization of a Positive Semi-Definite Matrix..(1994) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
1995 | Riesgo y rentabilidad en el mercado de valores espaĂąol In: Working Papers. [Citation analysis] | paper | 2 |
1995 | Has the EMS Reduced the Cost of Capital? VersiĂłn Revisada In: Working Papers. [Citation analysis] | paper | 0 |
1995 | Quadratic ARCH Models In: Working Papers. [Citation analysis] | paper | 253 |
1995 | Quadratic Arch Models..(1995) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 253 | paper | |
1995 | Quadratic ARCH Models.(1995) In: The Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 253 | article | |
1996 | Testing for GARCH Effects: A One-Sided Approach In: Working Papers. [Citation analysis] | paper | 30 |
1998 | Testing for GARCH effects: a one-sided approach.(1998) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
1996 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means In: Working Papers. [Citation analysis] | paper | 20 |
1996 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1996) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
1998 | Conditional Means of Time Series Processes and Time Series Processes for Conditional Means..(1998) In: International Economic Review. [Citation analysis] This paper has nother version. Agregated cites: 20 | 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 nother version. Agregated cites: 20 | paper | |
1997 | Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets In: Working Papers. [Citation analysis] | paper | 3 |
1997 | Risk and return in the Spanish stock market: some evidence from individual assets.(1997) In: Investigaciones Economicas. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
1997 | Pricing Options on Assets with Predictable White Noise Returns In: Working Papers. [Citation analysis] | paper | 0 |
1997 | Pricing options on assets with predictable white noise returns.(1997) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
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1997 | Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.VersiĂłn Revisada In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
1997 | Least Squares Predictions and Mean-Variance Analysis. VersiĂłn Revisada In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
1997 | The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models In: Working Papers. [Full Text][Citation analysis] | paper | 23 |
1998 | The relation between conditionally heteroskedastic factor models and factor GARCH models.(1998) In: Econometrics Journal. [Citation analysis] This paper has nother version. Agregated cites: 23 | article | |
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 nother version. Agregated cites: 23 | paper | |
2000 | Factor Representing Portfolios in Large Asset Markets.VersiĂłn Revisada In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2000 | Constrained EMM and Indirect Inference Estimation. VersiĂłn Revisada In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2000 | The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.VersiĂłn Revisada In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2001 | Mean-Variance Portfolio Allocation with a Value at Risk Constraint In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
2001 | Mean Variance Portfolio Allocation with a Value at Risk Constraint.(2001) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
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 nother version. Agregated cites: 7 | paper | |
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2001 | Mean-Variance Portfolio Allocation with a Value at Risk Constraint..(2001) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 7 | paper | |
2002 | Likelihood-Based Estimation of Latent Generalised ARCH Structures In: Working Papers. [Full Text][Citation analysis] | paper | 53 |
2004 | Likelihood-Based Estimation of Latent Generalized ARCH Structures.(2004) In: Econometrica. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | article | |
2003 | Likelihood-based estimation of latent generalised ARCH structures.(2003) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
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2003 | LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES.(2003) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
2002 | Likelihood-based estimation of latent generalised ARCH structures.(2002) In: Economics Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
2004 | Likelihood-based estimation of latent generalised ARCH structures.(2004) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | paper | |
2003 | On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers. [Full Text][Citation analysis] | paper | 21 |
2004 | On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models.(2004) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
2004 | Indirect Estimation of Conditionally Heteroskedastic Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
2004 | Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach In: Working Papers. [Full Text][Citation analysis] | paper | 25 |
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 nother version. Agregated cites: 25 | paper | |
2012 | Spanning tests in return and stochastic discount factor meanâvariance frontiers: A unifying approach.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
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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 nother version. Agregated cites: 25 | paper | |
2004 | Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations In: Working Papers. [Full Text][Citation analysis] | paper | 28 |
2005 | Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 28 | 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 nother version. Agregated cites: 28 | paper | |
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2007 | On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
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 nother version. Agregated cites: 13 | paper | |
2007 | Duality in Mean-Variance Frontiers with Conditioning Information In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
2007 | Duality in Mean-Variance Frontiers with Conditioning Information.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2016 | Duality in mean-variance frontiers with conditioning information.(2016) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2007 | Duality in mean-variance frontiers with conditioning information.(2007) In: Economics Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | 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 nother version. Agregated cites: 10 | article | |
2008 | The Econometrics of Mean-Variance Efficiency Tests: A Survey In: Working Papers. [Full Text][Citation analysis] | paper | 25 |
2009 | The econometrics of mean-variance efficiency tests: a survey.(2009) In: Econometrics Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | 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 | 4 |
2010 | Dynamic Specification Tests for Static Factor Models.(2010) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2012 | Sequential Estimation of Shape Parameters in Multivariate Dynamic Models In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
2013 | Sequential estimation of shape parameters in multivariate dynamic models.(2013) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2012 | Tests for Serial Dependence in Static, Non-Gaussian Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2013 | Dynamic Specification Tests for Dynamic Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2019 | Dynamic specification tests for dynamic factor models.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2019 | Dynamic specification tests for dynamic factor models.(2019) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | 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 nother version. Agregated cites: 0 | article | |
2015 | Is a Normal Copula the Right Copula? In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2015 | Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
2020 | Is a Normal Copula the Right Copula?.(2020) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2015 | Finite Underidentification In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2024 | Finite underidentification.(2024) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2017 | Normality Tests for Latent Variables In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2019 | Normality tests for latent variables.(2019) In: Quantitative Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2017 | Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2020 | Testing distributional assumptions using a continuum of moments.(2020) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2017 | Empirical Evaluation of Overspecified Asset Pricing Models In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2017 | Empirical Evaluation of Overspecified Asset Pricing Models.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2023 | Empirical evaluation of overspecified asset pricing models.(2023) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2018 | Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2019 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2019) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2018 | Consistent non-Gaussian pseudo maximum likelihood estimators.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | 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 nother 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: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother 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 nother version. Agregated cites: 0 | paper | |
2018 | Specification tests for non-Gaussian maximum likelihood estimators.(2018) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2021 | Specification tests for nonâGaussian maximum likelihood estimators.(2021) In: Quantitative Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2018 | New Testing Approaches for Mean-Variance Predictability In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | New testing approaches for mean-variance predictability.(2019) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2021 | New testing approaches for meanâvariance predictability.(2021) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2019 | New testing approaches for mean-variance predictability.(2019) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother 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 nother version. Agregated cites: 0 | paper | |
2020 | Hypothesis Tests with a Repeatedly Singular Information Matrix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Hypothesis tests with a repeatedly singular information matrix.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2020 | Gaussian Rank Correlation and Regression In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2020 | Gaussian rank correlation and regression.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2022 | Gaussian Rank Correlation and Regression.(2022) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
2020 | The Jacobian of the Exponential Function In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2021 | The Jacobian of the exponential function.(2021) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2020 | The Jacobian of the exponential function.(2020) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2020 | Zero-Diagonality as a Linear Structure In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Zero-diagonality as a linear structure.(2020) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2020 | Zero-diagonality as a linear structure.(2020) In: Tinbergen Institute Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
2020 | Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions.(2020) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2023 | Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | article | |
2021 | Aggregate Output Measurements: A Common Trend Approach In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
2021 | Aggregate Output Measurements: A Common Trend Approach.(2021) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2023 | Aggregate Output Measurements: A Common Trend Approach.(2023) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | chapter | |
2021 | Aggregate Output Measurements: A Common Trend Approach.(2021) In: Staff Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | Aggregate Output Measurements: a Common Trend Approach.(2021) In: Econometrics Working Papers Archive. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | Aggregate output measurements: a common trend approach.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2021 | Moment tests of independent components In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2022 | Moment tests of independent components.(2022) In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2021 | Multivariate Hermite polynomials and information matrix tests In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2021 | Multivariate 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 | |
2021 | Multivariate Hermite polynomials and information matrix tests.(2021) In: Working Paper series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2021 | Normal but Skewed? In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Normal but skewed?.(2022) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2021 | Tests for random coefficient variation in vector autoregressive models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Tests for Random Coefficient Variation in Vector Autoregressive Models.(2022) In: Advances in Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | chapter | |
2021 | Tests 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 | |
2021 | Tests 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 | |
2022 | GDP Solera. The Ideal Vintage Mix In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | GDP Solera: The Ideal Vintage Mix.(2022) In: Staff Reports. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2024 | GDP Solera: The Ideal Vintage Mix.(2024) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2022 | PML vs minimum ? 2 : the comeback In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2022 | Specification tests for non-Gaussian structural vector autoregressions In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2024 | Specification tests for non-Gaussian structural vector autoregressions.(2024) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2023 | Highly Irregular Serial Correlation Tests In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | The information matrix test for Gaussian mixtures In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2024 | Portfolio management with big data In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2025 | The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
1999 | Least Squares Predictions and Mean-Variance Analysis In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
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1997 | Least Squares Predictions and Mean-Variance Analysis.(1997) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2005 | Least Squares Predictions and Mean-Variance Analysis.(2005) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2000 | Did the EMS Reduce the Cost of Capital? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 24 |
2002 | Did the EMS Reduce the Cost of Capital?.(2002) In: Economic Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 24 | article | |
1992 | Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data. In: Economic Journal. [Full Text][Citation analysis] | article | 182 |
1994 | Volatility and Links between National Stock Markets. In: Econometrica. [Full Text][Citation analysis] | article | 526 |
1990 | Volatiltiy and Links Between National Stock Markets.(1990) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 526 | paper | |
2000 | Underidentification? In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] | paper | 20 |
2012 | Underidentification?.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
2009 | Underidentification?.(2009) In: CeMMAP working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
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2001 | Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 219 |
1997 | Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model.(1997) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 219 | paper | |
1997 | Identification, estimation and testing of conditionally heteroskedastic factor models.(1997) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 219 | paper | |
2004 | Factor representing portfolios in large asset markets In: Journal of Econometrics. [Full Text][Citation analysis] | article | 23 |
2000 | Factor Representing Portfolios in Large Asset Markets..(2000) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 23 | 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 | 31 |
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 nother version. Agregated cites: 31 | paper | |
2025 | Identification, inference and risk In: Journal of Econometrics. [Full Text][Citation analysis] | article | 0 |
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1992 | Unobserved component time series models with Arch disturbances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 199 |
1995 | Risk and return in the Spanish stock market In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
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2001 | Constrained indirect inference estimation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 4 |
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2000 | Constrained EMM and Indirect Inference Estimation. In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 3 |
2000 | CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION.(2000) In: Working Papers. Serie AD. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
1995 | Has the EMS Reduced the Cost of Capital? In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] | paper | 0 |
1988 | Nota sobre la inclusiĂÂłn en el sistema de precios en un modelo de Leontief de dos regĂÂmenes de imposiciĂÂłn 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 |
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: The Review of Economic Studies. [Full Text][Citation analysis] | article | 14 |
2004 | Constrained Indirect Estimation In: The Review of Economic Studies. [Full Text][Citation analysis] | article | 40 |
2003 | Likelihood-based estimation of latent generalised ARCH In: Economics Series Working Papers. [Citation analysis] | paper | 4 |
2023 | PML versus minimum $${\chi }^{2}$$ Ď 2 : the comeback In: SERIEs: Journal of the Spanish Economic Association. [Full Text][Citation analysis] | article | 0 |
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 |
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