Details about Enrique Sentana

Homepage:	http://www.cemfi.es/~sentana
Phone:	+ 34 91 429 05 51
Postal address:	CEMFI, Casado del Alisal 5, 28014 Madrid, Spain
Workplace:	Centre for Economic Policy Research (CEPR), (more information at EDIRC) Centro de Estudios Monetarios y Financieros (CEMFI) (Center for Monetary and Financial Studies), (more information at EDIRC) Financial Markets Group (FMG), London School of Economics (LSE), (more information at EDIRC)

Access statistics for papers by Enrique Sentana.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

Short-id: pse39

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Working Papers

2025

1. The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities
   Working Papers, CEMFI

2024

2. Portfolio management with big data
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, CEMFI (2024)
3. The information matrix test for Gaussian mixtures
   Working Papers, CEMFI View citations (1)

2023

4. Highly Irregular Serial Correlation Tests
   Working Papers, CEMFI
5. Score-type tests for normal mixtures
   CIRANO Working Papers, CIRANO
   Also in Working Papers, CEMFI (2022)
   See also Journal Article Score-type tests for normal mixtures, Journal of Econometrics, Elsevier (2025) (2025)

2022

6. GDP Solera. The Ideal Vintage Mix
   Working Papers, CEMFI
   Also in Staff Reports, Federal Reserve Bank of New York (2022) View citations (4)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
   See also Journal Article GDP Solera: The Ideal Vintage Mix, Journal of Business & Economic Statistics, Taylor & Francis Journals (2024) (2024)
7. PML vs minimum χ 2: the comeback
   Working Papers, CEMFI View citations (2)
8. Specification tests for non-Gaussian structural vector autoregressions
   Working Papers, CEMFI View citations (1)
   See also Journal Article Specification tests for non-Gaussian structural vector autoregressions, Journal of Econometrics, Elsevier (2024) View citations (1) (2024)

2021

9. Aggregate Output Measurements: A Common Trend Approach
   Staff Reports, Federal Reserve Bank of New York View citations (1)
   Also in Working Papers, CEMFI (2021) View citations (1)
   Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021) View citations (4)
   Working Paper series, Rimini Centre for Economic Analysis (2021) View citations (2)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021) View citations (4)
   See also Chapter Aggregate Output Measurements: A Common Trend Approach, Advances in Econometrics, Emerald Group Publishing Limited (2023) (2023)
10. Moment tests of independent components
    Working Papers, CEMFI View citations (2)
    See also Journal Article Moment tests of independent components, SERIEs: Journal of the Spanish Economic Association, Springer (2022) View citations (6) (2022)
11. Multivariate Hermite polynomials and information matrix tests
    Working Papers, CEMFI View citations (3)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2021)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021)
12. Normal but Skewed?
    Working Papers, CEMFI
    See also Journal Article Normal but skewed?, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2022) (2022)
13. Tests for random coefficient variation in vector autoregressive models
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021)
    Working Papers, CEMFI (2021)
    See also Chapter Tests for Random Coefficient Variation in Vector Autoregressive Models, Advances in Econometrics, Emerald Group Publishing Limited (2022) (2022)

2020

14. Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions
    Working Papers, CEMFI View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (9)
    See also Journal Article Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions, Journal of Econometrics, Elsevier (2023) View citations (10) (2023)
15. Gaussian Rank Correlation and Regression
    Working Papers, CEMFI View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (2)
    See also Chapter Gaussian Rank Correlation and Regression, Advances in Econometrics, Emerald Group Publishing Limited (2022) View citations (1) (2022)
16. Hypothesis Tests with a Repeatedly Singular Information Matrix
    Working Papers, CEMFI View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (3)
17. The Jacobian of the Exponential Function
    Working Papers, CEMFI View citations (3)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2020) View citations (3)
    See also Journal Article The Jacobian of the exponential function, Journal of Economic Dynamics and Control, Elsevier (2021) View citations (3) (2021)
18. Zero-Diagonality as a Linear Structure
    Working Papers, CEMFI View citations (5)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2020) View citations (5)
    See also Journal Article Zero-diagonality as a linear structure, Economics Letters, Elsevier (2020) View citations (5) (2020)

2019

19. Dynamic specification tests for dynamic factor models
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" View citations (2)
    Also in Working Papers, CEMFI (2013) View citations (4)
    See also Journal Article Dynamic specification tests for dynamic factor models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2019) View citations (1) (2019)
20. New testing approaches for mean-variance predictability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in Working Paper series, Rimini Centre for Economic Analysis (2019)
    Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2019) View citations (1)
    Working Papers, CEMFI (2018)
    See also Journal Article New testing approaches for mean–variance predictability, Journal of Econometrics, Elsevier (2021) (2021)

2018

21. Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators
    Working Papers, CEMFI View citations (6)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2018) View citations (4)
    Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (4)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (4)
    See also Journal Article Consistent non-Gaussian pseudo maximum likelihood estimators, Journal of Econometrics, Elsevier (2019) View citations (5) (2019)
22. Specification Tests for Non-Gaussian Maximum Likelihood Estimators
    Working Papers, CEMFI View citations (1)
    Also in Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2018) View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (1)
    Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (3)
    See also Journal Article Specification tests for non‐Gaussian maximum likelihood estimators, Quantitative Economics, Econometric Society (2021) View citations (3) (2021)
23. The Rise and Fall of the Natural Interest Rate
    Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa View citations (28)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (33)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (33)
    Working Papers, CEMFI (2018) View citations (35)
    Working Papers, Banco de España (2018) View citations (38)
24. Volatility, Diversification and Contagion
    Working Papers, CEMFI
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018)

2017

25. Empirical Evaluation of Overspecified Asset Pricing Models
    Working Papers, CEMFI View citations (3)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (3)
    See also Journal Article Empirical evaluation of overspecified asset pricing models, Journal of Financial Economics, Elsevier (2023) View citations (4) (2023)
26. Normality Tests for Latent Variables
    Working Papers, CEMFI
    See also Journal Article Normality tests for latent variables, Quantitative Economics, Econometric Society (2019) View citations (17) (2019)
27. Testing Distributional Assumptions Using a Continuum of Moments
    Working Papers, CEMFI
    See also Journal Article Testing distributional assumptions using a continuum of moments, Journal of Econometrics, Elsevier (2020) View citations (10) (2020)

2016

28. A spectral EM algorithm for dynamic factor models
    Working Papers, Banco de España View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (5)
    Working Papers, CEMFI (2014) View citations (2)
    See also Journal Article A spectral EM algorithm for dynamic factor models, Journal of Econometrics, Elsevier (2018) View citations (18) (2018)

2015

29. A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
    Working Papers, Barcelona School of Economics View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (1)
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2010) View citations (1)
    Working Papers, CEMFI (2010) View citations (1)
    See also Journal Article A Unifying Approach to the Empirical Evaluation of Asset Pricing Models, The Review of Economics and Statistics, MIT Press (2015) View citations (21) (2015)
30. Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation
    Working Papers, CEMFI
    Also in Working Papers, Banco de España (2015)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)
    See also Chapter Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation, Advances in Econometrics, Emerald Group Publishing Limited (2016) View citations (2) (2016)
31. Finite Underidentification
    Working Papers, CEMFI View citations (2)
    See also Journal Article Finite underidentification, Journal of Econometrics, Elsevier (2024) (2024)
32. Is a Normal Copula the Right Copula?
    Working Papers, CEMFI
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)
    See also Journal Article Is a Normal Copula the Right Copula?, Journal of Business & Economic Statistics, Taylor & Francis Journals (2020) View citations (7) (2020)
33. Volatility-Related Exchange Traded Assets: An Econometric Investigation
    Working Papers, CEMFI View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015)
    Working Papers, Banco de España (2015)
    See also Journal Article Volatility-Related Exchange Traded Assets: An Econometric Investigation, Journal of Business & Economic Statistics, Taylor & Francis Journals (2018) View citations (1) (2018)

2014

34. Neglected Serial Correlation Tests in UCARIMA Models
    Working Papers, CEMFI View citations (2)
    See also Journal Article Neglected serial correlation tests in UCARIMA models, SERIEs: Journal of the Spanish Economic Association, Springer (2016) View citations (5) (2016)

2012

35. Sequential Estimation of Shape Parameters in Multivariate Dynamic Models
    Working Papers, CEMFI View citations (3)
    See also Journal Article Sequential estimation of shape parameters in multivariate dynamic models, Journal of Econometrics, Elsevier (2013) View citations (18) (2013)
36. Tests for Serial Dependence in Static, Non-Gaussian Factor Models
    Working Papers, CEMFI View citations (3)
37. Valuation of vix derivatives
    Working Papers, Banco de España View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010)
    Working Papers, CEMFI (2009) View citations (2)
    See also Journal Article Valuation of VIX derivatives, Journal of Financial Economics, Elsevier (2013) View citations (81) (2013)

2010

38. Dynamic Specification Tests for Static Factor Models
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Working Papers, CEMFI (2009) View citations (5)
39. Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (4)
    FMG Discussion Papers, Financial Markets Group (2004) View citations (5)
    Working Papers, CEMFI (2004) View citations (9)
    See also Journal Article Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach, Journal of Econometrics, Elsevier (2012) View citations (14) (2012)

2009

40. Distributional tests in multivariate dynamic models with Normal and Student t innovations
    Working Papers, Banco de España View citations (12)
    Also in Working Papers, CEMFI (2008) View citations (1)
    See also Journal Article Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations, The Review of Economics and Statistics, MIT Press (2012) View citations (36) (2012)
41. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
    Working Papers, Banco de España View citations (62)
    Also in Working Papers, CEMFI (2008) View citations (1)
    See also Journal Article Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation, Journal of Econometrics, Elsevier (2009) View citations (53) (2009)
42. Underidentification?
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (13)
    See also Journal Article Underidentification?, Journal of Econometrics, Elsevier (2012) (2012)
43. Underidentification? (Resumen)
    Working Papers, CEMFI View citations (7)

2008

44. A Comparison of Mean-Variance Efficiency Tests
    Working Papers, CEMFI View citations (2)
    See also Journal Article A comparison of mean-variance efficiency tests, Journal of Econometrics, Elsevier (2010) View citations (28) (2010)
45. The Econometrics of Mean-Variance Efficiency Tests: A Survey
    Working Papers, CEMFI
    See also Journal Article The econometrics of mean-variance efficiency tests: a survey, Econometrics Journal, Royal Economic Society (2009) View citations (25) (2009)

2007

46. Duality in Mean-Variance Frontiers with Conditioning Information
    Working Papers, CEMFI View citations (6)
    Also in Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2007) View citations (8)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007)
    See also Journal Article Duality in mean-variance frontiers with conditioning information, Journal of Empirical Finance, Elsevier (2016) View citations (4) (2016)
47. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    See also Journal Article Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks, Journal of Econometrics, Elsevier (2008) View citations (37) (2008)
48. On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models
    Working Papers, CEMFI View citations (26)
    Also in Working Paper series, Rimini Centre for Economic Analysis (2007) View citations (41)
49. Parametric properties of semi-nonparametric distributions, with applications to option valuation
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library
    Also in Working Papers, Banco de España (2007) View citations (12)
    Working Papers, CEMFI (2005) View citations (2)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (5)
    See also Journal Article Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation, Journal of Business & Economic Statistics, American Statistical Association (2009) View citations (45) (2009)
50. Testing Uncovered Interest Parity: A Continuous-Time Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Staff Working Papers, Bank of Canada (2007) View citations (10)
    Working Papers, CEMFI (2007) View citations (2)
    See also Journal Article TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2011) View citations (9) (2011)

2005

51. Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in Working Papers, CEMFI (2004) View citations (9)
    FMG Discussion Papers, Financial Markets Group (2004) View citations (16)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (5)

2004

52. Indirect Estimation of Conditionally Heteroskedastic Factor Models
    Working Papers, CEMFI View citations (16)
53. Likelihood-based estimation of latent generalised ARCH structures
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (43)
    Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (2003) View citations (4)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (4)
    FMG Discussion Papers, Financial Markets Group (2003) View citations (5)
    Working Papers, CEMFI (2002)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2002)
    See also Journal Article Likelihood-Based Estimation of Latent Generalized ARCH Structures, Econometrica, Econometric Society (2004) View citations (38) (2004)

2003

54. Likelihood-based estimation of latent generalised ARCH
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
55. On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models
    Working Papers, CEMFI View citations (1)
    See also Journal Article On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models, Economics Letters, Elsevier (2004) View citations (28) (2004)

2001

56. Constrained Indirect Inference Estimation
    FMG Discussion Papers, Financial Markets Group View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) View citations (1)
57. Mean Variance Portfolio Allocation with a Value at Risk Constraint
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) View citations (4)
    Working Papers, Centro de Estudios Monetarios Y Financieros- (2001) View citations (3)
    Working Papers, CEMFI (2001) View citations (4)
    FMG Discussion Papers, Financial Markets Group (2001) View citations (2)

2000

58. CONSTRAINED EMM AND INDIRECT INFERENCE ESTIMATION
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (3)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (3)
59. Constrained EMM and Indirect Inference Estimation. Versión Revisada
    Working Papers, CEMFI View citations (1)
60. Did the EMS Reduce the Cost of Capital?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article Did the EMS Reduce the Cost of Capital?, Economic Journal, Royal Economic Society (2002) View citations (20) (2002)
61. Factor Representing Portfolios in Large Asset Markets
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (12)
    See also Journal Article Factor representing portfolios in large asset markets, Journal of Econometrics, Elsevier (2004) View citations (35) (2004)
62. Factor Representing Portfolios in Large Asset Markets.Versión Revisada
    Working Papers, CEMFI
63. THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) View citations (7)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2000) View citations (6)
    See also Journal Article Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (153) (2003)
64. The Score of Conditionally Heteroskedastic Dynamic Regression Models with Student t Innovations, and an LM Test for Multivariate Normality.Versión Revisada
    Working Papers, CEMFI

1999

65. Least Squares Predictions and Mean-Variance Analysis
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1997) View citations (3)
    FMG Discussion Papers, Financial Markets Group (1999)
    See also Journal Article Least Squares Predictions and Mean-Variance Analysis, Journal of Financial Econometrics, Oxford University Press (2005) View citations (10) (2005)

1997

66. Conditional means of time series processes and time series processes for conditional means
    Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1996) View citations (1)
    Working Papers, CEMFI (1996) View citations (1)
    See also Journal Article Conditional Means of Time Series Processes and Time Series Processes for Conditional Means, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1998) View citations (24) (1998)
67. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (36)
    Also in Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) (1997) View citations (4)
    See also Journal Article Identification, estimation and testing of conditionally heteroskedastic factor models, Journal of Econometrics, Elsevier (2001) View citations (221) (2001)
68. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada
    Working Papers, CEMFI
69. Least Squares Predictions and Mean-Variance Analysis. Versión Revisada
    Working Papers, CEMFI
70. Pricing Options on Assets with Predictable White Noise Returns
    Working Papers, CEMFI View citations (3)
    Also in FMG Discussion Papers, Financial Markets Group (1997) View citations (3)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1997)
71. Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets
    Working Papers, CEMFI View citations (3)
    See also Journal Article Risk and return in the Spanish stock market: some evidence from individual assets, Investigaciones Economicas, Fundación SEPI (1997) View citations (4) (1997)
72. The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (2)
    Also in Working Papers, CEMFI (1997)
    See also Journal Article The relation between conditionally heteroskedastic factor models and factor GARCH models, Econometrics Journal, Royal Economic Society (1998) View citations (27) (1998)

1996

73. An EM Algorithm for Conditionally Heteroskedastic Factor Models
    Working Papers, CEMFI View citations (1)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1996) View citations (5)
    See also Journal Article An EM Algorithm for Conditionally Heteroscedastic Factor Models, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (13) (1998)
74. Marginalization and contemporaneous aggregation in multivariate GARCH processes
    Other publications TiSEM, Tilburg University, School of Economics and Management View citations (54)
    Also in Working Papers, Tilburg - Center for Economic Research (1993) View citations (6)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1993) View citations (4)
    Discussion Paper, Tilburg University, Center for Economic Research (1993) View citations (4)
    Working Papers, Centro de Estudios Monetarios Y Financieros- (1994) View citations (1)
    Working Papers, CEMFI (1994) View citations (1)
    See also Journal Article Marginalization and contemporaneous aggregation in multivariate GARCH processes, Journal of Econometrics, Elsevier (1996) View citations (57) (1996)
75. Testing for GARCH Effects: A One-Sided Approach
    Working Papers, CEMFI View citations (8)
    See also Journal Article Testing for GARCH effects: a one-sided approach, Journal of Econometrics, Elsevier (1998) View citations (50) (1998)

1995

76. Has the EMS Reduced the Cost of Capital?
    Working Papers, Centro de Estudios Monetarios Y Financieros-
77. Has the EMS Reduced the Cost of Capital? Versión Revisada
    Working Papers, CEMFI
78. Quadratic ARCH Models
    Working Papers, CEMFI View citations (232)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1995) View citations (238)
    See also Journal Article Quadratic ARCH Models, The Review of Economic Studies, Review of Economic Studies Ltd (1995) View citations (255) (1995)
79. Riesgo y rentabilidad en el mercado de valores español
    Working Papers, CEMFI
80. Risk and Return in the Spanish Stock Market
    FMG Discussion Papers, Financial Markets Group View citations (2)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (1995)

1994

81. A Positive Rank-One Modification of the Symmetric Factorization of a Positive Semi-Definite Matrix
    Working Papers, CEMFI
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1994)
82. An Index of Co-Movements in Financial Time Series
    Working Papers, CEMFI View citations (3)
    Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1994) View citations (6)
83. The Likelihood Function of a Conditionally Heteroskdastic Factor Model with Heywood Cases
    Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (9)
    Also in Working Papers, CEMFI (1994)

1990

84. Volatiltiy and Links Between National Stock Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    See also Journal Article Volatility and Links between National Stock Markets, Econometrica, Econometric Society (1994) View citations (523) (1994)

Journal Articles

2025

1. Identification, inference and risk
   Journal of Econometrics, 2025, 248, (C)
2. Information matrix tests for multinomial logit models
   Economics Letters, 2025, 247, (C)
3. Reprint of: Finite underidentification
   Journal of Econometrics, 2025, 248, (C)
4. Score-type tests for normal mixtures
   Journal of Econometrics, 2025, 248, (C)
   See also Working Paper Score-type tests for normal mixtures, CIRANO Working Papers (2023) (2023)

2024

5. Finite underidentification
   Journal of Econometrics, 2024, 240, (1)
   See also Working Paper Finite Underidentification, Working Papers (2015) View citations (2) (2015)
6. GDP Solera: The Ideal Vintage Mix
   Journal of Business & Economic Statistics, 2024, 42, (3), 984-997
   See also Working Paper GDP Solera. The Ideal Vintage Mix, Working Papers (2022) (2022)
7. Specification tests for non-Gaussian structural vector autoregressions
   Journal of Econometrics, 2024, 244, (2) View citations (1)
   See also Working Paper Specification tests for non-Gaussian structural vector autoregressions, Working Papers (2022) View citations (1) (2022)

2023

8. Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions
   Journal of Econometrics, 2023, 235, (2), 643-665 View citations (10)
   See also Working Paper Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions, Working Papers (2020) View citations (7) (2020)
9. Empirical evaluation of overspecified asset pricing models
   Journal of Financial Economics, 2023, 147, (2), 338-351 View citations (4)
   See also Working Paper Empirical Evaluation of Overspecified Asset Pricing Models, Working Papers (2017) View citations (3) (2017)
10. PML versus minimum $${\chi }^{2}$$ χ 2: the comeback
    SERIEs: Journal of the Spanish Economic Association, 2023, 14, (3), 253-300

2022

11. Moment tests of independent components
    SERIEs: Journal of the Spanish Economic Association, 2022, 13, (1), 429-474 View citations (6)
    See also Working Paper Moment tests of independent components, Working Papers (2021) View citations (2) (2021)
12. Normal but skewed?
    Journal of Applied Econometrics, 2022, 37, (7), 1295-1313
    See also Working Paper Normal but Skewed?, Working Papers (2021) (2021)

2021

13. New testing approaches for mean–variance predictability
    Journal of Econometrics, 2021, 222, (1), 516-538
    See also Working Paper New testing approaches for mean-variance predictability, CEPR Discussion Papers (2019) (2019)
14. Specification tests for non‐Gaussian maximum likelihood estimators
    Quantitative Economics, 2021, 12, (3), 683-742 View citations (3)
    See also Working Paper Specification Tests for Non-Gaussian Maximum Likelihood Estimators, Working Papers (2018) View citations (1) (2018)
15. The Jacobian of the exponential function
    Journal of Economic Dynamics and Control, 2021, 127, (C) View citations (3)
    See also Working Paper The Jacobian of the Exponential Function, Working Papers (2020) View citations (3) (2020)

2020

16. Is a Normal Copula the Right Copula?
    Journal of Business & Economic Statistics, 2020, 38, (2), 350-366 View citations (7)
    See also Working Paper Is a Normal Copula the Right Copula?, Working Papers (2015) (2015)
17. Testing distributional assumptions using a continuum of moments
    Journal of Econometrics, 2020, 218, (2), 655-689 View citations (10)
    See also Working Paper Testing Distributional Assumptions Using a Continuum of Moments, Working Papers (2017) (2017)
18. Zero-diagonality as a linear structure
    Economics Letters, 2020, 196, (C) View citations (5)
    See also Working Paper Zero-Diagonality as a Linear Structure, Working Papers (2020) View citations (5) (2020)

2019

19. Consistent non-Gaussian pseudo maximum likelihood estimators
    Journal of Econometrics, 2019, 213, (2), 321-358 View citations (5)
    See also Working Paper Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators, Working Papers (2018) View citations (6) (2018)
20. Dynamic specification tests for dynamic factor models
    Journal of Applied Econometrics, 2019, 34, (3), 325-346 View citations (1)
    See also Working Paper Dynamic specification tests for dynamic factor models, Econometrics Working Papers Archive (2019) View citations (2) (2019)
21. Normality tests for latent variables
    Quantitative Economics, 2019, 10, (3), 981-1017 View citations (17)
    See also Working Paper Normality Tests for Latent Variables, Working Papers (2017) (2017)

2018

22. A spectral EM algorithm for dynamic factor models
    Journal of Econometrics, 2018, 205, (1), 249-279 View citations (18)
    See also Working Paper A spectral EM algorithm for dynamic factor models, Working Papers (2016) View citations (2) (2016)
23. Volatility-Related Exchange Traded Assets: An Econometric Investigation
    Journal of Business & Economic Statistics, 2018, 36, (4), 599-614 View citations (1)
    See also Working Paper Volatility-Related Exchange Traded Assets: An Econometric Investigation, Working Papers (2015) View citations (2) (2015)

2016

24. 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
25. Duality in mean-variance frontiers with conditioning information
    Journal of Empirical Finance, 2016, 38, (PB), 762-785 View citations (4)
    See also Working Paper Duality in Mean-Variance Frontiers with Conditioning Information, Working Papers (2007) View citations (6) (2007)
26. Neglected serial correlation tests in UCARIMA models
    SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 121-178 View citations (5)
    See also Working Paper Neglected Serial Correlation Tests in UCARIMA Models, Working Papers (2014) View citations (2) (2014)

2015

27. A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
    The Review of Economics and Statistics, 2015, 97, (2), 412-435 View citations (21)
    See also Working Paper A Unifying Approach to the Empirical Evaluation of Asset Pricing Models, Working Papers (2015) View citations (4) (2015)

2014

28. Comment
    Journal of Business & Economic Statistics, 2014, 32, (2), 193-198

2013

29. Sequential estimation of shape parameters in multivariate dynamic models
    Journal of Econometrics, 2013, 177, (2), 233-249 View citations (18)
    See also Working Paper Sequential Estimation of Shape Parameters in Multivariate Dynamic Models, Working Papers (2012) View citations (3) (2012)
30. Valuation of VIX derivatives
    Journal of Financial Economics, 2013, 108, (2), 367-391 View citations (81)
    See also Working Paper Valuation of vix derivatives, Working Papers (2012) View citations (6) (2012)

2012

31. Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations
    The Review of Economics and Statistics, 2012, 94, (1), 133-152 View citations (36)
    See also Working Paper Distributional tests in multivariate dynamic models with Normal and Student t innovations, Working Papers (2009) View citations (12) (2009)
32. Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach
    Journal of Econometrics, 2012, 170, (2), 303-324 View citations (14)
    See also Working Paper Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach, Economics Working Papers (2010) View citations (13) (2010)
33. Underidentification?
    Journal of Econometrics, 2012, 170, (2), 256-280
    See also Working Paper Underidentification?, CeMMAP working papers (2009) (2009)

2011

34. TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH
    International Economic Review, 2011, 52, (4), 1215-1251 View citations (9)
    See also Working Paper Testing Uncovered Interest Parity: A Continuous-Time Approach, CEPR Discussion Papers (2007) View citations (1) (2007)

2010

35. A comparison of mean-variance efficiency tests
    Journal of Econometrics, 2010, 154, (1), 16-34 View citations (28)
    See also Working Paper A Comparison of Mean-Variance Efficiency Tests, Working Papers (2008) View citations (2) (2008)

2009

36. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
    Journal of Econometrics, 2009, 153, (2), 105-121 View citations (53)
    See also Working Paper Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation, Working Papers (2009) View citations (62) (2009)
37. Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation
    Journal of Business & Economic Statistics, 2009, 27, (2), 176-192 View citations (45)
    See also Working Paper Parametric properties of semi-nonparametric distributions, with applications to option valuation, LSE Research Online Documents on Economics (2007) (2007)
38. The econometrics of mean-variance efficiency tests: a survey
    Econometrics Journal, 2009, 12, (3), C65-C101 View citations (25)
    See also Working Paper The Econometrics of Mean-Variance Efficiency Tests: A Survey, Working Papers (2008) (2008)

2008

39. Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks
    Journal of Econometrics, 2008, 146, (1), 10-25 View citations (37)
    See also Working Paper Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks, Working Paper series (2007) View citations (1) (2007)

2005

40. Least Squares Predictions and Mean-Variance Analysis
    Journal of Financial Econometrics, 2005, 3, (1), 56-78 View citations (10)
    See also Working Paper Least Squares Predictions and Mean-Variance Analysis, CEPR Discussion Papers (1999) View citations (1) (1999)

2004

41. Constrained Indirect Estimation
    The Review of Economic Studies, 2004, 71, (4), 945-973 View citations (64)
42. Factor representing portfolios in large asset markets
    Journal of Econometrics, 2004, 119, (2), 257-289 View citations (35)
    See also Working Paper Factor Representing Portfolios in Large Asset Markets, Working Papers (2000) View citations (12) (2000)
43. Likelihood-Based Estimation of Latent Generalized ARCH Structures
    Econometrica, 2004, 72, (5), 1481-1517 View citations (38)
    See also Working Paper Likelihood-based estimation of latent generalised ARCH structures, OFRC Working Papers Series (2004) View citations (43) (2004)
44. On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models
    Economics Letters, 2004, 83, (3), 307-312 View citations (28)
    See also Working Paper On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models, Working Papers (2003) View citations (1) (2003)

2003

45. Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations
    Journal of Business & Economic Statistics, 2003, 21, (4), 532-46 View citations (153)
    See also Working Paper THE SCORE OF CONDITIONALLY HETEROSKEDASTIC DYNAMIC REGRESSION MODELS WITH STUDENT T INNOVATIONS, AN LM TEST FOR MULTIVARIATE NORMALITY, Working Papers. Serie AD (2000) View citations (7) (2000)

2002

46. Did the EMS Reduce the Cost of Capital?
    Economic Journal, 2002, 112, (482), 786-809 View citations (20)
    See also Working Paper Did the EMS Reduce the Cost of Capital?, CEPR Discussion Papers (2000) View citations (4) (2000)

2001

47. Identification, estimation and testing of conditionally heteroskedastic factor models
    Journal of Econometrics, 2001, 102, (2), 143-164 View citations (221)
    See also Working Paper Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model, Working Papers (1997) View citations (36) (1997)

2000

48. The Likelihood Function of Conditionally Heteroskedastic Factor Models
    Annals of Economics and Statistics, 2000, (58), 1-19 View citations (13)

1999

49. Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix
    Spanish Economic Review, 1999, 1, (1), 79-90 View citations (3)

1998

50. An EM Algorithm for Conditionally Heteroscedastic Factor Models
    Journal of Business & Economic Statistics, 1998, 16, (3), 357-61 View citations (13)
    See also Working Paper An EM Algorithm for Conditionally Heteroskedastic Factor Models, Working Papers (1996) View citations (1) (1996)
51. Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
    International Economic Review, 1998, 39, (4), 1101-18 View citations (24)
    See also Working Paper Conditional means of time series processes and time series processes for conditional means, Working Papers. Serie AD (1997) (1997)
52. Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market
    Investigaciones Economicas, 1998, 22, (1), 5-17 View citations (4)
53. Testing for GARCH effects: a one-sided approach
    Journal of Econometrics, 1998, 86, (1), 97-127 View citations (50)
    See also Working Paper Testing for GARCH Effects: A One-Sided Approach, Working Papers (1996) View citations (8) (1996)
54. The relation between conditionally heteroskedastic factor models and factor GARCH models
    Econometrics Journal, 1998, 1, (RegularPapers), 1-9 View citations (27)
    See also Working Paper The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models, Working Papers (1997) View citations (2) (1997)

1997

55. Risk and return in the Spanish stock market: some evidence from individual assets
    Investigaciones Economicas, 1997, 21, (2), 297-360 View citations (4)
    See also Working Paper Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets, Working Papers (1997) View citations (3) (1997)

1996

56. Marginalization and contemporaneous aggregation in multivariate GARCH processes
    Journal of Econometrics, 1996, 71, (1-2), 71-87 View citations (57)
    See also Working Paper Marginalization and contemporaneous aggregation in multivariate GARCH processes, Other publications TiSEM (1996) View citations (54) (1996)

1995

57. Quadratic ARCH Models
    The Review of Economic Studies, 1995, 62, (4), 639-661 View citations (255)
    See also Working Paper Quadratic ARCH Models, Working Papers (1995) View citations (232) (1995)

1994

58. Volatility and Links between National Stock Markets
    Econometrica, 1994, 62, (4), 901-33 View citations (523)
    See also Working Paper Volatiltiy and Links Between National Stock Markets, NBER Working Papers (1990) View citations (10) (1990)

1993

59. The econometrics of the stock market I: rationality tests
    Investigaciones Economicas, 1993, 17, (3), 401-420
60. The econometrics of the stock market II: asset pricing
    Investigaciones Economicas, 1993, 17, (3), 421-444 View citations (1)

1992

61. Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data
    Economic Journal, 1992, 102, (411), 415-25 View citations (182)
62. Unobserved component time series models with Arch disturbances
    Journal of Econometrics, 1992, 52, (1-2), 129-157 View citations (216)

1991

63. Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan
    The Review of Economic Studies, 1991, 58, (3), 547-563 View citations (12)

1988

64. Nota sobre la inclusión en el sistema de precios en un modelo de Leontief de dos regímenes de imposición indirecta sobre el consumo
    Investigaciones Economicas, 1988, 12, (1), 169-176

Chapters

2023

1. Aggregate Output Measurements: A Common Trend Approach
   A chapter in Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, 2023, vol. 45B, pp 3-33
   See also Working Paper Aggregate Output Measurements: A Common Trend Approach, Federal Reserve Bank of New York (2021) View citations (1) (2021)

2022

2. Gaussian Rank Correlation and Regression
   A chapter in Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, 2022, vol. 43B, pp 269-306 View citations (1)
   See also Working Paper Gaussian Rank Correlation and Regression, CEMFI (2020) View citations (4) (2020)
3. Tests for Random Coefficient Variation in Vector Autoregressive Models
   A chapter in Essays in Honour of Fabio Canova, 2022, vol. 44B, pp 1-35
   See also Working Paper Tests for random coefficient variation in vector autoregressive models, Rimini Centre for Economic Analysis (2021) (2021)

2016

4. Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation
   A chapter in Dynamic Factor Models, 2016, vol. 35, pp 215-282 View citations (2)
   See also Working Paper Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation, CEMFI (2015) (2015)