Dante Amengual : Citation Profile

Are you Dante Amengual?

Centro de Estudios Monetarios y Financieros (CEMFI)

7

H index

5

i10 index

336

Citations

RESEARCH PRODUCTION:

9

Articles

22

Papers

RESEARCH ACTIVITY:

   15 years (2007 - 2022). See details.
   Cites by year: 22
   Journals where Dante Amengual has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 9 (2.61 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pam97
   Updated: 2024-12-03    RAS profile: 2021-11-01    
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Relations with other researchers

Works with:

Sentana, Enrique (16)

Fiorentini, Gabriele (8)

Almuzara, Martin (2)

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 (55)

Fiorentini, Gabriele (39)

Forni, Mario (26)

Lippi, Marco (23)

Gambetti, Luca (14)

Hallin, Marc (14)

Luciani, Matteo (12)

Zaffaroni, Paolo (12)

Barigozzi, Matteo (11)

Stevanovic, Dalibor (10)

Rua, António (8)

Cites to:

Sentana, Enrique (49)

Fiorentini, Gabriele (26)

Pesaran, Mohammad (10)

Calzolari, Giorgio (9)

Mencia, Javier (9)

De Nardi, Mariacristina (7)

Wu, Liuren (7)

Magnus, Jan (6)

Engle, Robert (6)

Tauchen, George (6)

Chesher, Andrew (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 (2024 and 2023)

YearTitle of citing document
2023A Technical Indicator for a Short-term Trading Decision in the NASDAQ Market. (2023). Khalaf, Oshamah Ibrahim ; Bouasabah, Mohammed. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:27:y:2023:i:3:p:1-13.

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2023Composite Quantile Factor Models. (2023). Huang, Xiao. In: Papers. RePEc:arx:papers:2308.02450.

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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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2024Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278.

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2023Score-type tests for normal mixtures. (2023). Sentana, Enrique ; Bei, Xinyue ; Amengual, Dante ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-02.

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

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2023Examining structural stability and time-varying causality between economic policy uncertainty and Asia-Pacific Islamic stock price. (2023). Raifu, Isiaka Akande. In: Economics Bulletin. RePEc:ebl:ecbull:eb-22-00609.

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2023Economic policy uncertainty and information intermediary: The case of short seller. (2023). Wang, Xiaoming. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003984.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023On foreign drivers of emerging markets fluctuations. (2023). Lorca, Jorge ; Bajraj, Gent ; Wlasiuk, Juan M. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003450.

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2023Information criteria for latent factor models: A study on factor pervasiveness and adaptivity. (2023). Tang, Cheng Yong ; Chen, YU ; Guo, Xiao. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:237-250.

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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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2023Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions. (2023). Sentana, Enrique ; Fiorentini, Gabriele. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:643-665.

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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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2023Dynamic factor copula models with estimated cluster assignments. (2023). Patton, Andrew J ; Oh, Dong Hwan. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002135.

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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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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023The contagion of fake news concern and extreme stock market risks during the COVID-19 period. (2023). Yang, Zhuohang ; Qu, BO ; Hong, Yun ; Jiang, Yanhui. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300630x.

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2023Forecasting Sector-Level Stock Market Volatility: The Role of World Uncertainty Index. (2023). Yu, Miao. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009406.

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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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2023The jump leverage risk premium. (2023). Todorov, Viktor ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630.

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2023Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications. (2023). Yang, Xiye ; Neely, Christopher J ; Erdemlioglu, Deniz. In: Working Papers. RePEc:fip:fedlwp:96490.

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2023.

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2023Fiscal Policy and Asset Prices in a Dynamic Factor Model with Cointegrated Factors. (2023). Takumah, Wisdom. In: MPRA Paper. RePEc:pra:mprapa:117897.

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2023Economic policy statements, social media, and stock market uncertainty: An analysis of Donald Trump’s tweets. (2023). Ortiz, Daniel Perico. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-022-09608-5.

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

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2024Specification tests for non?Gaussian maximum likelihood estimators. (2021). Sentana, Enrique ; Fiorentini, Gabriele. In: Quantitative Economics. RePEc:wly:quante:v:12:y:2021:i:3:p:683-742.

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2023.

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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]		article169
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]		paper17
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: 17		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]		paper6
2015Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		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: 6		article
2017Normality Tests for Latent Variables In: Working Papers.
[Full Text][Citation analysis]		paper9
2019Normality tests for latent variables.(2019) In: Quantitative Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		article
2017Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers.
[Full Text][Citation analysis]		paper7
2020Testing distributional assumptions using a continuum of moments.(2020) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		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]		paper2
2020Gaussian rank correlation and regression.(2020) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2021Moment tests of independent components In: Working Papers.
[Full Text][Citation analysis]		paper6
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]		article66
2022GDP Solera: The Ideal Vintage Mix In: Staff Reports.
[Full Text][Citation analysis]		paper4
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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