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Dante Amengual

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Dante Amengual & Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2022. "GDP Solera: The Ideal Vintage Mix," Staff Reports 1027, Federal Reserve Bank of New York.

    Cited by:

    1. Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Staff Reports 962, Federal Reserve Bank of New York.

  2. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.

    Cited by:

    1. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    2. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    3. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
    4. Davis, Richard & Ng, Serena, 2023. "Time series estimation of the dynamic effects of disaster-type shocks," Journal of Econometrics, Elsevier, vol. 235(1), pages 180-201.
    5. Gabriele Fiorentini & Alessio Moneta & Francesca Papagni, 2024. "Identification of one independent shock in structural VARs," LEM Papers Series 2024/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    6. Sascha A. Keweloh, 2023. "Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples," Papers 2310.08173, arXiv.org.

  3. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Multivariate Hermite polynomials and information matrix tests," Working Paper series 21-12, Rimini Centre for Economic Analysis.

    Cited by:

    1. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.

  4. Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020. "Hypothesis tests with a repeatedly singular information matrix," CEPR Discussion Papers 14415, C.E.P.R. Discussion Papers.

    Cited by:

    1. Dante Amengual & Xinyue Bei & Enrique Sentana, 2022. "Normal but skewed?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1295-1313, November.
    2. Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023. "Score-type tests for normal mixtures," CIRANO Working Papers 2023s-02, CIRANO.

  5. Sentana, Enrique & Amengual, Dante & Tian, Zhanyuan, 2020. "Gaussian rank correlation and regression," CEPR Discussion Papers 14914, C.E.P.R. Discussion Papers.

    Cited by:

    1. Dante Amengual & Xinyue Bei & Enrique Sentana, 2022. "Normal but skewed?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(7), pages 1295-1313, November.
    2. Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2023. "Reassessing the dependence between economic growth and financial conditions since 1973," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(2), pages 260-267, March.
    3. Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020. "Hypothesis tests with a repeatedly singular information matrix," CEPR Discussion Papers 14415, C.E.P.R. Discussion Papers.
    4. Anthony Garratt & Timo Henckel & Shaun P. Vahey, 2019. "Empirically-transformed linear opinion pools," CAMA Working Papers 2019-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.

  6. Amengual, D.; Bueren, J.; Crego, J.A.;, 2017. "Endogenous Health Groups and Heterogeneous Dynamics of the Elderly," Health, Econometrics and Data Group (HEDG) Working Papers 17/18, HEDG, c/o Department of Economics, University of York.

    Cited by:

    1. Roozbei Hosseini & Karen Kopecky & Kai Zhao, 2022. "The Evolution of Health over the Life Cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 45, pages 237-263, July.
    2. Maira Colacce & Julia Córdoba & Alejandra Marroig & Guillermo Sánchez, 2021. "Clases latentes de dependencia en Uruguay," Documentos de Trabajo (working papers) 21-23, Instituto de Economía - IECON.
    3. Martin Garcia-Vazquez, 2021. "Identification and Estimation of Non-stationary Hidden Markov Models," Working Papers 2021-023, Human Capital and Economic Opportunity Working Group.
    4. Siqi Wei, 2022. "Income, Employment and Health Risks of Older Workers," Working Papers wp2022_2205, CEMFI.

  7. Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.

    Cited by:

    1. Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Staff Reports 962, Federal Reserve Bank of New York.
    2. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Moment tests of independent components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 429-474, May.
    3. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Tests for Random Coefficient Variation in Vector Autoregressive Models," Advances in Econometrics, in: Essays in Honour of Fabio Canova, volume 44, pages 1-35, Emerald Group Publishing Limited.
    4. Poncela, Pilar & Ruiz, Esther & Miranda, Karen, 2021. "Factor extraction using Kalman filter and smoothing: This is not just another survey," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1399-1425.
    5. Dante Amengual & Gariele Fiorentini & Enrique Sentan, 2024. "Information matrix tests for multinomial logit models," Working Papers wp2024_2406, CEMFI.
    6. Matei Demetrescu & Robinson Kruse-Becher, 2021. "Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models," CREATES Research Papers 2021-07, Department of Economics and Business Economics, Aarhus University.
    7. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "The information matrix test for Gaussian mixtures," Working Papers wp2024_2401, CEMFI.

  8. Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2017_1709, CEMFI.

    Cited by:

    1. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    2. Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023. "Score-type tests for normal mixtures," CIRANO Working Papers 2023s-02, CIRANO.
    3. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
    4. Guay, Alain & Pelgrin, Florian, 2023. "Structural VAR models in the Frequency Domain," Journal of Econometrics, Elsevier, vol. 236(1).
    5. Ron Mittelhammer & George Judge & Miguel Henry, 2022. "An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses," Econometrics, MDPI, vol. 10(1), pages 1-19, January.

  9. Dante Amengual & Enrique Sentana, 2015. "Is a Normal Copula the Right Copula?," Working Papers wp2015_1504, CEMFI.

    Cited by:

    1. Sentana, Enrique & Amengual, Dante & Bei, Xinyue, 2020. "Hypothesis tests with a repeatedly singular information matrix," CEPR Discussion Papers 14415, C.E.P.R. Discussion Papers.
    2. Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
    3. Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
    4. Shiraya, Kenichiro & Yamakami, Tomohisa, 2024. "Constructing copulas using corrected Hermite polynomial expansion for estimating cross foreign exchange volatility," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1195-1214.
    5. Oh, Dong Hwan & Patton, Andrew J., 2023. "Dynamic factor copula models with estimated cluster assignments," Journal of Econometrics, Elsevier, vol. 237(2).

  10. Dante Amengual & Luca Repetto, 2014. "Testing a Large Number of Hypotheses in Approximate Factor Models," Working Papers wp2014_1410, CEMFI.

    Cited by:

    1. Francesca Di Iorio & Stefano Fachin, 2017. "Evaluating Restricted Common Factor models for non-stationary data," DSS Empirical Economics and Econometrics Working Papers Series 2017/2, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.

  11. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.

    Cited by:

    1. Javier Mencía & Enrique Sentana, 2018. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 599-614, October.
    2. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
    3. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    4. Christian Bontemps, 2019. "Moment-Based Tests under Parameter Uncertainty," Post-Print hal-02004687, HAL.
    5. Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
    6. Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
    7. Loïc Cantin & Christian Francq & Jean-Michel Zakoïan, 2022. "Estimating dynamic systemic risk measures," Working Papers 2022-11, Center for Research in Economics and Statistics.
    8. Bontemps, Christian, 2014. "Simple moment-based tests for value-at-risk models and discrete distribution," TSE Working Papers 14-535, Toulouse School of Economics (TSE).
    9. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    10. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

  12. Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.

    Cited by:

    1. Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium blocking in large quasilinear economies," Working Papers 2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    2. Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
    3. Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
    4. Roberto Serrano, 2009. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
    5. Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
    6. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    7. Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
    8. Gabriele Fiorentini & Enrique Sentana, 2007. "On the efficiency and consistency of likelihood estimation in multivariate conditionally heteroskedastic dynamic regression models," Working Paper series 38_07, Rimini Centre for Economic Analysis.
    9. Mårten Gulliksson & Stepan Mazur, 2020. "An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection," Computational Economics, Springer;Society for Computational Economics, vol. 56(4), pages 773-794, December.
    10. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2010. "Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 763-782, September.
    11. Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
    12. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
    13. Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: A Unified Approach to Exact and Approximate Implementation," Working Papers wp2009_0908, CEMFI.
    14. Enrique Sentana & Francisco Penaranda, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers dp497, Financial Markets Group.
    15. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    16. Zeng-Hua Lu, 2020. "Bahadur intercept with applications to one-sided testing," Statistical Papers, Springer, vol. 61(2), pages 645-658, April.
    17. Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
    18. Enrique Sentana, 2018. "Volatility, Diversification and Contagion," Working Papers wp2018_1803, CEMFI.
    19. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org, revised Nov 2014.
    20. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

Articles

  1. Dante Amengual & Enrique Sentana, 2020. "Is a Normal Copula the Right Copula?," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 350-366, April.
    See citations under working paper version above.
  2. Amengual, Dante & Carrasco, Marine & Sentana, Enrique, 2020. "Testing distributional assumptions using a continuum of moments," Journal of Econometrics, Elsevier, vol. 218(2), pages 655-689.
    See citations under working paper version above.
  3. Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
    See citations under working paper version above.
  4. Amengual, Dante & Xiu, Dacheng, 2018. "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, vol. 203(2), pages 297-315.

    Cited by:

    1. Gu, Chen & Kurov, Alexander & Wolfe, Marketa Halova, 2018. "Relief Rallies after FOMC Announcements as a Resolution of Uncertainty," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 1-18.
    2. Bollerslev, Tim & Todorov, Viktor, 2023. "The jump leverage risk premium," Journal of Financial Economics, Elsevier, vol. 150(3).
    3. Yang-Ho Park, 2019. "Variance Disparity and Market Frictions," Finance and Economics Discussion Series 2019-059, Board of Governors of the Federal Reserve System (U.S.).
    4. Caporin, Massimiliano & Kolokolov, Alexey & Renò, Roberto, 2016. "Systemic co-jumps," SAFE Working Paper Series 149, Leibniz Institute for Financial Research SAFE.
    5. Ruijun Bu & Fredj Jawadi & Yuyi Li, 2020. "A multifactor transformed diffusion model with applications to VIX and VIX futures," Econometric Reviews, Taylor & Francis Journals, vol. 39(1), pages 27-53, January.
    6. Lorella Fatone & Francesca Mariani & Francesco Zirilli, 2024. "Calibration in the “real world” of a partially specified stochastic volatility model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 75-102, January.
    7. Ai, Hengjie & Han, Leyla Jianyu & Pan, Xuhui Nick & Xu, Lai, 2022. "The cross section of the monetary policy announcement premium," Journal of Financial Economics, Elsevier, vol. 143(1), pages 247-276.
    8. Hollstein, Fabian & Prokopczuk, Marcel & Wese Simen, Chardin, 2017. "The Term Structure of Systematic and Idiosyncratic Risk," Hannover Economic Papers (HEP) dp-618, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    9. Aeimit Lakdawala & Michael Bauer & Philippe Mueller, 2019. "Market-Based Monetary Policy Uncertainty," 2019 Meeting Papers 1403, Society for Economic Dynamics.
    10. , 2019. "The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility," Working Papers 1902, Federal Reserve Bank of Dallas, revised 17 Dec 2022.
    11. Megaritis, Anastasios & Vlastakis, Nikolaos & Triantafyllou, Athanasios, 2021. "Stock market volatility and jumps in times of uncertainty," Journal of International Money and Finance, Elsevier, vol. 113(C).
    12. Martin Hodula & Jan Janku & Simona Malovana & Ngoc Anh Ngo, 2024. "Geopolitical Risks and Their Impact on Global Macro-Financial Stability: Literature and Measurements," Working Papers 2024/8, Czech National Bank.
    13. Nguyen, Thanh Cong, 2022. "Economic policy uncertainty: The probability and duration of economic recessions in major European Union countries," Research in International Business and Finance, Elsevier, vol. 62(C).
    14. Liu, Hong & Tang, Xiaoxiao & Zhou, Guofu, 2022. "Recovering the FOMC risk premium," Journal of Financial Economics, Elsevier, vol. 145(1), pages 45-68.
    15. Deniz Erdemlioglu & Christopher J. Neely & Xiye Yang, 2023. "Systemic Tail Risk: High-Frequency Measurement, Evidence and Implications," Working Papers 2023-016, Federal Reserve Bank of St. Louis.
    16. Wang, Yuchen & Wang, Xiaoming, 2023. "Economic policy uncertainty and information intermediary: The case of short seller," Economic Modelling, Elsevier, vol. 120(C).
    17. Pacati, Claudio & Pompa, Gabriele & Renò, Roberto, 2018. "Smiling twice: The Heston++ model," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 185-206.
    18. Wu, Bin & Chen, Pengzhan & Ye, Wuyi, 2024. "Variance swaps with mean reversion and multi-factor variance," European Journal of Operational Research, Elsevier, vol. 315(1), pages 191-212.
    19. Difang Huang & Yubin Li & Xinjie Wang & Zhaodong (Ken) Zhong, 2022. "Does the Federal Open Market Committee cycle affect credit risk?," Financial Management, Financial Management Association International, vol. 51(1), pages 143-167, March.
    20. Hunter Ng, 2024. "Strategic Control of Facial Expressions by the Fed Chair," Papers 2410.20214, arXiv.org.
    21. Andries, Marianne & Eisenbach, Thomas & Schmalz, Martin, 2024. "Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty," CEPR Discussion Papers 19196, C.E.P.R. Discussion Papers.
    22. Hong, Yun & Qu, Bo & Yang, Zhuohang & Jiang, Yanhui, 2023. "The contagion of fake news concern and extreme stock market risks during the COVID-19 period," Finance Research Letters, Elsevier, vol. 58(PA).
    23. Danilo Cascaldi-Garcia & Cisil Sarisoy & Juan M. Londono & Bo Sun & Deepa D. Datta & Thiago Ferreira & Olesya Grishchenko & Mohammad R. Jahan-Parvar & Francesca Loria & Sai Ma & Marius Rodriguez & Ilk, 2023. "What Is Certain about Uncertainty?," Journal of Economic Literature, American Economic Association, vol. 61(2), pages 624-654, June.
    24. Thomas Eisenbach & Martin Schmalz & Marianne Andries, 2015. "Asset Pricing with Horizon-Dependent Risk Aversion," 2015 Meeting Papers 1069, Society for Economic Dynamics.
    25. Yacine Aït-Sahalia & Felix Matthys & Emilio Osambela & Ronnie Sircar, 2021. "When Uncertainty and Volatility Are Disconnected: Implications for Asset Pricing and Portfolio Performance," NBER Working Papers 29195, National Bureau of Economic Research, Inc.
    26. Bruno Feunou & Mohammad R Jahan-Parvar & Cédric Okou, 2018. "Downside Variance Risk Premium," Journal of Financial Econometrics, Oxford University Press, vol. 16(3), pages 341-383.
    27. Ahmed Al Samman & Mostafa Kotb GabAlla, 2020. "Impact of Country Risk and Return on FPI," International Journal of Economics and Financial Issues, Econjournals, vol. 10(6), pages 57-68.
    28. Bucci, Andrea & Palomba, Giulio & Rossi, Eduardo, 2023. "The role of uncertainty in forecasting volatility comovements across stock markets," Economic Modelling, Elsevier, vol. 125(C).
    29. Baxa, Jaromir & Buliskeria, Nino & Elminejad, Ali & Havranek, Tomas & Havrankova, Zuzana & Kundu, Suranjana, 2023. "A comment on Bauer, Lakdawala, Mueller: Market-Based Monetary Policy Uncertainty (2022)," I4R Discussion Paper Series 77, The Institute for Replication (I4R).
    30. Wang, Qi & Wang, Zerong, 2020. "VIX valuation and its futures pricing through a generalized affine realized volatility model with hidden components and jump," Journal of Banking & Finance, Elsevier, vol. 116(C).
    31. Byomakesh Debata & Jitendra Mahakud, 2018. "Economic policy uncertainty and stock market liquidity," Journal of Financial Economic Policy, Emerald Group Publishing Limited, vol. 10(1), pages 112-135, April.
    32. Bin Wu & Pengzhan Chen & Wuyi Ye, 2021. "Jump activity analysis of the equity index and the corresponding volatility: Evidence from the Chinese market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(7), pages 1055-1073, July.
    33. Yu, Miao, 2023. "Forecasting Sector-Level Stock Market Volatility: The Role of World Uncertainty Index," Finance Research Letters, Elsevier, vol. 58(PC).
    34. Vilhelmsson, Anders, 2020. "Macro news and long-run volatility expectations," Knut Wicksell Working Paper Series 2020/1, Lund University, Knut Wicksell Centre for Financial Studies.
    35. Andrea Bucci & Giulio Palomba & Eduardo Rossi, 2019. "Does macroeconomics help in predicting stock markets volatility comovements? A nonlinear approach," Working Papers 440, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    36. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
    37. Luu Duc Huynh, Toan, 2020. "The effect of uncertainty on the precious metals market: New insights from Transfer Entropy and Neural Network VAR," Resources Policy, Elsevier, vol. 66(C).
    38. Oh, Dong Hwan & Park, Yang-Ho, 2023. "GARCH option pricing with volatility derivatives," Journal of Banking & Finance, Elsevier, vol. 146(C).
    39. Peter Van Tassel, 2017. "Global Variance Term Premia and Intermediary Risk Appetite," 2017 Meeting Papers 149, Society for Economic Dynamics.
    40. Kundu, Srikanta & Paul, Amartya, 2022. "Effect of economic policy uncertainty on stock market return and volatility under heterogeneous market characteristics," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 597-612.
    41. Zaremba, Adam & Kizys, Renatas & Aharon, David Y., 2021. "Volatility in International Sovereign Bond Markets: The role of government policy responses to the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 43(C).
    42. Claudiu Tiberiu Albulescu & Eugenia Grecu, 2023. "Government Interventions and Sovereign Bond Market Volatility during COVID-19: A Quantile Analysis," Mathematics, MDPI, vol. 11(5), pages 1-14, February.
    43. Park, Yang-Ho, 2020. "Variance disparity and market frictions," Journal of Econometrics, Elsevier, vol. 214(2), pages 326-348.
    44. Ye, Wuyi & Xia, Wenjing & Wu, Bin & Chen, Pengzhan, 2022. "Using implied volatility jumps for realized volatility forecasting: Evidence from the Chinese market," International Review of Financial Analysis, Elsevier, vol. 83(C).
    45. Daniel Perico Ortiz, 2023. "Economic policy statements, social media, and stock market uncertainty: An analysis of Donald Trump’s tweets," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 333-367, June.
    46. Kurov, Alexander & Wolfe, Marketa Halova & Gilbert, Thomas, 2021. "The disappearing pre-FOMC announcement drift," Finance Research Letters, Elsevier, vol. 40(C).
    47. Lakdawala, Aeimit & Bauer, Michael & Mueller, Philippe, 2019. "Market-Based Monetary Policy Uncertainty," Working Papers 2019-2, Michigan State University, Department of Economics.
    48. Christopher Thiem, 2020. "Cross-Category, Trans-Pacific Spillovers of Policy Uncertainty and Financial Market Volatility," Open Economies Review, Springer, vol. 31(2), pages 317-342, April.
    49. Perico Ortiz, Daniel, 2021. "The high frequency impact of economic policy narratives on stock market uncertainty," FAU Discussion Papers in Economics 02/2021, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
    50. Katherine B. Ensor & Yu Han & Barbara Ostdiek & Stuart M. Turnbull, 2020. "Dynamic jump intensities and news arrival in oil futures markets," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 292-325, July.
    51. Isiaka Akande Raifu, 2023. "Examining structural stability and time-varying causality between economic policy uncertainty and Asia-Pacific Islamic stock price," Economics Bulletin, AccessEcon, vol. 43(1), pages 28-37.
    52. Fulop, Andras & Li, Junye, 2019. "Bayesian estimation of dynamic asset pricing models with informative observations," Journal of Econometrics, Elsevier, vol. 209(1), pages 114-138.

  5. Aït-Sahalia, Yacine & Amengual, Dante & Manresa, Elena, 2015. "Market-based estimation of stochastic volatility models," Journal of Econometrics, Elsevier, vol. 187(2), pages 418-435.

    Cited by:

    1. Muneer Shaik & S. Maheswaran, 2019. "Robust Volatility Estimation with and Without the Drift Parameter," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(1), pages 57-91, March.
    2. Mohammed Bouasabah & Oshamah Ibrahim Khalaf, 2023. "A Technical Indicator for a Short-term Trading Decision in the NASDAQ Market," Advances in Decision Sciences, Asia University, Taiwan, vol. 27(3), pages 1-13, September.
    3. Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
    4. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
    5. Aït-Sahalia, Yacine & Li, Chenxu & Li, Chen Xu, 2021. "Closed-form implied volatility surfaces for stochastic volatility models with jumps," Journal of Econometrics, Elsevier, vol. 222(1), pages 364-392.
    6. Chang, C-L. & McAleer, M.J., 2014. "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers EI 2015-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Amengual, Dante & Xiu, Dacheng, 2018. "Resolution of policy uncertainty and sudden declines in volatility," Journal of Econometrics, Elsevier, vol. 203(2), pages 297-315.
    8. Yang-Ho Park, 2015. "The Effects of Asymmetric Volatility and Jumps on the Pricing of VIX Derivatives," Finance and Economics Discussion Series 2015-71, Board of Governors of the Federal Reserve System (U.S.).
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    4. Mario Forni & Luca Gambetti & Luca Sala, 2011. "No News in Business Cycles," Working Papers 535, Barcelona School of Economics.
    5. Gent Bajraj & Jorge Lorca & Juan M. Wlasiuk, 2022. "On Foreign Drivers of EMEs Fluctuations," Working Papers Central Bank of Chile 951, Central Bank of Chile.
    6. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
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    8. GUO-FITOUSSI, Liang, 2013. "A Comparison of the Finite Sample Properties of Selection Rules of Factor Numbers in Large Datasets," MPRA Paper 50005, University Library of Munich, Germany.
    9. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
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