Enrique Sentana
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
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022.
"GDP Solera. The Ideal Vintage Mix,"
Working Papers
wp2022_2204, CEMFI.
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "GDP Solera: The Ideal Vintage Mix," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 984-997, July.
- Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2022. "GDP Solera: The Ideal Vintage Mix," CEPR Discussion Papers 17196, C.E.P.R. Discussion Papers.
- 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:
- Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele, 2021.
"Aggregate Output Measurements: A Common Trend Approach,"
CEPR Discussion Papers
15758, C.E.P.R. Discussion Papers.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: a Common Trend Approach," Econometrics Working Papers Archive 2021_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate output measurements: a common trend approach," Working Paper series 21-02, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Staff Reports 962, Federal Reserve Bank of New York.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023. "Aggregate Output Measurements: A Common Trend Approach," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33, Emerald Group Publishing Limited.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Working Papers wp2021_2101, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022.
"PML vs minimum χ 2 : the comeback,"
Working Papers
wp2022_2210, CEMFI.
Cited by:
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022.
"Specification tests for non-Gaussian structural vector autoregressions,"
Working Papers
wp2022_2212, CEMFI.
Cited by:
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021.
"Multivariate Hermite polynomials and information matrix tests,"
Working Papers
wp2021_2103, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Multivariate Hermite polynomials and information matrix tests," Econometrics Working Papers Archive 2021_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- 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:
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Paper series 21-21, Rimini Centre for Economic Analysis.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Papers wp2021_2108, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Econometrics Working Papers Archive 2021_18, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021.
"Moment tests of independent components,"
Working Papers
wp2021_2102, CEMFI.
- 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.
Cited by:
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
- Sascha A. Keweloh, 2023. "Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples," Papers 2310.08173, arXiv.org.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- 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.
- 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.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021.
"Aggregate Output Measurements: A Common Trend Approach,"
Working Papers
wp2021_2101, CEMFI.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023. "Aggregate Output Measurements: A Common Trend Approach," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33, Emerald Group Publishing Limited.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: a Common Trend Approach," Econometrics Working Papers Archive 2021_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate output measurements: a common trend approach," Working Paper series 21-02, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Staff Reports 962, Federal Reserve Bank of New York.
- Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele, 2021. "Aggregate Output Measurements: A Common Trend Approach," CEPR Discussion Papers 15758, C.E.P.R. Discussion Papers.
Cited by:
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Paper series 21-21, Rimini Centre for Economic Analysis.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Papers wp2021_2108, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Econometrics Working Papers Archive 2021_18, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Jan P. A. M. Jacobs & Samad Sarferaz & Jan-Egbert Sturm & Simon van Norden, 2018.
"Can GDP measurement be further improved? Data revision and reconciliation,"
Papers
1808.04970, arXiv.org.
- Jan P.A.M. Jacobs & Samad Sarferaz & Jan-Egbert Sturm & Simon van Norden, 2018. "Can GDP measurement be further improved? Data revision and reconciliation," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-15, Economic Statistics Centre of Excellence (ESCoE).
- Jan P. A. M. Jacobs & Samad Sarferaz & Jan-Egbert Sturm & Simon van Norden, 2022. "Can GDP Measurement Be Further Improved? Data Revision and Reconciliation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 423-431, January.
- Eiji Goto & Jan P.A.M. Jacobs & Tara M. Sinclair & Simon van Norden, 2021.
"Employment Reconciliation and Nowcasting,"
Working Papers
2021-007, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Eiji Goto & Jan P.A.M. Jacobs & Tara M. Sinclair & Simon van Norden, 2023. "Employment reconciliation and nowcasting," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(7), pages 1007-1017, November.
- Jan R. Magnus & Henk G. J. Pijls & Enrique Sentana, 2020.
"The Jacobian of the Exponential Function,"
Working Papers
wp2020_2005, CEMFI.
- Magnus, Jan R. & Pijls, Henk G.J. & Sentana, Enrique, 2021. "The Jacobian of the exponential function," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
- Jan R. Magnus & Henk G.J. Pijls & Enrique Sentana, 2020. "The Jacobian of the exponential function," Tinbergen Institute Discussion Papers 20-035/III, Tinbergen Institute.
Cited by:
- Adam Lee & Geert Mesters, 2021.
"Locally Robust Inference for Non-Gaussian Linear Simultaneous Equations Models,"
Working Papers
1278, Barcelona School of Economics.
- Lee, Adam & Mesters, Geert, 2024. "Locally robust inference for non-Gaussian linear simultaneous equations models," Journal of Econometrics, Elsevier, vol. 240(1).
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2020.
"Gaussian Rank Correlation and Regression,"
Working Papers
wp2020_2004, CEMFI.
- Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2022. "Gaussian Rank Correlation and Regression," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, volume 43, pages 269-306, Emerald Group Publishing Limited.
- Sentana, Enrique & Amengual, Dante & Tian, Zhanyuan, 2020. "Gaussian rank correlation and regression," CEPR Discussion Papers 14914, C.E.P.R. Discussion Papers.
Cited by:
- 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.
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2021. "Normal but Skewed?," Working Papers wp2021_2104, CEMFI.
- 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.
- Tony Chernis & Patrick J. Coe & Shaun P. Vahey, 2022. "Reassessing the dependence between economic growth and financial conditions since 1973," CAMA Working Papers 2022-30, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2020. "Hypothesis Tests with a Repeatedly Singular Information Matrix," Working Papers wp2020_2002, CEMFI.
- 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.
- Garratt, Anthony & Henckel, Timo & Vahey, Shaun P., 2023. "Empirically-transformed linear opinion pools," International Journal of Forecasting, Elsevier, vol. 39(2), pages 736-753.
- Jan R. Magnus & Enrique Sentana, 2020.
"Zero-Diagonality as a Linear Structure,"
Working Papers
wp2020_2016, CEMFI.
- Magnus, Jan R. & Sentana, Enrique, 2020. "Zero-diagonality as a linear structure," Economics Letters, Elsevier, vol. 196(C).
- Jan R. Magnus & Enrique Sentana, 2020. "Zero-diagonality as a linear structure," Tinbergen Institute Discussion Papers 20-039/III, Tinbergen Institute.
Cited by:
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
Cited by:
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Moneta, Alessio & Pallante, Gianluca, 2022.
"Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study,"
Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
- Alessio Moneta & Gianluca Pallante, 2020. "Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study," LEM Papers Series 2020/24, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Adam Lee & Geert Mesters, 2021.
"Locally Robust Inference for Non-Gaussian Linear Simultaneous Equations Models,"
Working Papers
1278, Barcelona School of Economics.
- Lee, Adam & Mesters, Geert, 2024. "Locally robust inference for non-Gaussian linear simultaneous equations models," Journal of Econometrics, Elsevier, vol. 240(1).
- José Luis Montiel Olea & Mikkel Plagborg-Møller & Eric Qian, 2022.
"SVAR Identification from Higher Moments: Has the Simultaneous Causality Problem Been Solved?,"
AEA Papers and Proceedings, American Economic Association, vol. 112, pages 481-485, May.
- José Luis Montiel Olea & Mikkel Plagborg-Møller & Eric Qian, 2021. "SVAR Identification From Higher Moments: Has the Simultaneous Causality Problem Been Solved?," Working Papers 2021-24, Princeton University. Economics Department..
- Herwartz, Helmut & Theilen, Bernd & Wang, Shu, 2024. "Unraveling the structural sources of oil production and their impact on CO2 emissions," Energy Economics, Elsevier, vol. 132(C).
- Jarociński, Marek, 2021.
"Estimating the Fed’s Unconventional Policy Shocks,"
Working Paper Series
20210, European Central Bank.
- Jarociński, Marek, 2024. "Estimating the Fed’s unconventional policy shocks," Journal of Monetary Economics, Elsevier, vol. 144(C).
- Daniel Lewis, 2024. "Identification based on higher moments," CeMMAP working papers 03/24, Institute for Fiscal Studies.
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
- Cordoni, Francesco & Dorémus, Nicolas & Moneta, Alessio, 2024.
"Identification of vector autoregressive models with nonlinear contemporaneous structure,"
Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
- Francesco Cordoni & Nicolas Doremus & Alessio Moneta, 2023. "Identification of Vector Autoregressive Models with Nonlinear Contemporaneous Structure," LEM Papers Series 2023/07, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Adam Lee & Geert Mesters, 2021. "Robust non-Gaussian inference for linear simultaneous equations models," Economics Working Papers 1792, Department of Economics and Business, Universitat Pompeu Fabra.
- Braun, Robin, 2021. "The importance of supply and demand for oil prices: evidence from non-Gaussianity," Bank of England working papers 957, Bank of England.
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2020.
"Hypothesis Tests with a Repeatedly Singular Information Matrix,"
Working Papers
wp2020_2002, CEMFI.
- 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:
- 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.
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2021. "Normal but Skewed?," Working Papers wp2021_2104, CEMFI.
- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023.
"Score-type tests for normal mixtures,"
CIRANO Working Papers
2023s-02, CIRANO.
- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2022. "Score-type tests for normal mixtures," Working Papers wp2022_2213, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018.
"New Testing Approaches for Mean-Variance Predictability,"
Working Papers
wp2018_1814, CEMFI.
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
Cited by:
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Gabriele Fiorentini & Enrique Sentana, 2018.
"Specification Tests for Non-Gaussian Maximum Likelihood Estimators,"
Working Papers
wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
Cited by:
- Gabriele Fiorentini & Enrique Sentana, 2018.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Working Paper series
18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018.
"The rise and fall of the natural interest rate,"
Working Papers
1822, Banco de España.
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Papers - Economics wp2018_14.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Paper series 18-29, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Alessandro Galesi & Gabriel Pérez-Quirós & Enrique Sentana, 2018. "The Rise and Fall of the Natural Interest Rate," Working Papers wp2018_1805, CEMFI.
- Pérez-Quirós, Gabriel & Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "The Rise and Fall of the Natural Interest Rate," CEPR Discussion Papers 13042, C.E.P.R. Discussion Papers.
Cited by:
- Grimm, Maximilian & Jordà , Òscar & Schularick, Moritz & Taylor, Alan M., 2023.
"Loose monetary policy and financial instability,"
CEPR Discussion Papers
17896, C.E.P.R. Discussion Papers.
- Maximilian Grimm & Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2023. "Loose Monetary Policy and Financial Instability," Working Paper Series 2023-06, Federal Reserve Bank of San Francisco.
- Maximilian Grimm & Òscar Jordà & Moritz Schularick & Alan M. Taylor, 2023. "Loose Monetary Policy and Financial Instability," NBER Working Papers 30958, National Bureau of Economic Research, Inc.
- Beyer, Robert & Milivojevic, Lazar, 2021.
"Dynamics and synchronization of global equilibrium interest rates,"
IMFS Working Paper Series
146, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS).
- Robert C. M. Beyer & Lazar Milivojevic, 2023. "Dynamics and synchronization of global equilibrium interest rates," Applied Economics, Taylor & Francis Journals, vol. 55(28), pages 3195-3214, June.
- Beyer,Robert Carl Michael & Milivojevic,Lazar, 2020. "Dynamics and Synchronization of Global Equilibrium Interest Rates," Policy Research Working Paper Series 9489, The World Bank.
- Anthony J Evans, 2020. "The natural rate of interest: An estimate for the United Kingdom," Economic Affairs, Wiley Blackwell, vol. 40(1), pages 24-35, February.
- Enrico S. Levrero, 2019.
"Estimates of the Natural Rate of Interest and the Stance of Monetary Policies: A Critical Assessment,"
Working Papers Series
88, Institute for New Economic Thinking.
- Enrico Sergio Levrero, 2021. "Estimates of the Natural Rate of Interest and the Stance of Monetary Policies: A Critical Assessment," International Journal of Political Economy, Taylor & Francis Journals, vol. 50(1), pages 5-27, February.
- Michael D. Bauer & Glenn D. Rudebusch, 2017.
"Interest Rates Under Falling Stars,"
CESifo Working Paper Series
6571, CESifo.
- Michael D. Bauer & Glenn D. Rudebusch, 2019. "Interest Rates Under Falling Stars," Working Paper Series 2017-16, Federal Reserve Bank of San Francisco.
- Michael D. Bauer & Glenn D. Rudebusch, 2020. "Interest Rates under Falling Stars," American Economic Review, American Economic Association, vol. 110(5), pages 1316-1354, May.
- Jesús Fernández-Villaverde & Joël Marbet & Galo Nuño Barrau & Omar Rachedi, 2024.
"Inequality and the zero lower bound,"
BIS Working Papers
1160, Bank for International Settlements.
- Jesús Fernández-Villaverde & Joël Marbet & Galo Nuño & Omar Rachedi, 2023. "Inequality and the Zero Lower Bound," CESifo Working Paper Series 10471, CESifo.
- Jesús Fernández-Villaverde & Joël Marbet & Galo Nuño & Omar Rachedi, 2023. "Inequality and the Zero Lower Bound," NBER Working Papers 31282, National Bureau of Economic Research, Inc.
- Brand, Claus & Goy, Gavin W & Lemke, Wolfgang, 2020.
"Natural rate chimera and bond pricing reality,"
VfS Annual Conference 2020 (Virtual Conference): Gender Economics
224546, Verein für Socialpolitik / German Economic Association.
- Brand, Claus & Goy, Gavin & Lemke, Wolfgang, 2021. "Natural rate chimera and bond pricing reality," Working Paper Series 2612, European Central Bank.
- Dufrénot, Gilles & Rhouzlane, Meryem & Vaccaro-Grange, Etienne, 2022.
"Potential growth and natural yield curve in Japan,"
Journal of International Money and Finance, Elsevier, vol. 124(C).
- Gilles Dufrénot & Meryem Rhouzlane & Etienne Vaccaro-Grange, 2019. "Potential Growth and Natural Yield Curve in Japan," AMSE Working Papers 1912, Aix-Marseille School of Economics, France.
- Gilles Dufrénot & Meryem Rhouzlane & Etienne Vaccaro-Grange, 2019. "Potential Growth and Natural Yield Curve in Japan," Working Papers halshs-02091035, HAL.
- Gilles Dufrénot & Meryem Rhouzlane & Etienne Vaccaro-Grange, 2022. "Potential growth and natural yield curve in Japan," Post-Print hal-03680259, HAL.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018.
"Global trends in interest rates,"
Staff Reports
866, Federal Reserve Bank of New York.
- Marco Del Negro & Domenico Giannone & Marc P. Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Working Papers 25039, National Bureau of Economic Research, Inc.
- Brandyn Bok & Marco Del Negro & Domenico Giannone & Marc Giannoni & Eric Qian & Andrea Tambalotti, 2019. "Global Trends in Interest Rates," Liberty Street Economics 20190227, Federal Reserve Bank of New York.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," Working Papers 1812, Federal Reserve Bank of Dallas.
- Del Negro, Marco & Giannone, Domenico & Giannoni, Marc P. & Tambalotti, Andrea, 2019. "Global trends in interest rates," Journal of International Economics, Elsevier, vol. 118(C), pages 248-262.
- Marco Del Negro & Andrea Tambalotti & Domenico Giannone & Marc Giannoni, 2019. "Global Trends in Interest Rates," 2019 Meeting Papers 77, Society for Economic Dynamics.
- Marco Del Negro & Domenico Giannone & Marc Giannoni & Andrea Tambalotti, 2018. "Global Trends in Interest Rates," NBER Chapters, in: NBER International Seminar on Macroeconomics 2018, pages 248-262, National Bureau of Economic Research, Inc.
- Lodge, David & Pérez, Javier J. & Albrizio, Silvia & Everett, Mary & De Bandt, Olivier & Georgiadis, Georgios & Ca' Zorzi, Michele & Lastauskas, Povilas & Carluccio, Juan & Parraga Rodriguez, Susana &, 2021. "The implications of globalisation for the ECB monetary policy strategy," Occasional Paper Series 263, European Central Bank.
- Brand, Claus & Mazelis, Falk, 2019. "Taylor-rule consistent estimates of the natural rate of interest," Working Paper Series 2257, European Central Bank.
- Javier G. Gómez-Pineda, 2019. "The natural interest rate in Latin America," Borradores de Economia 1067, Banco de la Republica de Colombia.
- Buncic, Daniel, 2024. "Econometric issues in the estimation of the natural rate of interest," Economic Modelling, Elsevier, vol. 132(C).
- Comunale, Mariarosaria & Felice, Giulia, 2022.
"Trade and structural change: An empirical investigation,"
International Economics, Elsevier, vol. 171(C), pages 58-79.
- Mariarosaria Comunale & Giulia Felice, 2022. "Trade and structural change: An empirical investigation," International Economics, CEPII research center, issue 171, pages 80-109.
- Sandra Daudignon & Oreste Tristani, 2022.
"Monetary policy and the drifting natural rate of interest,"
Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium
22/1057, Ghent University, Faculty of Economics and Business Administration.
- Daudignon, Sandra & Tristani, Oreste, 2023. "Monetary policy and the drifting natural rate of interest," Working Paper Series 2788, European Central Bank.
- Óscar Arce & Iván Kataryniuk & Paloma Marín & Javier J. Pérez, 2020. "Reflexiones sobre el diseño de un Fondo de Recuperación europeo," Occasional Papers 2014, Banco de España.
- Zhang, Ren & Martínez-García, Enrique & Wynne, Mark A. & Grossman, Valerie, 2021.
"Ties that bind: Estimating the natural rate of interest for small open economies,"
Journal of International Money and Finance, Elsevier, vol. 113(C).
- Valerie Grossman & Enrique Martínez García & Mark A. Wynne & Ren Zhang, 2019. "Ties That Bind: Estimating the Natural Rate of Interest for Small Open Economies," Globalization Institute Working Papers 359, Federal Reserve Bank of Dallas, revised 05 Mar 2021.
- Pablo Aguilar & Óscar Arce & Samuel Hurtado & Jaime Martínez-Martín & Galo Nuño & Carlos Thomas, 2020. "The ECB monetary policy response to the Covid-19 crisis," Occasional Papers 2026, Banco de España.
- Brand, Claus & Bielecki, Marcin & Penalver, Adrian, 2018. "The natural rate of interest: estimates, drivers, and challenges to monetary policy JEL Classification: E52, E43," Occasional Paper Series 217, European Central Bank.
- Fu, Bowen, 2023. "Measuring the trend real interest rate in a data-rich environment," Journal of Economic Dynamics and Control, Elsevier, vol. 147(C).
- Isabel Argimón, 2018. "The relevance of currency-denomination for the cross-border effects of monetary policy," Working Papers 1827, Banco de España.
- Victor Bystrov, 2020. "Identification and Estimation of Initial Conditions in Non-Minimal State-Space Models," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 12(4), pages 413-429, December.
- María Moraga & Roberto Ramos, 2020. "An estimate of Pension System financial returns," Economic Bulletin, Banco de España, issue 3/2020.
- Papetti, Andrea, 2019.
"Demographics and the natural real interest rate: historical and projected paths for the euro area,"
Working Paper Series
2258, European Central Bank.
- Papetti, Andrea, 2021. "Demographics and the natural real interest Rate: historical and projected paths for the euro area," Journal of Economic Dynamics and Control, Elsevier, vol. 132(C).
- Bank for International Settlements, 2019. "Unconventional monetary policy tools: a cross-country analysis," CGFS Papers, Bank for International Settlements, number 63, december.
- Dilian Vassilev, 2021. "A Model of Natural Interest Rate: The Case of Bulgaria," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 7, pages 46-72.
- policy, Work stream on macroprudential & Albertazzi, Ugo & Martin, Alberto & Assouan, Emmanuelle & Tristani, Oreste & Galati, Gabriele & Vlassopoulos, Thomas, 2021. "The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area," Occasional Paper Series 272, European Central Bank.
- Nikolay Iskrev & Rita Fradique Lourenço & Carla Soares, 2021. "Indicators of monetary policy stance and financial conditions: an overview," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
- Koester, Gerrit & Lis, Eliza & Nickel, Christiane & Osbat, Chiara & Smets, Frank, 2021. "Understanding low inflation in the euro area from 2013 to 2019: cyclical and structural drivers," Occasional Paper Series 280, European Central Bank.
- Gabriele Fiorentini & Enrique Sentana, 2018.
"Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators,"
Working Papers
wp2018_1802, CEMFI.
- Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
Cited by:
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"New testing approaches for mean-variance predictability,"
Working Paper series
19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018.
"Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations,"
Working Papers
2018-08, Center for Research in Economics and Statistics.
- Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," MPRA Paper 87834, University Library of Munich, Germany.
- C. Gouriéroux & A. Monfort & J.‐M. Zakoïan, 2019. "Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations," Econometrica, Econometric Society, vol. 87(1), pages 327-345, January.
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "PML vs minimum χ 2 : the comeback," Working Papers wp2022_2210, CEMFI.
- Dante Amengual & Marine Carrasco & Enrique Sentana, 2017.
"Testing Distributional Assumptions Using a Continuum of Moments,"
Working Papers
wp2017_1709, CEMFI.
- 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.
Cited by:
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023.
"Score-type tests for normal mixtures,"
CIRANO Working Papers
2023s-02, CIRANO.
- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2022. "Score-type tests for normal mixtures," Working Papers wp2022_2213, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
- Guay, Alain & Pelgrin, Florian, 2023. "Structural VAR models in the Frequency Domain," Journal of Econometrics, Elsevier, vol. 236(1).
- 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.
- Ron Mittelhammer & George Judge & Miguel Henry, 2022. "An Entropy-Based Approach for Nonparametrically Testing Simple Probability Distribution Hypotheses," Papers 2201.06647, arXiv.org.
- Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017.
"Normality Tests for Latent Variables,"
Working Papers
wp2017_1708, CEMFI.
- Martín Almuzara & Dante Amengual & Enrique Sentana, 2019. "Normality tests for latent variables," Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
Cited by:
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Paper series 21-21, Rimini Centre for Economic Analysis.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Working Papers wp2021_2108, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Tests for random coefficient variation in vector autoregressive models," Econometrics Working Papers Archive 2021_18, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele, 2021.
"Aggregate Output Measurements: A Common Trend Approach,"
CEPR Discussion Papers
15758, C.E.P.R. Discussion Papers.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: a Common Trend Approach," Econometrics Working Papers Archive 2021_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate output measurements: a common trend approach," Working Paper series 21-02, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Staff Reports 962, Federal Reserve Bank of New York.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023. "Aggregate Output Measurements: A Common Trend Approach," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33, Emerald Group Publishing Limited.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Working Papers wp2021_2101, CEMFI.
- 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.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Dante Amengual & Gariele Fiorentini & Enrique Sentan, 2024. "Information matrix tests for multinomial logit models," Working Papers wp2024_2406, CEMFI.
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "The information matrix test for Gaussian mixtures," Working Papers wp2024_2401, CEMFI.
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2025. "The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities," Working Papers wp2025_2502, CEMFI.
- Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017.
"Empirical Evaluation of Overspecified Asset Pricing Models,"
Working Papers
wp2017_1711, CEMFI.
- Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique, 2023. "Empirical evaluation of overspecified asset pricing models," Journal of Financial Economics, Elsevier, vol. 147(2), pages 338-351.
- Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
Cited by:
- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017.
"Too Good to Be True? Fallacies in Evaluating Risk Factor Models,"
FRB Atlanta Working Paper
2017-9, Federal Reserve Bank of Atlanta.
- Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2019. "Too good to be true? Fallacies in evaluating risk factor models," Journal of Financial Economics, Elsevier, vol. 132(2), pages 451-471.
- Sentana, Enrique, 2024.
"Finite underidentification,"
Journal of Econometrics, Elsevier, vol. 240(1).
- Enrique Sentana, 2015. "Finite Underidentification," Working Papers wp2015_1508, CEMFI.
- Karim, Sitara & Shafiullah, Muhammad & Naeem, Muhammad Abubakr, 2024. "When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets," International Review of Financial Analysis, Elsevier, vol. 93(C).
- Doron Avramov & Si Cheng & Lior Metzker & Stefan Voigt, 2023. "Integrating Factor Models," Journal of Finance, American Finance Association, vol. 78(3), pages 1593-1646, June.
- Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2024. "GMM weighting matrices in cross-sectional asset pricing tests," Journal of Banking & Finance, Elsevier, vol. 162(C).
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016.
"A spectral EM algorithm for dynamic factor models,"
Working Papers
1619, Banco de España.
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018. "A spectral EM algorithm for dynamic factor models," Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
Cited by:
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015.
"Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation,"
Working Papers
wp2015_1502, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," Working Papers 1525, Banco de España.
- Sentana, Enrique & Galesi, Alessandro, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," CEPR Discussion Papers 10461, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 215-282, Emerald Group Publishing Limited.
- Gabriele Fiorentini & Enrique Sentana, 2016.
"Neglected serial correlation tests in UCARIMA models,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
- Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
- Matteo Barigozzi & Matteo Luciani, 2024.
"Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm,"
Finance and Economics Discussion Series
2024-086, Board of Governors of the Federal Reserve System (U.S.).
- Matteo Barigozzi & Matteo Luciani, 2019. "Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm," Papers 1910.03821, arXiv.org, revised Sep 2024.
- Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele, 2021.
"Aggregate Output Measurements: A Common Trend Approach,"
CEPR Discussion Papers
15758, C.E.P.R. Discussion Papers.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: a Common Trend Approach," Econometrics Working Papers Archive 2021_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate output measurements: a common trend approach," Working Paper series 21-02, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Staff Reports 962, Federal Reserve Bank of New York.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023. "Aggregate Output Measurements: A Common Trend Approach," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33, Emerald Group Publishing Limited.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Working Papers wp2021_2101, CEMFI.
- 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.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Working Papers ECARES
2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
- Catherine Doz & Peter Fuleky, 2019.
"Dynamic Factor Models,"
Working Papers
2019-4, University of Hawaii Economic Research Organization, University of Hawaii at Manoa.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," Post-Print halshs-02491811, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," PSE Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2019. "Dynamic Factor Models," Working Papers halshs-02262202, HAL.
- Catherine Doz & Peter Fuleky, 2020. "Dynamic Factor Models," PSE-Ecole d'économie de Paris (Postprint) halshs-02491811, HAL.
- Gabriele Fiorentini & Enrique Sentana, 2013.
"Dynamic Specification Tests for Dynamic Factor Models,"
Working Papers
wp2013_1306, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Dickhaus, Thorsten & Sirotko-Sibirskaya, Natalia, 2019. "Simultaneous statistical inference in dynamic factor models: Chi-square approximation and model-based bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 129(C), pages 30-46.
- Poncela, Pilar, 2015.
"Small versus big-data factor extraction in Dynamic Factor Models: An empirical assessment,"
DES - Working Papers. Statistics and Econometrics. WS
ws1502, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Pilar Poncela & Esther Ruiz, 2016. "Small- Versus Big-Data Factor Extraction in Dynamic Factor Models: An Empirical Assessment," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 401-434, Emerald Group Publishing Limited.
- Martín Almuzara & Dante Amengual & Enrique Sentana, 2019.
"Normality tests for latent variables,"
Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
- Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.
- Matteo Barigozzi, 2023. "Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review," Papers 2303.11777, arXiv.org, revised May 2024.
- Riccardo (Jack) Lucchetti & Ioannis A. Venetis, 2019. "Dynamic Factor Models in gretl. The DFM package," gretl working papers 7, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
- Michael Creel, 2021.
"Inference Using Simulated Neural Moments,"
Econometrics, MDPI, vol. 9(4), pages 1-15, September.
- Michael Creel, 2020. "Inference Using Simulated Neural Moments," Working Papers 1182, Barcelona School of Economics.
- Bastos, Guadalupe & García-Martos, Carolina, 2017. "BIAS correction for dynamic factor models," DES - Working Papers. Statistics and Econometrics. WS 24029, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Enrique Sentana, 2015.
"Finite Underidentification,"
Working Papers
wp2015_1508, CEMFI.
- Sentana, Enrique, 2024. "Finite underidentification," Journal of Econometrics, Elsevier, vol. 240(1).
Cited by:
- Daniel Ackerberg & Garth Frazer & Kyoo il Kim & Yao Luo & Yingjun Su, 2023.
"Under-Identification of Structural Models Based on Timing and Information Set Assumptions,"
Papers
2303.15170, arXiv.org.
- Ackerberg, Daniel A. & Frazer, Garth & Kim, Kyoo il & Luo, Yao & Su, Yingjun, 2023. "Under-identification of structural models based on timing and information set assumptions," Journal of Econometrics, Elsevier, vol. 237(1).
- Daniel Ackerberg & Garth Frazer & Kyoo il Kim & Yao Luo & Yingjun Su, 2020. "Under-Identification of Structural Models Based on Timing and Information Set Assumptions," Working Papers tecipa-679, University of Toronto, Department of Economics.
- Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.
- Javier Mencía & Enrique Sentana, 2015.
"Volatility-related exchange traded assets: an econometric investigation,"
Working Papers
1510, Banco de España.
- 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.
- Sentana, Enrique & MencÃa, Javier, 2015. "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers 10444, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
Cited by:
- Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019.
"A non-structural investigation of VIX risk neutral density,"
Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
- Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2017. "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers 2017-15, Department of Economics and Business Economics, Aarhus University.
- León, Ángel & Ñíguez, Trino-Manuel, 2020. "Modeling asset returns under time-varying semi-nonparametric distributions," Journal of Banking & Finance, Elsevier, vol. 118(C).
- Fabrizio Cipollini & Giampiero M. Gallo, 2018.
"Modeling Euro STOXX 50 Volatility with Common and Market–specific Components,"
Working Paper series
18-26, Rimini Centre for Economic Analysis.
- Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
- Francisco Peñaranda & Enrique Sentana, 2015.
"A Unifying Approach to the Empirical Evaluation of Asset Pricing Models,"
Working Papers
488, Barcelona School of Economics.
- Francisco Peñaranda & Enrique Sentana, 2015. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 412-435, May.
- Sentana, Enrique & Peñaranda, Francisco, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," CEPR Discussion Papers 7943, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2010. "A unifying approach to the empirical evaluation of asset pricing models," Economics Working Papers 1229, Department of Economics and Business, Universitat Pompeu Fabra.
- Francisco Peñaranda & Enrique Sentana, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers wp2010_1004, CEMFI.
Cited by:
- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2017.
"Too Good to Be True? Fallacies in Evaluating Risk Factor Models,"
FRB Atlanta Working Paper
2017-9, Federal Reserve Bank of Atlanta.
- Gospodinov, Nikolay & Kan, Raymond & Robotti, Cesare, 2019. "Too good to be true? Fallacies in evaluating risk factor models," Journal of Financial Economics, Elsevier, vol. 132(2), pages 451-471.
- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2018.
"Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models,"
Econometric Reviews, Taylor & Francis Journals, vol. 37(7), pages 695-718, August.
- Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2015. "Asymptotic variance approximations for invariant estimators in uncertain asset-pricing models," FRB Atlanta Working Paper 2015-9, Federal Reserve Bank of Atlanta.
- Sentana, Enrique & Peñaranda, Francisco, 2007.
"Duality in Mean-Variance Frontiers with Conditioning Information,"
CEPR Discussion Papers
6566, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers wp2007_0715, CEMFI.
- Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
- Frank Windmeijer, 2018. "Testing Over- and Underidentification in Linear Models, with Applications to Dynamic Panel Data and Asset-Pricing Models," Bristol Economics Discussion Papers 18/696, School of Economics, University of Bristol, UK.
- Khalaf, Lynda & Schaller, Huntley, 2016. "Identification and inference in two-pass asset pricing models," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 165-177.
- Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017.
"Empirical Evaluation of Overspecified Asset Pricing Models,"
CEPR Discussion Papers
12085, C.E.P.R. Discussion Papers.
- Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique, 2023. "Empirical evaluation of overspecified asset pricing models," Journal of Financial Economics, Elsevier, vol. 147(2), pages 338-351.
- Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers wp2017_1711, CEMFI.
- Francisco Peñaranda & Enrique Sentana, 2008.
"Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach,"
Economics Working Papers
1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- 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.
- Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
- Barroso, Pedro & Maio, Paulo, 2024. "The risk–return tradeoff among equity factors," Journal of Empirical Finance, Elsevier, vol. 78(C).
- Sentana, Enrique, 2024.
"Finite underidentification,"
Journal of Econometrics, Elsevier, vol. 240(1).
- Enrique Sentana, 2015. "Finite Underidentification," Working Papers wp2015_1508, CEMFI.
- Penaranda, Francisco & Sentana, Enrique, 2024.
"Portfolio management with big data,"
CEPR Discussion Papers
19314, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
- Massimo Guidolin & Martin Lozano & Juan Arismendi Zambrano, "undated". "Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations," Economics Department Working Paper Series n304-20.pdf, Department of Economics, National University of Ireland - Maynooth.
- Laurinaityte, Nora & Meinerding, Christoph & Schlag, Christian & Thimme, Julian, 2024. "GMM weighting matrices in cross-sectional asset pricing tests," Journal of Banking & Finance, Elsevier, vol. 162(C).
- Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan, 2023. "Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 311-315.
- Dante Amengual & Enrique Sentana, 2015.
"Is a Normal Copula the Right Copula?,"
Working Papers
wp2015_1504, CEMFI.
- 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.
- Sentana, Enrique & Amengual, Dante, 2015. "Is a normal copula the right copula?," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.
Cited by:
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus, 2018.
"Quantile Factor Models,"
CEPR Discussion Papers
12716, C.E.P.R. Discussion Papers.
- Liang Chen & Juan Jose Dolado & Jesus Gonzalo, 2019. "Quantile Factor Models," Papers 1911.02173, arXiv.org, revised Sep 2020.
- Liang Chen & Juan J. Dolado & Jesús Gonzalo, 2021. "Quantile Factor Models," Econometrica, Econometric Society, vol. 89(2), pages 875-910, March.
- Chen, Liang & Dolado, Juan J. & Gonzalo, Jesús, 2020. "Quantile Factor Models," IZA Discussion Papers 13870, Institute of Labor Economics (IZA).
- Chen, Liang, 2017. "Quantile Factor Models," UC3M Working papers. Economics 25299, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"New testing approaches for mean-variance predictability,"
Working Paper series
19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- 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.
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2020. "Hypothesis Tests with a Repeatedly Singular Information Matrix," Working Papers wp2020_2002, CEMFI.
- 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.
- Oh, Dong Hwan & Patton, Andrew J., 2023. "Dynamic factor copula models with estimated cluster assignments," Journal of Econometrics, Elsevier, vol. 237(2).
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015.
"Fast ML estimation of dynamic bifactor models: an application to European inflation,"
Working Papers
1525, Banco de España.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 215-282, Emerald Group Publishing Limited.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Working Papers wp2015_1502, CEMFI.
- Sentana, Enrique & Galesi, Alessandro, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," CEPR Discussion Papers 10461, C.E.P.R. Discussion Papers.
Cited by:
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018.
"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- Gabriele Fiorentini & Enrique Sentana, 2013.
"Dynamic Specification Tests for Dynamic Factor Models,"
Working Papers
wp2013_1306, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2014.
"Neglected Serial Correlation Tests in UCARIMA Models,"
Working Papers
wp2014_1406, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2016. "Neglected serial correlation tests in UCARIMA models," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
Cited by:
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018.
"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- Gabriele Fiorentini & Enrique Sentana, 2013.
"Dynamic Specification Tests for Dynamic Factor Models,"
Working Papers
wp2013_1306, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Sentana, Enrique, 2024.
"Finite underidentification,"
Journal of Econometrics, Elsevier, vol. 240(1).
- Enrique Sentana, 2015. "Finite Underidentification," Working Papers wp2015_1508, CEMFI.
- Dante Amengual & Xinyue Bei & Enrique Sentana, 2023. "Highly Irregular Serial Correlation Tests," Working Papers wp2023_2302, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2013.
"Dynamic Specification Tests for Dynamic Factor Models,"
Working Papers
wp2013_1306, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
Cited by:
- Gabriele Fiorentini & Enrique Sentana, 2016.
"Neglected serial correlation tests in UCARIMA models,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
- Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
- 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.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2022.
"GDP Solera: The Ideal Vintage Mix,"
CEPR Discussion Papers
17196, C.E.P.R. Discussion Papers.
- Dante Amengual & Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2022. "GDP Solera: The Ideal Vintage Mix," Staff Reports 1027, Federal Reserve Bank of New York.
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "GDP Solera. The Ideal Vintage Mix," Working Papers wp2022_2204, CEMFI.
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "GDP Solera: The Ideal Vintage Mix," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 984-997, July.
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018.
"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- Dickhaus, Thorsten & Sirotko-Sibirskaya, Natalia, 2019. "Simultaneous statistical inference in dynamic factor models: Chi-square approximation and model-based bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 129(C), pages 30-46.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Javier Mencía & Enrique Sentana, 2012.
"Valuation of vix derivatives,"
Working Papers
1232, Banco de España.
- Mencía, Javier & Sentana, Enrique, 2013. "Valuation of VIX derivatives," Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
- Sentana, Enrique & MencÃa, Javier, 2010. "Valuation of VIX Derivatives," CEPR Discussion Papers 7619, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2009. "Valuation of VIX Derivatives," Working Papers wp2009_0913, CEMFI.
Cited by:
- Cheng, Hung-Wen & Chang, Li-Han & Lo, Chien-Ling & Tsai, Jeffrey Tzuhao, 2023. "Empirical performance of component GARCH models in pricing VIX term structure and VIX futures," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 122-142.
- Bu, Ruijun & Jawadi, Fredj & Li, Yuyi, 2017. "An empirical comparison of transformed diffusion models for VIX and VIX futures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 46(C), pages 116-127.
- Chen, Yu-Lun & Yang, J. Jimmy, 2021. "Trader positions in VIX futures," Journal of Empirical Finance, Elsevier, vol. 61(C), pages 1-17.
- 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.
- Ruijun Bu & Fredj Jawadi & Yuyi Li, 2018. "A Multi-Factor Transformed Diffusion Model with Applications to VIX and VIX Futures," Working Papers 20183, University of Liverpool, Department of Economics.
- Da Fonseca, José & Ignatieva, Katja, 2019. "Jump activity analysis for affine jump-diffusion models: Evidence from the commodity market," Journal of Banking & Finance, Elsevier, vol. 99(C), pages 45-62.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2016.
"Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX markets,"
Working Papers
780, Queen Mary University of London, School of Economics and Finance.
- Chris Bardgett & Elise Gourier & Markus Leippold, 2013. "Inferring Volatility Dynamics and Risk Premia from the S&P 500 and VIX Markets," Swiss Finance Institute Research Paper Series 13-40, Swiss Finance Institute, revised Dec 2016.
- Bardgett, Chris & Gourier, Elise & Leippold, Markus, 2019. "Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets," Journal of Financial Economics, Elsevier, vol. 131(3), pages 593-618.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2020.
"Tempered Stable Processes with Time Varying Exponential Tails,"
Papers
2006.07669, arXiv.org, revised Aug 2020.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03512709, HAL.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Working Papers hal-03018495, HAL.
- Raphaël Douady & Young Shin Kim & Kum-Hwan Roh, 2021. "Tempered stable processes with time-varying exponential tails," Post-Print hal-03512709, HAL.
- Young Shin Kim & Kum-Hwan Roh & Raphael Douady, 2022. "Tempered stable processes with time-varying exponential tails," Quantitative Finance, Taylor & Francis Journals, vol. 22(3), pages 541-561, March.
- Young Shin Aaron Kim & Kum-Hwan Roh & Raphaël Douady, 2020. "Tempered Stable Processes with Time Varying Exponential Tails," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-03018495, HAL.
- Barletta, Andrea & Santucci de Magistris, Paolo & Violante, Francesco, 2019.
"A non-structural investigation of VIX risk neutral density,"
Journal of Banking & Finance, Elsevier, vol. 99(C), pages 1-20.
- Andrea Barletta & Paolo Santucci de Magistris & Francesco Violante, 2017. "A Non-Structural Investigation of VIX Risk Neutral Density," CREATES Research Papers 2017-15, Department of Economics and Business Economics, Aarhus University.
- Ilze Kalnina & Dacheng Xiu, 2017.
"Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 112(517), pages 384-396, January.
- Ilze KALNINA & Dacheng XIU, 2015. "Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency," Cahiers de recherche 09-2015, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- KALNINA, Ilze & XIU, Dacheng, 2015. "Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency," Cahiers de recherche 2015-05, Universite de Montreal, Departement de sciences economiques.
- Anders Merrild Posselt, 2022. "Dynamics in the VIX complex," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(9), pages 1665-1687, September.
- Kaeck, Andreas & Seeger, Norman J., 2020. "VIX derivatives, hedging and vol-of-vol risk," European Journal of Operational Research, Elsevier, vol. 283(2), pages 767-782.
- Stéphane Goutte & Amine Ismail & Huyên Pham, 2017.
"Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options,"
Post-Print
hal-01212018, HAL.
- Stéphane Goutte & Amine Ismail & Huyên Pham, 2017. "Regime-switching stochastic volatility model: estimation and calibration to VIX options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 24(1), pages 38-75, January.
- Stéphane Goutte & Amine Ismail & Huyen Pham, 2017. "Regime-switching stochastic volatility model: estimation and calibration to VIX options," Post-Print hal-02879356, HAL.
- Tim Leung & Raphael Yan, 2018. "Optimal dynamic pairs trading of futures under a two-factor mean-reverting model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 1-23, September.
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"Dynamic Specification Tests for Dynamic Factor Models,"
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- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
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Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 599-614, October.
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- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
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"Measuring the Effects of Fiscal Policy,"
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- Jean-Marc Robin & Stéphane Bonhomme, 2009. "Consistent Noisy Independent Component Analysis," Post-Print hal-01022621, HAL.
- Stéphane Bonhomme & Jean-Marc Robin, 2009. "Consistent Noisy Independent Component Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00642732, HAL.
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"On Watson's Non-Forcing Contracts and Renegotiation,"
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12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016.
"Efficient skewness/semivariance portfolios,"
Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 331-346, September.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Efficient Skewness/Semivariance Portfolios," GEMF Working Papers 2015-05, GEMF, Faculty of Economics, University of Coimbra.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2020.
"Spanning analysis of stock market anomalies under Prospect Stochastic Dominance,"
Swiss Finance Institute Research Paper Series
20-18, Swiss Finance Institute.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning analysis of stock market anomalies under prospect stochastic dominance," Working Papers unige:134101, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Papers 2004.02670, arXiv.org.
- Topaloglou, Nikolas & Tsionas, Mike G., 2020. "Stochastic dominance tests," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
- Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2010. "Benchmarking Mean-Variance Portfolios. Using a Shortage Function: The Choice of Direction Vector," Working Papers 2010/01, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- Sentana, Enrique & Amengual, Dante, 2015.
"Is a normal copula the right copula?,"
CEPR Discussion Papers
10809, C.E.P.R. Discussion Papers.
- 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.
- Dante Amengual & Enrique Sentana, 2015. "Is a Normal Copula the Right Copula?," Working Papers wp2015_1504, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"New testing approaches for mean-variance predictability,"
Working Paper series
19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- R. P. Brito & H. Sebastião & P. Godinho, 2017.
"Portfolio choice with high frequency data: CRRA preferences and the liquidity effect,"
Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(2), pages 65-86, August.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2016. "Portfolio Choice with High Frequency Data: CRRA Preferences and the Liquidity Effect," GEMF Working Papers 2016-13, GEMF, Faculty of Economics, University of Coimbra.
- Roberto Serrano & Rajiv Vohra, 2009.
"Multiplicity of Mixed Equilibria in Mechanisms: a Unified Approach ot Exact and Approximate Implementation,"
Working Papers
2009-11, Brown University, Department of Economics.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Working Papers 2009-08, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: A Unified Approach to Exact and Approximate Implementation," Working Papers wp2009_0908, CEMFI.
- Serrano, Roberto & Vohra, Rajiv, 2010. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 775-785, September.
- Valeria V. Lakshina, 2019. "Do Portfolio Investors Need To Consider The Asymmetry Of Returns On The Russian Stock Market?," HSE Working papers WP BRP 75/FE/2019, National Research University Higher School of Economics.
- Kerstens, Kristiaan & Mounier, Amine & Van de Woestyne, Ignace, 2008.
"Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function,"
Working Papers
2008/61, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
- Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," European Journal of Operational Research, Elsevier, vol. 210(1), pages 81-94, April.
- K. Kerstens & A. Mounir & I. van de Woestyne, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," Post-Print hal-00551848, HAL.
- Kristiaan Kerstens & Amine Mounir & Ignace Van de Woestyne, 2008. "Geometric Representation of the Mean-Variance-Skewness Portfolio Frontier Based upon the Shortage Function," Working Papers 2008-ECO-17, IESEG School of Management.
- K. Kerstens, 2007. "Geometric Representation of the Mean-Variance-Skewness Porfolio Frontier Based upon the Shortage Function," Post-Print hal-00288790, HAL.
- Audrone Virbickaite & Hedibert F. Lopes & Maria Concepción Ausín & Pedro Galeano, 2018.
"Particle Learning for Bayesian Semi-Parametric Stochastic Volatility Model,"
DEA Working Papers
88, Universitat de les Illes Balears, Departament d'Economía Aplicada.
- Audronė Virbickaitė & Hedibert F. Lopes & M. Concepción Ausín & Pedro Galeano, 2019. "Particle learning for Bayesian semi-parametric stochastic volatility model," Econometric Reviews, Taylor & Francis Journals, vol. 38(9), pages 1007-1023, October.
- Javier Mencía & Enrique Sentana, 2009.
"Distributional tests in multivariate dynamic models with Normal and Student t innovations,"
Working Papers
0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- Rafael Repullo & Javier Suarez, 2008.
"The Procyclical Effects of Basel II,"
Working Papers
wp2008_0809, CEMFI.
- Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
- Gulliksson, Mårten & Mazur, Stepan, 2019.
"An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection,"
Working Papers
2019:3, Örebro University, School of Business.
- 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.
- Jondeau, Eric, 2016. "Asymmetry in tail dependence in equity portfolios," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 351-368.
- Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
- Taras Bodnar & Wolfgang Schmid & Taras Zabolotskyy, 2013. "Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(8), pages 1105-1134, November.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021.
"Multivariate Hermite polynomials and information matrix tests,"
Econometrics Working Papers Archive
2021_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Multivariate Hermite polynomials and information matrix tests," Working Papers wp2021_2103, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Multivariate Hermite polynomials and information matrix tests," Working Paper series 21-12, Rimini Centre for Economic Analysis.
- Pei Pei, 2010. "Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights," CAEPR Working Papers 2010-010, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Enrique Sentana, 2018.
"Volatility, Diversification and Contagion,"
Working Papers
wp2018_1803, CEMFI.
- Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
- Paul Karehnke & Frans de Roon, 2020. "Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds," Management Science, INFORMS, vol. 66(12), pages 5969-5989, December.
- 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.
- Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2015. "A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function," Annals of Operations Research, Springer, vol. 229(1), pages 121-158, June.
- Lakshina, Valeriya, 2020. "Do portfolio investors need to consider the asymmetry of returns on the Russian stock market?," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
- Gan, Quan, 2014. "Location-scale portfolio selection with factor-recentered skew normal asset returns," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 176-187.
- Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2015. "Portfolio Management With Higher Moments: The Cardinality Impact," GEMF Working Papers 2015-15, GEMF, Faculty of Economics, University of Coimbra.
- Zaichao Du & Pei Pei, 2020. "Backtesting portfolio value‐at‐risk with estimated portfolio weights," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 605-619, September.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- 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.
- Lu, Xin & Liu, Qiong & Xue, Fengxin, 2019. "Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints," Operations Research Perspectives, Elsevier, vol. 6(C).
- Paolella, Marc S. & Polak, Paweł, 2015. "COMFORT: A common market factor non-Gaussian returns model," Journal of Econometrics, Elsevier, vol. 187(2), pages 593-605.
- Enrique Sentana, 2008.
"The Econometrics of Mean-Variance Efficiency Tests: A Survey,"
Working Papers
wp2008_0807, CEMFI.
- Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
- Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 209-223.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Ryo Kinoshita, 2015. "Asset allocation under higher moments with the GARCH filter," Empirical Economics, Springer, vol. 49(1), pages 235-254, August.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015.
"Independent Factor Autoregressive Conditional Density Model,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
- Mattei, Pierre-Alexandre, 2017. "Multiplying a Gaussian matrix by a Gaussian vector," Statistics & Probability Letters, Elsevier, vol. 128(C), pages 67-70.
- Geraci, Marco Valerio & Garbaravičius, Tomas & Veredas, David, 2018. "Short selling in extreme events," Journal of Financial Stability, Elsevier, vol. 39(C), pages 90-103.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009.
"Underidentification? (Resumen),"
Working Papers
wp2009_0905, CEMFI.
Cited by:
- Yusuke Kamishiro & Roberto Serrano, 2009.
"Equilibrium blocking in large quasilinear economies,"
Working Papers
2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers 2009-12, Brown University, Department of Economics.
- Roberto Serrano, 2009.
"On Watson's Non-Forcing Contracts and Renegotiation,"
Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
- Roberto Serrano, 2009. "On Watson’s Non-Forcing Contracts and Renegotiation," Working Papers wp2009_0907, CEMFI.
- Roberto Serrano, 2004. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Working Papers 0041, Institute for Advanced Study, School of Social Science.
- Roberto Serrano, 2004. "On WatsonÃs Non-Forcing Contracts and Renegotiation," Working Papers 2004-03, Brown University, Department of Economics.
- M. Dolores Collado & Martín Browning, 2006.
"Habits And Heterogeneity In Demands: A Panel Data Analysis,"
Working Papers. Serie AD
2006-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- M. Dolores Collado & Martin Browning, 2007. "Habits and heterogeneity in demands: a panel data analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 625-640.
- Martin Browning & M. Dolores Collado, 2004. "Habits and Heterogeneity in Demands: a Panel Data Analysis," CAM Working Papers 2004-18, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Bingley Paul & Walker Ian & Zhu Yu, 2005.
"Education, Work and Wages in the UK,"
German Economic Review, De Gruyter, vol. 6(3), pages 395-414, August.
- Paul Bingley & Yu Zhu & Ian Walker, 2005. "Education, Work and Wages in the UK," German Economic Review, Verein für Socialpolitik, vol. 6(3), pages 395-414, August.
- Roberto Serrano & Rajiv Vohra, 2009.
"Multiplicity of Mixed Equilibria in Mechanisms: a Unified Approach ot Exact and Approximate Implementation,"
Working Papers
2009-11, Brown University, Department of Economics.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Working Papers 2009-08, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: A Unified Approach to Exact and Approximate Implementation," Working Papers wp2009_0908, CEMFI.
- Serrano, Roberto & Vohra, Rajiv, 2010. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 775-785, September.
- Michael P. Murray, 2006. "Avoiding Invalid Instruments and Coping with Weak Instruments," Journal of Economic Perspectives, American Economic Association, vol. 20(4), pages 111-132, Fall.
- Marika Karanassou & Hector Sala, 2009.
"The US Inflation-Unemployment Tradeoff: Methodological Issues and Further Evidence,"
Working Papers
647, Queen Mary University of London, School of Economics and Finance.
- Karanassou, Marika & Sala, Hector, 2009. "The US Inflation-Unemployment Tradeoff: Methodological Issues and Further Evidence," IZA Discussion Papers 4252, Institute of Labor Economics (IZA).
- Yusuke Kamishiro & Roberto Serrano, 2009.
"Equilibrium blocking in large quasilinear economies,"
Working Papers
2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Javier Mencía & Enrique Sentana, 2009.
"Distributional tests in multivariate dynamic models with Normal and Student t innovations,"
Working Papers
0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
Cited by:
- Yusuke Kamishiro & Roberto Serrano, 2009.
"Equilibrium blocking in large quasilinear economies,"
Working Papers
2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers 2009-12, Brown University, Department of Economics.
- Roberto Serrano, 2009.
"On Watson's Non-Forcing Contracts and Renegotiation,"
Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
- Roberto Serrano, 2009. "On Watson’s Non-Forcing Contracts and Renegotiation," Working Papers wp2009_0907, CEMFI.
- Roberto Serrano, 2004. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Working Papers 0041, Institute for Advanced Study, School of Social Science.
- Roberto Serrano, 2004. "On WatsonÃs Non-Forcing Contracts and Renegotiation," Working Papers 2004-03, Brown University, Department of Economics.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Mencía, Javier & Sentana, Enrique, 2009.
"Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation,"
Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
- Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers 0909, Banco de España.
- Javier Mencía & Enrique Sentana, 2008. "Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation," Working Papers wp2008_0805, CEMFI.
- Chen, Heng & Fan, Yanqin & Wu, Jisong, 2014. "A flexible parametric approach for estimating switching regime models and treatment effect parameters," Journal of Econometrics, Elsevier, vol. 181(2), pages 77-91.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
- Dovonon, Prosper, 2008.
"Conditionally heteroskedastic factor models with skewness and leverage effects,"
MPRA Paper
40206, University Library of Munich, Germany, revised Feb 2012.
- Prosper Dovonon, 2013. "Conditionally Heteroskedastic Factor Models With Skewness And Leverage Effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1110-1137, November.
- Sentana, Enrique & Amengual, Dante, 2015.
"Is a normal copula the right copula?,"
CEPR Discussion Papers
10809, C.E.P.R. Discussion Papers.
- 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.
- Dante Amengual & Enrique Sentana, 2015. "Is a Normal Copula the Right Copula?," Working Papers wp2015_1504, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"New testing approaches for mean-variance predictability,"
Working Paper series
19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- 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.
- Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2017_1709, CEMFI.
- Roberto Serrano & Rajiv Vohra, 2009.
"Multiplicity of Mixed Equilibria in Mechanisms: a Unified Approach ot Exact and Approximate Implementation,"
Working Papers
2009-11, Brown University, Department of Economics.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Working Papers 2009-08, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: A Unified Approach to Exact and Approximate Implementation," Working Papers wp2009_0908, CEMFI.
- Serrano, Roberto & Vohra, Rajiv, 2010. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 775-785, September.
- Amengual, Dante & Sentana, Enrique, 2010.
"A comparison of mean-variance efficiency tests,"
Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
- Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
- Rafael Repullo & Javier Suarez, 2008.
"The Procyclical Effects of Basel II,"
Working Papers
wp2008_0809, CEMFI.
- Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024. "The information matrix test for Gaussian mixtures," Working Papers wp2024_2401, CEMFI.
- Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
- 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).
- Enrique Sentana, 2018.
"Volatility, Diversification and Contagion,"
Working Papers
wp2018_1803, CEMFI.
- Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
- Martín Almuzara & Dante Amengual & Enrique Sentana, 2019.
"Normality tests for latent variables,"
Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
- Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Working Paper series
18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
- Christian Bontemps, 2019.
"Moment-Based Tests under Parameter Uncertainty,"
Post-Print
hal-02004687, HAL.
- Christian Bontemps, 2019. "Moment-Based Tests under Parameter Uncertainty," The Review of Economics and Statistics, MIT Press, vol. 101(1), pages 146-159, March.
- Bontemps, Christian, 2018. "Moment-based tests under parameter uncertainty," IDEI Working Papers 18-883, Institut d'Économie Industrielle (IDEI), Toulouse.
- Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015.
"Independent Factor Autoregressive Conditional Density Model,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2025. "The information matrix test for Markov switching autoregressive models with covariate-dependent transition probabilities," Working Papers wp2025_2502, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Dante Amengual & Enrique Sentana, 2008.
"A Comparison of Mean-Variance Efficiency Tests,"
Working Papers
wp2008_0806, CEMFI.
- Amengual, Dante & Sentana, Enrique, 2010. "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
Cited by:
- Yusuke Kamishiro & Roberto Serrano, 2009.
"Equilibrium blocking in large quasilinear economies,"
Working Papers
2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers 2009-12, Brown University, Department of Economics.
- Roberto Serrano, 2009.
"On Watson's Non-Forcing Contracts and Renegotiation,"
Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
- Roberto Serrano, 2009. "On Watson’s Non-Forcing Contracts and Renegotiation," Working Papers wp2009_0907, CEMFI.
- Roberto Serrano, 2004. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Working Papers 0041, Institute for Advanced Study, School of Social Science.
- Roberto Serrano, 2004. "On WatsonÃs Non-Forcing Contracts and Renegotiation," Working Papers 2004-03, Brown University, Department of Economics.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"New testing approaches for mean-variance predictability,"
Working Paper series
19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Francisco Peñaranda & Enrique Sentana, 2008.
"Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach,"
Economics Working Papers
1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- 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.
- Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
- Roberto Serrano & Rajiv Vohra, 2009.
"Multiplicity of Mixed Equilibria in Mechanisms: a Unified Approach ot Exact and Approximate Implementation,"
Working Papers
2009-11, Brown University, Department of Economics.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Working Papers 2009-08, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: A Unified Approach to Exact and Approximate Implementation," Working Papers wp2009_0908, CEMFI.
- Serrano, Roberto & Vohra, Rajiv, 2010. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 775-785, September.
- Zeng-Hua Lu, 2020. "Bahadur intercept with applications to one-sided testing," Statistical Papers, Springer, vol. 61(2), pages 645-658, April.
- Rafael Repullo & Javier Suarez, 2008.
"The Procyclical Effects of Basel II,"
Working Papers
wp2008_0809, CEMFI.
- Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
- Gulliksson, Mårten & Mazur, Stepan, 2019.
"An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection,"
Working Papers
2019:3, Örebro University, School of Business.
- 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.
- Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
- Enrique Sentana, 2018.
"Volatility, Diversification and Contagion,"
Working Papers
wp2018_1803, CEMFI.
- Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
- 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.
- Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2015. "A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function," Annals of Operations Research, Springer, vol. 229(1), pages 121-158, June.
- Gabriele Fiorentini & Enrique Sentana, 2018.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Working Paper series
18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- 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.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- 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.
- Enrique Sentana, 2008.
"The Econometrics of Mean-Variance Efficiency Tests: A Survey,"
Working Papers
wp2008_0807, CEMFI.
- Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Enrique Sentana, 2008.
"The Econometrics of Mean-Variance Efficiency Tests: A Survey,"
Working Papers
wp2008_0807, CEMFI.
- Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
Cited by:
- Yusuke Kamishiro & Roberto Serrano, 2009.
"Equilibrium blocking in large quasilinear economies,"
Working Papers
2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers 2009-12, Brown University, Department of Economics.
- Roberto Serrano, 2009.
"On Watson's Non-Forcing Contracts and Renegotiation,"
Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
- Roberto Serrano, 2009. "On Watson’s Non-Forcing Contracts and Renegotiation," Working Papers wp2009_0907, CEMFI.
- Roberto Serrano, 2004. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Working Papers 0041, Institute for Advanced Study, School of Social Science.
- Roberto Serrano, 2004. "On WatsonÃs Non-Forcing Contracts and Renegotiation," Working Papers 2004-03, Brown University, Department of Economics.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012.
"Inference on Sets in Finance,"
Papers
1211.4282, arXiv.org.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on sets in finance," CeMMAP working papers CWP04/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on sets in finance," CeMMAP working papers 04/12, Institute for Fiscal Studies.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2015. "Inference on sets in finance," Quantitative Economics, Econometric Society, vol. 6(2), pages 309-358, July.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on sets in finance," CeMMAP working papers 46/12, Institute for Fiscal Studies.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on sets in finance," CeMMAP working papers CWP46/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Leighton Vaughan Williams & Ming‐Chien Sung & Peter A. F. Fraser‐Mackenzie & John Peirson & Johnnie E. V. Johnson, 2018. "Towards an Understanding of the Origins of the Favourite–Longshot Bias: Evidence from Online Poker Markets, a Real‐money Natural Laboratory," Economica, London School of Economics and Political Science, vol. 85(338), pages 360-382, April.
- SENGA, Christian, 2018. "Portfolio optimization at the frontier: Assessing the diversification benefits of African securities," Working Papers 2019001, University of Antwerp, Faculty of Business and Economics.
- Roberto Serrano & Rajiv Vohra, 2009.
"Multiplicity of Mixed Equilibria in Mechanisms: a Unified Approach ot Exact and Approximate Implementation,"
Working Papers
2009-11, Brown University, Department of Economics.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Working Papers 2009-08, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: A Unified Approach to Exact and Approximate Implementation," Working Papers wp2009_0908, CEMFI.
- Serrano, Roberto & Vohra, Rajiv, 2010. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 775-785, September.
- Amengual, Dante & Sentana, Enrique, 2010.
"A comparison of mean-variance efficiency tests,"
Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
- Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
- Rafael Repullo & Javier Suarez, 2008.
"The Procyclical Effects of Basel II,"
Working Papers
wp2008_0809, CEMFI.
- Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
- Sermin Gungor & Richard Luger, 2014.
"Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings,"
Staff Working Papers
14-51, Bank of Canada.
- Gungor, Sermin & Luger, Richard, 2015. "Bootstrap Tests Of Mean-Variance Efficiency With Multiple Portfolio Groupings," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 35-65, Mars-Juin.
- Bodnar, Taras & Reiß, Markus, 2016. "Exact and asymptotic tests on a factor model in low and large dimensions with applications," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 125-151.
- Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
- Sermin Gungor & Richard Luger, 2013.
"Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances,"
Staff Working Papers
13-16, Bank of Canada.
- Sermin Gungor & Richard Luger, 2016. "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April.
- 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.
- Jianqing Fan & Yuan Liao & Martina Mincheva, 2013.
"Large covariance estimation by thresholding principal orthogonal complements,"
Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(4), pages 603-680, September.
- Fan, Jianqing & Liao, Yuan & Mincheva, Martina, 2011. "Large covariance estimation by thresholding principal orthogonal complements," MPRA Paper 38697, University Library of Munich, Germany.
- Yoshihiko Nishiyama & Peter Robinson, 2004. "The bootstrap and the Edgeworth correction for semiparametric averaged derivatives," CeMMAP working papers 12/04, Institute for Fiscal Studies.
- Bailey, Natalia & Pesaran, M. Hashem & Smith, L. Vanessa, 2019.
"A multiple testing approach to the regularisation of large sample correlation matrices,"
Journal of Econometrics, Elsevier, vol. 208(2), pages 507-534.
- Natalia Bailey & Vanessa Smith & M. Hashem Pesaran, 2014. "A multiple testing approach to the regularisation of large sample correlation matrices," Cambridge Working Papers in Economics 1413, Faculty of Economics, University of Cambridge.
- Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2014. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," CESifo Working Paper Series 4834, CESifo.
- Natalia Bailey & M. Hashem Pesaran & L. Vanessa Smith, 2015. "A Multiple Testing Approach to the Regularisation of Large Sample Correlation Matrices," Working Papers 764, Queen Mary University of London, School of Economics and Finance.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015.
"Independent Factor Autoregressive Conditional Density Model,"
Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
- Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2012. "Independent Factor Autoregressive Conditional Density Model," DEM Working Papers Series 021, University of Pavia, Department of Economics and Management.
- Ángel León & Javier Mencía & Enrique Sentana, 2007.
"Parametric properties of semi-nonparametric distributions, with applications to option valuation,"
Working Papers
0707, Banco de España.
- León, à ngel & MencÃa, Javier & Sentana, Enrique, 2009. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
- Sentana, Enrique & MencÃa, Javier & León, à ngel, 2005. "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers 5435, C.E.P.R. Discussion Papers.
- Mencia, Javier & Leon, Angel & Sentana, Enrique, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," LSE Research Online Documents on Economics 24496, London School of Economics and Political Science, LSE Library.
- Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Working Papers wp2005_0509, CEMFI.
Cited by:
- Beatriz Domínguez & Juan José Ganuza & Gerard Llobet, 2005.
"R&D in the pharmaceutical industry: A world of small innovations,"
Economics Working Papers
936, Department of Economics and Business, Universitat Pompeu Fabra.
- Juan-José Ganuza & Gerard Llobet & Beatriz Domínguez, 2009. "R& D in the Pharmaceutical Industry: A World of Small Innovations," Management Science, INFORMS, vol. 55(4), pages 539-551, April.
- Beatriz Domínguez & Juan-José Ganuza & Gerard Llobet, 2006. "R&D in the Pharmaceutical Industry: A World of Small Innovations," Working Papers wp2006_0601, CEMFI.
- Lina Cortés & Juan M. Lozada & Javier Perote, 2019. "Firm size and concentration inequality: A flexible extension of Gibrat’s law," Documentos de Trabajo de Valor Público 17205, Universidad EAFIT.
- Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022.
"A meta-measure of performance related to both investors and investments characteristics,"
Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-03543398, HAL.
- Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2021. "A meta-measure of performance related to both investors and investments characteristics," Post-Print hal-02933252, HAL.
- Javier Mencía, 2009.
"Assessing the risk-return trade-off in loans portfolios,"
Working Papers
0911, Banco de España.
- Mencía, Javier, 2012. "Assessing the risk-return trade-off in loan portfolios," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1665-1677.
- Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "VaR performance during the subprime and sovereign debt crises: An application to emerging markets," Emerging Markets Review, Elsevier, vol. 20(C), pages 23-41.
- Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tédongap, 2017. "Implied volatility and skewness surface," Review of Derivatives Research, Springer, vol. 20(2), pages 167-202, July.
- Brenda Castillo-Brais & Ángel León & Juan Mora, 2022. "Estimating Value-at-Risk and Expected Shortfall: Do Polynomial Expansions Outperform Parametric Densities?," Mathematics, MDPI, vol. 10(22), pages 1-17, November.
- Maravall, A. & del Rio, A., 2007.
"Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter,"
Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 975-998, October.
- Agustín Maravall & Ana del Río, 2007. "Temporal aggregation, systematic sampling, and the Hodrick-Prescott filter," Working Papers 0728, Banco de España.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007.
"Econometric Asset Pricing Modelling,"
Working Papers
2007-18, Center for Research in Economics and Statistics.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
- H. Bertholon & A. Monfort & F. Pegoraro, 2008. "Econometric Asset Pricing Modelling," Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 407-458, Fall.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"New testing approaches for mean-variance predictability,"
Working Paper series
19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Lina Cortés & Andrés Mora-Valencia & Javier Perote, 2017.
"Measuring firm size distribution with semi-nonparametric densities,"
Documentos de Trabajo de Valor Público
15300, Universidad EAFIT.
- Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2017. "Measuring firm size distribution with semi-nonparametric densities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 485(C), pages 35-47.
- Ñíguez, Trino-Manuel & Perote, Javier, 2016.
"Multivariate moments expansion density: Application of the dynamic equicorrelation model,"
Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
- Trino-Manuel Ñíguez & Javier Perote, 2016. "Multivariate moments expansion density: application of the dynamic equicorrelation model," Working Papers 1602, Banco de España.
- Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September.
- Javier Diaz-Gimenez & Josep Pijoan-Mas, 2006.
"Flat Tax Reforms in the U.S.: a Boon for the Income Poor,"
Computing in Economics and Finance 2006
400, Society for Computational Economics.
- DÃaz-Giménez, Javier & Pijoan-Mas, Josep, 2006. "Flat Tax Reforms in the US: A Boon for the Income Poor," CEPR Discussion Papers 5812, C.E.P.R. Discussion Papers.
- Javier Díaz-Giménez & Josep Pijoan-Mas, 2006. "Flat Tax Reforms in the U.S.: A Boon for the Income Poor," Working Papers wp2006_0611, CEMFI.
- Ñíguez, Trino-Manuel & Perote, Javier, 2017. "Moments expansion densities for quantifying financial risk," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 53-69.
- Lina M Cortés & Juan M Lozada & Javier Perote, 2021.
"Firm size and economic concentration: An analysis from a lognormal expansion,"
PLOS ONE, Public Library of Science, vol. 16(7), pages 1-21, July.
- Lina Cortés & Juan M. Lozada & Javier Perote, 2020. "Firm size and economic concentration: An analysis from lognormal expansion," Documentos de Trabajo de Valor Público 18185, Universidad EAFIT.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007.
"Pricing and Inference with Mixtures of Conditionally Normal Processes,"
Working papers
188, Banque de France.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
- Ignacio Mauleón, 2022. "Contributions to Risk Assessment with Edgeworth–Sargan Density Expansions (I): Stability Testing," Mathematics, MDPI, vol. 10(7), pages 1-18, March.
- Aitor Erce, 2008. "A structural model of sovereign debt issuance: assessing the role of financial factors," Working Papers 0809, Banco de España.
- León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
- Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?," Finance Research Letters, Elsevier, vol. 49(C).
- José Cerón & Javier Suarez, 2006.
"Hot and Cold Housing Markets: International Evidence,"
Working Papers
wp2006_0603, CEMFI.
- Suarez, Javier & Ceron, Jose A., 2006. "Hot and Cold Housing Markets: International Evidence," CEPR Discussion Papers 5411, C.E.P.R. Discussion Papers.
- Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Semi-nonparametric risk assessment with cryptocurrencies," Research in International Business and Finance, Elsevier, vol. 59(C).
- Arnold Polanski & Evarist Stoja, 2013.
"Co-dependence of Extreme Events in High Frequency FX Returns,"
University of East Anglia Applied and Financial Economics Working Paper Series
040, School of Economics, University of East Anglia, Norwich, UK..
- Polanski, Arnold & Stoja, Evarist, 2014. "Co-dependence of extreme events in high frequency FX returns," Journal of International Money and Finance, Elsevier, vol. 44(C), pages 164-178.
- Yossi Shvimer & Avi Herbon, 2020. "Tradability, closeness to market prices, and expected profit: their measurement for a binomial model of options pricing in a heterogeneous market," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(3), pages 737-762, July.
- León, Ángel & Ñíguez, Trino-Manuel, 2021. "The transformed Gram Charlier distribution: Parametric properties and financial risk applications," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 323-349.
- León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
- Trino-Manuel Ñíguez & Javier Perote, 2012. "Forecasting Heavy-Tailed Densities with Positive Edgeworth and Gram-Charlier Expansions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(4), pages 600-627, August.
- Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2011.
"Multivariate semi-nonparametric distributions with dynamic conditional correlations,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 347-364.
- Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2011. "Multivariate semi-nonparametric distributions with dynamic conditional correlations," International Journal of Forecasting, Elsevier, vol. 27(2), pages 347-364, April.
- Felipe Isaza Cuervo & Sergio Botero Boterob, 2014. "Aplicación de las opciones reales en la toma de decisiones en los mercados de electricidad," Estudios Gerenciales, Universidad Icesi, November.
- 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.
- Sentana, Enrique & MencÃa, Javier, 2015. "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers 10444, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
- Javier Mencía & Enrique Sentana, 2015. "Volatility-related exchange traded assets: an econometric investigation," Working Papers 1510, Banco de España.
- Sofiane Aboura & Didier Maillard, 2016. "Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1194-1209, December.
- Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 2017. "Multivariate approximations to portfolio return distribution," Computational and Mathematical Organization Theory, Springer, vol. 23(3), pages 347-361, September.
- Del Brio, Esther B. & Ñíguez, Trino-Manuel & Perote, Javier, 2008. "Multivariate Gram-Charlier Densities," MPRA Paper 29073, University Library of Munich, Germany.
- Zaichao Du & Pei Pei, 2020. "Backtesting portfolio value‐at‐risk with estimated portfolio weights," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 605-619, September.
- Rendón, Juan F. & Trespalacios, Alfredo & Cortés, Lina M. & Villada-Medina, Hernán D., 2021. "Modelización de la demanda de energía eléctrica: más allá de la normalidad || Electrical energy demand modeling: beyond normality," Revista de Métodos Cuantitativos para la Economía y la Empresa = Journal of Quantitative Methods for Economics and Business Administration, Universidad Pablo de Olavide, Department of Quantitative Methods for Economics and Business Administration, vol. 32(1), pages 83-98, December.
- Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2014. "Semi-nonparametric VaR forecasts for hedge funds during the recent crisis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 330-343.
- Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
- Isabel Argimón & Pablo Hernández de Cos, 2008. "The determinants of budget balances of the regional (Autonomous) governments," Working Papers 0803, Banco de España.
- Trespalacios, Alfredo & Cortés, Lina M. & Perote, Javier, 2020.
"Uncertainty in electricity markets from a semi-nonparametric approach,"
Energy Policy, Elsevier, vol. 137(C).
- Alfredo Trespalacios & Lina M. Cortés & Javier Perote, 2019. "Uncertainty in Electricity Markets from a seminonparametric Approach," Documentos de Trabajo de Valor Público 17304, Universidad EAFIT.
- Lina M. Cortés & Javier Perote & Andrés Mora-Valencia, 2017. "Implicit probability distribution for WTI options: The Black Scholes vs. the semi-nonparametric approach," Documentos de Trabajo de Valor Público 15923, Universidad EAFIT.
- Inés Jiménez & Andrés Mora-Valencia & Javier Perote, 2022. "Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies," Risk Management, Palgrave Macmillan, vol. 24(1), pages 81-99, March.
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009.
"Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches,"
Working Papers
w0136, Center for Economic and Financial Research (CEFIR).
- Stanislav Anatolyev & Natalia Kryzhanovskaya, 2009. "Directional Prediction of Returns under Asymmetric Loss: Direct and Indirect Approaches," Working Papers w0136, New Economic School (NES).
- Del Brio, Esther B. & Perote, Javier, 2012. "Gram–Charlier densities: Maximum likelihood versus the method of moments," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 531-537.
- Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
- Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2023. "Multivariate dynamics between emerging markets and digital asset markets: An application of the SNP-DCC model," Emerging Markets Review, Elsevier, vol. 56(C).
- Francisco Peñaranda & Enrique Sentana, 2007.
"Duality in Mean-Variance Frontiers with Conditioning Information,"
Working Papers
wp2007_0715, CEMFI.
- Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.
- Sentana, Enrique & Peñaranda, Francisco, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
Cited by:
- Jonathan Fletcher, 2011. "An Examination of Dynamic Trading Stategies in UK and US Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 38(9-10), pages 1290-1310, November.
- Xiaohong Chen & Demian Pouzo, 2014.
"Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models,"
Papers
1411.1144, arXiv.org, revised Mar 2015.
- Xiaohong Chen & Demian Pouzo, 2013. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," Cowles Foundation Discussion Papers 1897R, Cowles Foundation for Research in Economics, Yale University, revised Apr 2014.
- Xiaohong Chen & Demian Pouzo, 2015. "Sieve Wald and QLR Inferences on Semi/Nonparametric Conditional Moment Models," Econometrica, Econometric Society, vol. 83(3), pages 1013-1079, May.
- Xiaohong Chen & Demian Pouzo, 2014. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," CeMMAP working papers CWP38/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Xiaohong Chen & Demian Pouzo, 2013. "Sieve Wald and QLR Inferences on Semi/nonparametric Conditional Moment Models," Cowles Foundation Discussion Papers 1897RR, Cowles Foundation for Research in Economics, Yale University, revised Nov 2014.
- David Martinez-Miera & Rafael Repullo, 2010.
"Does Competition Reduce the Risk of Bank Failure?,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(10), pages 3638-3664, October.
- David Martinez-Miera & Rafael Repullo, 2008. "Does Competition Reduce the Risk of Bank Failure?," Working Papers wp2008_0801, CEMFI.
- Repullo, Rafael & Martinez-Miera, David, 2008. "Does Competition Reduce the Risk of Bank Failure?," CEPR Discussion Papers 6669, C.E.P.R. Discussion Papers.
- Francisco Peñaranda, 2009.
"Understanding portfolio efficiency with conditioning information,"
Economics Working Papers
1146, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2011.
- Francisco Peñaranda, 2009. "Understanding Portfolio Efficiency with Conditioning Information," FMG Discussion Papers dp626, Financial Markets Group.
- Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017.
"Empirical Evaluation of Overspecified Asset Pricing Models,"
CEPR Discussion Papers
12085, C.E.P.R. Discussion Papers.
- Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique, 2023. "Empirical evaluation of overspecified asset pricing models," Journal of Financial Economics, Elsevier, vol. 147(2), pages 338-351.
- Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers wp2017_1711, CEMFI.
- Penaranda, Francisco & Sentana, Enrique, 2024.
"Portfolio management with big data,"
CEPR Discussion Papers
19314, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2020.
"Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference,"
CIRANO Working Papers
2020s-30, CIRANO.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2020. "Arbitrage Pricing, Weak Beta, Strong Beta: Identification-Robust and Simultaneous Inference," Cahiers de recherche 15-2020, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Caio Vigo Pereira, 2020.
"Portfolio Efficiency with High-Dimensional Data as Conditioning Information,"
WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS
202015, University of Kansas, Department of Economics, revised Sep 2020.
- Vigo Pereira, Caio, 2021. "Portfolio efficiency with high-dimensional data as conditioning information," International Review of Financial Analysis, Elsevier, vol. 77(C).
- Antonio Diez de los Rios & Enrique Sentana, 2007.
"Testing Uncovered Interest Parity: A Continuous-Time Approach,"
Staff Working Papers
07-53, Bank of Canada.
- Antonio Diez de los Rios & Enrique Sentana, 2011. "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, vol. 52(4), pages 1215-1251, November.
- Sentana, Enrique & Diez de los Rios, Antonio, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," CEPR Discussion Papers 6516, C.E.P.R. Discussion Papers.
- Antonio Diez de los Ríos & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Working Papers wp2007_0714, CEMFI.
Cited by:
- Yusuke Kamishiro & Roberto Serrano, 2009.
"Equilibrium blocking in large quasilinear economies,"
Working Papers
2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers 2009-12, Brown University, Department of Economics.
- Roberto Serrano, 2009.
"On Watson's Non-Forcing Contracts and Renegotiation,"
Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
- Roberto Serrano, 2009. "On Watson’s Non-Forcing Contracts and Renegotiation," Working Papers wp2009_0907, CEMFI.
- Roberto Serrano, 2004. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Working Papers 0041, Institute for Advanced Study, School of Social Science.
- Roberto Serrano, 2004. "On WatsonÃs Non-Forcing Contracts and Renegotiation," Working Papers 2004-03, Brown University, Department of Economics.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
- Antonio Diez de los Rios, 2013.
"A New Linear Estimator for Gaussian Dynamic Term Structure Models,"
Staff Working Papers
13-10, Bank of Canada.
- Antonio Diez de Los Rios, 2015. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 282-295, April.
- David Martinez-Miera & Rafael Repullo, 2010.
"Does Competition Reduce the Risk of Bank Failure?,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(10), pages 3638-3664, October.
- David Martinez-Miera & Rafael Repullo, 2008. "Does Competition Reduce the Risk of Bank Failure?," Working Papers wp2008_0801, CEMFI.
- Repullo, Rafael & Martinez-Miera, David, 2008. "Does Competition Reduce the Risk of Bank Failure?," CEPR Discussion Papers 6669, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2008.
"Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach,"
Economics Working Papers
1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- 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.
- Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
- Wai-Mun Har & Ai-Lian Tan & Chong-Heng Lim & Chai-Thing Tan, 2017. "Does Interest Rate Still Matter in Determining Exchange Rate?," Capital Markets Review, Malaysian Finance Association, vol. 25(1), pages 19-25.
- Roberto Serrano & Rajiv Vohra, 2009.
"Multiplicity of Mixed Equilibria in Mechanisms: a Unified Approach ot Exact and Approximate Implementation,"
Working Papers
2009-11, Brown University, Department of Economics.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Working Papers 2009-08, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: A Unified Approach to Exact and Approximate Implementation," Working Papers wp2009_0908, CEMFI.
- Serrano, Roberto & Vohra, Rajiv, 2010. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 775-785, September.
- Rafael Repullo & Javier Suarez, 2008.
"The Procyclical Effects of Basel II,"
Working Papers
wp2008_0809, CEMFI.
- Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
- Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
- Thornton, Michael A. & Chambers, Marcus J., 2016. "The exact discretisation of CARMA models with applications in finance," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 739-761.
- Macchiarelli, Corrado, 2011.
"A VAR analysis for the uncovered interest parity and the ex-ante purchasing power parity: the role of macroeconomic and financial information,"
Working Paper Series
1404, European Central Bank.
- Corrado Macchiarelli, 2013. "On the Joint Test of the Uncovered Interest Parity and the Ex-ante Purchasing Power Parity," Review of International Economics, Wiley Blackwell, vol. 21(3), pages 519-535, August.
- Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2022. "Predicting future exchange rate changes based on interest rates and holding-period returns differentials net of the forward risk premium effects," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 694-715.
- Elias, Nikolaos & Smyrnakis, Dimitris & Tzavalis, Elias, 2024. "The forward premium anomaly and the currency carry trade hypothesis," The Quarterly Review of Economics and Finance, Elsevier, vol. 95(C), pages 203-218.
- Joan Llull, 2008. "The Impact of Immigration on Productivity," Working Papers wp2008_0802, CEMFI.
- Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
- Kempa, Bernd & Riedel, Jana, 2013. "Nonlinearities in exchange rate determination in a small open economy: Some evidence for Canada," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 268-278.
- Efthymios Argyropoulos & Nikolaos Elias & Dimitris Smyrnakis & Elias Tzavalis, 2021. "Can country-specific interest rate factors explain the forward premium anomaly?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 45(2), pages 252-269, April.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007.
"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks,"
Working Paper series
40_07, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
Cited by:
- Arvanitis Stelios & Demos Antonis, 2018.
"On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators,"
Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
- Stelios Arvanitis & Antonis Demos, 2014. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," DEOS Working Papers 1406, Athens University of Economics and Business.
- Carlos Trucíos & João H. G. Mazzeu & Marc Hallin & Luiz K. Hotta & Pedro L. Valls Pereira & Mauricio Zevallos, 2022.
"Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 41(1), pages 40-52, December.
- Marc Hallin & Luis K. Hotta & João H. G Mazzeu & Carlos Cesar Trucios-Maza & Pedro L. Valls Pereira & Mauricio Zevallos, 2019. "Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: a General Dynamic Factor Approach," Working Papers ECARES 2019-14, ULB -- Universite Libre de Bruxelles.
- Trucíos Maza, Carlos César & Mazzeu, João H. G. & Hallin, Marc & Hotta, Luiz Koodi & Pereira, Pedro L. Valls & Zevallos, Mauricio, 2019. "Forecasting conditional covariance matrices in high-dimensional time series: a general dynamic factor approach," Textos para discussão 505, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008.
"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
- Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2010.
"Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators,"
University of St. Gallen Department of Economics working paper series 2010
2010-09, Department of Economics, University of St. Gallen.
- Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2016. "Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 232-256, February.
- Barigozzi, Matteo & Hallin, Marc, 2017.
"Generalized dynamic factor models and volatilities: estimation and forecasting,"
Journal of Econometrics, Elsevier, vol. 201(2), pages 307-321.
- Barigozzi, Matteo & Hallin, Marc, 2017. "Generalized dynamic factor models and volatilities estimation and forecasting," LSE Research Online Documents on Economics 67455, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2015. "Generalized Dynamic Factor Models and Volatilities: Estimation and Forecasting," Working Papers ECARES ECARES 2015-22, ULB -- Universite Libre de Bruxelles.
- Ñíguez, Trino-Manuel & Perote, Javier, 2016.
"Multivariate moments expansion density: Application of the dynamic equicorrelation model,"
Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
- Trino-Manuel Ñíguez & Javier Perote, 2016. "Multivariate moments expansion density: application of the dynamic equicorrelation model," Working Papers 1602, Banco de España.
- Calvet, Laurent E. & Czellar, Veronika, 2015.
"Through the looking glass: Indirect inference via simple equilibria,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
- Laurent E. Calvet & Veronika Czellar, 2014. "Through the Looking Glass: Indirect Inference via Simple Equilibria," Working Papers hal-02058272, HAL.
- Laurent E. Calvet & Veronika Czellar, 2015. "Through the Looking Glass : Indirect Inference via Simple Equilibria," Post-Print hal-02313236, HAL.
- Calvet , Laurent & Czellar, Veronika, 2013. "Through the Looking Glass: Indirect Inference via Simple Equilibria," HEC Research Papers Series 1048, HEC Paris.
- Matteo Barigozzi & Marc Hallin, 2023.
"Dynamic Factor Models: a Genealogy,"
Working Papers ECARES
2023-15, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2023. "Dynamic Factor Models: a Genealogy," Papers 2310.17278, arXiv.org, revised Jan 2024.
- Araújo, Fabio & Issler, João Victor, 2011. "A stochastic discount factor approach to asset pricing using panel data asymptotics," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 717, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018.
"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- Barigozzi, Matteo & Hallin, Mark, 2015.
"Generalized dynamic factor models and volatilities: recovering the market volatility shocks,"
LSE Research Online Documents on Economics
60980, London School of Economics and Political Science, LSE Library.
- Matteo Barigozzi & Marc Hallin, 2014. "Generalized Dynamic Factor Models and Volatilities. Recovering the Market Volatility Shocks," Working Papers ECARES ECARES 2014-52, ULB -- Universite Libre de Bruxelles.
- Matteo Barigozzi & Marc Hallin, 2016. "Generalized dynamic factor models and volatilities: recovering the market volatility shocks," Econometrics Journal, Royal Economic Society, vol. 19(1), pages 33-60, February.
- Matteo Barigozzi & Marc Hallin, 2018.
"Generalized Dynamic Factor Models and Volatilities: Consistency, rates, and prediction intervals,"
Papers
1811.10045, arXiv.org, revised Jul 2019.
- Barigozzi, Matteo & Hallin, Marc, 2020. "Generalized dynamic factor models and volatilities: Consistency, rates, and prediction intervals," Journal of Econometrics, Elsevier, vol. 216(1), pages 4-34.
- Matteo Barigozzi & Marc Hallin, 2018. "Generalized Dynamic Factor Models and Volatilities: Consistency, Rates, and Prediction Intervals," Working Papers ECARES 2018-33, ULB -- Universite Libre de Bruxelles.
- Kim, Donggyu & Fan, Jianqing, 2019. "Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction," Journal of Econometrics, Elsevier, vol. 208(2), pages 395-417.
- Enrique Sentana, 2018.
"Volatility, Diversification and Contagion,"
Working Papers
wp2018_1803, CEMFI.
- Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
- Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014.
"Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
- Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012. "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz 2012-31, Department of Economics, University of Konstanz.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
- Matteo Barigozzi & Marc Hallin, 2015.
"Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series,"
Papers
1510.05118, arXiv.org, revised Jul 2016.
- Matteo Barigozzi & Marc Hallin, 2015. "Networks, Dynamic Factors, and the Volatility Analysis of High-Dimensional Financial Series," Working Papers ECARES ECARES 2015-34, ULB -- Universite Libre de Bruxelles.
- Fabrizio Cipollini & Giampiero M. Gallo, 2018.
"Modeling Euro STOXX 50 Volatility with Common and Market–specific Components,"
Working Paper series
18-26, Rimini Centre for Economic Analysis.
- Cipollini, Fabrizio & Gallo, Giampiero M., 2019. "Modeling Euro STOXX 50 volatility with common and market-specific components," Econometrics and Statistics, Elsevier, vol. 11(C), pages 22-42.
- Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013.
"Dynamic factor Value-at-Risk for large heteroskedastic portfolios,"
Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
- Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Anna Gottard & Giorgio Calzolari, 2014. "Alternative estimating procedures for multiple membership logit models with mixed effects: indirect inference and data cloning," Econometrics Working Papers Archive 2014_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Giorgio Calzolari & Roxana Halbleib & Christian Mucher, 2023. "Sequential Estimation of Multivariate Factor Stochastic Volatility Models," Papers 2302.07052, arXiv.org.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Alperovych, Yan & Cumming, Douglas & Czellar, Veronika & Groh, Alexander, 2021. "M&A rumors about unlisted firms," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1324-1339.
- Philip L. H. Yu & W. K. Li & F. C. Ng, 2017. "The Generalized Conditional Autoregressive Wishart Model for Multivariate Realized Volatility," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 513-527, October.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Gabriele Fiorentini & Enrique Sentana, 2007.
"On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models,"
Working Papers
wp2007_0713, CEMFI.
- 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.
Cited by:
- Yusuke Kamishiro & Roberto Serrano, 2009.
"Equilibrium blocking in large quasilinear economies,"
Working Papers
2009-12, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers wp2009_0911, CEMFI.
- Yusuke Kamishiro & Roberto Serrano, 2009. "Equilibrium Blocking in Large Quasilinear Economies," Working Papers 2009-12, Brown University, Department of Economics.
- Roberto Serrano, 2009.
"On Watson's Non-Forcing Contracts and Renegotiation,"
Economics Bulletin, AccessEcon, vol. 29(3), pages 2350-2360.
- Roberto Serrano, 2009. "On Watson’s Non-Forcing Contracts and Renegotiation," Working Papers wp2009_0907, CEMFI.
- Roberto Serrano, 2004. "On Watson's Non-Forcing Contracts and Renegotiation," Economics Working Papers 0041, Institute for Advanced Study, School of Social Science.
- Roberto Serrano, 2004. "On WatsonÃs Non-Forcing Contracts and Renegotiation," Working Papers 2004-03, Brown University, Department of Economics.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification? (Resumen)," Working Papers wp2009_0905, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2023.
"Score-type tests for normal mixtures,"
CIRANO Working Papers
2023s-02, CIRANO.
- Dante Amengual & Xinyue Bei & Marine Carrasco & Enrique Sentana, 2022. "Score-type tests for normal mixtures," Working Papers wp2022_2213, CEMFI.
- Pedro Godinho & Pedro Cerqueira, 2018.
"The Impact of Expectations, Match Importance, and Results in the Stock Prices of European Football Teams,"
Journal of Sports Economics, , vol. 19(2), pages 230-278, February.
- Pedro Godinho & Pedro Cerqueira, 2014. "The Impact of Expectations, Match Importance and Results in the Stock Prices of European Football Teams," GEMF Working Papers 2014-09, GEMF, Faculty of Economics, University of Coimbra.
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- David Martinez-Miera & Rafael Repullo, 2010.
"Does Competition Reduce the Risk of Bank Failure?,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(10), pages 3638-3664, October.
- David Martinez-Miera & Rafael Repullo, 2008. "Does Competition Reduce the Risk of Bank Failure?," Working Papers wp2008_0801, CEMFI.
- Repullo, Rafael & Martinez-Miera, David, 2008. "Does Competition Reduce the Risk of Bank Failure?," CEPR Discussion Papers 6669, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"New testing approaches for mean-variance predictability,"
Working Paper series
19-01, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2021. "New testing approaches for mean–variance predictability," Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Ñíguez, Trino-Manuel & Perote, Javier, 2016.
"Multivariate moments expansion density: Application of the dynamic equicorrelation model,"
Journal of Banking & Finance, Elsevier, vol. 72(S), pages 216-232.
- Trino-Manuel Ñíguez & Javier Perote, 2016. "Multivariate moments expansion density: application of the dynamic equicorrelation model," Working Papers 1602, Banco de España.
- Roberto Serrano & Rajiv Vohra, 2009.
"Multiplicity of Mixed Equilibria in Mechanisms: a Unified Approach ot Exact and Approximate Implementation,"
Working Papers
2009-11, Brown University, Department of Economics.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Working Papers 2009-08, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
- Roberto Serrano & Rajiv Vohra, 2009. "Multiplicity of Mixed Equilibria in Mechanisms: A Unified Approach to Exact and Approximate Implementation," Working Papers wp2009_0908, CEMFI.
- Serrano, Roberto & Vohra, Rajiv, 2010. "Multiplicity of mixed equilibria in mechanisms: A unified approach to exact and approximate implementation," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 775-785, September.
- Javier Mencía & Enrique Sentana, 2009.
"Distributional tests in multivariate dynamic models with Normal and Student t innovations,"
Working Papers
0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- Amengual, Dante & Sentana, Enrique, 2010.
"A comparison of mean-variance efficiency tests,"
Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
- Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
- Rafael Repullo & Javier Suarez, 2008.
"The Procyclical Effects of Basel II,"
Working Papers
wp2008_0809, CEMFI.
- Repullo, Rafael & Suarez, Javier, 2008. "The Procyclical Effects of Basel II," CEPR Discussion Papers 6862, C.E.P.R. Discussion Papers.
- Max Bruche, 2009. "Bankruptcy Codes, Liquidation Timing, and Debt Valuation," Working Papers wp2009_0902, CEMFI.
- Martín Almuzara & Dante Amengual & Enrique Sentana, 2019.
"Normality tests for latent variables,"
Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
- Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Working Paper series
18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- Gabriele Fiorentini & Enrique Sentana, 2020.
"Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions,"
Working Papers
wp2020_2023, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2023. "Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions," Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
- Enrique Sentana, 2008.
"The Econometrics of Mean-Variance Efficiency Tests: A Survey,"
Working Papers
wp2008_0807, CEMFI.
- Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
- Neifar, Malika, 2020. "Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets," MPRA Paper 99658, University Library of Munich, Germany.
- Joan Llull, 2008. "The Impact of Immigration on Productivity," Working Papers wp2008_0802, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004.
"Indirect Estimation of Conditionally Heteroskedastic Factor Models,"
Working Papers
wp2004_0409, CEMFI.
Cited by:
- Abel Elizalde & Rafael Repullo, 2004.
"Economic and Regulatory Capital. What Is the Difference?,"
Working Papers
wp2004_0422, CEMFI.
- Repullo, Rafael & Elizalde, Abel, 2004. "Economic and Regulatory Capital: What is the Difference?," CEPR Discussion Papers 4770, C.E.P.R. Discussion Papers.
- Beatriz Domínguez & Juan José Ganuza & Gerard Llobet, 2005.
"R&D in the pharmaceutical industry: A world of small innovations,"
Economics Working Papers
936, Department of Economics and Business, Universitat Pompeu Fabra.
- Juan-José Ganuza & Gerard Llobet & Beatriz Domínguez, 2009. "R& D in the Pharmaceutical Industry: A World of Small Innovations," Management Science, INFORMS, vol. 55(4), pages 539-551, April.
- Beatriz Domínguez & Juan-José Ganuza & Gerard Llobet, 2006. "R&D in the Pharmaceutical Industry: A World of Small Innovations," Working Papers wp2006_0601, CEMFI.
- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008.
"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
- Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Dovonon, Prosper, 2008.
"Conditionally heteroskedastic factor models with skewness and leverage effects,"
MPRA Paper
40206, University Library of Munich, Germany, revised Feb 2012.
- Prosper Dovonon, 2013. "Conditionally Heteroskedastic Factor Models With Skewness And Leverage Effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1110-1137, November.
- Javier Diaz-Gimenez & Josep Pijoan-Mas, 2006.
"Flat Tax Reforms in the U.S.: a Boon for the Income Poor,"
Computing in Economics and Finance 2006
400, Society for Computational Economics.
- DÃaz-Giménez, Javier & Pijoan-Mas, Josep, 2006. "Flat Tax Reforms in the US: A Boon for the Income Poor," CEPR Discussion Papers 5812, C.E.P.R. Discussion Papers.
- Javier Díaz-Giménez & Josep Pijoan-Mas, 2006. "Flat Tax Reforms in the U.S.: A Boon for the Income Poor," Working Papers wp2006_0611, CEMFI.
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003.
"Likelihood-based estimation of latent generalised ARCH structures,"
FMG Discussion Papers
dp453, Financial Markets Group.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
- José Cerón & Javier Suarez, 2006.
"Hot and Cold Housing Markets: International Evidence,"
Working Papers
wp2006_0603, CEMFI.
- Suarez, Javier & Ceron, Jose A., 2006. "Hot and Cold Housing Markets: International Evidence," CEPR Discussion Papers 5411, C.E.P.R. Discussion Papers.
- Broto, Carmen, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Broto, Carmen, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto, Carmen, 2003.
"Unobserved component models with asymmetric conditional variances,"
DES - Working Papers. Statistics and Econometrics. WS
ws032003, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
- Aleix Calveras & Juan José Ganuza & Gerard Llobet, 2005.
"Regulation and opportunism: How much activism do we need?,"
Economics Working Papers
935, Department of Economics and Business, Universitat Pompeu Fabra.
- Aleix Calveras & Juan-José Ganuza & Gerard Llobet, 2005. "Regulation and Opportunism: How Much Activism Do We Need?," Working Papers wp2005_0508, CEMFI.
- Abel Elizalde & Rafael Repullo, 2004.
"Economic and Regulatory Capital. What Is the Difference?,"
Working Papers
wp2004_0422, CEMFI.
- F. Javier Mencía & Enrique Sentana, 2004.
"Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations,"
Working Papers
wp2004_0411, CEMFI.
- Sentana, Enrique & MencÃa, Javier, 2005. "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers.
- Mencia, Javier F. & Sentana, Enrique, 2004. "Estimation and testing of dynamic models with generalised hyperbolic innovations," LSE Research Online Documents on Economics 24742, London School of Economics and Political Science, LSE Library.
- Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group.
Cited by:
- Abel Elizalde & Rafael Repullo, 2004.
"Economic and Regulatory Capital. What Is the Difference?,"
Working Papers
wp2004_0422, CEMFI.
- Repullo, Rafael & Elizalde, Abel, 2004. "Economic and Regulatory Capital: What is the Difference?," CEPR Discussion Papers 4770, C.E.P.R. Discussion Papers.
- Beatriz Domínguez & Juan José Ganuza & Gerard Llobet, 2005.
"R&D in the pharmaceutical industry: A world of small innovations,"
Economics Working Papers
936, Department of Economics and Business, Universitat Pompeu Fabra.
- Juan-José Ganuza & Gerard Llobet & Beatriz Domínguez, 2009. "R& D in the Pharmaceutical Industry: A World of Small Innovations," Management Science, INFORMS, vol. 55(4), pages 539-551, April.
- Beatriz Domínguez & Juan-José Ganuza & Gerard Llobet, 2006. "R&D in the Pharmaceutical Industry: A World of Small Innovations," Working Papers wp2006_0601, CEMFI.
- Lanne, Markku & Saikkonen, Pentti, 2005.
"A Multivariate Generalized Orthogonal Factor GARCH Model,"
MPRA Paper
23714, University Library of Munich, Germany.
- Lanne, Markku & Saikkonen, Pentti, 2007. "A Multivariate Generalized Orthogonal Factor GARCH Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 61-75, January.
- Chen, Heng & Fan, Yanqin & Wu, Jisong, 2014. "A flexible parametric approach for estimating switching regime models and treatment effect parameters," Journal of Econometrics, Elsevier, vol. 181(2), pages 77-91.
- Lucas, André & Schwaab, Bernd & Zhang, Xin, 2015.
"Modeling financial sector joint tail risk in the euro area,"
Working Paper Series
308, Sveriges Riksbank (Central Bank of Sweden).
- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2015. "Modeling financial sector joint tail risk in the euro area," Working Paper Series 1837, European Central Bank.
- André Lucas & Bernd Schwaab & Xin Zhang, 2017. "Modeling Financial Sector Joint Tail Risk in the Euro Area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 171-191, January.
- Neil Shephard & Ole E. Barndorff-Nielsen, 2012.
"Basics of Levy processes,"
Economics Series Working Papers
610, University of Oxford, Department of Economics.
- Ole E. Barndorff-Nielsen & Neil Shephard, 2012. "Basics of Levy processes," Economics Papers 2012-W06, Economics Group, Nuffield College, University of Oxford.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ole Eiler Barndorff‐Nielsen & Robert Stelzer, 2005. "Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 32(4), pages 617-637, December.
- Scott, David J & Würtz, Diethelm & Dong, Christine & Tran, Thanh Tam, 2009.
"Moments of the generalized hyperbolic distribution,"
MPRA Paper
19081, University Library of Munich, Germany.
- David Scott & Diethelm Würtz & Christine Dong & Thanh Tran, 2011. "Moments of the generalized hyperbolic distribution," Computational Statistics, Springer, vol. 26(3), pages 459-476, September.
- Tzougas, George & Karlis, Dimitris, 2020. "An EM algorithm for fitting a new class of mixed exponential regression models with varying dispersion," LSE Research Online Documents on Economics 104027, London School of Economics and Political Science, LSE Library.
- Javier Diaz-Gimenez & Josep Pijoan-Mas, 2006.
"Flat Tax Reforms in the U.S.: a Boon for the Income Poor,"
Computing in Economics and Finance 2006
400, Society for Computational Economics.
- DÃaz-Giménez, Javier & Pijoan-Mas, Josep, 2006. "Flat Tax Reforms in the US: A Boon for the Income Poor," CEPR Discussion Papers 5812, C.E.P.R. Discussion Papers.
- Javier Díaz-Giménez & Josep Pijoan-Mas, 2006. "Flat Tax Reforms in the U.S.: A Boon for the Income Poor," Working Papers wp2006_0611, CEMFI.
- Lucas, André & Schwaab, Bernd & Zhang, Xin, 2013.
"Conditional euro area sovereign default risk,"
Working Paper Series
269, Sveriges Riksbank (Central Bank of Sweden).
- André Lucas & Bernd Schwaab & Xin Zhang, 2014. "Conditional Euro Area Sovereign Default Risk," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 271-284, April.
- Olmo, José, 2007.
"The impact of heavy tails and comovements in downside-risk diversification,"
UC3M Working papers. Economics
we20070208, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Gonzalo, J. & Olmo, J., 2007. "The impact of heavy tails and comovements in downside-risk diversification," Working Papers 07/02, Department of Economics, City University London.
- José Cerón & Javier Suarez, 2006.
"Hot and Cold Housing Markets: International Evidence,"
Working Papers
wp2006_0603, CEMFI.
- Suarez, Javier & Ceron, Jose A., 2006. "Hot and Cold Housing Markets: International Evidence," CEPR Discussion Papers 5411, C.E.P.R. Discussion Papers.
- Pei Pei, 2010. "Backtesting Portfolio Value-at-Risk with Estimated Portfolio Weights," CAEPR Working Papers 2010-010, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Schwaab, Bernd & Lucas, André & Zhang, Xin, 2013. "Conditional and joint credit risk," Working Paper Series 1621, European Central Bank.
- Abel Elizalde, 2006. "Credit Risk Models IV: Understanding and Pricing CDOs," Working Papers wp2006_0608, CEMFI.
- Catania, Leopoldo & Grassi, Stefano, 2022. "Forecasting cryptocurrency volatility," International Journal of Forecasting, Elsevier, vol. 38(3), pages 878-894.
- Zaichao Du & Pei Pei, 2020. "Backtesting portfolio value‐at‐risk with estimated portfolio weights," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 605-619, September.
- 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.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Xin Zhang & Drew Creal & Siem Jan Koopman & Andre Lucas, 2011. "Modeling Dynamic Volatilities and Correlations under Skewness and Fat Tails," Tinbergen Institute Discussion Papers 11-078/2/DSF22, Tinbergen Institute.
- Aleix Calveras & Juan José Ganuza & Gerard Llobet, 2005.
"Regulation and opportunism: How much activism do we need?,"
Economics Working Papers
935, Department of Economics and Business, Universitat Pompeu Fabra.
- Aleix Calveras & Juan-José Ganuza & Gerard Llobet, 2005. "Regulation and Opportunism: How Much Activism Do We Need?," Working Papers wp2005_0508, CEMFI.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2009.
"Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience,"
Working Papers
0905, University of Nevada, Las Vegas , Department of Economics.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
- Andre Lucas & Bernd Schwaab & Xin Zhang, 2013. "Measuring Credit Risk in a Large Banking System: Econometric Modeling and Empirics," Tinbergen Institute Discussion Papers 13-063/IV/DSF56, Tinbergen Institute, revised 13 Oct 2014.
- Francisco Peñaranda & Enrique Sentana, 2004.
"Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach,"
Working Papers
wp2004_0410, CEMFI.
- Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
- 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.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2008. "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
Cited by:
- Abel Elizalde & Rafael Repullo, 2004.
"Economic and Regulatory Capital. What Is the Difference?,"
Working Papers
wp2004_0422, CEMFI.
- Repullo, Rafael & Elizalde, Abel, 2004. "Economic and Regulatory Capital: What is the Difference?," CEPR Discussion Papers 4770, C.E.P.R. Discussion Papers.
- Beatriz Domínguez & Juan José Ganuza & Gerard Llobet, 2005.
"R&D in the pharmaceutical industry: A world of small innovations,"
Economics Working Papers
936, Department of Economics and Business, Universitat Pompeu Fabra.
- Juan-José Ganuza & Gerard Llobet & Beatriz Domínguez, 2009. "R& D in the Pharmaceutical Industry: A World of Small Innovations," Management Science, INFORMS, vol. 55(4), pages 539-551, April.
- Beatriz Domínguez & Juan-José Ganuza & Gerard Llobet, 2006. "R&D in the Pharmaceutical Industry: A World of Small Innovations," Working Papers wp2006_0601, CEMFI.
- Sentana, Enrique & Peñaranda, Francisco, 2007.
"Duality in Mean-Variance Frontiers with Conditioning Information,"
CEPR Discussion Papers
6566, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers wp2007_0715, CEMFI.
- Peñaranda, Francisco & Sentana, Enrique, 2016. "Duality in mean-variance frontiers with conditioning information," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018.
"Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment,"
BAFFI CAREFIN Working Papers
1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," Working Papers 627, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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- Antonio Diez de los Rios, 2013.
"A New Linear Estimator for Gaussian Dynamic Term Structure Models,"
Staff Working Papers
13-10, Bank of Canada.
- Antonio Diez de Los Rios, 2015. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 282-295, April.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012.
"Inference on Sets in Finance,"
Papers
1211.4282, arXiv.org.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on sets in finance," CeMMAP working papers CWP04/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on sets in finance," CeMMAP working papers 04/12, Institute for Fiscal Studies.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2015. "Inference on sets in finance," Quantitative Economics, Econometric Society, vol. 6(2), pages 309-358, July.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on sets in finance," CeMMAP working papers 46/12, Institute for Fiscal Studies.
- Victor Chernozhukov & Emre Kocatulum & Konrad Menzel, 2012. "Inference on sets in finance," CeMMAP working papers CWP46/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Stelios Arvanitis & O. Scaillet & Nikolas Topaloglou, 2020.
"Spanning analysis of stock market anomalies under Prospect Stochastic Dominance,"
Swiss Finance Institute Research Paper Series
20-18, Swiss Finance Institute.
- Arvanitis, Stelios & Scaillet, Olivier & Topaloglou, Nikolas, 2020. "Spanning analysis of stock market anomalies under prospect stochastic dominance," Working Papers unige:134101, University of Geneva, Geneva School of Economics and Management.
- Stelios Arvanitis & Olivier Scaillet & Nikolas Topaloglou, 2020. "Spanning analysis of stock market anomalies under Prospect Stochastic Dominance," Papers 2004.02670, arXiv.org.
- Gur Huberman & Zhenyu Wang, 2005. "Arbitrage pricing theory," Staff Reports 216, Federal Reserve Bank of New York.
- Nicky Grant, 2013. "Identification Robust Inference with Singular Variance," Economics Discussion Paper Series 1315, Economics, The University of Manchester.
- Francisco Peñaranda & Enrique Sentana, 2010.
"A Unifying Approach to the Empirical Evaluation of Asset Pricing Models,"
Working Papers
wp2010_1004, CEMFI.
- Francisco Peñaranda & Enrique Sentana, 2015. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers 488, Barcelona School of Economics.
- Sentana, Enrique & Peñaranda, Francisco, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," CEPR Discussion Papers 7943, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2010. "A unifying approach to the empirical evaluation of asset pricing models," Economics Working Papers 1229, Department of Economics and Business, Universitat Pompeu Fabra.
- Francisco Peñaranda & Enrique Sentana, 2015. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 412-435, May.
- Javier Diaz-Gimenez & Josep Pijoan-Mas, 2006.
"Flat Tax Reforms in the U.S.: a Boon for the Income Poor,"
Computing in Economics and Finance 2006
400, Society for Computational Economics.
- DÃaz-Giménez, Javier & Pijoan-Mas, Josep, 2006. "Flat Tax Reforms in the US: A Boon for the Income Poor," CEPR Discussion Papers 5812, C.E.P.R. Discussion Papers.
- Javier Díaz-Giménez & Josep Pijoan-Mas, 2006. "Flat Tax Reforms in the U.S.: A Boon for the Income Poor," Working Papers wp2006_0611, CEMFI.
- Francisco Peñaranda & Enrique Sentana, 2008.
"Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach,"
Economics Working Papers
1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- 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.
- Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
- Diez de los Rios, Antonio, 2015. "Optimal asymptotic least squares estimation in a singular set-up," Economics Letters, Elsevier, vol. 128(C), pages 83-86.
- José Cerón & Javier Suarez, 2006.
"Hot and Cold Housing Markets: International Evidence,"
Working Papers
wp2006_0603, CEMFI.
- Suarez, Javier & Ceron, Jose A., 2006. "Hot and Cold Housing Markets: International Evidence," CEPR Discussion Papers 5411, C.E.P.R. Discussion Papers.
- Sermin Gungor & Richard Luger, 2013.
"Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances,"
Staff Working Papers
13-16, Bank of Canada.
- Sermin Gungor & Richard Luger, 2016. "Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(2), pages 161-175, April.
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"Tests of Mean-Variance Spanning,"
CEMA Working Papers
539, China Economics and Management Academy, Central University of Finance and Economics.
- Raymond Kan & Guofu Zhou, 2012. "Tests of Mean-Variance Spanning," Annals of Economics and Finance, Society for AEF, vol. 13(1), pages 139-187, May.
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- Caio Vigo Pereira & Marcio Laurini, 2020. "Portfolio Efficiency Tests with Conditioning Information - Comparing GMM and GEL Estimators," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202014, University of Kansas, Department of Economics, revised Sep 2020.
- Aleix Calveras & Juan José Ganuza & Gerard Llobet, 2005.
"Regulation and opportunism: How much activism do we need?,"
Economics Working Papers
935, Department of Economics and Business, Universitat Pompeu Fabra.
- Aleix Calveras & Juan-José Ganuza & Gerard Llobet, 2005. "Regulation and Opportunism: How Much Activism Do We Need?," Working Papers wp2005_0508, CEMFI.
- Fousseni Chabi-Yo & René Garcia & Eric Renault, 2005. "The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments," Staff Working Papers 05-2, Bank of Canada.
- Yoshihiko Nishiyama & Peter Robinson, 2004. "The bootstrap and the Edgeworth correction for semiparametric averaged derivatives," CeMMAP working papers 12/04, Institute for Fiscal Studies.
- Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda & Melin, Olena, 2023. "Identification-robust beta pricing, spanning, mimicking portfolios, and the benchmark neutrality of catastrophe bonds," Journal of Econometrics, Elsevier, vol. 236(1).
- Antonio Diez de los Rios, 2017. "Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions," Staff Working Papers 17-33, Bank of Canada.
- David T. Frazier & Eric Renault, 2016. "Indirect Inference With(Out) Constraints," Papers 1607.06163, arXiv.org, revised Aug 2019.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003.
"On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models,"
Working Papers
wp2003_0306, CEMFI.
- Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004. "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
Cited by:
- Abel Elizalde & Rafael Repullo, 2004.
"Economic and Regulatory Capital. What Is the Difference?,"
Working Papers
wp2004_0422, CEMFI.
- Repullo, Rafael & Elizalde, Abel, 2004. "Economic and Regulatory Capital: What is the Difference?," CEPR Discussion Papers 4770, C.E.P.R. Discussion Papers.
- Jin, Xiaoye, 2015. "Volatility transmission and volatility impulse response functions among the Greater China stock markets," Journal of Asian Economics, Elsevier, vol. 39(C), pages 43-58.
- Christian Bontemps & Nour Meddahi, 2012.
"Testing distributional assumptions: A GMM aproach,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, September.
- Christian Bontemps & Nour Meddahi, 2012. "Testing distributional assumptions: A GMM aproach," Post-Print hal-02875123, HAL.
- Bontemps, Christian & Meddahi, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse.
- N. Meddahi & C. Bontemps, 2004. "Testing Distributional Assumptions: A GMM Approach," Econometric Society 2004 North American Winter Meetings 487, Econometric Society.
- Le Pen, Yannick & Sévi, Benoît, 2010.
"Volatility transmission and volatility impulse response functions in European electricity forward markets,"
Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
- Yannick LE PEN & Benoît SEVI, 2008. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Cahiers du CREDEN (CREDEN Working Papers) 08.09.77, CREDEN (Centre de Recherche en Economie et Droit de l'Energie), Faculty of Economics, University of Montpellier 1.
- Zavadska, Miroslava & Morales, Lucía & Coughlan, Joseph, 2020. "Brent crude oil prices volatility during major crises," Finance Research Letters, Elsevier, vol. 32(C).
- 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.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- Lee, Sangyeol & Ng, Chi Tim, 2011. "Normality test for multivariate conditional heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 111(1), pages 75-77, April.
- Mohamed Boutahar, 2010. "Behaviour of skewness, kurtosis and normality tests in long memory data," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(2), pages 193-215, June.
- Javier Mencía & Enrique Sentana, 2009.
"Distributional tests in multivariate dynamic models with Normal and Student t innovations,"
Working Papers
0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- 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).
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003.
"On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models,"
Working Papers
wp2003_0306, CEMFI.
- Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004. "On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models," Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
- Martín Almuzara & Dante Amengual & Enrique Sentana, 2019.
"Normality tests for latent variables,"
Quantitative Economics, Econometric Society, vol. 10(3), pages 981-1017, July.
- Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.
- Mencia, Javier F. & Sentana, Enrique, 2004.
"Estimation and testing of dynamic models with generalised hyperbolic innovations,"
LSE Research Online Documents on Economics
24742, London School of Economics and Political Science, LSE Library.
- Sentana, Enrique & MencÃa, Javier, 2005. "Estimation and Testing of Dynamic Models with Generalized Hyperbolic Innovations," CEPR Discussion Papers 5177, C.E.P.R. Discussion Papers.
- Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers dp502, Financial Markets Group.
- F. Javier Mencía & Enrique Sentana, 2004. "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," Working Papers wp2004_0411, CEMFI.
- Jin, Xiaoye, 2015. "Asymmetry in return and volatility spillover between China's interbank and exchange T-bond markets," International Review of Economics & Finance, Elsevier, vol. 37(C), pages 340-353.
- Josep Pijoan-Mas, 2006.
"Precautionary Savings or Working Longer Hours?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(2), pages 326-352, April.
- Pijoan-Mas, Josep, 2005. "Precautionary Savings or Working Longer Hours?," CEPR Discussion Papers 5322, C.E.P.R. Discussion Papers.
- Josep Pijoan-Mas, 2003. "Precautionary Savings or Working Longer Hours?," Working Papers wp2003_0311, CEMFI.
- Josep Pijoan-Mas, 2004. "Precautionary Savings or Working Longer Hours?," 2004 Meeting Papers 350, Society for Economic Dynamics.
- 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.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Christian Bontemps, 2019.
"Moment-Based Tests under Parameter Uncertainty,"
Post-Print
hal-02004687, HAL.
- Christian Bontemps, 2019. "Moment-Based Tests under Parameter Uncertainty," The Review of Economics and Statistics, MIT Press, vol. 101(1), pages 146-159, March.
- Bontemps, Christian, 2018. "Moment-based tests under parameter uncertainty," IDEI Working Papers 18-883, Institut d'Économie Industrielle (IDEI), Toulouse.
- Jin, Xiaoye & An, Ximeng, 2016. "Global financial crisis and emerging stock market contagion: A volatility impulse response function approach," Research in International Business and Finance, Elsevier, vol. 36(C), pages 179-195.
- Fresoli, Diego Eduardo, 2014.
"The uncertainty of conditional returns, volatilities and correlations in DCC models,"
DES - Working Papers. Statistics and Econometrics. WS
ws140202, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fresoli, Diego E. & Ruiz, Esther, 2016. "The uncertainty of conditional returns, volatilities and correlations in DCC models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
- Aleix Calveras & Juan José Ganuza & Gerard Llobet, 2005.
"Regulation and opportunism: How much activism do we need?,"
Economics Working Papers
935, Department of Economics and Business, Universitat Pompeu Fabra.
- Aleix Calveras & Juan-José Ganuza & Gerard Llobet, 2005. "Regulation and Opportunism: How Much Activism Do We Need?," Working Papers wp2005_0508, CEMFI.
- Bontemps, Christian, 2013. "Moment-Based Tests for Discrete Distributions," IDEI Working Papers 772, Institut d'Économie Industrielle (IDEI), Toulouse, revised Oct 2014.
- Chen, Yi-Ting, 2012. "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 427-453.
- Maxand, Simone, 2020. "Identification of independent structural shocks in the presence of multiple Gaussian components," Econometrics and Statistics, Elsevier, vol. 16(C), pages 55-68.
- Raïssi, Hamdi, 2018. "Testing normality for unconditionally heteroscedastic macroeconomic variables," Economic Modelling, Elsevier, vol. 70(C), pages 140-146.
- Neil Shephard & Enrique Sentana & Gabriele Fiorentini, 2003.
"Likelihood-based estimation of latent generalised ARCH,"
Economics Series Working Papers
2004-FE-02, University of Oxford, Department of Economics.
Cited by:
- 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.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Catherine Doz & Eric Renault, 2004.
"Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation,"
THEMA Working Papers
2004-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Catherine Doz & Eric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
- Broto, Carmen, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- 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.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002.
"Likelihood-Based Estimation of Latent Generalised ARCH Structures,"
Working Papers
wp2002_0204, CEMFI.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
Cited by:
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- Neil Shephard & Kevin Sheppard & Robert F. Engle, 2008.
"Fitting vast dimensional time-varying covariance models,"
Economics Series Working Papers
403, University of Oxford, Department of Economics.
- Robert Engle & Neil Shephard & Kevin Shepphard, 2008. "Fitting vast dimensional time-varying covariance models," OFRC Working Papers Series 2008fe30, Oxford Financial Research Centre.
- Cavit Pakel & Neil Shephard & Kevin Sheppard & Robert F. Engle, 2021. "Fitting Vast Dimensional Time-Varying Covariance Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(3), pages 652-668, July.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- Alain Hecq & Franz C. Palm & Sébastien Laurent, 2016.
"On the Univariate Representation of BEKK Models with Common Factors,"
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hal-01440307, HAL.
- Hecq Alain & Laurent Sébastien & Palm Franz C., 2016. "On the Univariate Representation of BEKK Models with Common Factors," Journal of Time Series Econometrics, De Gruyter, vol. 8(2), pages 91-113, July.
- Hecq, A.W. & Palm, F.C. & Laurent, S.F.J.A., 2012. "On the univariate representation of BEKK models with common factors," Research Memorandum 018, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015.
"Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation,"
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wp2015_1502, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," Working Papers 1525, Banco de España.
- Sentana, Enrique & Galesi, Alessandro, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," CEPR Discussion Papers 10461, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 215-282, Emerald Group Publishing Limited.
- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008.
"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
- Erie Febrian & Aldrin Herwany, 2010.
"Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets,"
Working Papers in Business, Management and Finance
201005, Department of Management and Business, Padjadjaran University, revised May 2010.
- Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009.
- Dovonon, Prosper, 2008.
"Conditionally heteroskedastic factor models with skewness and leverage effects,"
MPRA Paper
40206, University Library of Munich, Germany, revised Feb 2012.
- Prosper Dovonon, 2013. "Conditionally Heteroskedastic Factor Models With Skewness And Leverage Effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1110-1137, November.
- 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.
- Poncela Blanco, Maria Pilar, 2020. "Factor extraction using Kalman filter and smoothing: this is not just another survey," DES - Working Papers. Statistics and Econometrics. WS 30644, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Dovonon, Prosper & Renault, Eric, 2011.
"Testing for Common GARCH Factors,"
MPRA Paper
40224, University Library of Munich, Germany.
- Prosper Dovonon & Eric Renault, 2012. "Testing for Common GARCH Factors," CIRANO Working Papers 2012s-34, CIRANO.
- Catherine Doz & Eric Renault, 2004.
"Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation,"
THEMA Working Papers
2004-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Catherine Doz & Eric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
- Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2010.
"Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators,"
University of St. Gallen Department of Economics working paper series 2010
2010-09, Department of Economics, University of St. Gallen.
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"Realising the future: forecasting with high frequency based volatility (HEAVY) models,"
Economics Series Working Papers
438, University of Oxford, Department of Economics.
- Neil Shephard & Kevin Sheppard, 2010. "Realising the future: forecasting with high-frequency-based volatility (HEAVY) models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 197-231.
- Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," Economics Papers 2009-W03, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard & Kevin Sheppard, 2009. "Realising the future: forecasting with high frequency based volatility (HEAVY) models," OFRC Working Papers Series 2009fe02, Oxford Financial Research Centre.
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"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
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- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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"Bootstrapping the GMM overidentification test under first-order underidentification,"
Journal of Econometrics, Elsevier, vol. 201(1), pages 43-71.
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"Stochastic Volatility: Origins and Overview,"
OFRC Working Papers Series
2008fe23, Oxford Financial Research Centre.
- Neil Shephard & Torben Andersen, 2008. "Stochastic Volatility: Origins and Overview," Economics Papers 2008-W04, Economics Group, Nuffield College, University of Oxford.
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- Neil Shephard, 2013.
"Martingale unobserved component models,"
Economics Papers
2013-W01, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard, 2013. "Martingale unobserved component models," Economics Series Working Papers 644, University of Oxford, Department of Economics.
- Prosper Dovonon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification," Economics Discussion Paper Series 1705, Economics, The University of Manchester.
- Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.
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"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
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- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
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"Dynamic Specification Tests for Dynamic Factor Models,"
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wp2013_1306, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo.
- Pesaran, M.H. & Zaffaroni, P., 2008.
"Optimal Asset Allocation with Factor Models for Large Portfolios,"
Cambridge Working Papers in Economics
0813, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Paolo Zaffaroni, 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series 2326, CESifo.
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"Jumps and betas: A new framework for disentangling and estimating systematic risks,"
Journal of Econometrics, Elsevier, vol. 157(2), pages 220-235, August.
- Viktor Todorov & Tim Bollerslev, 2007. "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks," CREATES Research Papers 2007-15, Department of Economics and Business Economics, Aarhus University.
- Kuruppuarachchi, Duminda & Premachandra, I.M., 2016. "Information spillover dynamics of the energy futures market sector: A novel common factor approach," Energy Economics, Elsevier, vol. 57(C), pages 277-294.
- Broto, Carmen, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Cecilia Frale & Stefano Grassi & Massimiliano Marcellino & Gianluigi Mazzi & Tommaso Proietti, 2013.
"EuroMInd-C: a Disaggregate Monthly Indicator of Economic Activity for the Euro Area and member countries,"
CEIS Research Paper
287, Tor Vergata University, CEIS, revised 01 Oct 2013.
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- Gourieroux, C. & Jasiak, J. & Sufana, R., 2009.
"The Wishart Autoregressive process of multivariate stochastic volatility,"
Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
- Joan Jasiak & R. Sufana & C. Gourieroux, 2005. "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers 2005_2, York University, Department of Economics.
- Broto, Carmen, 2003.
"Unobserved component models with asymmetric conditional variances,"
DES - Working Papers. Statistics and Econometrics. WS
ws032003, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
- Malik, Sheheryar & Pitt, Michael K., 2011. "Particle filters for continuous likelihood evaluation and maximisation," Journal of Econometrics, Elsevier, vol. 165(2), pages 190-209.
- Neil Shephard, 2005. "Stochastic Volatility," Economics Papers 2005-W17, Economics Group, Nuffield College, University of Oxford.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005.
"Volatility forecasting,"
CFS Working Paper Series
2005/08, Center for Financial Studies (CFS).
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," NBER Working Papers 11188, National Bureau of Economic Research, Inc.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Volatility Forecasting," PIER Working Paper Archive 05-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013.
"Dynamic factor Value-at-Risk for large heteroskedastic portfolios,"
Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
- Sirio Aramonte & Marius del Giudice Rodriguez & Jason J. Wu, 2011. "Dynamic factor value-at-risk for large, heteroskedastic portfolios," Finance and Economics Discussion Series 2011-19, Board of Governors of the Federal Reserve System (U.S.).
- Michael Creel, 2008.
"Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments,"
UFAE and IAE Working Papers
725.08, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC), revised 02 Jun 2008.
- Michael Creel & Dennis Kristensen, 2009. "Estimation of Dynamic Latent Variable Models Using Simulated Nonparametric Moments," UFAE and IAE Working Papers 792.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
- Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020.
"Inference in second-order identified models,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 346-372.
- Prosper Dovonon & Alastair R. Hall & Frank Kleibergen, 2017. "Inference in Second-Order Identified Models," Economics Discussion Paper Series 1703, Economics, The University of Manchester.
- Chew Lian Chua & G. C. Lim & Penelope Smith, 2008. "A Bayesian Simulation Approach to Inference on a Multi-State Latent Factor Intensity Model," Melbourne Institute Working Paper Series wp2008n16, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
- Pitt, Michael K. & Silva, Ralph dos Santos & Giordani, Paolo & Kohn, Robert, 2012. "On some properties of Markov chain Monte Carlo simulation methods based on the particle filter," Journal of Econometrics, Elsevier, vol. 171(2), pages 134-151.
- Lakshina, Valeriya, 2014. "Is it possible to break the «curse of dimensionality»? Spatial specifications of multivariate volatility models," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 36(4), pages 61-78.
- Borus Jungbacker & Siem Jan Koopman, 2015. "Likelihood‐based dynamic factor analysis for measurement and forecasting," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 1-21, June.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Borus Jungbacker & Siem Jan Koopman, 2008. "Likelihood-based Analysis for Dynamic Factor Models," Tinbergen Institute Discussion Papers 08-007/4, Tinbergen Institute, revised 20 Mar 2014.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Calzorali, Giorgio & Fiorentini, Gabriele & Sentana, Enrique, 2001.
"Constrained indirect inference estimation,"
LSE Research Online Documents on Economics
25061, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana, 2001. "Constrained Indirect Inference Estimation," FMG Discussion Papers dp384, Financial Markets Group.
Cited by:
- Demos, Antonis & Arvanitis, Stelios, 2010.
"Stochastic Expansions and Moment Approximations for Three Indirect Estimators,"
MPRA Paper
122369, University Library of Munich, Germany.
- Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
- Stelios Arvanitis & Antonis Demos, 2014.
"A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised),"
DEOS Working Papers
1411, Athens University of Economics and Business, revised 23 Sep 2014.
- Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
- Antonis Demos & Stelios Arvanitis, 2010. "A New Class of Indirect Estimators and Bias Correction," DEOS Working Papers 1023, Athens University of Economics and Business.
- Giorgio Calzolari & F. Mealli & C. Rampichini, 2001. "Alternative Simulation-Based Estimators of Logit Models with Random Effects," Econometrics Working Papers Archive quaderno48, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Enrique Sentana, 2001.
"Mean-Variance Portfolio Allocation with a Value at Risk Constraint,"
Working Papers
wp2001_0105, CEMFI.
- Sentana, Enrique, 2001. "Mean-variance portfolio allocation with a value at risk constraint," LSE Research Online Documents on Economics 25058, London School of Economics and Political Science, LSE Library.
- Enrique Sentana & Enrique Sentana, 2001. "Mean-Variance Portfolio allocation with a Value at Risk Constraint," FMG Discussion Papers dp380, Financial Markets Group.
- Sentana, Enrique, 2001. "Mean Variance Portfolio Allocation with a Value at Risk Constraint," CEPR Discussion Papers 2997, C.E.P.R. Discussion Papers.
- Sentana, E., 2001. "Mean-Variance Portfolio Allocation with a Value at Risk Constraint," Papers 0105, Centro de Estudios Monetarios Y Financieros-.
Cited by:
- Gordon J. Alexander & Alexandre M. Baptista, 2004. "A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model," Management Science, INFORMS, vol. 50(9), pages 1261-1273, September.
- Cuoco, Domenico & Liu, Hong, 2006. "An analysis of VaR-based capital requirements," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 362-394, July.
- Jordi Andreu & Salvador Torra, 2009. "Optimal market indices using value-at-risk: a first empirical approach for three stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 19(14), pages 1163-1170.
- Josep Pijoan-Mas, 2006.
"Precautionary Savings or Working Longer Hours?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(2), pages 326-352, April.
- Pijoan-Mas, Josep, 2005. "Precautionary Savings or Working Longer Hours?," CEPR Discussion Papers 5322, C.E.P.R. Discussion Papers.
- Josep Pijoan-Mas, 2003. "Precautionary Savings or Working Longer Hours?," Working Papers wp2003_0311, CEMFI.
- Josep Pijoan-Mas, 2004. "Precautionary Savings or Working Longer Hours?," 2004 Meeting Papers 350, Society for Economic Dynamics.
- Francesco Paolo Natale, 2008. "Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 8(6), pages 374-400, February.
- Kaplanski, Guy, 2005. "Analytical Portfolio Value-at-Risk," MPRA Paper 80216, University Library of Munich, Germany.
- Grau-Carles, Pilar & Sainz, Jorge & Otamendi, Javier & Doncel, Luis Miguel, 2009. "Different risk-adjusted fund performance measures: a comparison," Economics Discussion Papers 2009-54, Kiel Institute for the World Economy (IfW Kiel).
- Sentana, Enrique, 2000.
"Did the EMS Reduce the Cost of Capital?,"
CEPR Discussion Papers
2640, C.E.P.R. Discussion Papers.
- Enrique Sentana, 2002. "Did the EMS Reduce the Cost of Capital?," Economic Journal, Royal Economic Society, vol. 112(482), pages 786-809, October.
Cited by:
- Lieven de Moor & Piet Sercu, 2010.
"Country v sector effects in equity returns and the roles of geographical and firm-size coverage,"
ULB Institutional Repository
2013/191025, ULB -- Universite Libre de Bruxelles.
- Lieven Moor & Piet Sercu, 2010. "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," Small Business Economics, Springer, vol. 35(4), pages 433-448, November.
- Tomas Dvorak & Chris R. A. Geiregat, 2004. "Are the new and old EU countries financially integrated?," Department of Economics Working Papers 2004-09, Department of Economics, Williams College.
- Antonio Diez de los Rios, 2013.
"A New Linear Estimator for Gaussian Dynamic Term Structure Models,"
Staff Working Papers
13-10, Bank of Canada.
- Antonio Diez de Los Rios, 2015. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 282-295, April.
- Antonio Diez de los Rios, 2007.
"Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets,"
Staff Working Papers
07-29, Bank of Canada.
- Antonio Díez de los Ríos, 2003. "Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets," Economic Working Papers at Centro de Estudios Andaluces E2003/51, Centro de Estudios Andaluces.
- Antonio Díez de los Ríos, 2004. "Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets," Working Papers wp2004_0402, CEMFI.
- de los Rios, Antonio Diez, 2009. "Exchange rate regimes, globalisation, and the cost of capital in emerging markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 311-330, December.
- Marina Emiris, 2002. "Measuring capital market integration," BIS Papers chapters, in: Bank for International Settlements (ed.), Market functioning and central bank policy, volume 12, pages 200-221, Bank for International Settlements.
- Richard Podpiera & Tomás Dvorák, 2005.
"European Union Enlargement and Equity Markets in Accession Countries,"
IMF Working Papers
2005/182, International Monetary Fund.
- Dvorak, Tomas & Podpiera, Richard, 2005. "European Union enlargement and equity markets in accession countries," Working Paper Series 552, European Central Bank.
- Dvorak, Tomas & Podpiera, Richard, 2006. "European Union enlargement and equity markets in accession countries," Emerging Markets Review, Elsevier, vol. 7(2), pages 129-146, June.
- Julien Acalin & Alessandro Rebucci, 2020.
"Global Business and Financial Cycles: A Tale of Two Capital Account Regimes,"
NBER Working Papers
27739, National Bureau of Economic Research, Inc.
- Rebucci, Alessandro & Acalin, Julien, 2020. "Global Business and Financial Cycles: A Tale of Two Capital Account Regimes," CEPR Discussion Papers 15190, C.E.P.R. Discussion Papers.
- Chaieb, Ines & Langlois, Hugues & Scaillet, Olivier, 2021. "Factors and risk premia in individual international stock returns," Journal of Financial Economics, Elsevier, vol. 141(2), pages 669-692.
- M. Barari & Brian Lucey & S. Voronkova, 2008. "Reassessing co-movements among G7 equity markets: evidence from iShares," Applied Financial Economics, Taylor & Francis Journals, vol. 18(11), pages 863-877.
- Raj Aggarwal & Brian Lucey & Cal Muckley, 2010. "Dynamics of Equity Market Integration in Europe: Impact of Political Economy Events," Journal of Common Market Studies, Wiley Blackwell, vol. 48(3), pages 641-660, June.
- Bris, Arturo & Koskinen, Yrjö & Nilsson, Mattias, 2003.
"The Euro and Corporate Valuations,"
SSE/EFI Working Paper Series in Economics and Finance
525, Stockholm School of Economics, revised 23 Feb 2004.
- Arturo Bris & Yrjö Koskinen & Mattias Nilsson, 2009. "The Euro and Corporate Valuations," The Review of Financial Studies, Society for Financial Studies, vol. 22(8), pages 3171-3209, August.
- Melnik, Arie & Nissim, Doron, 2006. "Issue costs in the Eurobond market: The effects of market integration," Journal of Banking & Finance, Elsevier, vol. 30(1), pages 157-177, January.
- Arie Melnik & Doron Nissim, 2004.
"Liquidity and Issue Costs in the Eurobond Market: the Effects of Market Integration,"
ICER Working Papers
03-2004, ICER - International Centre for Economic Research.
- Arie Melnik & Doron Nissim, 2004. "Liquidity and Issue Costs in Eurobond Market: The Effects of Market Integration," Money Macro and Finance (MMF) Research Group Conference 2004 48, Money Macro and Finance Research Group.
- Anand B. Gulati & James W. Kolari & Johan Knif, 2013. "Exchange Rate Shocks and Firm Competitiveness in a Small, Export-Oriented Economy: The Case of Finland," Multinational Finance Journal, Multinational Finance Journal, vol. 17(1-2), pages 1-47, March - J.
- De Moor, Lieven & Sercu, Piet, 2011. "Country versus sector factors in equity returns: The roles of non-unit exposures," Journal of Empirical Finance, Elsevier, vol. 18(1), pages 64-77, January.
- Raj Aggarwal & Brian M. Lucey & Cal Muckley, 2004. "Dynamics of Equity Market Integration in Europe: Evidence of Changes over time and with events," The Institute for International Integration Studies Discussion Paper Series iiisdp019, IIIS.
- Kearney, Colm & Lucey, Brian M., 2004. "International equity market integration: Theory, evidence and implications," International Review of Financial Analysis, Elsevier, vol. 13(5), pages 571-583.
- Fiorentini, G. & Sentana, E. & Calzolari, G., 2000.
"The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality,"
Papers
0007, Centro de Estudios Monetarios Y Financieros-.
- Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003. "Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-546, October.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality," Working Papers. Serie AD 2000-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
Cited by:
- DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003.
"Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models,"
Cahiers de recherche
07-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Lynda Khalaf & Marie-Claude Beaulieu, 2003. "Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models," CIRANO Working Papers 2003s-33, CIRANO.
- DUFOUR, Jean-Marie & KHALAF, Lynda & BEAULIEU, Marie-Claude, 2003. "Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models," Cahiers de recherche 2003-09, Universite de Montreal, Departement de sciences economiques.
- Jean‐Marie Dufour & Lynda Khalaf & Marie‐Claude Beaulieu, 2003. "Exact Skewness–Kurtosis Tests for Multivariate Normality and Goodness‐of‐Fit in Multivariate Regressions with Application to Asset Pricing Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 891-906, December.
- Delle Monache, Davide & Petrella, Ivan, 2017.
"Adaptive models and heavy tails with an application to inflation forecasting,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," BCAM Working Papers 1603, Birkbeck Centre for Applied Macroeconomics.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.
- Dufour, Jean-Marie & Beaulieu, Marie-Claude & Khalaf, Lynda, 2003.
"Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach,"
Discussion Paper Series 1: Economic Studies
2003,01, Deutsche Bundesbank.
- BEAULIEU, Marie-Claude & DUFOUR, Jean-Marie & KHALAF, Lynda., 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 2002-17, Universite de Montreal, Departement de sciences economiques.
- Marie-Claude Beaulieu & Jean-Marie Dufour & Lynda Khalaf, 2002. "Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach," CIRANO Working Papers 2002s-85, CIRANO.
- Marie-Claude BEAULIEU & Jean-Marie DUFOUR & Lynda KHALAF, 2002. "Testing Mean-Variance Efficiency In Capm With Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach," Cahiers de recherche 17-2002, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Niguez, Trino-Manuel & Perote, Javier, 2004.
"Forecasting the density of asset returns,"
LSE Research Online Documents on Economics
6845, London School of Economics and Political Science, LSE Library.
- Trino-Manuel Niguez & Javier Perote, 2004. "Forecasting the density of asset returns," STICERD - Econometrics Paper Series 479, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Virbickaitė, Audronė & Ausín, M. Concepción & Galeano, Pedro, 2016.
"A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 814-829.
- Audrone Virbickaite & M. Concepci'on Aus'in & Pedro Galeano, 2013. "A Bayesian Non-Parametric Approach to Asymmetric Dynamic Conditional Correlation Model With Application to Portfolio Selection," Papers 1301.5129, arXiv.org, revised Jan 2014.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- Lombardi, Marco J. & Calzolari, Giorgio, 2009.
"Indirect estimation of [alpha]-stable stochastic volatility models,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
- Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Christian M. Hafner & Helmut Herwartz, 2009. "Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 63(3), pages 294-323, August.
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"Bayesian semiparametric multivariate GARCH modeling,"
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"Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience,"
Working Papers
0905, University of Nevada, Las Vegas , Department of Economics.
- Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2008. "Dynamic Stock Market Interactions between the Canadian, Mexican, and the United States Markets: The NAFTA Experience," Working papers 2008-49, University of Connecticut, Department of Economics.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
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"A Robust Score-Driven Filter for Multivariate Time Series,"
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2009.01517, arXiv.org, revised Aug 2022.
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- Manel Youssef & Khaled Mokni, 2019. "Do Crude Oil Prices Drive the Relationship between Stock Markets of Oil-Importing and Oil-Exporting Countries?," Economies, MDPI, vol. 7(3), pages 1-22, July.
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- Stelios D. Bekiros, 2013. "Decoupling and the Spillover Effects of the US Financial Crisis: Evidence from the BRIC Markets," Working Paper series 21_13, Rimini Centre for Economic Analysis.
- Pesaran, B. & Pesaran, M.H., 2007.
"Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution,"
Cambridge Working Papers in Economics
0734, Faculty of Economics, University of Cambridge.
- Pesaran, Bahram & Pesaran, M. Hashem, 2007. "Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," IZA Discussion Papers 2906, Institute of Labor Economics (IZA).
- Jos� A. Fioruci & Ricardo S. Ehlers & Marinho G. Andrade Filho, 2014. "Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(2), pages 320-331, February.
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- Parrini, Alessandro, 2012. "Indirect estimation of GARCH models with alpha-stable innovations," MPRA Paper 38544, University Library of Munich, Germany.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
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- Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2000.
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Working Papers
wp2000_0005, CEMFI.
Cited by:
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Broto, Carmen, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000.
"Underidentification?,"
Econometric Society World Congress 2000 Contributed Papers
1824, Econometric Society.
- Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012. "Underidentification?," Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
Cited by:
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- Bingley, Paul & Eriksson, Tor, 2001.
"Pay Spread and Skewness, Employee Effort and Firm Productivity,"
Working Papers
01-2, University of Aarhus, Aarhus School of Business, Department of Economics.
- Bingley, P. & Eriksson, T, 2001. "Pay Spread and Skewness. Employee Effort and Firm Productivity," Papers 01-2, Aarhus School of Business - Department of Economics.
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"Habits And Heterogeneity In Demands: A Panel Data Analysis,"
Working Papers. Serie AD
2006-25, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- M. Dolores Collado & Martin Browning, 2007. "Habits and heterogeneity in demands: a panel data analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 625-640.
- Martin Browning & M. Dolores Collado, 2004. "Habits and Heterogeneity in Demands: a Panel Data Analysis," CAM Working Papers 2004-18, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
- Mette Christensen, 2007.
"Heterogeneity in consumer demands and the income effect: evidence from panel data,"
IFS Working Papers
W07/16, Institute for Fiscal Studies.
- Mette Christensen, 2007. "Heterogeneity in Consumer Demands and the Income Effect: Evidence from Panel Data," Economics Discussion Paper Series 0714, Economics, The University of Manchester.
- Mette Lunde Christensen, 2002. "Heterogeneity in consumer demands and the income effect: evidence from panel data," 10th International Conference on Panel Data, Berlin, July 5-6, 2002 C4-1, International Conferences on Panel Data.
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"Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation,"
THEMA Working Papers
2004-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Catherine Doz & Eric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
- Pierlauro Lopez, 2017.
"Online Appendix to "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market","
Online Appendices
16-134, Review of Economic Dynamics.
- Pierlauro Lopez, 2018. "A New Keynesian Q Theory and the Link Between Inflation and the Stock Market," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 29, pages 85-105, July.
- Prosper Dovonon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification," Economics Discussion Paper Series 1705, Economics, The University of Manchester.
- Markus Fritsch & Andrew Adrian Pua & Joachim Schnurbus, 2019. "Revisiting Evidence on Habits and Heterogeneity in Demands," Working Papers 2019-07-09, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Jason G. Cummins & Kevin A. Hassett & Stephen D. Oliner, 1999.
"Investment behavior, observable expectations, and internal funds,"
Finance and Economics Discussion Series
1999-27, Board of Governors of the Federal Reserve System (U.S.).
- Jason G. Cummins & Kevin A. Hassett & Stephen D. Oliner, 2006. "Investment Behavior, Observable Expectations, and Internal Funds," American Economic Review, American Economic Association, vol. 96(3), pages 796-810, June.
- Cummins, Jason & Hassett, Kevin & Oliner, Stephen, 1997. "Investment Behavior, Observable Expectations and Internal Funds," Working Papers 97-30, C.V. Starr Center for Applied Economics, New York University.
- Fritsch, Markus & Pua, Andrew Adrian Yu & Schnurbus, Joachim, 2019. "Revisiting habits and heterogeneity in demands," Passauer Diskussionspapiere, Volkswirtschaftliche Reihe V-78-19, University of Passau, Faculty of Business and Economics.
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- Sentana, E., 2000.
"Factor Representing Portfolios in Large Asset Markets,"
Papers
0001, Centro de Estudios Monetarios Y Financieros-.
- Sentana, Enrique, 2004. "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
Cited by:
- Michel Normandin, 1999. "The Integration of Financial Markets and the Conduct of Monetary Policies: The Case of Canada and the United States," Cahiers de recherche CREFE / CREFE Working Papers 67, CREFE, Université du Québec à Montréal.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015.
"Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation,"
Working Papers
wp2015_1502, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," Working Papers 1525, Banco de España.
- Sentana, Enrique & Galesi, Alessandro, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," CEPR Discussion Papers 10461, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 215-282, Emerald Group Publishing Limited.
- Mencía, Javier & Sentana, Enrique, 2009.
"Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation,"
Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
- Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers 0909, Banco de España.
- Javier Mencía & Enrique Sentana, 2008. "Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation," Working Papers wp2008_0805, CEMFI.
- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008.
"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
- Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.
- Ba Chu, 2012. "Large deviations estimation of the windfall and shortfall probabilities for optimal diversified portfolios," Annals of Finance, Springer, vol. 8(1), pages 97-122, February.
- Martijn Boons & Frans de Roon & Fernando M. Duarte & Marta Szymanowska, 2013.
"Time-Varying Inflation Risk and Stock Returns,"
Staff Reports
621, Federal Reserve Bank of New York.
- Boons, Martijn & Duarte, Fernando & de Roon, Frans & Szymanowska, Marta, 2020. "Time-varying inflation risk and stock returns," Journal of Financial Economics, Elsevier, vol. 136(2), pages 444-470.
- Antonis Demos & Sofia Parissi, 1998. "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 189-223, September.
- Catherine Doz & Eric Renault, 2004.
"Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation,"
THEMA Working Papers
2004-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Catherine Doz & Eric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
- Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2010.
"Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators,"
University of St. Gallen Department of Economics working paper series 2010
2010-09, Department of Economics, University of St. Gallen.
- Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2016. "Bond Risk Premia Forecasting: A Simple Approach for Extracting Macroeconomic Information from a Panel of Indicators," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 232-256, February.
- Sentana, Enrique, 2004.
"Factor representing portfolios in large asset markets,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
- Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
- Cowan, Adrian M. & Joutz, Frederick L., 2006. "An unobserved component model of asset pricing across financial markets," International Review of Financial Analysis, Elsevier, vol. 15(1), pages 86-107.
- Araújo, Fabio & Issler, João Victor, 2011. "A stochastic discount factor approach to asset pricing using panel data asymptotics," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 717, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018.
"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- Gabriele Fiorentini & Enrique Sentana, 2013.
"Dynamic Specification Tests for Dynamic Factor Models,"
Working Papers
wp2013_1306, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Javier Mencía & Enrique Sentana, 2009.
"Distributional tests in multivariate dynamic models with Normal and Student t innovations,"
Working Papers
0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo.
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003.
"Likelihood-based estimation of latent generalised ARCH structures,"
FMG Discussion Papers
dp453, Financial Markets Group.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
- Pesaran, M.H. & Zaffaroni, P., 2008.
"Optimal Asset Allocation with Factor Models for Large Portfolios,"
Cambridge Working Papers in Economics
0813, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Paolo Zaffaroni, 2008. "Optimal Asset Allocation with Factor Models for Large Portfolios," CESifo Working Paper Series 2326, CESifo.
- Michel Normandin, 2004.
"Canadian and U.S. financial markets: testing the international integration hypothesis under time-varying conditional volatility,"
Canadian Journal of Economics, Canadian Economics Association, vol. 37(4), pages 1021-1041, November.
- Michel Normandin, 2003. "Canadian and U.S. Financial Markets: Testing the International Integration Hypothesis Under Time-Varying Conditional Volatility," Cahiers de recherche 03-08, HEC Montréal, Institut d'économie appliquée.
- Michel Normandin & Bruno Powo Fosso, 2006.
"Global versus Country-Specific Shocks and International Business Cycles,"
Cahiers de recherche
0601, CIRPEE.
- Boileau, Martin & Normandin, Michel & Powo Fosso, Bruno, 2010. "Global versus country-specific shocks and international business cycles," Journal of Macroeconomics, Elsevier, vol. 32(1), pages 1-16, March.
- Michel Normandin & Bruno Powo Fosso, 2005. "Global versus Country-Specific Shocks and International Business Cycles," Cahiers de recherche 05-07, HEC Montréal, Institut d'économie appliquée.
- Josep Pijoan-Mas, 2006.
"Precautionary Savings or Working Longer Hours?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(2), pages 326-352, April.
- Pijoan-Mas, Josep, 2005. "Precautionary Savings or Working Longer Hours?," CEPR Discussion Papers 5322, C.E.P.R. Discussion Papers.
- Josep Pijoan-Mas, 2003. "Precautionary Savings or Working Longer Hours?," Working Papers wp2003_0311, CEMFI.
- Josep Pijoan-Mas, 2004. "Precautionary Savings or Working Longer Hours?," 2004 Meeting Papers 350, Society for Economic Dynamics.
- 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.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Florin Aliu & Besnik Krasniqi & Adriana Knapkova & Fisnik Aliu, 2019. "Interdependence and Risk Comparison of Slovak, Hungarian and Polish Stock Markets: Policy and Managerial Implications," Acta Oeconomica, Akadémiai Kiadó, Hungary, vol. 69(2), pages 273-287, June.
- Chuliá, Helena & Guillén, Montserrat & Uribe, Jorge M., 2017.
"Measuring uncertainty in the stock market,"
International Review of Economics & Finance, Elsevier, vol. 48(C), pages 18-33.
- Helena Chuliá & Montserrat Guillén & Jorge M. Uribe, 2015. "“Measuaring Uncertainty in the Stock Market”," IREA Working Papers 201524, University of Barcelona, Research Institute of Applied Economics, revised Nov 2015.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
- Ziegler, Alexandre & Schürhoff, Norman, 2011. "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers 8268, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Calzolari, G. & Fiorentini, G. & Sentana, E., 2000.
"Constrained EMM and Indirect Inference Estimation,"
Papers
0005, Centro de Estudios Monetarios Y Financieros-.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "Constrained Emm And Indirect Inference Estimation," Working Papers. Serie AD 2000-26, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
Cited by:
- Carmen Broto & Esther Ruiz, 2004.
"Estimation methods for stochastic volatility models: a survey,"
Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
- Broto, Carmen, 2002. "Estimation methods for stochastic volatility models: a survey," DES - Working Papers. Statistics and Econometrics. WS ws025414, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Josep Pijoan-Mas, 2006.
"Precautionary Savings or Working Longer Hours?,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(2), pages 326-352, April.
- Pijoan-Mas, Josep, 2005. "Precautionary Savings or Working Longer Hours?," CEPR Discussion Papers 5322, C.E.P.R. Discussion Papers.
- Josep Pijoan-Mas, 2003. "Precautionary Savings or Working Longer Hours?," Working Papers wp2003_0311, CEMFI.
- Josep Pijoan-Mas, 2004. "Precautionary Savings or Working Longer Hours?," 2004 Meeting Papers 350, Society for Economic Dynamics.
- Sentana, Enrique, 1999.
"Least Squares Predictions and Mean-Variance Analysis,"
CEPR Discussion Papers
2088, C.E.P.R. Discussion Papers.
- Enrique Sentana, 2005. "Least Squares Predictions and Mean-Variance Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 56-78.
- Sentana, E., 1997. "Least Squares Predictions and Mean-Variance Analysis," Papers 9711, Centro de Estudios Monetarios Y Financieros-.
- Enrique Sentana & Enrique Sentana, 1999. "Least Squares Predictions and Mean-Variance Analysis," FMG Discussion Papers dp312, Financial Markets Group.
Cited by:
- Davide Pettenuzzo & Francesco Ravazzolo, 2014.
"Optimal portfolio choice under decision-based model combinations,"
Working Paper
2014/15, Norges Bank.
- Davide Pettenuzzo & Francesco Ravazzolo, 2015. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers No 9/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Business School.
- Davide Pettenuzzo & Francesco Ravazzolo, 2016. "Optimal Portfolio Choice Under Decision‐Based Model Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
- Campbell, John & Thompson, Samuel P., 2008.
"Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?,"
Scholarly Articles
2622619, Harvard University Department of Economics.
- John Y. Campbell & Samuel B. Thompson, 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1509-1531, July.
- Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
- Francisco Peñaranda & Enrique Sentana, 2008.
"Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach,"
Economics Working Papers
1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- 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.
- Peñaranda, Francisco & Sentana, Enrique, 2012. "Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach," Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
- Allan Timmermann & Andrew J. Patton, 2004.
"Properties of Optimal Forecasts,"
Econometric Society 2004 North American Winter Meetings
234, Econometric Society.
- Timmermann, Allan & Patton, Andrew, 2003. "Properties of Optimal Forecasts," CEPR Discussion Papers 4037, C.E.P.R. Discussion Papers.
- Penaranda, Francisco & Sentana, Enrique, 2024.
"Portfolio management with big data,"
CEPR Discussion Papers
19314, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2024. "Portfolio management with big data," Working Papers wp2024_2411, CEMFI.
- Patton, Andrew J. & Timmermann, Allan, 2007. "Properties of optimal forecasts under asymmetric loss and nonlinearity," Journal of Econometrics, Elsevier, vol. 140(2), pages 884-918, October.
- Xavier Gerard & Ron Guido & Peter Wesselius, 2013. "Integrated alpha modelling," Journal of Asset Management, Palgrave Macmillan, vol. 14(3), pages 140-161, June.
- Enrique Sentana, 2008.
"The Econometrics of Mean-Variance Efficiency Tests: A Survey,"
Working Papers
wp2008_0807, CEMFI.
- Enrique Sentana, 2009. "The econometrics of mean-variance efficiency tests: a survey," Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "PML vs minimum χ 2 : the comeback," Working Papers wp2022_2210, CEMFI.
- René Garcia & Éric Renault & Georges Tsafack, 2007. "Proper Conditioning for Coherent VaR in Portfolio Management," Management Science, INFORMS, vol. 53(3), pages 483-494, March.
- Enrique Sentana, 1997.
"Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets,"
Working Papers
wp1997_9702, CEMFI.
- Enrique Sentana, 1997. "Risk and return in the Spanish stock market: some evidence from individual assets," Investigaciones Economicas, Fundación SEPI, vol. 21(2), pages 297-360, May.
Cited by:
- Antonis Demos & Sofia Parissi, 1998. "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 189-223, September.
- Sentana, Enrique, 2004.
"Factor representing portfolios in large asset markets,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
- Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
- Marcelo, Jose Luis Miralles & Quiros, Maria del Mar Miralles, 2006. "The role of an illiquidity risk factor in asset pricing: Empirical evidence from the Spanish stock market," The Quarterly Review of Economics and Finance, Elsevier, vol. 46(2), pages 254-267, May.
- Enrique Sentana, 1997.
"The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models,"
Working Papers
wp1997_9719, CEMFI.
- Enrique Sentana, 1998. "The relation between conditionally heteroskedastic factor models and factor GARCH models," Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages 1-9.
- Sentana, E., 1997. "The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models," Papers 9719, Centro de Estudios Monetarios Y Financieros-.
Cited by:
- Smith, Aaron D., 2004.
"Partially Overlapping Time Series: A New Model for Volatility Dynamics in Commodity Futures,"
Working Papers
11978, University of California, Davis, Department of Agricultural and Resource Economics.
- Aaron Smith, 2005. "Partially overlapping time series: a new model for volatility dynamics in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 405-422.
- Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.
- Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 323-364, November.
- Antonis Demos & Sofia Parissi, 1998. "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 189-223, September.
- Catherine Doz & Eric Renault, 2004.
"Conditionaly Heteroskedastic Factor Models : Identificationand Instrumental variables Estmation,"
THEMA Working Papers
2004-13, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Catherine Doz & Eric Renault, 2004. "Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation," CIRANO Working Papers 2004s-37, CIRANO.
- Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014.
"Disentangling systematic and idiosyncratic dynamics in panels of volatility measures,"
Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
- Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2014. "Disentangling Systematic and Idiosyncratic Dynamics in Panels of Volatility Measures," Econometrics Working Papers Archive 2014_02, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", revised Feb 2014.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Elena Andreou & Eric Ghysels, 2003.
"Test for Breaks in the Conditional Co-Movements of Asset Returns,"
University of Cyprus Working Papers in Economics
3-2003, University of Cyprus Department of Economics.
- Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO.
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018.
"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020.
"A dynamic conditional approach to portfolio weights forecasting,"
Papers
2004.12400, arXiv.org.
- Fabrizio Cipollini & Giampiero Gallo & Alessandro Palandri, 2020. "A Dynamic Conditional Approach to Portfolio Weights Forecasting," Econometrics Working Papers Archive 2020_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003.
"Likelihood-based estimation of latent generalised ARCH structures,"
FMG Discussion Papers
dp453, Financial Markets Group.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
- Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997.
"Identification, estimation and testing of conditionally heteroskedastic factor models,"
Working Papers. Serie AD
1997-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
- Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
- Engle, Robert F. & Marcucci, Juri, 2006. "A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones," Journal of Econometrics, Elsevier, vol. 132(1), pages 7-42, May.
- Mondher Bellalah & Marc Lavielle, 2002. "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 99-130, June.
- Klaassen, F.J.G.M., 1999.
"Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model,"
Discussion Paper
1999-10, Tilburg University, Center for Economic Research.
- Klaassen, F.J.G.M., 1999. "Have Exchange Rates Become More Closely Tied? Evidence from a New Multivariate GARCH Model," Other publications TiSEM af43cd1c-9656-4e45-bfd1-f, Tilburg University, School of Economics and Management.
- Silvennoinen, Annastiina & Teräsvirta, Timo, 2007.
"Multivariate GARCH models,"
SSE/EFI Working Paper Series in Economics and Finance
669, Stockholm School of Economics, revised 18 Jan 2008.
- Annastiina Silvennoinen & Timo Teräsvirta, 2008. "Multivariate GARCH models," CREATES Research Papers 2008-06, Department of Economics and Business Economics, Aarhus University.
- Lucia Alessi & Matteo Barigozzi & Marco Capasso, 2006. "Generalized Dynamic Factor Model + GARCH Exploiting Multivariate Information for Univariate Prediction," LEM Papers Series 2006/13, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
- Connor, Gregory & Korajczyk, Robert A. & Linton, Oliver, 2006. "The common and specific components of dynamic volatility," Journal of Econometrics, Elsevier, vol. 132(1), pages 231-255, May.
- Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
- Cipollini, Fabrizio & Gallo, Giampiero M. & Palandri, Alessandro, 2021. "A dynamic conditional approach to forecasting portfolio weights," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1111-1126.
- Sentana, E. & Fiorentini, G., 1997.
"Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model,"
Papers
9709, Centro de Estudios Monetarios Y Financieros-.
- Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997. "Identification, estimation and testing of conditionally heteroskedastic factor models," Working Papers. Serie AD 1997-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
Cited by:
- Numan Ülkü & Enzo Weber, 2014. "Identifying the Interaction between Foreign Investor Flows and Emerging Stock Market Returns," Review of Finance, European Finance Association, vol. 18(4), pages 1541-1581.
- Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2003.
"Monetary Policy and the Exchange Rate During the Asian Crisis: Identification Through Heteroscedasticity,"
CEIS Research Paper
23, Tor Vergata University, CEIS.
- Caporale, Guglielmo Maria & Cipollini, Andrea & Demetriades, Panicos O., 2005. "Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 39-53, February.
- Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2000. "Monetary Policy and the Exchange Rate During the Asian Crisis Identification Through Heteroscedasticity," Discussion Papers in Economics 00/11, Division of Economics, School of Business, University of Leicester, revised Feb 2002.
- Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2011.
"Stocks, bonds, money markets and exchange rates: measuring international financial transmission,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 26(6), pages 948-974, September.
- Michael Ehrmann & Marcel Fratzscher & Roberto Rigobon, 2005. "Stocks, Bonds, Money Markets and Exchange Rates: Measuring International Financial Transmission," NBER Working Papers 11166, National Bureau of Economic Research, Inc.
- Ehrmann, Michael & Fratzscher, Marcel & Rigobon, Roberto, 2005. "Stocks, bonds, money markets and exchange rates: measuring international financial transmission," Working Paper Series 452, European Central Bank.
- Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
- Sofia Anyfantaki & Antonis Demos, 2012.
"Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model,"
DEOS Working Papers
1228, Athens University of Economics and Business.
- Sofia Anyfantaki & Antonis Demos, 2016. "Estimation and Properties of a Time-Varying EGARCH(1,1) in Mean Model," Econometric Reviews, Taylor & Francis Journals, vol. 35(2), pages 293-310, February.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- Felices, Guillermo & Grisse, Christian & Yang, Jing, 2009. "International financial transmission: emerging and mature markets," Bank of England working papers 373, Bank of England.
- Michel Normandin, 1999. "The Integration of Financial Markets and the Conduct of Monetary Policies: The Case of Canada and the United States," Cahiers de recherche CREFE / CREFE Working Papers 67, CREFE, Université du Québec à Montréal.
- Emanuele BACCHIOCCHI, 2010. "Identification through heteroskedasticity in a likelihood-based approach: some theoretical results," Departmental Working Papers 2010-38, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
- Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005.
"Testing for contagion: a conditional correlation analysis,"
Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June.
- gulielmo maria caporale & rea cipollini & nicola spagnolo, 2004. "Testing For Contagion: A Conditional Correlation Analysis," International Finance 0406003, University Library of Munich, Germany.
- Pavlova, Anna & Rigobon, Roberto, 2004.
"Asset Prices and Exchange Rates,"
Working papers
4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Anna Pavlova & Roberto Rigobon, 2007. "Asset Prices and Exchange Rates," The Review of Financial Studies, Society for Financial Studies, vol. 20(4), pages 1139-1180.
- Anna Pavlova & Roberto Rigobon, 2003. "Asset Prices and Exchange Rates," NBER Working Papers 9834, National Bureau of Economic Research, Inc.
- Pavlova, Anna & Rigobon, Roberto, 2003. "Asset Prices and Exchange Rates," Working papers 4322-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Roberto Rigobon & Anna Pavlova, 2004. "Asset Prices and Exchange Rates," Econometric Society 2004 North American Winter Meetings 579, Econometric Society.
- Helmut Herwartz & Martin Plödt, 2016. "Simulation Evidence on Theory-based and Statistical Identification under Volatility Breaks," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 78(1), pages 94-112, February.
- Arthur Lewbel, 2012.
"Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 67-80.
- Arthur Lewbel, 2010. "Using Heteroscedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(1), pages 67-80, December.
- Arthur Lewbel, 2003. "Using Heteroskedasticity to Identify and Estimate Mismeasured and Endogenous Regressor Models," Boston College Working Papers in Economics 587, Boston College Department of Economics, revised 15 Dec 2010.
- Weber, Enzo, 2009. "Financial Contagion, Vulnerability and Information Flow: Empirical Identification," University of Regensburg Working Papers in Business, Economics and Management Information Systems 431, University of Regensburg, Department of Economics.
- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008.
"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
- Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.
- Helmut Lütkepohl & Thore Schlaak, 2017.
"Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis,"
Discussion Papers of DIW Berlin
1672, DIW Berlin, German Institute for Economic Research.
- Lütkepohl, Helmut & Schlaak, Thore, 2018. "Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 4, pages 715-735.
- Helmut Lütkepohl & Thore Schlaak, 2018. "Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(4), pages 715-735, August.
- Soloschenko, Max & Weber, Enzo, 2014. "Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure," University of Regensburg Working Papers in Business, Economics and Management Information Systems 475, University of Regensburg, Department of Economics.
- Prono, Todd, 2015. "Market proxies as factors in linear asset pricing models: Still living with the roll critique," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 36-53.
- Emanuele BACCHIOCCHI, 2015.
"On the Identification of Interdependence and Contagion of Financial Crises,"
Departmental Working Papers
2015-12, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- Emanuele Bacchiocchi, 2017. "On the Identification of Interdependence and Contagion of Financial Crises," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(6), pages 1148-1175, December.
- Rigobon, Roberto & Sack, Brian P., 2003.
"The Effects of War Risk on U.S. Financial Markets,"
Working papers
4417-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Rigobon, Roberto & Sack, Brian, 2005. "The effects of war risk on US financial markets," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1769-1789, July.
- Roberto Rigobon & Brian Sack, 2003. "The Effects of War Risk on U.S. Financial Markets," NBER Working Papers 9609, National Bureau of Economic Research, Inc.
- Roberto Rigobon & Brian P. Sack, 2003. "The effects of war risk on U.S. financial markets," Finance and Economics Discussion Series 2003-18, Board of Governors of the Federal Reserve System (U.S.).
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
- Joseph J. Sabia, 2007. "Early Adolescent Sex and Diminished School Attachment: Selection or Spillovers?," Southern Economic Journal, John Wiley & Sons, vol. 74(1), pages 239-268, July.
- Dungey, Mardi & Fry, Renee & Gonzalez-Hermosillo, Brenda & Martin, Vance L., 2007. "Contagion in global equity markets in 1998: The effects of the Russian and LTCM crises," The North American Journal of Economics and Finance, Elsevier, vol. 18(2), pages 155-174, August.
- Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013.
"Oil Prices, Exchange Rates and Asset Prices,"
CESifo Working Paper Series
4264, CESifo.
- Schneider, Daniel & Van Robays, Ine & Fratzscher, Marcel, 2014. "Oil prices, exchange rates and asset prices," Working Paper Series 1689, European Central Bank.
- Marcel Fratzscher & Daniel Schneider & Ine Van Robays, 2013. "Oil Prices, Exchange Rates and Asset Prices," Discussion Papers of DIW Berlin 1302, DIW Berlin, German Institute for Economic Research.
- Strohsal, Till & Weber, Enzo, 2012. "The signal of volatility," SFB 649 Discussion Papers 2012-043, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Roberto Rigobon & Dani Rodrik, 2004.
"Rule of Law, Democracy, Openness, and Income: Estimating the Interrelationships,"
NBER Working Papers
10750, National Bureau of Economic Research, Inc.
- Rodrik, Dani & Rigobon, Roberto, 2004. "Rule of Law, Democracy, Openness and Income: Estimating the Interrelationships," CEPR Discussion Papers 4653, C.E.P.R. Discussion Papers.
- Roger Klein & Francis Vella, 2005.
"Estimating a class of triangular simultaneous equations models without exclusion restrictions,"
CeMMAP working papers
CWP08/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Klein, Roger & Vella, Francis, 2006. "Estimating a Class of Triangular Simultaneous Equations Models Without Exclusion Restrictions," IZA Discussion Papers 2378, Institute of Labor Economics (IZA).
- Klein, Roger & Vella, Francis, 2010. "Estimating a class of triangular simultaneous equations models without exclusion restrictions," Journal of Econometrics, Elsevier, vol. 154(2), pages 154-164, February.
- Dovonon, Prosper, 2008.
"Conditionally heteroskedastic factor models with skewness and leverage effects,"
MPRA Paper
40206, University Library of Munich, Germany, revised Feb 2012.
- Prosper Dovonon, 2013. "Conditionally Heteroskedastic Factor Models With Skewness And Leverage Effects," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(7), pages 1110-1137, November.
- Simon Gilchrist & Egon ZakrajŠEk, 2013.
"The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 29-57, December.
- Simon Gilchrist & Egon Zakrajšek, 2013. "The Impact of the Federal Reserve's Large‐Scale Asset Purchase Programs on Corporate Credit Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(s2), pages 29-57, December.
- Simon Gilchrist & Egon Zakrajsek, 2013. "The Impact of the Federal Reserve's Large-Scale Asset Purchase Programs on Corporate Credit Risk," NBER Working Papers 19337, National Bureau of Economic Research, Inc.
- Simon Gilchrist & Egon Zakrajšek, 2013. "The impact of the Federal Reserve's Large-Scale Asset Purchase programs on corporate credit risk," Finance and Economics Discussion Series 2013-56, Board of Governors of the Federal Reserve System (U.S.).
- Fratzscher, Marcel & Rieth, Malte, 2015.
"Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area,"
CEPR Discussion Papers
10370, C.E.P.R. Discussion Papers.
- Rieth, Malte & Fratzscher, Marcel, 2014. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100277, Verein für Socialpolitik / German Economic Association.
- Marcel Fratzscher & Malte Rieth, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," Review of Finance, European Finance Association, vol. 23(4), pages 745-775.
- Marcel Fratzscher & Malte Rieth, 2015. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," European Economy - Discussion Papers 009, Directorate General Economic and Financial Affairs (DG ECFIN), European Commission.
- Fratzscher, Marcel & Rieth, Malte, 2019. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 23(4), pages 745-775.
- Marcel Fratzscher & Malte Rieth, 2015. "Monetary Policy, Bank Bailouts and the Sovereign-Bank Risk Nexus in the Euro Area," Discussion Papers of DIW Berlin 1448, DIW Berlin, German Institute for Economic Research.
- Hafedh Bouakez & Foued Chihi & Michel Normandin, 2010.
"Measuring the Effects of Fiscal Policy,"
Cahiers de recherche
1016, CIRPEE.
- Bouakez, Hafedh & Chihi, Foued & Normandin, Michel, 2014. "Measuring the effects of fiscal policy," Journal of Economic Dynamics and Control, Elsevier, vol. 47(C), pages 123-151.
- Gregor Kastner, 2016.
"Sparse Bayesian time-varying covariance estimation in many dimensions,"
Papers
1608.08468, arXiv.org, revised Nov 2017.
- Kastner, Gregor, 2019. "Sparse Bayesian time-varying covariance estimation in many dimensions," Journal of Econometrics, Elsevier, vol. 210(1), pages 98-115.
- Antonio Diez de los Rios, 2007.
"Exchange Rate Regimes, Globalisation, and the Cost of Capital in Emerging Markets,"
Staff Working Papers
07-29, Bank of Canada.
- Antonio Díez de los Ríos, 2003. "Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets," Economic Working Papers at Centro de Estudios Andaluces E2003/51, Centro de Estudios Andaluces.
- Antonio Díez de los Ríos, 2004. "Exchange Rate Regimes, Globalisation and the Cost of Capital in Emerging Markets," Working Papers wp2004_0402, CEMFI.
- de los Rios, Antonio Diez, 2009. "Exchange rate regimes, globalisation, and the cost of capital in emerging markets," Emerging Markets Review, Elsevier, vol. 10(4), pages 311-330, December.
- Weber, Enzo, 2013.
"Simultaneous stochastic volatility transmission across American equity markets,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 53-60.
- Weber, Enzo, 2008. "Simultaneous stochastic volatility transmission across American equity markets," SFB 649 Discussion Papers 2008-049, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- Bua, Giovanna & Trecroci, Carmine, 2016.
"International Equity Markets Interdependence: Bigger Shocks or Contagion in the 21st Century?,"
MPRA Paper
74771, University Library of Munich, Germany.
- Giovanna Bua & Carmine Trecroci, 2019. "International equity markets interdependence: bigger shocks or contagion in the 21st century?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 155(1), pages 43-69, February.
- Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 323-364, November.
- Roberto Rigobon & Brian P. Sack, 2002.
"The impact of monetary policy on asset prices,"
Finance and Economics Discussion Series
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Cited by:
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"Valuation of vix derivatives,"
Working Papers
1232, Banco de España.
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- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997. "Conditional means of time series processes and time series processes for conditional means," Working Papers. Serie AD 1997-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
Cited by:
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"Asymmetric Smiles, Leverage Effects and Structural Parameters,"
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2001s-01, CIRANO.
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- Angel León & Enrique Sentana, 1997.
"Pricing Options on Assets with Predictable White Noise Returns,"
FMG Discussion Papers
dp267, Financial Markets Group.
- Leon, Angel & Sentana, Enrique, 1997. "Pricing options on assets with predictable white noise returns," LSE Research Online Documents on Economics 119177, London School of Economics and Political Science, LSE Library.
- Ángel León & Enrique Sentana, 1997. "Pricing Options on Assets with Predictable White Noise Returns," Working Papers wp1997_9704, CEMFI.
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Econometric Society 2004 Latin American Meetings
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Cited by:
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"Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation,"
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- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," Working Papers 1525, Banco de España.
- Sentana, Enrique & Galesi, Alessandro, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," CEPR Discussion Papers 10461, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 215-282, Emerald Group Publishing Limited.
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- Antonis Demos & Sofia Parissi, 1998. "Testing Asset Pricing Models: The Case of Athens Stock Exchange," Multinational Finance Journal, Multinational Finance Journal, vol. 2(3), pages 189-223, September.
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"A spectral EM algorithm for dynamic factor models,"
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- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003.
"Likelihood-based estimation of latent generalised ARCH structures,"
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- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
- Enrique Sentana & Gabriele Fiorentini, 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Models.Versión Revisada," Working Papers wp1997_9709, CEMFI.
- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997.
"Identification, estimation and testing of conditionally heteroskedastic factor models,"
Working Papers. Serie AD
1997-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
- Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
- Mondher Bellalah & Marc Lavielle, 2002. "A Decomposition of Empirical Distributions with Applications to the Valuation of Derivative Assets," Multinational Finance Journal, Multinational Finance Journal, vol. 6(2), pages 99-130, June.
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- Romain Menier & Guillaume Bagnarosa & Alexandre Gohin, 2024. "On the dependence structure of European vegetable oil markets," Post-Print hal-04523660, HAL.
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Cited by:
- Rasmus Soendergaard Pedersen & Anders Rahbek, 2017.
"Testing Garch-X Type Models,"
Discussion Papers
17-15, University of Copenhagen. Department of Economics.
- Pedersen, Rasmus Søndergaard & Rahbek, Anders, 2019. "Testing Garch-X Type Models," Econometric Theory, Cambridge University Press, vol. 35(5), pages 1012-1047, October.
- Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
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"Analytic Derivatives and the Computation of Garch Estimates,"
Papers
9519, Centro de Estudios Monetarios Y Financieros-.
- Fiorentini, Gabriele & Calzolari, Giorgio & Panattoni, Lorenzo, 1996. "Analytic Derivatives and the Computation of GARCH Estimates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 399-417, July-Aug..
- Gabriele Fiorentini & Giorgio Calzolari & Lorenzo Panattoni, 1995. "Analytic Derivatives and the Computation of GARCH Estimates," Working Papers wp1995_9519, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015.
"Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation,"
Working Papers
wp2015_1502, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," Working Papers 1525, Banco de España.
- Sentana, Enrique & Galesi, Alessandro, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," CEPR Discussion Papers 10461, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 215-282, Emerald Group Publishing Limited.
- Antonis Demos & Enrique Sentana, 1996.
"Testing for GARCH Effects: A One-Sided Approach,"
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Articles
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2024.
"GDP Solera: The Ideal Vintage Mix,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(3), pages 984-997, July.
See citations under working paper version above.
- Almuzara, Martin & Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2022. "GDP Solera: The Ideal Vintage Mix," CEPR Discussion Papers 17196, C.E.P.R. Discussion Papers.
- Dante Amengual & Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2022. "GDP Solera: The Ideal Vintage Mix," Staff Reports 1027, Federal Reserve Bank of New York.
- Martín Almuzara & Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "GDP Solera. The Ideal Vintage Mix," Working Papers wp2022_2204, CEMFI.
- Sentana, Enrique, 2024.
"Finite underidentification,"
Journal of Econometrics, Elsevier, vol. 240(1).
See citations under working paper version above.
- Enrique Sentana, 2015. "Finite Underidentification," Working Papers wp2015_1508, CEMFI.
- Manresa, Elena & Peñaranda, Francisco & Sentana, Enrique, 2023.
"Empirical evaluation of overspecified asset pricing models,"
Journal of Financial Economics, Elsevier, vol. 147(2), pages 338-351.
See citations under working paper version above.
- Sentana, Enrique & Manresa, Elena & Penaranda, Francisco, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," CEPR Discussion Papers 12085, C.E.P.R. Discussion Papers.
- Elena Manresa & Francisco Peñaranda & Enrique Sentana, 2017. "Empirical Evaluation of Overspecified Asset Pricing Models," Working Papers wp2017_1711, CEMFI.
- Fiorentini, Gabriele & Sentana, Enrique, 2023.
"Discrete mixtures of normals pseudo maximum likelihood estimators of structural vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 235(2), pages 643-665.
See citations under working paper version above.
- Sentana, Enrique & Fiorentini, Gabriele, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," CEPR Discussion Papers 15411, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
- 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.
See citations under working paper version above.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2021. "Moment tests of independent components," Working Papers wp2021_2102, CEMFI.
- Magnus, Jan R. & Pijls, Henk G.J. & Sentana, Enrique, 2021.
"The Jacobian of the exponential function,"
Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
See citations under working paper version above.
- Jan R. Magnus & Henk G.J. Pijls & Enrique Sentana, 2020. "The Jacobian of the exponential function," Tinbergen Institute Discussion Papers 20-035/III, Tinbergen Institute.
- Jan R. Magnus & Henk G. J. Pijls & Enrique Sentana, 2020. "The Jacobian of the Exponential Function," Working Papers wp2020_2005, CEMFI.
- Fiorentini, Gabriele & Sentana, Enrique, 2021.
"New testing approaches for mean–variance predictability,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 516-538.
See citations under working paper version above.
- Sentana, Enrique & Fiorentini, Gabriele, 2019. "New testing approaches for mean-variance predictability," CEPR Discussion Papers 13426, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Working Paper series 19-01, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2019. "New testing approaches for mean-variance predictability," Econometrics Working Papers Archive 2019_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "New Testing Approaches for Mean-Variance Predictability," Working Papers wp2018_1814, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2021.
"Specification tests for non‐Gaussian maximum likelihood estimators,"
Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
See citations under working paper version above.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- 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.
- Sentana, Enrique & Amengual, Dante, 2015. "Is a normal copula the right copula?," CEPR Discussion Papers 10809, C.E.P.R. Discussion Papers.
- Dante Amengual & Enrique Sentana, 2015. "Is a Normal Copula the Right Copula?," Working Papers wp2015_1504, CEMFI.
- 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.
- Dante Amengual & Marine Carrasco & Enrique Sentana, 2017. "Testing Distributional Assumptions Using a Continuum of Moments," Working Papers wp2017_1709, CEMFI.
- Magnus, Jan R. & Sentana, Enrique, 2020.
"Zero-diagonality as a linear structure,"
Economics Letters, Elsevier, vol. 196(C).
See citations under working paper version above.
- Jan R. Magnus & Enrique Sentana, 2020. "Zero-Diagonality as a Linear Structure," Working Papers wp2020_2016, CEMFI.
- Jan R. Magnus & Enrique Sentana, 2020. "Zero-diagonality as a linear structure," Tinbergen Institute Discussion Papers 20-039/III, Tinbergen Institute.
- 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.
- Tincho Almuzara & Dante Amengual & Enrique Sentana, 2017. "Normality Tests for Latent Variables," Working Papers wp2017_1708, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019.
"Dynamic specification tests for dynamic factor models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(3), pages 325-346, April.
See citations under working paper version above.
- Gabriele Fiorentini & Enrique Sentana, 2013. "Dynamic Specification Tests for Dynamic Factor Models," Working Papers wp2013_1306, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Fiorentini, Gabriele & Sentana, Enrique, 2019.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
See citations under working paper version above.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Working Paper series 18-06, Rimini Centre for Economic Analysis.
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018.
"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
See citations under working paper version above.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- 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.
See citations under working paper version above.
- Sentana, Enrique & MencÃa, Javier, 2015. "Volatility-related exchange traded assets: an econometric investigation," CEPR Discussion Papers 10444, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2015. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Working Papers wp2015_1501, CEMFI.
- Javier Mencía & Enrique Sentana, 2015. "Volatility-related exchange traded assets: an econometric investigation," Working Papers 1510, Banco de España.
- Gabriele Fiorentini & Enrique Sentana, 2016.
"Neglected serial correlation tests in UCARIMA models,"
SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 121-178, March.
See citations under working paper version above.
- Gabriele Fiorentini & Enrique Sentana, 2014. "Neglected Serial Correlation Tests in UCARIMA Models," Working Papers wp2014_1406, CEMFI.
- Peñaranda, Francisco & Sentana, Enrique, 2016.
"Duality in mean-variance frontiers with conditioning information,"
Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 762-785.
See citations under working paper version above.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in mean-variance frontiers with conditioning information," Economics Working Papers 1058, Department of Economics and Business, Universitat Pompeu Fabra.
- Francisco Peñaranda & Enrique Sentana, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," Working Papers wp2007_0715, CEMFI.
- Sentana, Enrique & Peñaranda, Francisco, 2007. "Duality in Mean-Variance Frontiers with Conditioning Information," CEPR Discussion Papers 6566, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2015.
"A Unifying Approach to the Empirical Evaluation of Asset Pricing Models,"
The Review of Economics and Statistics, MIT Press, vol. 97(2), pages 412-435, May.
See citations under working paper version above.
- Francisco Peñaranda & Enrique Sentana, 2015. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers 488, Barcelona School of Economics.
- Sentana, Enrique & Peñaranda, Francisco, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," CEPR Discussion Papers 7943, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2010. "A unifying approach to the empirical evaluation of asset pricing models," Economics Working Papers 1229, Department of Economics and Business, Universitat Pompeu Fabra.
- Francisco Peñaranda & Enrique Sentana, 2010. "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers wp2010_1004, CEMFI.
- Mencía, Javier & Sentana, Enrique, 2013.
"Valuation of VIX derivatives,"
Journal of Financial Economics, Elsevier, vol. 108(2), pages 367-391.
See citations under working paper version above.
- Sentana, Enrique & MencÃa, Javier, 2010. "Valuation of VIX Derivatives," CEPR Discussion Papers 7619, C.E.P.R. Discussion Papers.
- Javier Mencía & Enrique Sentana, 2009. "Valuation of VIX Derivatives," Working Papers wp2009_0913, CEMFI.
- Javier Mencía & Enrique Sentana, 2012. "Valuation of vix derivatives," Working Papers 1232, Banco de España.
- 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.
See citations under working paper version above.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2012. "Sequential Estimation of Shape Parameters in Multivariate Dynamic Models," Working Papers wp2012_1201, CEMFI.
- Peñaranda, Francisco & Sentana, Enrique, 2012.
"Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 303-324.
See citations under working paper version above.
- 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.
- Sentana, Enrique & Peñaranda, Francisco, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers 4422, C.E.P.R. Discussion Papers.
- Francisco Peñaranda & Enrique Sentana, 2008. "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
- Francisco Peñaranda & Enrique Sentana, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers wp2004_0410, CEMFI.
- Javier Mencía & Enrique Sentana, 2012.
"Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations,"
The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
See citations under working paper version above.
- Javier Mencía & Enrique Sentana, 2009. "Distributional tests in multivariate dynamic models with Normal and Student t innovations," Working Papers 0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- Arellano, Manuel & Hansen, Lars Peter & Sentana, Enrique, 2012.
"Underidentification?,"
Journal of Econometrics, Elsevier, vol. 170(2), pages 256-280.
See citations under working paper version above.
- Manuel Arellano & Lars Peter Hansen & Enrique Sentana, 2009. "Underidentification?," CeMMAP working papers CWP24/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Manuel Arellano & Lars P. Hansen & Enrique Sentana, 2000. "Underidentification?," Econometric Society World Congress 2000 Contributed Papers 1824, Econometric Society.
- Antonio Diez de los Rios & Enrique Sentana, 2011.
"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, vol. 52(4), pages 1215-1251, November.
See citations under working paper version above.
- Antonio Diez de los Rios & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Staff Working Papers 07-53, Bank of Canada.
- Sentana, Enrique & Diez de los Rios, Antonio, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," CEPR Discussion Papers 6516, C.E.P.R. Discussion Papers.
- Antonio Diez de los Ríos & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Working Papers wp2007_0714, CEMFI.
- Amengual, Dante & Sentana, Enrique, 2010.
"A comparison of mean-variance efficiency tests,"
Journal of Econometrics, Elsevier, vol. 154(1), pages 16-34, January.
See citations under working paper version above.
- Dante Amengual & Enrique Sentana, 2008. "A Comparison of Mean-Variance Efficiency Tests," Working Papers wp2008_0806, CEMFI.
- León, à ngel & MencÃa, Javier & Sentana, Enrique, 2009.
"Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(2), pages 176-192.
See citations under working paper version above.
- Sentana, Enrique & MencÃa, Javier & León, à ngel, 2005. "Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation," CEPR Discussion Papers 5435, C.E.P.R. Discussion Papers.
- Mencia, Javier & Leon, Angel & Sentana, Enrique, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," LSE Research Online Documents on Economics 24496, London School of Economics and Political Science, LSE Library.
- Ángel León & Javier Mencía & Enrique Sentana, 2005. "Parametric Properties of Semi-Nonparametric Distributions, with Applications to Option Valuation," Working Papers wp2005_0509, CEMFI.
- Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers 0707, Banco de España.
- Mencía, Javier & Sentana, Enrique, 2009.
"Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation,"
Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
See citations under working paper version above.
- Javier Mencía & Enrique Sentana, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Working Papers 0909, Banco de España.
- Javier Mencía & Enrique Sentana, 2008. "Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation," Working Papers wp2008_0805, CEMFI.
- Enrique Sentana, 2009.
"The econometrics of mean-variance efficiency tests: a survey,"
Econometrics Journal, Royal Economic Society, vol. 12(3), pages 65-101, November.
See citations under working paper version above.
- Enrique Sentana, 2008. "The Econometrics of Mean-Variance Efficiency Tests: A Survey," Working Papers wp2008_0807, CEMFI.
- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008.
"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
See citations under working paper version above.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
- Enrique Sentana, 2005.
"Least Squares Predictions and Mean-Variance Analysis,"
Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 56-78.
See citations under working paper version above.
- Sentana, E., 1997. "Least Squares Predictions and Mean-Variance Analysis," Papers 9711, Centro de Estudios Monetarios Y Financieros-.
- Enrique Sentana & Enrique Sentana, 1999. "Least Squares Predictions and Mean-Variance Analysis," FMG Discussion Papers dp312, Financial Markets Group.
- Sentana, Enrique, 1999. "Least Squares Predictions and Mean-Variance Analysis," CEPR Discussion Papers 2088, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004.
"Likelihood-Based Estimation of Latent Generalized ARCH Structures,"
Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
See citations under working paper version above.
- Neil Shephard & Gabriele Fiorentini & Enrique Sentana, 2003. "Likelihood-based estimation of latent generalised ARCH structures," FMG Discussion Papers dp453, Financial Markets Group.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2003. "Likelihood-Based Estimation Of Latent Generalised Arch Structures," Working Papers. Serie AD 2003-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-based estimation of latent generalised ARCH structures," OFRC Working Papers Series 2004fe02, Oxford Financial Research Centre.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-based estimation of latent generalised ARCH structures," Economics Papers 2002-W19, Economics Group, Nuffield College, University of Oxford.
- Fiorentini, Gabriele & Sentana, Enrique & Shephard, Neil, 2003. "Likelihood-based estimation of latent generalised ARCH structures," LSE Research Online Documents on Economics 24852, London School of Economics and Political Science, LSE Library.
- Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2002. "Likelihood-Based Estimation of Latent Generalised ARCH Structures," Working Papers wp2002_0204, CEMFI.
- Giorgio Calzolari & Gabriele Fiorentini & Enrique Sentana, 2004.
"Constrained Indirect Estimation,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 71(4), pages 945-973.
Cited by:
- Kyriakopoulou, Dimitra & Demos, Antonis, 2010.
"Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA (1) Models,"
MPRA Paper
122393, University Library of Munich, Germany.
- Dimitra Kyriakopoulou & Antonis Demos, 2010. "Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA(1) Models," DEOS Working Papers 1003, Athens University of Economics and Business.
- Lombardi, Marco J. & Calzolari, Giorgio, 2009.
"Indirect estimation of [alpha]-stable stochastic volatility models,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
- Marco Lombardi & Giorgio Calzolari, 2006. "Indirect estimation of alpha-stable stochastic volatility models," Econometrics Working Papers Archive wp2006_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008.
"Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks,"
Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
- Gabriele Fiorentini & Giorgio Calzolari & Enrique Sentana, 2007. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Working Paper series 40_07, Rimini Centre for Economic Analysis.
- Marco Bee, 2018. "Estimating the wrapped stable distribution via indirect inference," DEM Working Papers 2018/11, Department of Economics and Management.
- Laurent-Emmanuel Calvet & Veronika Czellar, 2011.
"State-Observation Sampling and the Econometrics of Learning Models,"
Working Papers
hal-00625500, HAL.
- Laurent E. Calvet & Veronika Czellar, 2011. "State-Observation Sampling and the Econometrics of Learning Models," Papers 1105.4519, arXiv.org.
- Calvet, Laurent-Emmanuel & Czellar , Veronika, 2011. "state-observation sampling and the econometrics of learning models," HEC Research Papers Series 947, HEC Paris.
- Demos, Antonis & Arvanitis, Stelios, 2010.
"Stochastic Expansions and Moment Approximations for Three Indirect Estimators,"
MPRA Paper
122369, University Library of Munich, Germany.
- Antonis Demos & Stelios Arvanitis, 2010. "Stochastic Expansions and Moment Approximations for Three Indirect Estimators," DEOS Working Papers 1004, Athens University of Economics and Business.
- Sentana, Enrique & Amengual, Dante, 2015.
"Is a normal copula the right copula?,"
CEPR Discussion Papers
10809, C.E.P.R. Discussion Papers.
- 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.
- Dante Amengual & Enrique Sentana, 2015. "Is a Normal Copula the Right Copula?," Working Papers wp2015_1504, CEMFI.
- Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFR Working Papers 17-01, University of Cologne, Centre for Financial Research (CFR).
- Calvet, Laurent E. & Czellar, Veronika, 2015.
"Through the looking glass: Indirect inference via simple equilibria,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
- Laurent E. Calvet & Veronika Czellar, 2014. "Through the Looking Glass: Indirect Inference via Simple Equilibria," Working Papers hal-02058272, HAL.
- Laurent E. Calvet & Veronika Czellar, 2015. "Through the Looking Glass : Indirect Inference via Simple Equilibria," Post-Print hal-02313236, HAL.
- Calvet , Laurent & Czellar, Veronika, 2013. "Through the Looking Glass: Indirect Inference via Simple Equilibria," HEC Research Papers Series 1048, HEC Paris.
- Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
- Javier Mencía & Enrique Sentana, 2009.
"Distributional tests in multivariate dynamic models with Normal and Student t innovations,"
Working Papers
0929, Banco de España.
- Javier Mencía & Enrique Sentana, 2012. "Distributional Tests in Multivariate Dynamic Models with Normal and Student-t Innovations," The Review of Economics and Statistics, MIT Press, vol. 94(1), pages 133-152, February.
- Javier Mencía & Enrique Sentana, 2008. "Distributional Tests in Multivariate Dynamic Models with Normal and Student t Innovations," Working Papers wp2008_0804, CEMFI.
- Broto, Carmen, 2006. "Using auxiliary residuals to detect conditional heteroscedasticity in inflation," DES - Working Papers. Statistics and Econometrics. WS ws060402, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Enrique Sentana, 2018.
"Volatility, Diversification and Contagion,"
Working Papers
wp2018_1803, CEMFI.
- Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
- Calzolari, Giorgio & Halbleib, Roxana & Parrini, Alessandro, 2014.
"Estimating GARCH-type models with symmetric stable innovations: Indirect inference versus maximum likelihood,"
Computational Statistics & Data Analysis, Elsevier, vol. 76(C), pages 158-171.
- Giorgio Calzolari & Roxana Halbleib & Alessandro Parrini, 2012. "Indirect Estimation of α-Stable Garch Models," Working Paper Series of the Department of Economics, University of Konstanz 2012-31, Department of Economics, University of Konstanz.
- Giorgio Calzolari & Roxana Halbleib, 2014. "Estimating Stable Factor Models By Indirect Inference," Working Paper Series of the Department of Economics, University of Konstanz 2014-25, Department of Economics, University of Konstanz.
- LOMBARDI, Marco & VEREDAS, David, 2007.
"Indirect estimation of elliptical stable distributions,"
LIDAM Discussion Papers CORE
2007018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Lombardi, Marco J. & Veredas, David, 2009. "Indirect estimation of elliptical stable distributions," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2309-2324, April.
- Marco J. Lombardi & Giorgio Calzolari, 2004.
"Indirect estimation of alpha-stable distributions and processes,"
Econometrics Working Papers Archive
wp2004_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Marco J. Lombardi & Giorgio Calzolari, 2008. "Indirect Estimation of α-Stable Distributions and Processes," Econometrics Journal, Royal Economic Society, vol. 11(1), pages 193-208, March.
- Frazier, David T. & Oka, Tatsushi & Zhu, Dan, 2019.
"Indirect inference with a non-smooth criterion function,"
Journal of Econometrics, Elsevier, vol. 212(2), pages 623-645.
- David T. Frazier & Tatsushi Oka & Dan Zhu, 2017. "Indirect Inference with a Non-Smooth Criterion Function," Papers 1708.02365, arXiv.org, revised Jul 2019.
- Broto, Carmen, 2003.
"Unobserved component models with asymmetric conditional variances,"
DES - Working Papers. Statistics and Econometrics. WS
ws032003, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Broto, Carmen & Ruiz, Esther, 2006. "Unobserved component models with asymmetric conditional variances," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2146-2166, May.
- Marco Bee & Julien Hambuckers & Luca Trapin, 2019. "An improved approach for estimating large losses in insurance analytics and operational risk using the g-and-h distribution," DEM Working Papers 2019/11, Department of Economics and Management.
- Gabriele Fiorentini & Enrique Sentana, 2018.
"Consistent non-Gaussian pseudo maximum likelihood estimators,"
Working Paper series
18-06, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," Econometrics Working Papers Archive 2018_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Consistent Non-Gaussian Pseudo Maximum Likelihood Estimators," Working Papers wp2018_1802, CEMFI.
- Sentana, Enrique & Fiorentini, Gabriele, 2018. "Consistent non-Gaussian pseudo maximum likelihood estimators," CEPR Discussion Papers 12682, C.E.P.R. Discussion Papers.
- Fiorentini, Gabriele & Sentana, Enrique, 2019. "Consistent non-Gaussian pseudo maximum likelihood estimators," Journal of Econometrics, Elsevier, vol. 213(2), pages 321-358.
- Czellar, Veronika & Frazier, David T. & Renault, Eric, 2022. "Approximate maximum likelihood for complex structural models," Journal of Econometrics, Elsevier, vol. 231(2), pages 432-456.
- Grammig, Joachim & Küchlin, Eva-Maria, 2018. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," Journal of Econometrics, Elsevier, vol. 205(1), pages 6-33.
- Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
- Stelios Arvanitis & Antonis Demos, 2014.
"A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised),"
DEOS Working Papers
1411, Athens University of Economics and Business, revised 23 Sep 2014.
- Stelios Arvanitis & Antonis Demos, 2015. "A class of indirect inference estimators: higher‐order asymptotics and approximate bias correction," Econometrics Journal, Royal Economic Society, vol. 18(2), pages 200-241, June.
- 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.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- Di Iorio, Francesca & Calzolari, Giorgio, 2006. "Discontinuities in indirect estimation: An application to EAR models," Computational Statistics & Data Analysis, Elsevier, vol. 50(8), pages 2124-2136, April.
- Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
- Stelios Arvanitis, 2013. "On the Existence of Strongly Consistent Indirect Estimators When the Binding Function Is Compact Valued," Journal of Mathematics, Hindawi, vol. 2013, pages 1-14, November.
- Blasques, Francisco & Duplinskiy, Artem, 2018.
"Penalized indirect inference,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 34-54.
- Francisco Blasques & Artem Duplinskiy, 2015. "Penalized Indirect Inference," Tinbergen Institute Discussion Papers 15-009/III, Tinbergen Institute.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Antonis Demos & Stelios Arvanitis, 2010. "A New Class of Indirect Estimators and Bias Correction," DEOS Working Papers 1023, Athens University of Economics and Business.
- Prosper Donovon & Alastair R. Hall, 2015. "GMM and Indirect Inference: An appraisal of their connections and new results on their properties under second order identification," Economics Discussion Paper Series 1505, Economics, The University of Manchester.
- David T. Frazier & Eric Renault, 2016. "Indirect Inference With(Out) Constraints," Papers 1607.06163, arXiv.org, revised Aug 2019.
- Garcia, René & Renault, Eric & Veredas, David, 2011.
"Estimation of stable distributions by indirect inference,"
Journal of Econometrics, Elsevier, vol. 161(2), pages 325-337, April.
- GARCIA, René & RENAULT, Eric & VEREDAS, David, 2006. "Estimation of stable distributions by indirect inference," LIDAM Discussion Papers CORE 2006112, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- Alperovych, Yan & Cumming, Douglas & Czellar, Veronika & Groh, Alexander, 2021. "M&A rumors about unlisted firms," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1324-1339.
- Czellar, Veronika & Frazier, David T. & Renault, Eric, 2021. "Approximate Maximum Likelihood for Complex Structural Models," The Warwick Economics Research Paper Series (TWERPS) 1337, University of Warwick, Department of Economics.
- Grammig, Joachim & Küchlin, Eva-Maria, 2017. "A two-step indirect inference approach to estimate the long-run risk asset pricing model," CFS Working Paper Series 572, Center for Financial Studies (CFS).
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
- Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "PML vs minimum χ 2 : the comeback," Working Papers wp2022_2210, CEMFI.
- Giorgio Calzolari & F. Mealli & C. Rampichini, 2001. "Alternative Simulation-Based Estimators of Logit Models with Random Effects," Econometrics Working Papers Archive quaderno48, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Kyriakopoulou, Dimitra & Demos, Antonis, 2010.
"Edgeworth and Moment Approximations: The Case of MM and QML Estimators for the MA (1) Models,"
MPRA Paper
122393, University Library of Munich, Germany.
- Sentana, Enrique, 2004.
"Factor representing portfolios in large asset markets,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
See citations under working paper version above.
- Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
- Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2004.
"On the validity of the Jarque-Bera normality test in conditionally heteroskedastic dynamic regression models,"
Economics Letters, Elsevier, vol. 83(3), pages 307-312, June.
See citations under working paper version above.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2003. "On the Validity of the Jarque-Bera Normality Test in Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2003_0306, CEMFI.
- Fiorentini, Gabriele & Sentana, Enrique & Calzolari, Giorgio, 2003.
"Maximum Likelihood Estimation and Inference in Multivariate Conditionally Heteroscedastic Dynamic Regression Models with Student t Innovations,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(4), pages 532-546, October.
See citations under working paper version above.
- Fiorentini, G. & Sentana, E. & Calzolari, G., 2000. "The Score of Condionally Heteroskedastic Dynamic Regression Models with Student T Innovations, and an LM Test for Multivariate Normality," Papers 0007, Centro de Estudios Monetarios Y Financieros-.
- Gabriele Fiorentini & Enrique Sentana & Giorgio Calzolari, 2000. "The Score Of Conditionally Heteroskedastic Dynamic Regression Models With Student T Innovations, An Lm Test For Multivariate Normality," Working Papers. Serie AD 2000-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Enrique Sentana, 2002.
"Did the EMS Reduce the Cost of Capital?,"
Economic Journal, Royal Economic Society, vol. 112(482), pages 786-809, October.
See citations under working paper version above.
- Sentana, Enrique, 2000. "Did the EMS Reduce the Cost of Capital?," CEPR Discussion Papers 2640, C.E.P.R. Discussion Papers.
- Sentana, Enrique & Fiorentini, Gabriele, 2001.
"Identification, estimation and testing of conditionally heteroskedastic factor models,"
Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
See citations under working paper version above.
- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997. "Identification, estimation and testing of conditionally heteroskedastic factor models," Working Papers. Serie AD 1997-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
- Enrique Sentana, 2000.
"The Likelihood Function of Conditionally Heteroskedastic Factor Models,"
Annals of Economics and Statistics, GENES, issue 58, pages 1-19.
Cited by:
- Bahram Pesaran & M. Hashem Pesaran, 2010.
"Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash,"
CESifo Working Paper Series
3023, CESifo.
- Pesaran, Bahram & Pesaran, M. Hashem, 2010. "Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash," Economic Modelling, Elsevier, vol. 27(6), pages 1398-1416, November.
- Sentana, Enrique, 2004.
"Factor representing portfolios in large asset markets,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 257-289, April.
- Sentana, E., 2000. "Factor Representing Portfolios in Large Asset Markets," Papers 0001, Centro de Estudios Monetarios Y Financieros-.
- Fiorentini, Gabriele & Galesi, Alessandro & Sentana, Enrique, 2018.
"A spectral EM algorithm for dynamic factor models,"
Journal of Econometrics, Elsevier, vol. 205(1), pages 249-279.
- Sentana, Enrique & Galesi, Alessandro, 2015. "A spectral EM algorithm for dynamic factor models," CEPR Discussion Papers 10417, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2014. "A Spectral EM Algorithm for Dynamic Factor Models," Working Papers wp2014_1411, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016. "A spectral EM algorithm for dynamic factor models," Working Papers 1619, Banco de España.
- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997.
"Identification, estimation and testing of conditionally heteroskedastic factor models,"
Working Papers. Serie AD
1997-22, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Sentana, Enrique & Fiorentini, Gabriele, 2001. "Identification, estimation and testing of conditionally heteroskedastic factor models," Journal of Econometrics, Elsevier, vol. 102(2), pages 143-164, June.
- Sentana, E. & Fiorentini, G., 1997. "Identification, Estimation and Testing of Conditionally Heteroskedastic Factor Model," Papers 9709, Centro de Estudios Monetarios Y Financieros-.
- 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.
- Gabriele Fiorentini & Enrique Sentana, 2007. "On the Efficiency and Consistency of Likelihood Estimation in Multivariate Conditionally Heteroskedastic Dynamic Regression Models," Working Papers wp2007_0713, CEMFI.
- M. Hashem Pesaran & Bahram Pesaran, 2007. "Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," CESifo Working Paper Series 2056, CESifo.
- Gregory Bauer & Antonio Diez de los Rios, 2012. "An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks," Staff Working Papers 12-5, Bank of Canada.
- Gabriele Fiorentini & Enrique Sentana, 2009.
"Dynamic Specification Tests for Static Factor Models,"
Working Papers
wp2009_0912, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2010. "Dynamic Specification Tests for Static Factor Models," Working Paper series 04_10, Rimini Centre for Economic Analysis.
- Enrique Sentana & Giorgio Calzolari & Gabriele Fiorentini, 2004. "Indirect Estimation of Conditionally Heteroskedastic Factor Models," Working Papers wp2004_0409, CEMFI.
- Pesaran, B. & Pesaran, M.H., 2007.
"Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution,"
Cambridge Working Papers in Economics
0734, Faculty of Economics, University of Cambridge.
- Pesaran, Bahram & Pesaran, M. Hashem, 2007. "Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution," IZA Discussion Papers 2906, Institute of Labor Economics (IZA).
- Bahram Pesaran & M. Hashem Pesaran, 2010.
"Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash,"
CESifo Working Paper Series
3023, CESifo.
- Enrique Sentana, 1999.
"Econometric applications of positive rank-one modifications of the symmetric factorization of a positive semi-definite matrix,"
Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(1), pages 79-90.
Cited by:
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Gabriele Fiorentini & Enrique Sentana, 2021. "Specification tests for non‐Gaussian maximum likelihood estimators," Quantitative Economics, Econometric Society, vol. 12(3), pages 683-742, July.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Econometrics Working Papers Archive 2018_05, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification Tests for Non-Gaussian Maximum Likelihood Estimators," Working Papers wp2018_1804, CEMFI.
- Gabriele Fiorentini & Enrique Sentana, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," Working Paper series 18-22, Rimini Centre for Economic Analysis.
- Sentana, Enrique & Fiorentini, Gabriele, 2018.
"Specification tests for non-Gaussian maximum likelihood estimators,"
CEPR Discussion Papers
12934, C.E.P.R. Discussion Papers.
- Enrique Sentana, 1998.
"The relation between conditionally heteroskedastic factor models and factor GARCH models,"
Econometrics Journal, Royal Economic Society, vol. 1(RegularPa), pages 1-9.
See citations under working paper version above.
- Sentana, E., 1997. "The Relation Between Conditionally Heteroskedastic Factor Models amd Factor GARCH Models," Papers 9719, Centro de Estudios Monetarios Y Financieros-.
- Enrique Sentana, 1997. "The Relation Between Conditionally Heteroskedastic Factor Models and Factor GARCH Models," Working Papers wp1997_9719, CEMFI.
- Demos, Antonis & Sentana, Enrique, 1998.
"An EM Algorithm for Conditionally Heteroscedastic Factor Models,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 16(3), pages 357-361, July.
See citations under working paper version above.
- Antonis Demos & Enrique Sentana, 1996. "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Working Papers wp1996_9615, CEMFI.
- Demos, A & Sentana, E, 1996. "An EM Algorithm for Conditionally Heteroskedastic Factor Models," Papers 9615, Centro de Estudios Monetarios Y Financieros-.
- Demos, Antonis & Sentana, Enrique, 1998.
"Testing for GARCH effects: a one-sided approach,"
Journal of Econometrics, Elsevier, vol. 86(1), pages 97-127, June.
See citations under working paper version above.
- Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.
- Pedro L. Sánchez-Torres & Enrique Sentana, 1998.
"Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market,"
Investigaciones Economicas, Fundación SEPI, vol. 22(1), pages 5-17, January.
Cited by:
- Akbar, Muhammad & Nguyen, Thuy Thu, 2016. "The explanatory power of higher moment capital asset pricing model in the Karachi stock exchange," Research in International Business and Finance, Elsevier, vol. 36(C), pages 241-253.
- Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
- Zárraga Alonso, Ainhoa, 2000. "A test of the mixture of distributions models," DEE - Working Papers. Business Economics. WB 9918, Universidad Carlos III de Madrid. Departamento de EconomÃa de la Empresa.
- Chiao, Chaoshin & Hung, Ken & Srivastava, Suresh C., 2003. "Taiwan stock market and four-moment asset pricing model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(4), pages 355-381, October.
- Fiorentini, Gabriele & Sentana, Enrique, 1998.
"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, vol. 39(4), pages 1101-1118, November.
See citations under working paper version above.
- Fiorentini, G & Sentana, E, 1996. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Papers 9617, Centro de Estudios Monetarios Y Financieros-.
- Gabriele Fiorentini & Enrique Sentana Iváñez, 1997. "Conditional means of time series processes and time series processes for conditional means," Working Papers. Serie AD 1997-17, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Gabriele Fiorentini & Enrique Sentana, 1996. "Conditional Means of Time Series Processes and Time Series Processes for Conditional Means," Working Papers wp1996_9617, CEMFI.
- Enrique Sentana, 1997.
"Risk and return in the Spanish stock market: some evidence from individual assets,"
Investigaciones Economicas, Fundación SEPI, vol. 21(2), pages 297-360, May.
See citations under working paper version above.
- Enrique Sentana, 1997. "Risk and Return in the Spanish Stock Market: Some Evidence from Individual Assets," Working Papers wp1997_9702, CEMFI.
- Nijman, Theo & Sentana, Enrique, 1996.
"Marginalization and contemporaneous aggregation in multivariate GARCH processes,"
Journal of Econometrics, Elsevier, vol. 71(1-2), pages 71-87.
See citations under working paper version above.
- Nijman, T. & Sentana, E., 1993. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Processes," Papers 9312, Tilburg - Center for Economic Research.
- Nijman, T. & Sentana, E., 1994. "Marginalization and Contemporaneous Aggregation in Multivariate Garch Proceses," Papers 9419, Centro de Estudios Monetarios Y Financieros-.
- Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 395cb9d2-89a8-4cbf-923e-c, Tilburg University, School of Economics and Management.
- Nijman, T.E. & Sentana, E., 1993. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Discussion Paper 1993-12, Tilburg University, Center for Economic Research.
- Nijman, T.E. & Sentana, E., 1996. "Marginalization and contemporaneous aggregation in multivariate GARCH processes," Other publications TiSEM 1faf40e0-ce91-45fd-a98d-4, Tilburg University, School of Economics and Management.
- Theo Nijman # Enrique Sentana, 1994. "Marginalization and Contemporaneous Aggregation in Multivariate GARCH Processes," Working Papers wp1994_9419, CEMFI.
- Enrique Sentana, 1995.
"Quadratic ARCH Models,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 62(4), pages 639-661.
See citations under working paper version above.
- Enrique Sentana, 1995. "Quadratic ARCH Models," Working Papers wp1995_9517, CEMFI.
- Sentana,E., 1995. "Quadratic Arch Models," Papers 9517, Centro de Estudios Monetarios Y Financieros-.
- King, Mervyn & Sentana, Enrique & Wadhwani, Sushil, 1994.
"Volatility and Links between National Stock Markets,"
Econometrica, Econometric Society, vol. 62(4), pages 901-933, July.
See citations under working paper version above.
- Mervyn King & Enrique Sentana & Sushil Wadhwani, 1990. "Volatiltiy and Links Between National Stock Markets," NBER Working Papers 3357, National Bureau of Economic Research, Inc.
- Enrique Sentana, 1993.
"The econometrics of the stock market II: asset pricing,"
Investigaciones Economicas, Fundación SEPI, vol. 17(3), pages 421-444, September.
Cited by:
- José Alvarez Cobelas, 1995. "Análisis de los fondos de inversión de renta fija en España," Investigaciones Economicas, Fundación SEPI, vol. 19(3), pages 475-488, September.
- Sentana, Enrique & Wadhwani, Sushil B, 1992.
"Feedback Traders and Stock Return Autocorrelations: Evidence from a Century of Daily Data,"
Economic Journal, Royal Economic Society, vol. 102(411), pages 415-425, March.
Cited by:
- McKenzie, Michael D. & Faff, Robert W., 2005. "Modeling conditional return autocorrelation," International Review of Financial Analysis, Elsevier, vol. 14(1), pages 23-42.
- Alex Garivaltis, 2019.
"The Laws of Motion of the Broker Call Rate in the United States,"
Papers
1906.00946, arXiv.org, revised Oct 2022.
- Alex Garivaltis, 2019. "The Laws of Motion of the Broker Call Rate in the United States," IJFS, MDPI, vol. 7(4), pages 1-23, October.
- Cifarelli, Giulio & Paladino, Giovanna, 2010.
"Oil price dynamics and speculation: A multivariate financial approach,"
Energy Economics, Elsevier, vol. 32(2), pages 363-372, March.
- Giulio Cifarelli & Giovanna Paladino, 2008. "Oil price Dynamics and Speculation. A Multivariate Financial Approach," Working Papers - Economics wp2008_15.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
- Wang, Jying-Nan & Lee, Yen-Hsien & Liu, Hung-Chun & Lee, Ming-Chih, 2022. "The determinants of positive feedback trading behaviors in Bitcoin markets," Finance Research Letters, Elsevier, vol. 45(C).
- Imran Riaz MALIK* & Attaullah SHAH*, 2014. "Market Varying Conditional Risk-Return Relationship," Pakistan Journal of Applied Economics, Applied Economics Research Centre, vol. 24(2), pages 121-142.
- Bronka Rzepkowski, 2002. "Heterogeneous expectations, currency options and the euro/dollar," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 147-157.
- Tut, DANIEL, 2024. "Bitcoin, speculative sentiments and crypto-assets valuation," MPRA Paper 120866, University Library of Munich, Germany.
- Nguyen, Tien-Trung & Wu, Yang-Che & Ke, Mei-Chu & Liao, Tung Liang, 2022. "Can direct government intervention save the stock market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 271-284.
- Yao, Jing & Yang, Yiwen, 2023. "Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis," Economic Modelling, Elsevier, vol. 129(C).
- Koutmos, Dimitrios, 2012. "An intertemporal capital asset pricing model with heterogeneous expectations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(5), pages 1176-1187.
- Angelidis, Dimitrios & Koulakiotis Athanasios & Kiohos Apostolos, 2018. "Feedback Trading Strategies: The Case of Greece and Cyprus," South East European Journal of Economics and Business, Sciendo, vol. 13(1), pages 93-99, June.
- Chen, Carl R. & Su, Yuli & Huang, Ying, 2008. "Hourly index return autocorrelation and conditional volatility in an EAR-GJR-GARCH model with generalized error distribution," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 789-798, September.
- Chen, Xiaoyu & Chiang, Thomas C., 2020. "Empirical investigation of changes in policy uncertainty on stock returns—Evidence from China’s market," Research in International Business and Finance, Elsevier, vol. 53(C).
- Lyócsa, Štefan & Molnár, Peter, 2020. "Stock market oscillations during the corona crash: The role of fear and uncertainty," Finance Research Letters, Elsevier, vol. 36(C).
- Chau, Frankie & Deesomsak, Rataporn & Lau, Marco C.K., 2011. "Investor sentiment and feedback trading: Evidence from the exchange-traded fund markets," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 292-305.
- David Mcmillan & Alan Speight, 2008. "Long-memory in high-frequency exchange rate volatility under temporal aggregation," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 251-261.
- Wang, Jiang & Grossman, Sanford & Campbell, John, 1993.
"Trading Volume and Serial Correlation in Stock Returns,"
Scholarly Articles
3128710, Harvard University Department of Economics.
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1992. "Trading Volume and Serial Correlation in Stock Returns," NBER Working Papers 4193, National Bureau of Economic Research, Inc.
- John Y. Campbell & Sanford J. Grossman & Jiang Wang, 1993. "Trading Volume and Serial Correlation in Stock Returns," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 108(4), pages 905-939.
- Tomoe Moore, 2007. "Has entry to the European Union altered the dynamic links of stock returns for the emerging markets?," Applied Financial Economics, Taylor & Francis Journals, vol. 17(17), pages 1431-1446.
- Gebka, Bartosz & Wohar, Mark E., 2013. "Causality between trading volume and returns: Evidence from quantile regressions," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 144-159.
- Chen, Jing & Dong, Yizhe & Hou, Wenxuan & McMillan, David G., 2018. "Does feedback trading drive returns of cross-listed shares?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 53(C), pages 179-199.
- Shih-Yung Wei & Jao-Hong Cheng & Li-Wei Lin & Su-Mei Gan, 2020. "Volatility Asymmetry of Scale Indexes - Taking China as an Example," International Journal of Economics and Financial Issues, Econjournals, vol. 10(4), pages 158-169.
- Ngene, Geoffrey M. & Wang, Jinghua, 2024. "Arbitrage opportunities and feedback trading in regulated bitcoin futures market: An intraday analysis," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 743-761.
- Kallinterakis, Vasileios & Liu, Fei & Pantelous, Athanasios A. & Shao, Jia, 2020. "Pricing inefficiencies and feedback trading: Evidence from country ETFs," International Review of Financial Analysis, Elsevier, vol. 70(C).
- Dzieliński, Michał & Rieger, Marc Oliver & Talpsepp, Tõnn, 2018. "Asymmetric attention and volatility asymmetry," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 59-67.
- Hou, Yang & Li, Steven, 2014. "The impact of the CSI 300 stock index futures: Positive feedback trading and autocorrelation of stock returns," International Review of Economics & Finance, Elsevier, vol. 33(C), pages 319-337.
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- Charles S. Bos & Siem Jan Koopman, 2010. "Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production," Tinbergen Institute Discussion Papers 10-017/4, Tinbergen Institute.
- Wali Ullah & Yasumasa Matsuda & Yoshihiko Tsukuda, 2015. "Generalized Nelson-Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(4), pages 876-904, April.
- García-Ferrer, Antonio & González-Prieto, Ester & Peña, Daniel, 2012. "A conditionally heteroskedastic independent factor model with an application to financial stock returns," International Journal of Forecasting, Elsevier, vol. 28(1), pages 70-93.
- Syed Abuzar Moonis & Ajay Shah, 2003. "Testing for Time-variation in Beta in India," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 2(2), pages 163-180, May.
- Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.
- Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
- Matteo Barigozzi & Marc Hallin & Stefano Soccorsi, 2017. "Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models," Working Papers ECARES ECARES 2017-10, ULB -- Universite Libre de Bruxelles.
- Ivanovski, Kris & Hailemariam, Abebe, 2021. "Forecasting the dynamic relationship between crude oil and stock prices since the 19th century," Journal of Commodity Markets, Elsevier, vol. 24(C).
- Gabriele Fiorentini & Giorgio Calzolari, 1997.
"A tobit model with garch errors,"
Working Papers. Serie AD
1997-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Enrique Sentana & Sushil Wadhwani, 1991.
"Semi-parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(3), pages 547-563.
Cited by:
- Antonis Demos & George Vasillelis, 2007. "U.K. Stock Market Inefficiencies and the Risk Premium," Multinational Finance Journal, Multinational Finance Journal, vol. 11(1-2), pages 97-122, March-Jun.
- Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
- Benoit Perron, 2003.
"Semiparametric Weak-Instrument Regressions with an Application to the Risk-Return Tradeoff,"
The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 424-443, May.
- PERRON, Benoît, 1999. "Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off," Cahiers de recherche 9901, Universite de Montreal, Departement de sciences economiques.
- Benoit Perron, 2002. "Semi-Parametric Weak Instrument Regressions with an Application to the Risk-Return Trade-off," CIRANO Working Papers 2002s-88, CIRANO.
- Benoit Perron, 2000. "Semi-Parametric Weak Instrument Regressions with an Application to the Risk-return Trade-off," Econometric Society World Congress 2000 Contributed Papers 1576, Econometric Society.
- Longin, Francois & Solnik, Bruno, 1995. "Is the correlation in international equity returns constant: 1960-1990?," Journal of International Money and Finance, Elsevier, vol. 14(1), pages 3-26, February.
- Hallam, Arne, 1992. "A Brief Overview Of Nonparametric Methods In Economics," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 21(2), pages 1-15, October.
- Christoffersen, Peter F. & Diebold, Francis X., 2003.
"Financial asset returns, direction-of-change forecasting, and volatility dynamics,"
CFS Working Paper Series
2004/08, Center for Financial Studies (CFS).
- Peter F. Christoffersen & Francis X. Diebold, 2003. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," NBER Working Papers 10009, National Bureau of Economic Research, Inc.
- Peter F. Christoffersen & Francis X.Diebold, 2003. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," PIER Working Paper Archive 04-009, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
- Nijman, T.E. & Palm, F.C., 1991.
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- Jonathan Manton & Anton Muscatelli & Vikram Krishnamurthy & Stan Hurn, "undated". "Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise," Working Papers 9806, Business School - Economics, University of Glasgow.
Chapters
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2023.
"Aggregate Output Measurements: A Common Trend Approach,"
Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 3-33,
Emerald Group Publishing Limited.
See citations under working paper version above.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: a Common Trend Approach," Econometrics Working Papers Archive 2021_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate output measurements: a common trend approach," Working Paper series 21-02, Rimini Centre for Economic Analysis.
- Gabriele Fiorentini & Martín Almuzara & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Staff Reports 962, Federal Reserve Bank of New York.
- Martín Almuzara & Gabriele Fiorentini & Enrique Sentana, 2021. "Aggregate Output Measurements: A Common Trend Approach," Working Papers wp2021_2101, CEMFI.
- Sentana, Enrique & Almuzara, Martin & Fiorentini, Gabriele, 2021. "Aggregate Output Measurements: A Common Trend Approach," CEPR Discussion Papers 15758, C.E.P.R. Discussion Papers.
- Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2022.
"Gaussian Rank Correlation and Regression,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology, volume 43, pages 269-306,
Emerald Group Publishing Limited.
See citations under working paper version above.
- Sentana, Enrique & Amengual, Dante & Tian, Zhanyuan, 2020. "Gaussian rank correlation and regression," CEPR Discussion Papers 14914, C.E.P.R. Discussion Papers.
- Dante Amengual & Enrique Sentana & Zhanyuan Tian, 2020. "Gaussian Rank Correlation and Regression," Working Papers wp2020_2004, CEMFI.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2016.
"Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation,"
Advances in Econometrics, in: Dynamic Factor Models, volume 35, pages 215-282,
Emerald Group Publishing Limited.
See citations under working paper version above.Sorry, no citations of chapters recorded.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," Working Papers 1525, Banco de España.
- Gabriele Fiorentini & Alessandro Galesi & Enrique Sentana, 2015. "Fast ML Estimation of Dynamic Bifactor Models: An Application to European Inflation," Working Papers wp2015_1502, CEMFI.
- Sentana, Enrique & Galesi, Alessandro, 2015. "Fast ML estimation of dynamic bifactor models: an application to European inflation," CEPR Discussion Papers 10461, C.E.P.R. Discussion Papers.