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Details about Dante Amengual

Postal address:Casado del Alisal 5 Madrid, 28014, SPAIN
Workplace:Centro de Estudios Monetarios y Financieros (CEMFI) (Center for Monetary and Financial Studies), (more information at EDIRC)

Access statistics for papers by Dante Amengual.

Last updated 2019-04-13. Update your information in the RePEc Author Service.

Short-id: pam97

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Working Papers


  1. Endogenous Health Groups and Heterogeneous Dynamics of the Elderly
    Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York Downloads
  2. Normality Tests for Latent Variables
    Working Papers, CEMFI Downloads
  3. Testing Distributional Assumptions Using a Continuum of Moments
    Working Papers, CEMFI Downloads


  1. Is a Normal Copula the Right Copula?
    Working Papers, CEMFI Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads


  1. Testing a Large Number of Hypotheses in Approximate Factor Models
    Working Papers, CEMFI Downloads


  1. Sequential Estimation of Shape Parameters in Multivariate Dynamic Models
    Working Papers, CEMFI Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2013)

Journal Articles


  1. Resolution of policy uncertainty and sudden declines in volatility
    Journal of Econometrics, 2018, 203, (2), 297-315 Downloads View citations (4)


  1. Comments on: Reflections on the Probability Space Induced by Moment Conditions with Implications for Bayesian Inference
    Journal of Financial Econometrics, 2016, 14, (2), 248-252 Downloads


  1. Market-based estimation of stochastic volatility models
    Journal of Econometrics, 2015, 187, (2), 418-435 Downloads View citations (10)


  1. Sequential estimation of shape parameters in multivariate dynamic models
    Journal of Econometrics, 2013, 177, (2), 233-249 Downloads View citations (10)
    See also Working Paper (2012)


  1. A comparison of mean-variance efficiency tests
    Journal of Econometrics, 2010, 154, (1), 16-34 Downloads View citations (26)


  1. Consistent Estimation of the Number of Dynamic Factors in a Large N and T Panel
    Journal of Business & Economic Statistics, 2007, 25, 91-96 Downloads View citations (123)
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