Details about Enrique Sentana
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Last updated 2022-05-06. Update your information in the RePEc Author Service.
Short-id: pse39
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Working Papers
2022
- GDP Solera. The Ideal Vintage Mix
Working Papers, CEMFI
2021
- 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) 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) Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" (2021) View citations (1)
- Moment tests of independent components
Working Papers, CEMFI View citations (1)
- Multivariate Hermite polynomials and information matrix tests
Econometrics Working Papers Archive, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti" 
Also in Working Paper series, Rimini Centre for Economic Analysis (2021)  Working Papers, CEMFI (2021)
- Normal but Skewed?
Working Papers, CEMFI
- 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)
2020
- Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
Also in Working Papers, CEMFI (2020) View citations (3)
- Gaussian Rank Correlation and Regression
Working Papers, CEMFI 
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020)
- Hypothesis Tests with a Repeatedly Singular Information Matrix
Working Papers, CEMFI 
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020)
- The Jacobian of the Exponential Function
Working Papers, CEMFI View citations (1)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2020) View citations (2)
See also Journal Article in Journal of Economic Dynamics and Control (2021)
- Zero-Diagonality as a Linear Structure
Working Papers, CEMFI View citations (2)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2020) View citations (2)
See also Journal Article in Economics Letters (2020)
2019
- 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 (1)
Also in Working Papers, CEMFI (2013) View citations (4)
See also Journal Article in Journal of Applied Econometrics (2019)
- New testing approaches for mean-variance predictability
Working Paper series, Rimini Centre for Economic Analysis 
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (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 in Journal of Econometrics (2021)
2018
- Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators
Working Papers, CEMFI View citations (6)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (4) 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)
See also Journal Article in Journal of Econometrics (2019)
- 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) Working Paper series, Rimini Centre for Economic Analysis (2018) View citations (3) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (1)
See also Journal Article in Quantitative Economics (2021)
- The Rise and Fall of the Natural Interest Rate
Working Paper series, Rimini Centre for Economic Analysis View citations (22)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (19) Working Papers, CEMFI (2018) View citations (22) Working Papers, Banco de España (2018) View citations (27) Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa (2018) View citations (19)
- Volatility, Diversification and Contagion
Working Papers, CEMFI 
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018)
2017
- Empirical Evaluation of Overspecified Asset Pricing Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
Also in Working Papers, CEMFI (2017) View citations (2)
- Normality Tests for Latent Variables
Working Papers, CEMFI 
See also Journal Article in Quantitative Economics (2019)
- Testing Distributional Assumptions Using a Continuum of Moments
Working Papers, CEMFI 
See also Journal Article in Journal of Econometrics (2020)
2016
- 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 (1)
See also Journal Article in Journal of Econometrics (2018)
2015
- 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 (2016)
- Finite Underidentification
Working Papers, CEMFI View citations (1)
- 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 in Journal of Business & Economic Statistics (2020)
- 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) 
See also Journal Article in Journal of Business & Economic Statistics (2018)
2014
- Neglected Serial Correlation Tests in UCARIMA Models
Working Papers, CEMFI View citations (2)
See also Journal Article in SERIEs: Journal of the Spanish Economic Association (2016)
2012
- Sequential Estimation of Shape Parameters in Multivariate Dynamic Models
Working Papers, CEMFI View citations (3)
See also Journal Article in Journal of Econometrics (2013)
- Tests for Serial Dependence in Static, Non-Gaussian Factor Models
Working Papers, CEMFI View citations (2)
- Valuation of vix derivatives
Working Papers, Banco de España View citations (5)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010)  Working Papers, CEMFI (2009) View citations (1)
See also Journal Article in Journal of Financial Economics (2013)
2010
- A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
Working Papers, CEMFI View citations (1)
Also in Working Papers, Barcelona Graduate School of Economics (2010) View citations (1) Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2010) View citations (1) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (1)
See also Journal Article in The Review of Economics and Statistics (2015)
- Dynamic Specification Tests for Static Factor Models
Working Paper series, Rimini Centre for Economic Analysis 
Also in Working Papers, CEMFI (2009) View citations (5)
- 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 (12)
Also in FMG Discussion Papers, Financial Markets Group (2004) View citations (5) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) View citations (1) Working Papers, CEMFI (2004) View citations (8)
See also Journal Article in Journal of Econometrics (2012)
2009
- 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 in The Review of Economics and Statistics (2012)
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Working Papers, Banco de España View citations (57)
Also in Working Papers, CEMFI (2008) View citations (1)
See also Journal Article in Journal of Econometrics (2009)
- 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 (11)
See also Journal Article in Journal of Econometrics (2012)
- Underidentification? (Resumen)
Working Papers, CEMFI View citations (7)
2008
- A Comparison of Mean-Variance Efficiency Tests
Working Papers, CEMFI 
See also Journal Article in Journal of Econometrics (2010)
- The Econometrics of Mean-Variance Efficiency Tests: A Survey
Working Papers, CEMFI 
See also Journal Article in Econometrics Journal (2009)
2007
- Duality in Mean-Variance Frontiers with Conditioning Information
Working Papers, CEMFI View citations (6)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007)  Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra (2007) View citations (8)
See also Journal Article in Journal of Empirical Finance (2016)
- 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 in Journal of Econometrics (2008)
- On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models
Working Papers, CEMFI View citations (21)
Also in Working Paper series, Rimini Centre for Economic Analysis (2007) View citations (31)
- Parametric properties of semi-nonparametric distributions, with applications to option valuation
Working Papers, Banco de España View citations (11)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (4) Working Papers, CEMFI (2005) View citations (1)
See also Journal Article in Journal of Business & Economic Statistics (2009)
- Testing Uncovered Interest Parity: A Continuous-Time Approach
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
Also in Working Papers, CEMFI (2007) View citations (2) Staff Working Papers, Bank of Canada (2007) View citations (11)
See also Journal Article in International Economic Review (2011)
2005
- Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
Also in FMG Discussion Papers, Financial Markets Group (2004) View citations (16) Working Papers, CEMFI (2004) View citations (6) LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2004) View citations (4)
2004
- Indirect Estimation of Conditionally Heteroskedastic Factor Models
Working Papers, CEMFI View citations (17)
- 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) FMG Discussion Papers, Financial Markets Group (2003) View citations (5) Economics Papers, Economics Group, Nuffield College, University of Oxford (2002)  LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2003) View citations (4) Working Papers, CEMFI (2002) 
See also Journal Article in Econometrica (2004)
2003
- Likelihood-based estimation of latent generalised ARCH
Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
- On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models
Working Papers, CEMFI 
See also Journal Article in Economics Letters (2004)
2001
- 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)
- Mean Variance Portfolio Allocation with a Value at Risk Constraint
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (2001) View citations (2) Working Papers, CEMFI (2001)  LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2001) View citations (3) FMG Discussion Papers, Financial Markets Group (2001) View citations (2)
2000
- 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)
- Constrained EMM and Indirect Inference Estimation. Versión Revisada
Working Papers, CEMFI View citations (1)
- Did the EMS Reduce the Cost of Capital?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
See also Journal Article in Economic Journal (2002)
- Factor Representing Portfolios in Large Asset Markets
Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (10)
See also Journal Article in Journal of Econometrics (2004)
- Factor Representing Portfolios in Large Asset Markets.Versión Revisada
Working Papers, CEMFI
- 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 in Journal of Business & Economic Statistics (2003)
- 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
- 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 in Journal of Financial Econometrics (2005)
1997
- 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) Working Papers, CEMFI (1996)
See also Journal Article in International Economic Review (1998)
- 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 in Journal of Econometrics (2001)
- Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada
Working Papers, CEMFI
- Least Squares Predictions and Mean-Variance Analysis. Versión Revisada
Working Papers, CEMFI
- Pricing Options on Assets with Predictable White Noise Returns
Working Papers, CEMFI
Also in FMG Discussion Papers, Financial Markets Group (1997) View citations (3)
- Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets
Working Papers, CEMFI
See also Journal Article in Investigaciones Economicas (1997)
- 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 in Econometrics Journal (1998)
1996
- An EM Algorithm for Conditionally Heteroskedastic Factor Models
Working Papers, Centro de Estudios Monetarios Y Financieros- View citations (6)
Also in Working Papers, CEMFI (1996) View citations (1)
See also Journal Article in Journal of Business & Economic Statistics (1998)
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
Other publications TiSEM, Tilburg University, School of Economics and Management View citations (53)
Also in Working Papers, Tilburg - Center for Economic Research (1993) View citations (3) Discussion Paper, Tilburg University, Center for Economic Research (1993) View citations (4) Working Papers, CEMFI (1994) Other publications TiSEM, Tilburg University, School of Economics and Management (1993) View citations (4) Working Papers, Centro de Estudios Monetarios Y Financieros- (1994) View citations (1)
See also Journal Article in Journal of Econometrics (1996)
- Testing for GARCH Effects: A One-Sided Approach
Working Papers, CEMFI View citations (7)
See also Journal Article in Journal of Econometrics (1998)
1995
- Has the EMS Reduced the Cost of Capital?
Working Papers, Centro de Estudios Monetarios Y Financieros-
- Has the EMS Reduced the Cost of Capital? Versión Revisada
Working Papers, CEMFI
- Quadratic ARCH Models
Working Papers, CEMFI View citations (16)
Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1995) View citations (224)
See also Journal Article in Review of Economic Studies (1995)
- Riesgo y rentabilidad en el mercado de valores español
Working Papers, CEMFI
- Risk and Return in the Spanish Stock Market
FMG Discussion Papers, Financial Markets Group View citations (1)
1994
- 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)
- An Index of Co-Movements in Financial Time Series
Working Papers, CEMFI
Also in Working Papers, Centro de Estudios Monetarios Y Financieros- (1994) View citations (6)
- 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
- Volatiltiy and Links Between National Stock Markets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
See also Journal Article in Econometrica (1994)
Journal Articles
2021
- New testing approaches for mean–variance predictability
Journal of Econometrics, 2021, 222, (1), 516-538 
See also Working Paper (2019)
- Specification tests for non‐Gaussian maximum likelihood estimators
Quantitative Economics, 2021, 12, (3), 683-742 
See also Working Paper (2018)
- The Jacobian of the exponential function
Journal of Economic Dynamics and Control, 2021, 127, (C) 
See also Working Paper (2020)
2020
- Is a Normal Copula the Right Copula?
Journal of Business & Economic Statistics, 2020, 38, (2), 350-366 View citations (2)
See also Working Paper (2015)
- Testing distributional assumptions using a continuum of moments
Journal of Econometrics, 2020, 218, (2), 655-689 View citations (3)
See also Working Paper (2017)
- Zero-diagonality as a linear structure
Economics Letters, 2020, 196, (C) View citations (2)
See also Working Paper (2020)
2019
- Consistent non-Gaussian pseudo maximum likelihood estimators
Journal of Econometrics, 2019, 213, (2), 321-358 View citations (1)
See also Working Paper (2018)
- Dynamic specification tests for dynamic factor models
Journal of Applied Econometrics, 2019, 34, (3), 325-346 View citations (1)
See also Working Paper (2019)
- Normality tests for latent variables
Quantitative Economics, 2019, 10, (3), 981-1017 View citations (10)
See also Working Paper (2017)
2018
- A spectral EM algorithm for dynamic factor models
Journal of Econometrics, 2018, 205, (1), 249-279 View citations (13)
See also Working Paper (2016)
- 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 (2015)
2016
- 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
- Duality in mean-variance frontiers with conditioning information
Journal of Empirical Finance, 2016, 38, (PB), 762-785 View citations (1)
See also Working Paper (2007)
- Neglected serial correlation tests in UCARIMA models
SERIEs: Journal of the Spanish Economic Association, 2016, 7, (1), 121-178 View citations (2)
See also Working Paper (2014)
2015
- A Unifying Approach to the Empirical Evaluation of Asset Pricing Models
The Review of Economics and Statistics, 2015, 97, (2), 412-435 View citations (12)
See also Working Paper (2010)
2014
- Comment
Journal of Business & Economic Statistics, 2014, 32, (2), 193-198
2013
- Sequential estimation of shape parameters in multivariate dynamic models
Journal of Econometrics, 2013, 177, (2), 233-249 View citations (12)
See also Working Paper (2012)
- Valuation of VIX derivatives
Journal of Financial Economics, 2013, 108, (2), 367-391 View citations (63)
See also Working Paper (2012)
2012
- 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 (31)
See also Working Paper (2009)
- Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach
Journal of Econometrics, 2012, 170, (2), 303-324 View citations (12)
See also Working Paper (2010)
- Underidentification?
Journal of Econometrics, 2012, 170, (2), 256-280 
See also Working Paper (2009)
2011
- TESTING UNCOVERED INTEREST PARITY: A CONTINUOUS‐TIME APPROACH
International Economic Review, 2011, 52, (4), 1215-1251 View citations (7)
See also Working Paper (2007)
2010
- A comparison of mean-variance efficiency tests
Journal of Econometrics, 2010, 154, (1), 16-34 View citations (28)
See also Working Paper (2008)
2009
- Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation
Journal of Econometrics, 2009, 153, (2), 105-121 View citations (48)
See also Working Paper (2009)
- Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation
Journal of Business & Economic Statistics, 2009, 27, (2), 176-192 View citations (41)
See also Working Paper (2007)
- The econometrics of mean-variance efficiency tests: a survey
Econometrics Journal, 2009, 12, (3), C65-C101 View citations (22)
See also Working Paper (2008)
2008
- 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 (33)
See also Working Paper (2007)
2005
- Least Squares Predictions and Mean-Variance Analysis
Journal of Financial Econometrics, 2005, 3, (1), 56-78 View citations (7)
See also Working Paper (1999)
2004
- Constrained Indirect Estimation
Review of Economic Studies, 2004, 71, (4), 945-973 View citations (59)
- Factor representing portfolios in large asset markets
Journal of Econometrics, 2004, 119, (2), 257-289 View citations (36)
See also Working Paper (2000)
- Likelihood-Based Estimation of Latent Generalized ARCH Structures
Econometrica, 2004, 72, (5), 1481-1517 View citations (38)
See also Working Paper (2004)
- 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 (2003)
2003
- 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 (148)
See also Working Paper (2000)
2002
- Did the EMS Reduce the Cost of Capital?
Economic Journal, 2002, 112, (482), 786-809 View citations (19)
See also Working Paper (2000)
2001
- Identification, estimation and testing of conditionally heteroskedastic factor models
Journal of Econometrics, 2001, 102, (2), 143-164 View citations (178)
See also Working Paper (1997)
2000
- The Likelihood Function of Conditionally Heteroskedastic Factor Models
Annals of Economics and Statistics, 2000, (58), 1-19 View citations (14)
1999
- 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
- 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 (1996)
- Conditional Means of Time Series Processes and Time Series Processes for Conditional Means
International Economic Review, 1998, 39, (4), 1101-18 View citations (23)
See also Working Paper (1997)
- Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market
Investigaciones Economicas, 1998, 22, (1), 5-17 View citations (4)
- Testing for GARCH effects: a one-sided approach
Journal of Econometrics, 1998, 86, (1), 97-127 View citations (51)
See also Working Paper (1996)
- The relation between conditionally heteroskedastic factor models and factor GARCH models
Econometrics Journal, 1998, 1, (RegularPapers), 1-9 View citations (17)
See also Working Paper (1997)
1997
- 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 (1997)
1996
- Marginalization and contemporaneous aggregation in multivariate GARCH processes
Journal of Econometrics, 1996, 71, (1-2), 71-87 View citations (56)
See also Working Paper (1996)
1995
- Quadratic ARCH Models
Review of Economic Studies, 1995, 62, (4), 639-661 View citations (241)
See also Working Paper (1995)
1994
- Volatility and Links between National Stock Markets
Econometrica, 1994, 62, (4), 901-33 View citations (512)
See also Working Paper (1990)
1993
- The econometrics of the stock market I: rationality tests
Investigaciones Economicas, 1993, 17, (3), 401-420
- The econometrics of the stock market II: asset pricing
Investigaciones Economicas, 1993, 17, (3), 421-444 View citations (1)
1992
- Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data
Economic Journal, 1992, 102, (411), 415-25 View citations (156)
- Unobserved component time series models with Arch disturbances
Journal of Econometrics, 1992, 52, (1-2), 129-157 View citations (204)
1991
- Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan
Review of Economic Studies, 1991, 58, (3), 547-563 View citations (12)
1988
- 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
2016
- 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 (2015)
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