Details about Enrique Sentana

E-mail:
Homepage:	http://www.cemfi.es/~sentana
Phone:	+ 34 91 429 05 51
Postal address:	CEMFI, Casado del Alisal 5, 28014 Madrid, Spain
Workplace:	Centro de Estudios Monetarios y Financieros (CEMFI) (Center for Monetary and Financial Studies), (more information at EDIRC) Centre for Economic Policy Research (CEPR), (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 2022-05-06. Update your information in the RePEc Author Service.

Short-id: pse39

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Working Papers

2022

1. GDP Solera. The Ideal Vintage Mix
   Working Papers, CEMFI

2021

2. 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)
3. Moment tests of independent components
   Working Papers, CEMFI View citations (1)
4. 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)
5. Normal but Skewed?
   Working Papers, CEMFI
6. 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

7. 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)
8. Gaussian Rank Correlation and Regression
   Working Papers, CEMFI
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020)
9. Hypothesis Tests with a Repeatedly Singular Information Matrix
   Working Papers, CEMFI
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020)
10. 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)
11. 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

12. 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)
13. 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

14. 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)
15. 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)
16. 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)
17. Volatility, Diversification and Contagion
    Working Papers, CEMFI
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018)

2017

18. 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)
19. Normality Tests for Latent Variables
    Working Papers, CEMFI
    See also Journal Article in Quantitative Economics (2019)
20. Testing Distributional Assumptions Using a Continuum of Moments
    Working Papers, CEMFI
    See also Journal Article in Journal of Econometrics (2020)

2016

21. 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

22. 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)
23. Finite Underidentification
    Working Papers, CEMFI View citations (1)
24. 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)
25. 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

26. 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

27. Sequential Estimation of Shape Parameters in Multivariate Dynamic Models
    Working Papers, CEMFI View citations (3)
    See also Journal Article in Journal of Econometrics (2013)
28. Tests for Serial Dependence in Static, Non-Gaussian Factor Models
    Working Papers, CEMFI View citations (2)
29. 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

30. 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)
31. Dynamic Specification Tests for Static Factor Models
    Working Paper series, Rimini Centre for Economic Analysis
    Also in Working Papers, CEMFI (2009) View citations (5)
32. 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

33. 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)
34. 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)
35. 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)
36. Underidentification? (Resumen)
    Working Papers, CEMFI View citations (7)

2008

37. A Comparison of Mean-Variance Efficiency Tests
    Working Papers, CEMFI
    See also Journal Article in Journal of Econometrics (2010)
38. The Econometrics of Mean-Variance Efficiency Tests: A Survey
    Working Papers, CEMFI
    See also Journal Article in Econometrics Journal (2009)

2007

39. 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)
40. 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)
41. 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)
42. 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)
43. 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

44. 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

45. Indirect Estimation of Conditionally Heteroskedastic Factor Models
    Working Papers, CEMFI View citations (17)
46. 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

47. Likelihood-based estimation of latent generalised ARCH
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
48. 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

49. 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)
50. 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

51. 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)
52. Constrained EMM and Indirect Inference Estimation. Versión Revisada
    Working Papers, CEMFI View citations (1)
53. 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)
54. 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)
55. Factor Representing Portfolios in Large Asset Markets.Versión Revisada
    Working Papers, CEMFI
56. 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)
57. 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

58. 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

59. 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)
60. 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)
61. Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada
    Working Papers, CEMFI
62. Least Squares Predictions and Mean-Variance Analysis. Versión Revisada
    Working Papers, CEMFI
63. Pricing Options on Assets with Predictable White Noise Returns
    Working Papers, CEMFI
    Also in FMG Discussion Papers, Financial Markets Group (1997) View citations (3)
64. Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets
    Working Papers, CEMFI
    See also Journal Article in Investigaciones Economicas (1997)
65. 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

66. 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)
67. 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)
68. Testing for GARCH Effects: A One-Sided Approach
    Working Papers, CEMFI View citations (7)
    See also Journal Article in Journal of Econometrics (1998)

1995

69. Has the EMS Reduced the Cost of Capital?
    Working Papers, Centro de Estudios Monetarios Y Financieros-
70. Has the EMS Reduced the Cost of Capital? Versión Revisada
    Working Papers, CEMFI
71. 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)
72. Riesgo y rentabilidad en el mercado de valores español
    Working Papers, CEMFI
73. Risk and Return in the Spanish Stock Market
    FMG Discussion Papers, Financial Markets Group View citations (1)

1994

74. 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)
75. 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)
76. 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

77. 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

1. New testing approaches for mean–variance predictability
   Journal of Econometrics, 2021, 222, (1), 516-538
   See also Working Paper (2019)
2. Specification tests for non‐Gaussian maximum likelihood estimators
   Quantitative Economics, 2021, 12, (3), 683-742
   See also Working Paper (2018)
3. The Jacobian of the exponential function
   Journal of Economic Dynamics and Control, 2021, 127, (C)
   See also Working Paper (2020)

2020

4. 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)
5. Testing distributional assumptions using a continuum of moments
   Journal of Econometrics, 2020, 218, (2), 655-689 View citations (3)
   See also Working Paper (2017)
6. Zero-diagonality as a linear structure
   Economics Letters, 2020, 196, (C) View citations (2)
   See also Working Paper (2020)

2019

7. Consistent non-Gaussian pseudo maximum likelihood estimators
   Journal of Econometrics, 2019, 213, (2), 321-358 View citations (1)
   See also Working Paper (2018)
8. Dynamic specification tests for dynamic factor models
   Journal of Applied Econometrics, 2019, 34, (3), 325-346 View citations (1)
   See also Working Paper (2019)
9. Normality tests for latent variables
   Quantitative Economics, 2019, 10, (3), 981-1017 View citations (10)
   See also Working Paper (2017)

2018

10. A spectral EM algorithm for dynamic factor models
    Journal of Econometrics, 2018, 205, (1), 249-279 View citations (13)
    See also Working Paper (2016)
11. 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

12. 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
13. 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)
14. 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

15. 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

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

2013

17. 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)
18. Valuation of VIX derivatives
    Journal of Financial Economics, 2013, 108, (2), 367-391 View citations (63)
    See also Working Paper (2012)

2012

19. 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)
20. 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)
21. Underidentification?
    Journal of Econometrics, 2012, 170, (2), 256-280
    See also Working Paper (2009)

2011

22. 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

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

2009

24. 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)
25. 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)
26. 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

27. 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

28. 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

29. Constrained Indirect Estimation
    Review of Economic Studies, 2004, 71, (4), 945-973 View citations (59)
30. Factor representing portfolios in large asset markets
    Journal of Econometrics, 2004, 119, (2), 257-289 View citations (36)
    See also Working Paper (2000)
31. Likelihood-Based Estimation of Latent Generalized ARCH Structures
    Econometrica, 2004, 72, (5), 1481-1517 View citations (38)
    See also Working Paper (2004)
32. 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

33. 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

34. Did the EMS Reduce the Cost of Capital?
    Economic Journal, 2002, 112, (482), 786-809 View citations (19)
    See also Working Paper (2000)

2001

35. 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

36. The Likelihood Function of Conditionally Heteroskedastic Factor Models
    Annals of Economics and Statistics, 2000, (58), 1-19 View citations (14)

1999

37. 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

38. 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)
39. 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)
40. Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market
    Investigaciones Economicas, 1998, 22, (1), 5-17 View citations (4)
41. Testing for GARCH effects: a one-sided approach
    Journal of Econometrics, 1998, 86, (1), 97-127 View citations (51)
    See also Working Paper (1996)
42. 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

43. 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

44. 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

45. Quadratic ARCH Models
    Review of Economic Studies, 1995, 62, (4), 639-661 View citations (241)
    See also Working Paper (1995)

1994

46. Volatility and Links between National Stock Markets
    Econometrica, 1994, 62, (4), 901-33 View citations (512)
    See also Working Paper (1990)

1993

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

1992

49. Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data
    Economic Journal, 1992, 102, (411), 415-25 View citations (156)
50. Unobserved component time series models with Arch disturbances
    Journal of Econometrics, 1992, 52, (1-2), 129-157 View citations (204)

1991

51. 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

52. 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

1. 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)