21
H index
33
i10 index
2326
Citations
Enrique Sentana : Citation Profile
Centre for Economic Policy Research (CEPR) (1% share) | RESEARCH PRODUCTION: 56 Articles 167 Papers 4 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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36 years (1988 - 2024). Relations with other researchers
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:
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Main data
Where Enrique Sentana has published?
Recent works citing Enrique Sentana (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2024 | Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm. (2019). Barigozzi, Matteo ; Luciani, Matteo. In: Papers. RePEc:arx:papers:1910.03821. Full description at Econpapers || Download paper |
| 2023 | Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010. Full description at Econpapers || Download paper |
| 2023 | Sequential Estimation of Multivariate Factor Stochastic Volatility Models. (2023). Calzolari, Giorgio ; Mucher, Christian ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2302.07052. Full description at Econpapers || Download paper |
| 2024 | Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models. (2023). Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2303.11777. Full description at Econpapers || Download paper |
| 2023 | Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2310.08173. Full description at Econpapers || Download paper |
| 2024 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2310.17278. Full description at Econpapers || Download paper |
| 2024 | Partial Identification of Heteroskedastic Structural VARs: Theory and Bayesian Inference. (2024). Lütkepohl, Helmut ; Lutkepohl, Helmut ; Wo, Tomasz ; Uzeda, Luis ; Shang, Fei. In: Papers. RePEc:arx:papers:2404.11057. Full description at Econpapers || Download paper |
| 2023 | Statistical Properties of Two Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2303. Full description at Econpapers || Download paper |
| 2023 | Estimation of Asymmetric Stochastic Volatility in Mean Models. (2023). Demos, Antonis. In: DEOS Working Papers. RePEc:aue:wpaper:2309. Full description at Econpapers || Download paper |
| 2023 | Integrating 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. Full description at Econpapers || Download paper |
| 2023 | Inequality and the Zero Lower Bound. (2023). Rachedi, Omar ; Nuo, Galo ; Marbet, Joel ; Fernandez-Villaverde, Jesus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10471. Full description at Econpapers || Download paper |
| 2023 | Volatility Connectedness on the Central European Forex Markets. (2023). Kočenda, Evžen ; Albrecht, Peter ; Kocenda, Even ; Koenda, Even. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10728. Full description at Econpapers || Download paper |
| 2024 | Information matrix tests for multinomial logit models. (2024). Sentan, Enrique ; Fiorentini, Gariele ; Amengual, Dante. In: Working Papers. RePEc:cmf:wpaper:wp2024_2406. Full description at Econpapers || Download paper |
| 2023 | Dynamic Factor Models: a Genealogy. (2023). Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/364359. Full description at Econpapers || Download paper |
| 2023 | The 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 |
| 2023 | Monetary policy and the drifting natural rate of interest. (2023). Daudignon, Sandra ; Tristani, Oreste. In: Working Paper Series. RePEc:ecb:ecbwps:20232788. Full description at Econpapers || Download paper |
| 2023 | Measuring 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. Full description at Econpapers || Download paper |
| 2023 | Nonparametric 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. 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 |
| 2023 | Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis. (2023). Yang, Yiwen ; Yao, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003644. 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 |
| 2023 | Time 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. Full description at Econpapers || Download paper |
| 2023 | Identification-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. Full description at Econpapers || Download paper |
| 2023 | Structural 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. Full description at Econpapers || Download paper |
| 2023 | Under-identification of structural models based on timing and information set assumptions. (2023). Il, Kyoo ; Frazer, Garth ; Ackerberg, Daniel A ; Su, Yingjun ; Luo, Yao. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623001574. Full description at Econpapers || Download paper |
| 2023 | A dynamic conditional score model for the log correlation matrix. (2023). Wang, Linqi ; Hafner, Christian M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002153. Full description at Econpapers || Download paper |
| 2023 | Dynamic 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. 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 |
| 2023 | Feasible 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. 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 |
| 2023 | Multivariate 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. Full description at Econpapers || Download paper |
| 2023 | Empirical 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. Full description at Econpapers || Download paper |
| 2024 | Unraveling the structural sources of oil production and their impact on CO2 emissions. (2024). Wang, Shu ; Theilen, Bernd ; Herwartz, Helmut. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001968. Full description at Econpapers || Download paper |
| 2023 | From 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. Full description at Econpapers || Download paper |
| 2023 | On 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. 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 ; Naeem, Muhammad Abubakr ; Karim, Sitara. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340. Full description at Econpapers || Download paper |
| 2023 | Pricing 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. Full description at Econpapers || Download paper |
| 2024 | The spillover effects of U.S. uncertainties on the systemic tail risk of Chinese enterprises. (2024). Li, Jixin ; Xu, Jietian ; Liu, Liping. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004690. Full description at Econpapers || Download paper |
| 2024 | Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [. (2003). Lebaron, Blake. In: International Journal of Forecasting. RePEc:eee:intfor:v:19:y:2003:i:4:p:751-752. Full description at Econpapers || Download paper |
| 2023 | Empirically-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. Full description at Econpapers || Download paper |
| 2023 | Volatility analysis for the GARCH–Itô–Jumps model based on high-frequency and low-frequency financial data. (2023). Hao, Hong-Xia ; Lin, Jin-Guan ; Fu, Jin-Yu. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1698-1712. Full description at Econpapers || Download paper |
| 2023 | GARCH 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. Full description at Econpapers || Download paper |
| 2024 | GMM weighting matrices in cross-sectional asset pricing tests. (2024). Thimme, Julian ; Schlag, Christian ; Meinerding, Christoph ; Laurinaityte, Nora. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:162:y:2024:i:c:s0378426624000438. Full description at Econpapers || Download paper |
| 2024 | Estimating the Fed’s unconventional policy shocks. (2024). Jarociński, Marek ; Jarociski, Marek. In: Journal of Monetary Economics. RePEc:eee:moneco:v:144:y:2024:i:c:s0304393224000011. Full description at Econpapers || Download paper |
| 2023 | Spillovers 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. Full description at Econpapers || Download paper |
| 2023 | Volatility feedback effect and risk-return tradeoff. (2023). Nam, Kiseok ; Marks, Joseph M ; Chelikani, Surya. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:49-65. 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 |
| 2023 | Loose Monetary Policy and Financial Instability. (2023). Taylor, Alan M ; Schularick, Moritz ; Jorda, Oscar ; Grimm, Maximilian. In: Working Paper Series. RePEc:fip:fedfwp:95733. Full description at Econpapers || Download paper |
| 2023 | Markov-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. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | On the dependence structure of European vegetable oil markets. (2023). Gohin, Alexandre ; Bagnarosa, Guillaume ; Menier, Romain. In: Post-Print. RePEc:hal:journl:hal-04523660. Full description at Econpapers || Download paper |
| 2023 | Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples*. (2023). Kleibergen, Frank ; Zhan, Zhaoguo ; Kong, Lingwei. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:2:p:311-315.. 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 |
| 2023 | Do 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. Full description at Econpapers || Download paper |
| 2023 | Crisis 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. Full description at Econpapers || Download paper |
| 2023 | Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure. (2023). Moneta, Alessio ; Doremus, Nicolas ; Cordoni, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2023/07. Full description at Econpapers || Download paper |
| 2023 | Volatility is (mostly) path-dependent. (2023). Lekeufack, Jordan ; Guyon, Julien. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:9:p:1221-1258. Full description at Econpapers || Download paper |
| 2023 | TAIL 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. 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 |
| 2023 | Reassessing 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. Full description at Econpapers || Download paper |
| 2023 | Unspanned 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. Full description at Econpapers || Download paper |
| 2023 | Monetary 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. Full description at Econpapers || Download paper |
Works by Enrique Sentana:
| Year | Title | Type | Cited |
|---|---|---|---|
| 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 | 9 |
| 2007 | Testing Uncovered Interest Parity: A Continuous-Time Approach.(2007) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | 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: 9 | paper | |
| 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 | 42 |
| 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: 42 | 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: 42 | 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 | 86 |
| 2009 | Valuation of VIX Derivatives.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
| 2010 | Valuation of VIX Derivatives.(2010) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | paper | |
| 2013 | Valuation of VIX derivatives.(2013) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 86 | 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 | 13 |
| 2014 | A Spectral EM Algorithm for Dynamic Factor Models.(2014) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 13 | 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: 13 | 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: 13 | article | |
| 2018 | The rise and fall of the natural interest rate In: Working Papers. [Full Text][Citation analysis] | paper | 45 |
| 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: 45 | 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: 45 | 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: 45 | 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: 45 | 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 | |
| 2010 | A Unifying Approach to the Empirical Evaluation of Asset Pricing Models In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 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: 10 | 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: 10 | 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: 10 | 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: 10 | 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 | |
| 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 español In: Working Papers. [Citation analysis] | paper | 2 |
| 1995 | Has the EMS Reduced the Cost of Capital? Versión Revisada In: Working Papers. [Citation analysis] | paper | 0 |
| 1995 | Quadratic ARCH Models In: Working Papers. [Citation analysis] | paper | 248 |
| 1995 | Quadratic Arch Models..(1995) In: Centro de Estudios Monetarios Y Financieros-. [Citation analysis] This paper has nother version. Agregated cites: 248 | paper | |
| 1995 | Quadratic ARCH Models.(1995) In: The Review of Economic Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 248 | 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 | |
| 1997 | Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Least Squares Predictions and Mean-Variance Analysis. Versión 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.Versión Revisada In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2000 | Constrained EMM and Indirect Inference Estimation. Versión 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.Versión 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 | |
| 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 | |
| 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 mean–variance frontiers: A unifying approach.(2012) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
| 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 | 20 |
| 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: 20 | 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: 20 | paper | |
| 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 | 10 |
| 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: 10 | 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: 10 | 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: 10 | 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 | 24 |
| 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: 24 | 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 | 4 |
| 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: 4 | 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 | 3 |
| 2015 | Is a normal copula the right copula?.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | 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: 3 | 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 | 3 |
| 2019 | Normality tests for latent variables.(2019) In: Quantitative Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2017 | Testing Distributional Assumptions Using a Continuum of Moments In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 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: 3 | 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 | |
| 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 mean–variance 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 | 9 |
| 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: 9 | 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: 9 | 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 | 2 |
| 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: 2 | 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 | 0 |
| 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 |
| 1999 | Least Squares Predictions and Mean-Variance Analysis In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 8 |
| 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 | 179 |
| 1994 | Volatility and Links between National Stock Markets. In: Econometrica. [Full Text][Citation analysis] | article | 522 |
| 1990 | Volatiltiy and Links Between National Stock Markets.(1990) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 522 | 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 | |
| 2001 | Identification, estimation and testing of conditionally heteroskedastic factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 208 |
| 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: 208 | 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: 208 | 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 | 30 |
| 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: 30 | paper | |
| 1992 | Unobserved component time series models with Arch disturbances In: Journal of Econometrics. [Full Text][Citation analysis] | article | 196 |
| 1995 | Risk and return in the Spanish stock market In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 0 |
| 2001 | Constrained indirect inference estimation In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] | paper | 1 |
| 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 inclusión en el sistema de precios en un modelo de Leontief de dos regÃmenes de imposición 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 | 38 |
| 2003 | Likelihood-based estimation of latent generalised ARCH In: Economics Series Working Papers. [Citation analysis] | paper | 4 |
| 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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