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Details about Dante Amengual

Homepage:http://www.cemfi.es/~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 2020-07-02. Update your information in the RePEc Author Service.

Short-id: pam97


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Working Papers

2020

  1. Gaussian rank correlation and regression
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. Hypothesis tests with a repeatedly singular information matrix
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2019

  1. Endogenous Health Groups and Heterogeneous Dynamics of the Elderly
    2019 Meeting Papers, Society for Economic Dynamics Downloads
    Also in Health, Econometrics and Data Group (HEDG) Working Papers, HEDG, c/o Department of Economics, University of York (2017) Downloads

2017

  1. Normality Tests for Latent Variables
    Working Papers, CEMFI Downloads
    See also Journal Article in Quantitative Economics (2019)
  2. Testing Distributional Assumptions Using a Continuum of Moments
    Working Papers, CEMFI Downloads

2015

  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

    See also Journal Article in Journal of Business & Economic Statistics (2020)

2014

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

2012

  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)

2008

  1. A Comparison of Mean-Variance Efficiency Tests
    Working Papers, CEMFI Downloads
    See also Journal Article in Journal of Econometrics (2010)

Journal Articles

2020

  1. Is a Normal Copula the Right Copula?
    Journal of Business & Economic Statistics, 2020, 38, (2), 350-366 Downloads
    See also Working Paper (2015)

2019

  1. Normality tests for latent variables
    Quantitative Economics, 2019, 10, (3), 981-1017 Downloads
    See also Working Paper (2017)

2018

  1. Resolution of policy uncertainty and sudden declines in volatility
    Journal of Econometrics, 2018, 203, (2), 297-315 Downloads View citations (9)

2016

  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

2015

  1. Market-based estimation of stochastic volatility models
    Journal of Econometrics, 2015, 187, (2), 418-435 Downloads View citations (11)

2013

  1. Sequential estimation of shape parameters in multivariate dynamic models
    Journal of Econometrics, 2013, 177, (2), 233-249 Downloads View citations (11)
    See also Working Paper (2012)

2010

  1. A comparison of mean-variance efficiency tests
    Journal of Econometrics, 2010, 154, (1), 16-34 Downloads View citations (28)
    See also Working Paper (2008)

2007

  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 (130)
 
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